2013

Conference Contributions

• Le Fol, Gaëlle ; Dudek, Jérémy ; Darolles, Serge . Liquidity Contagion. The Emerging Sovereign Debt Markets example. 30th International French Finance Association Conference. Lyon. France. 2013.

2012

Articles

• Darolles, Serge ; Vaissié, Mathieu . The Alpha and Omega of Fund of Hedge Fund Added Value. Journal of Banking and Finance. Volume 36. n° 4. 2012. pages 1067-1078. Elsevier. DOI http://dx.doi.org/10.1016/j.jbankfin.2011.10.021.
• Bialkowski, Jedrzej ; Darolles, Serge ; Le Fol, Gaëlle . How to reduce the risk of VWAP orders execution ?. JASSA : The Finsia Journal of Applied Finance. 2012. FINSIA.

Conference Contributions

• Le Fol, Gaëlle ; Dudek, Jérémy ; Darolles, Serge . Liquidity Contagion. The Emerging Sovereign Debt Markets example. European Economic Association & Econometric Society. Malaga. Espagne. 2012.
• Le Fol, Gaëlle ; Dudek, Jérémy ; Darolles, Serge . Liquidity Contagion : A Look at Emerging Markets. Axe thématique du GdRE « Monnaie, Banque, Finance » et Cluster « Risques Financiers » : « Investissements alternatifs : des crises… à la mesure de performance ». Orléans. France. 2012.

2011

Articles

• Darolles, Serge ; Mero, Gulten . Hedge Fund Returns and Factor Models : A Cross-Section Approach. Bankers, Markets & Investors. n° 112. 2011. pages 34-53. Revue Banque.
• Jay, Emmanuelle ; Duvaut, Patrick ; Darolles, Serge ; Chretien, Arnaud . Multifactor Models : Examining the potential of signal processing techniques. IEEE Signal Processing Magazine. Volume 28. n° 5. 2011. pages 37-48. Institute of Electrical & Electronics Engineers. DOI http://dx.doi.org/10.1109/MSP.2011.941550.
• Darolles, Serge ; Fan, Yanqing ; Florens, Jean-Pierre ; Renault, Eric . Nonparametric Instrumental Regression. Econometrica. Volume 79. n° 5. 2011. pages 1541-1565. Wiley. DOI http://dx.doi.org/10.3982/ECTA6539.

Conference Contributions

• Gagliardini, Patrick ; Gouriéroux, Christian ; Darolles, Serge . Survival of Hedge Funds: Frailty vs Contagion. European Economic Association & Econometric Society. Malaga. Espagne. 2012.
• Gouriéroux, Christian ; Darolles, Serge ; Jay, Emmanuelle ; Duvaut, Patrick . lq-regularization of the Kalman filter for exogenous outlier removal: application to hedge funds analysis. 5th CSDA International Conference on Computational and Financial Econometrics (CFE'11). Londres. Royaume-Uni. 2011.
• Darolles, Serge ; Gouriéroux, Christian ; Gagliardini, Patrick . Survival of Hedge Funds: Frailty vs Contagion. International Conference on Stochastic Analysis and Applications. Hammamet. Tunisie. 2011.
• Jay, Emmanuelle ; Duvaut, Patrick ; Darolles, Serge ; Gouriéroux, Christian . lq-regularization of the Kalman filter for exogenous outlier removal: application to hedge funds analysis. Fourth International Workshop on Computational Advances in Multi-Sensor Adaptive Processing (CAMSAP). San Juan. Porto Rico. 2011.
• Le Fol, Gaëlle ; Darolles, Serge ; Mero, Gulten . When Market Illiquidity Generates Volume. First Meeting of the ANR Econom&Risk (Econometric Approaches for Risk Modeling). Orléans. France. 2011.

2010

Articles

• Christian, Gourieroux ; Darolles, Serge . Conditionally fitted Sharpe performance with an application to hedge fund rating. Journal of Banking and Finance. Volume 34. n° 3. 2010. pages 578–593. Elsevier. DOI http://dx.doi.org/10.1016/j.jbankfin.2009.08.025.

2009

Articles

• Darolles, Serge ; Gourieroux, Christian ; Jasiak, Joann . L-performance with an application to hedge funds. Journal of Empirical Finance. Volume 16. n° 4. 2009. pages 671– 685. Elsevier. DOI http://dx.doi.org/10.1016/j.jempfin.2009.05.003.

2008

Articles

• Bialkowski, Jedrzej ; Darolles, Serge ; Le Fol, Gaëlle . Improving VWAP strategies: A dynamic volume approach. Journal of Banking and Finance. Volume 32. n° 9. 2008. pages 1709-1722. Elsevier. DOI http://dx.doi.org/10.1016/j.jbankfin.2007.09.023.

2006

Articles

• Darolles, Serge ; Gourieroux, Christian ; Jasiak, Joann . Structural Laplace Transform and Compound Autoregressive Models. Journal of Time Series Analysis. Volume Volume 27. n° 4. 2006. pages 477-503. Blackwell.

2004

Articles

• Florens, Jean-Pierre ; Gouriéroux, Christian ; Darolles, Serge . Kernel-based nonlinear canonical analysis and time reversibility. Journal of Econometrics. Volume 119. n° 2. 2004. pages 323–353. Elsevier. DOI http://dx.doi.org/10.1016/S0304-4076(03)00199-4.

2001

Articles

• Gouriéroux, Christian ; Florens, Jean-Pierre ; Darolles, Serge . Factor ARMA representation of a Markov process. Economics Letters. Volume 71. n° 2. 2001. pages 165–171. Elsevier. DOI http://dx.doi.org/10.1016/S0165-1765(01)00367-6.
• Darolles, Serge ; Gouriéroux, Christian . Truncated dynamics and estimation of diffusion equations. Journal of Econometrics. Volume 102. n° 1. 2001. pages 1–22. Elsevier. DOI http://dx.doi.org/10.1016/S0304-4076(00)00085-3.

2000

Articles

• Darolles, Serge ; Gouriéroux, Christian ; Le Fol, Gaëlle . Intraday Transaction Price Dynamics. Annales d'Economie et de Statistique. n° 60. 2000. pages 207-238. INSEE.
• Laurent, Jean-Paul ; Darolles, Serge . Approximating payoffs and pricing formulas. Journal of Economic Dynamics and Control. Volume 24. n° 11-12. 2000. pages 1721–1746. Elsevier. DOI http://dx.doi.org/10.1016/S0165-1889(99)00092-5.