serge darolles : Citation Profile


Are you serge darolles?

Université Paris-Dauphine (Paris IX)

11

H index

12

i10 index

524

Citations

RESEARCH PRODUCTION:

20

Articles

62

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (1997 - 2021). See details.
   Cites by year: 21
   Journals where serge darolles has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 17 (3.14 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pda653
   Updated: 2024-11-04    RAS profile: 2021-12-07    
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Relations with other researchers


Works with:

Le Fol, Gaelle (3)

Lu, Yang (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with serge darolles.

Is cited by:

Chen, Xiaohong (30)

gourieroux, christian (23)

Monfort, Alain (17)

Simoni, Anna (13)

Schennach, Susanne (9)

Newey, Whitney (8)

Renne, Jean-Paul (8)

Chernozhukov, Victor (7)

Lee, Sokbae (Simon) (7)

Kristensen, Dennis (7)

Van Bellegem, Sebastien (7)

Cites to:

Le Fol, Gaelle (33)

gourieroux, christian (17)

Lo, Andrew (16)

Jasiak, Joann (12)

Grossman, Sanford (10)

Tauchen, George (9)

Engle, Robert (9)

Andersen, Torben (7)

Goetzmann, William (7)

Brown, Stephen (6)

Trzcinka, Charles (6)

Main data


Where serge darolles has published?


Journals with more than one article published# docs
Journal of Banking & Finance4
Journal of Econometrics4
Bankers, Markets & Investors2

Working Papers Series with more than one paper published# docs
Post-Print / HAL33
Working Papers / Center for Research in Economics and Statistics16
IDEI Working Papers / Institut d'Économie Industrielle (IDEI), Toulouse3
Working Papers / HAL3

Recent works citing serge darolles (2024 and 2023)


YearTitle of citing document
2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2023Kernel Methods for Unobserved Confounding: Negative Controls, Proxies, and Instruments. (2020). Singh, Rahul. In: Papers. RePEc:arx:papers:2012.10315.

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2024Adversarial Estimation of Riesz Representers. (2020). Syrgkanis, Vasilis ; Singh, Rahul ; Newey, Whitney ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2101.00009.

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2024Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2023Debiased Inference on Identified Linear Functionals of Underidentified Nuisances via Penalized Minimax Estimation. (2022). Mao, Xiaojie ; Kallus, Nathan. In: Papers. RePEc:arx:papers:2208.08291.

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2023Minimax Instrumental Variable Regression and $L_2$ Convergence Guarantees without Identification or Closedness. (2023). Newey, Whitney ; Mao, Xiaojie ; Kallus, Nathan ; Bennett, Andrew ; Uehara, Masatoshi ; Syrgkanis, Vasilis. In: Papers. RePEc:arx:papers:2302.05404.

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2023Real-time Trading System based on Selections of Potentially Profitable, Uncorrelated, and Balanced Stocks by NP-hard Combinatorial Optimization. (2023). Yamasaki, Masaya ; Kashimata, Tomoya ; Nakayama, Jun ; Hidaka, Ryo ; Tatsumura, Kosuke. In: Papers. RePEc:arx:papers:2307.06339.

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2023An Adaptive Dual-level Reinforcement Learning Approach for Optimal Trade Execution. (2023). Hong, Youngjoon ; Sul, Hong Kee ; Kim, Jimyeong. In: Papers. RePEc:arx:papers:2307.10649.

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2023Source Condition Double Robust Inference on Functionals of Inverse Problems. (2023). Uehara, Masatoshi ; Syrgkanis, Vasilis ; Newey, Whitney ; Mao, Xiaojie ; Kallus, Nathan ; Bennett, Andrew. In: Papers. RePEc:arx:papers:2307.13793.

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2024One-step nonparametric instrumental regression using smoothing splines. (2023). Lavergne, Pascal ; Lapenta, Elia ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2307.14867.

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2024Uniform Inference for Nonlinear Endogenous Treatment Effects with High-Dimensional Covariates. (2023). Zhang, Cun-Hui ; Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2310.08063.

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2024Regularized DeepIV with Model Selection. (2024). Uehara, Masatoshi ; Wang, Mengdi ; Syrgkanis, Vasilis ; Lan, Hui ; Li, Zihao. In: Papers. RePEc:arx:papers:2403.04236.

