Serge Darolles

Université Paris Dauphine - DRM-CEREG

place du Maréchal de Lattre de Tassigny

cedex 16

Paris, 75775

France

SCHOLARLY PAPERS

29

DOWNLOADS
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Top 5,479

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7,867

SSRN CITATIONS
Rank 11,226

SSRN RANKINGS

Top 11,226

in Total Papers Citations

3

CROSSREF CITATIONS

82

Scholarly Papers (29)

1.

Improving VWAP. Strategies: A Dynamical Volume Approach

Journal of Banking and Finance, Vol. 32, 2008
Number of pages: 61 Posted: 28 Sep 2006 Last Revised: 23 Feb 2018
University of Canterbury - Department of Economics and Finance, Université Paris Dauphine - DRM-CEREG and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France
Downloads 1,500 (11,959)

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Intraday volume; Factor models; Volume Weighted Average Price; VWAP strategies

2.

Multi-Factor Models and Signal Processing Techniques: Survey and Examples

IEEE Signal Processing Magazine - Special Issue on Financial Applications, Forthcoming
Number of pages: 12 Posted: 18 May 2011
QUANTED, ENSEA-ETIS, Université Paris Dauphine - DRM-CEREG and Aequam Capital
Downloads 863 (27,483)

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Factor models, Factor selection, model selection, Kalman filter, robust Kalman filter, Hedge Funds analysis, risk exposures

3.

Hedge Fund Returns and Factor Models: A Cross-Sectional Approach

Bankers, Markets & Investors, June 2011
Number of pages: 42 Posted: 19 Feb 2009 Last Revised: 06 Jul 2016
Serge Darolles and Gulten Mero
Université Paris Dauphine - DRM-CEREG and University of Cergy-Pontoise - THEMA
Downloads 761 (32,731)

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Factor models, asymptotic tests, large panel data, risk dimension, replicating portfolio, missing factors

4.

Portfolio Allocation of Hedge Funds

Number of pages: 38 Posted: 10 Apr 2011
Lyxor Asset Management, Université Paris Dauphine - DRM-CEREG, affiliation not provided to SSRN and Amundi Asset Management
Downloads 593 (45,802)
Citation 4

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Hedge funds, portfolio allocation, higher-order moments, regime-switching models

5.

Robust Portfolio Allocation with Systematic Risk Contribution Restrictions

Number of pages: 48 Posted: 22 Dec 2012
Serge Darolles, Christian Gourieroux and Jay Emmanuelle
Université Paris Dauphine - DRM-CEREG, University of Toronto - Department of Economics and QUANTED
Downloads 589 (46,211)
Citation 5

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Asset Allocation, Portfolio Turnover, Risk Diversification, Minimum Variance Portfolio, Risk Parity Portfolio, Systematic Risk, Euler Allocation, Hedge Fund

6.

Do Funds of Hedge Funds Really Add Value? A 'Post' Crisis Analysis

Number of pages: 21 Posted: 03 Sep 2010 Last Revised: 15 Jun 2015
Serge Darolles and Mathieu Vaissié
Université Paris Dauphine - DRM-CEREG and EDHEC Graduate School of Management - Risk and Asset Management Research Center
Downloads 563 (48,953)

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Funds of Hedge Funds Performance, Performance Attribution Model, Strategic Allocation, Tactical Allocation, Fund Picking, Active Management, Added-Value, State-space Models, Kalman Filter

7.

The Benefits of Dynamic Risk Management: Mitigating Downside Risk Without Compromising Long-Term Growth Prospects

Number of pages: 44 Posted: 22 Oct 2011 Last Revised: 15 Jun 2015
Serge Darolles and Mathieu Vaissié
Université Paris Dauphine - DRM-CEREG and EDHEC Graduate School of Management - Risk and Asset Management Research Center
Downloads 462 (62,789)
Citation 2

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Modern Portfolio Theory, Diversification, Dynamic Portfolio Construction, GARCH, Regime Switching Correlation, Active Management, Hedge Funds

8.

Nonparametric Instrumental Regression

Number of pages: 52 Posted: 07 Feb 2009 Last Revised: 15 Jun 2015
Université Paris Dauphine - DRM-CEREG, University of Washington - Department of Economics, University of Toulouse and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 378 (79,665)
Citation 41

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Instrumental Variables, Ill-posed Problem, Tikhonov, Kernel Smoothing

9.

L-Performance with an Application to Hedge Funds

Number of pages: 28 Posted: 27 Jun 2008 Last Revised: 15 Jun 2015
Christian Gourieroux, Joann Jasiak and Serge Darolles
University of Toronto - Department of Economics, York University - Department of Economics and Université Paris Dauphine - DRM-CEREG
Downloads 321 (95,956)
Citation 1

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Hedge Fund, Sharpe Performance, L-moment, Distortion Risk Measure, Ranking

10.