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2024High-Dimensional Mean-Variance Spanning Tests. (2024). Sessinou, Rosnel ; Laurent, S'Ebastien ; Ardia, David. In: Papers. RePEc:arx:papers:2403.17127.

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2024Context-dependent Causality (the Non-Nonotonic Case). (2024). Kim, Moshe ; Billfeld, Nir. In: Papers. RePEc:arx:papers:2404.05021.

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2023Assessing the liquidity premium in the Italian bond market. (2023). Venturi, Giulio Carlo ; Drudi, Maria Ludovica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_795_23.

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2023Arbitrage across different Bitcoin exchange venues: Perspectives from investor base and market related events. (2023). Cheng, Feiyang ; Shu, AO ; Pan, Zheyao ; Liang, Zini ; Han, Jianlei. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:5:p:5183-5210.

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2024The role of the U.S. exchange?rate equity market volatility on agricultural exports and forecasts. (2023). Nganje, William ; Addey, Kwame Asiam. In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie. RePEc:bla:canjag:v:71:y:2023:i:1:p:25-47.

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2023On variable ordination of modified Cholesky decomposition for estimating time?varying covariance matrices. (2020). Tsui, Kamwah ; Deng, Xinwei ; Kang, Xiaoning ; Pourahmadi, Mohsen. In: International Statistical Review. RePEc:bla:istatr:v:88:y:2020:i:3:p:616-641.

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2023Flexible bivariate INGARCH process with a broad range of contemporaneous correlation. (2023). Ombao, Hernando ; Barretosouza, Wagner. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:206-222.

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2023Noncausal affine processes with applications to derivative pricing. (2023). Lu, Yang ; Gourieroux, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:766-796.

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2023The predictive distributions of thinning?based count processes. (2021). Lu, Yang. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:1:p:42-67.

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2023Modeling and inference for multivariate time series of counts based on the INGARCH scheme. (2023). Kim, Byungsoo ; Lee, Sangyeol. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:177:y:2023:i:c:s0167947322001591.

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2023Does FinTech reduce corporate excess leverage? Evidence from China. (2023). Zhang, Xinhe ; Guo, Chong ; Yue, Shujing ; Lai, Xiaobing. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:281-299.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares. (2023). Botosaru, Irene ; Pendakur, Krishna ; Muris, Chris. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:576-597.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2023Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications. (2023). Wang, Bin ; Kim, Jihyun ; Bu, Ruijun. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1934-1954.

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2024Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469.

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2024Internet stock message boards and the price–volume relationship: Registered users vs non-registered users. (2024). Shen, Dehua ; Zhang, Zuochao. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000941.

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2024Not all the news fitting to reprint: Evidence from price-volume relationship. (2024). Shen, Dehua ; Zhang, Zuochao. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001582.

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2023More Is Better, Or Not? An Empirical Analysis of Buyer Preferences for Variety on the E-Market. (2023). Sokullu, Senay. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:209:y:2023:i:c:p:450-470.

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2023Microstructure and high-frequency price discovery in the soybean complex. (2023). Debie, Philippe ; Gohin, Alexandre ; Bagnarosa, Guillaume ; Zhou, Xinquan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000041.

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2023The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas. (2023). Abedin, Mohammad Zoynul ; Sharif, Taimur ; Bouteska, Ahmed ; Chen, Shengming. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723005032.

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2023The Effects of Volatility on Liquidity in the Treasury Market. (2023). Sokolinskiy, Oleg ; Meldrum, Andrew C. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-28.

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2023Omega Compatibility: A Meta-analysis. (2023). Zhang, Xiang ; Maillet, Bertrand ; Caporin, Massimiliano ; Bernard, Carole. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10306-x.

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2024Identifying the Volatility Risk Price Through the Leverage Effect. (2024). Sangrey, Paul ; Renault, Eric ; Cheng, XU. In: PIER Working Paper Archive. RePEc:pen:papers:24-013.

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2023Nexus between Twitter-based sentiment and tourism sector performance amid COVID-19 pandemic. (2023). Bashir, Hajam Abid ; Kumar, Dilip ; Shiljas, K. In: Tourism Economics. RePEc:sae:toueco:v:29:y:2023:i:8:p:2200-2205.

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2023A copula spectral test for pairwise time reversibility. (2023). Zhang, Shibin. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:75:y:2023:i:5:d:10.1007_s10463-022-00859-x.

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2023Heterogeneous tail generalized common factor modeling. (2023). Polak, Pawe ; Paolella, Marc S ; Naf, Jeffrey ; Hediger, Simon. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-023-00083-z.

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2023On bivariate threshold Poisson integer-valued autoregressive processes. (2023). Wang, Dehui ; Li, Han ; Zhao, Yiwei ; Yang, Kai. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:8:d:10.1007_s00184-023-00899-0.

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2023One-step nonparametric instrumental regression using smoothing splines. (2023). Lavergne, Pascal ; Lapenta, Elia ; Beyhum, Jad. In: TSE Working Papers. RePEc:tse:wpaper:128467.

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Works by serge darolles:


YearTitleTypeCited
2000Intraday Transaction Price Dynamics In: Annals of Economics and Statistics.
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article10
2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas In: AMSE Working Papers.
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paper13
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 13
article
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print.
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This paper has nother version. Agregated cites: 13
paper
2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas.(2018) In: Working Papers.
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This paper has nother version. Agregated cites: 13
paper
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: MPRA Paper.
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This paper has nother version. Agregated cites: 13
paper
2016The rise of fintechs and their regulation In: Financial Stability Review.
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article13
2006Structural Laplace Transform and Compound Autoregressive Models In: Journal of Time Series Analysis.
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article45
2000Nonparametric Instrumental Regression In: Working Papers.
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paper248
2011Nonparametric Instrumental Regression.(2011) In: Econometrica.
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This paper has nother version. Agregated cites: 248
article
2010Non Parametric Instrumental Regression.(2010) In: IDEI Working Papers.
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This paper has nother version. Agregated cites: 248
paper
2002Nonparametric Instrumental Regression.(2002) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 248
paper
2000Kernel Based Nonlinear Canonical Analysis and Time Reversibility In: Working Papers.
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paper15
2004Kernel-based nonlinear canonical analysis and time reversibility.(2004) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 15
article
2000Factor ARMA Representation of a Markov Process In: Working Papers.
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paper0
2001Factor ARMA representation of a Markov process.(2001) In: Economics Letters.
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This paper has nother version. Agregated cites: 0
article
2000Empirical Local Time for Processes Observed on a Grid In: Working Papers.
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paper1
2001Compound Autoregressive Models In: Working Papers.
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paper8
2003Trading Volume and Arbitrage In: Working Papers.
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paper4
2014Trading volume and Arbitrage.(2014) In: Post-Print.
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This paper has nother version. Agregated cites: 4
paper
2014Trading Volume and Arbitrage.(2014) In: Post-Print.
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This paper has nother version. Agregated cites: 4
paper
2014Trading volume and Arbitrage.(2014) In: Post-Print.
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This paper has nother version. Agregated cites: 4
paper
2005Decomposing Volume for VWAP Strategies In: Working Papers.
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paper0
2012Robust Portfolio Allocation with Systematic Risk Contribution Restrictions In: Working Papers.
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paper7
2012Survival of Hedge Funds : Frailty vs Contagion In: Working Papers.
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paper5
2013Survival of Hedge Funds: Frailty vs Contagion.(2013) In: Post-Print.
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paper
2013The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I : The High Water Mark Scheme In: Working Papers.
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paper0
2013The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II : The Loss Carry Forward Scheme In: Working Papers.
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1997Dynamiques tronquées et estimation de modèles de diffusion In: Working Papers.
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paper0
1997Truncated Dynamics and Estimation of DiffusionEquations In: Working Papers.
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paper13
2001Truncated dynamics and estimation of diffusion equations.(2001) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 13
article
1997Approximating Payoffs and Approximating Pricing Formulas In: Working Papers.
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paper0
1997Nonparametric Estimation of a Diffusion Equation from Tick Observations In: Working Papers.
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paper3
1998Kernel Based Nonlinear Canonical Analysis In: Working Papers.
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paper3
1999Kernel Based Nonlinear Canonical Analysis..(1999) In: Toulouse - GREMAQ.
[Citation analysis]
This paper has nother version. Agregated cites: 3
paper
2001Kernel Based Nonlinear Canonical Analysis.(2001) In: IDEI Working Papers.
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This paper has nother version. Agregated cites: 3
paper
2000Approximating payoffs and pricing formulas In: Journal of Economic Dynamics and Control.
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article5
2017Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows In: Journal of Econometrics.
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article21
2017Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 21
paper