Evaluating UCITS Compliant Hedge Fund Performance

Number of pages: 31 Posted: 19 Oct 2011 Last Revised: 15 Jun 2015
Serge Darolles
Université Paris Dauphine - DRM-CEREG
Downloads 312 (99,087)

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Hedge Funds, Mutual Funds, Regulation, Managerial Skills

11.

Conditionally Fitted Sharpe Performance with an Application to Hedge Fund Rating

Number of pages: 47 Posted: 30 Jun 2008 Last Revised: 15 Jun 2015
Christian Gourieroux and Serge Darolles
University of Toronto - Department of Economics and Université Paris Dauphine - DRM-CEREG
Downloads 280 (111,312)

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Hedge Fund, Sharpe Performance, Sharpe Ratio, Fitted Performance, Fund Rating, Segmentation, Standardisation, Term Structure

12.

Nonparametric Analysis of Hedge Funds Lifetimes

Number of pages: 36 Posted: 03 Dec 2008 Last Revised: 15 Jun 2015
Serge Darolles, Jean-Pierre Florens and Guillaume Simon
Université Paris Dauphine - DRM-CEREG, University of Toulouse and Capital Fund Management
Downloads 181 (170,433)
Citation 3

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Hedge funds, Duration models, Nonparametric specifications, competing risks

13.

Regularization of the Kalman Filter for Exogenous Outlier Removal: Application to Hedge Funds Analysis

CAMSAP 2011, Puerto Rico, December 13-17, 2011
Number of pages: 4 Posted: 26 Oct 2011
QUANTED, ENSEA-ETIS, Université Paris Dauphine - DRM-CEREG and University of Toronto - Department of Economics
Downloads 171 (179,154)

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14.

On the Performance of Listed Private Equity

Number of pages: 41 Posted: 06 Jun 2017 Last Revised: 05 Jun 2018
Sara Ain Tommar and Serge Darolles
Paris Dauphine University and Université Paris Dauphine - DRM-CEREG
Downloads 159 (190,685)

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Private Equity, Listed Private Equity, Performance, IPO

15.

Survival of Hedge Funds: Frailty vs Contagion

Number of pages: 75 Posted: 22 Dec 2012 Last Revised: 15 Jun 2015
Université Paris Dauphine - DRM-CEREG, USI Università della Svizzera italiana and University of Toronto - Department of Economics
Downloads 151 (199,043)
Citation 11

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Hedge Fund, Contagion, Systemic Risk, Stress-Tests, Funding Liquidity

16.

Contagion Analysis in the Banking Sector

Number of pages: 37 Posted: 19 Jun 2014
Serge Darolles, Simon Dubecq and Christian Gourieroux
Université Paris Dauphine - DRM-CEREG, affiliation not provided to SSRN and University of Toronto - Department of Economics
Downloads 149 (201,279)
Citation 2

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Contagion, Systemic Risk, Default Dependence, Credit Default Swaps, Canonical Correlation

17.

The Effects of Management and Provision Accounts on Hedge Fund Returns

Number of pages: 50 Posted: 12 Oct 2009
Serge Darolles and Christian Gourieroux
Université Paris Dauphine - DRM-CEREG and University of Toronto - Department of Economics
Downloads 109 (255,834)
Citation 8

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Hedge Fund, Sharpe Performance, Persistence of Returns, Bias Ratio, Manager Incentive, Risk Appetite, High Water Mark, Management Account

Trends Everywhere? The Case of Hedge Fund Styles

Number of pages: 45 Posted: 20 Aug 2018 Last Revised: 05 Nov 2019
Charles Chevalier and Serge Darolles
Université Paris Dauphine - Department of Finance and Université Paris Dauphine - DRM-CEREG
Downloads 107 (260,597)

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Managed Futures, Time Series Momentum, Trend-Following, Commodity Trading Advisor (CTA), Hedge Funds, Trading Strategies

Trends Everywhere? The Case of Hedge Fund Styles

Journal of Asset Management (2019) 20: 442.
Posted: 22 Nov 2019
Charles Chevalier and Serge Darolles
Université Paris Dauphine - Department of Finance and Université Paris Dauphine - DRM-CEREG

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Managed Futures; time series momentum; trend-following; commodity trading advisor (CTA); hedge funds; trading strategies

19.

Financial Market Liquidity: Who is Acting Strategically?