2009L-performance with an application to hedge funds In: Journal of Empirical Finance.
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article15
2008Improving VWAP strategies: A dynamic volume approach In: Journal of Banking & Finance.
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article37
2006Improving VWAP strategies: A dynamical volume approach.(2006) In: Documents de recherche.
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This paper has nother version. Agregated cites: 37
paper
2008Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print.
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This paper has nother version. Agregated cites: 37
paper
2010Conditionally fitted Sharpe performance with an application to hedge fund rating In: Journal of Banking & Finance.
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article19
2012The alpha and omega of fund of hedge fund added value In: Journal of Banking & Finance.
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article5
2015Measuring the liquidity part of volume In: Journal of Banking & Finance.
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article14
2015Measuring the Liquidity Part of Volume.(2015) In: Post-Print.
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This paper has nother version. Agregated cites: 14
paper
2015Measuring the Liquidity Part of Volume.(2015) In: Post-Print.
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paper
2019Bivariate integer-autoregressive process with an application to mutual fund flows In: Journal of Multivariate Analysis.
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article4
2019Bivariate integer-autoregressive process with an application to mutual fund flows.(2019) In: Post-Print.
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This paper has nother version. Agregated cites: 4
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2015Financial Market Liquidity: Who Is Acting Strategically? In: THEMA Working Papers.
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paper0
2016Introduction to the special issue on recent developments in Financial Econometrics In: Post-Print.
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paper0
2016Gauging Liquidity Risk in Emerging Market Bond Index Funds In: Post-Print.
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paper0
2016Intrinsic Liquidity in Conditional Volatility Models In: Post-Print.
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2014Liquidity risk and contagion for liquid funds In: Post-Print.
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2014Contagion in Emerging Markets In: Post-Print.
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paper1
2015Contagion in Emerging Markets.(2015) In: Palgrave Macmillan Books.
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chapter
2013Liquidity Contagion. The Emerging Sovereign Debt Markets example In: Post-Print.
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paper1
2012Liquidity Contagion. The Emerging Sovereign Debt Markets example.(2012) In: Post-Print.
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2012Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume In: Post-Print.
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paper0
2014Contagion Analysis In The Banking Sector In: Post-Print.
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paper1
2013Factor Selection In: Post-Print.
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paper0
2013Factor Models and General Definition In: Post-Print.
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paper0
2015The Dynamics of Hedge Fund Performance In: Post-Print.
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paper0
2015Performance fees and hedge fund return dynamics In: Post-Print.
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paper0
2013Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective In: Post-Print.
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paper0
2013A Regularized Kalman Filter (rgKF) for Spiky Data In: Post-Print.
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paper0
2013Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry? In: Post-Print.
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paper0
2013Multi-factor models and signal processing techniques: application to quantitative finance In: Post-Print.
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paper3
2015Contagion phenomena with applications in finance In: Post-Print.
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paper4
2019Trends everywhere? The case of hedge fund styles In: Post-Print.
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paper2
2019Trends everywhere? The case of hedge fund styles.(2019) In: Journal of Asset Management.
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This paper has nother version. Agregated cites: 2
article
2012MLiq a meta liquidity measure In: Post-Print.
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paper0
2013MLiq a meta liquidity measure.(2013) In: Post-Print.
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paper
2012Liquidity contagion: A look at emerging markets In: Post-Print.
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paper1
2014Evaluating UCITS Compliant Hedge Fund Performance In: Post-Print.
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paper1
2014Evaluating UCITS Compliant Hedge Fund Performance.(2014) In: Bankers, Markets & Investors.
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This paper has nother version. Agregated cites: 1
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2021A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk In: Working Papers.
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paper0
2021Forecasting Intra-daily Liquidity in Large Panels In: Working Papers.
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paper0
2010Nonparametric Analysis of Hedge Funds Lifetimes In: IDEI Working Papers.
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paper1
2010Nonparametric Analysis of Hedge Funds Lifetimes.(2010) In: TSE Working Papers.
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This paper has nother version. Agregated cites: 1
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2004Nouvelles techniques de gestion et leur impact sur la volatilité In: Revue d'Économie Financière.
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article1
2014Edito In: Bankers, Markets & Investors.
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article0

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