Number of pages: 43 Posted: 06 Oct 2015 Last Revised: 06 Jul 2016
Serge Darolles, Gaëlle Le Fol and Gulten Mero
Université Paris Dauphine - DRM-CEREG, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France and University of Cergy-Pontoise - THEMA
Downloads 103 (266,051)

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Strategic liquidity trading, market efficiency, mixture of distribution hypothesis, information-based trading, extended Kalman Filter

Is Destiny Worth the Distance? On Private Equity in Emerging Markets

Number of pages: 56 Posted: 18 May 2018 Last Revised: 20 May 2018
Sara Ain Tommar, Serge Darolles and Emmanuel Jurczenko
Paris Dauphine University, Université Paris Dauphine - DRM-CEREG and Glion Institute of Higher Education
Downloads 21 (546,179)

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Private Equity investing, Private Equity performance, Emerging Markets

21.

Structural Laplace Transform and Compound Autoregressive Models

Journal of Time Series Analysis, Vol. 27, No. 4, pp. 477-503, July 2006
Number of pages: 27 Posted: 02 Jun 2006
Serge Darolles, Christian Gourieroux and Joann Jasiak
Université Paris Dauphine - DRM-CEREG, University of Toronto - Department of Economics and York University - Department of Economics
Downloads 35 (455,470)
Citation 1
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22.

Intrinsic Liquidity in Conditional Volatility Models

Annals of Economics and Statistics, Vol. 123/124, Dec. 2016, 225-246
Number of pages: 28 Posted: 20 Nov 2017
Université Paris Dauphine - DRM-CEREG, University of Lille III, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France and CREST
Downloads 32 (468,932)

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GARCH, Liquidity, Quasi-Maximum Likelihood, Risk measures, Value-at-Risk

23.

Bivariate INAR Processes with Application to Mutual Fund Share Purchase/Redemption Counts

Number of pages: 47 Posted: 14 Aug 2018
Serge Darolles, Gaëlle Le Fol, Yang Lu and Theo Ran Sun
Université Paris Dauphine - DRM-CEREG, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France, University of Paris 13 and Université Paris-Dauphine, PSL Research University
Downloads 27 (494,018)

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rare event count process, nonlinear forecasting, memory persistence, liquidity risk

24.

A Self-Exciting Model for Mutual Fund Flows: Investor Behaviour and Liability Risk

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Posted: 01 Jun 2018
Serge Darolles, Gaëlle Le Fol, Yang Lu and Theo Ran Sun
Université Paris Dauphine - DRM-CEREG, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France, University of Paris 13 and Université Paris-Dauphine, PSL Research University

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Financial Econometrics, Hedge Funds/Mutual Funds, Market Microstructure/Liquidity.

25.

Intraday Transaction Price Dynamics

Annales d'Economie et de Statistique, Vol. 60, 2000, 207-238
Posted: 21 Nov 2017
Serge Darolles, Christian Gourieroux and Gaëlle Le Fol
Université Paris Dauphine - DRM-CEREG, University of Toronto - Department of Economics and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France

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High Frequency trading, Intraday transaction price dynamics, Markov Chain prices, random dates

26.

Reducing the Risk of VWAP Orders Execution

JASSA The Finsia Journal of Applied Finance, Issue 2012, 12-18
Posted: 21 Nov 2017
University of Canterbury - Department of Economics and Finance, Université Paris Dauphine - DRM-CEREG and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France

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intra-day trading volume, VWAP orders, execution risk, trading costs in securities markets

27.

Gauging Liquidity Risk in Emerging Market Bond Index Funds

Annals of Economics ans Statistics, Vol 123/124, Dec. 2016, 247-269
Posted: 20 Nov 2017
Serge Darolles, Jérémy Dudek and Gaëlle Le Fol
Université Paris Dauphine - DRM-CEREG, National Institute of Statistics and Economic Studies (INSEE) - Laboratory of Finance and Insurance and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France

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Emerging Markets, Sovereign Debt Market, Liquidity Risk Management, Dynamic Correlation, Regime Switching Models

28.

Liquidity Contagion: The Emerging Sovereign Debt Markets Example

Posted: 09 Feb 2013
Serge Darolles, Jérémy Dudek and Gaëlle Le Fol
Université Paris Dauphine - DRM-CEREG, National Institute of Statistics and Economic Studies (INSEE) - Laboratory of Finance and Insurance and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France

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Emerging Markets, Sovereign Debt Market, Liquidity Risk Management, Liquidity, Contagion Effects, Regime Switching models

29.

Measuring the Liquidity Part of Volume

Journal of Banking and Finance, Vol. 50, 2015
Posted: 08 Dec 2008 Last Revised: 06 Jul 2016
Serge Darolles, Gaëlle Le Fol and Gulten Mero
Université Paris Dauphine - DRM-CEREG, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France and University of Cergy-Pontoise - THEMA

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Volatility-volume relationship, mixture of distribution hypothesis, liquidity shocks, information-based trading, liquidity arbitrage, GMM tests