Darolles Serge - CV

Articles

Chevalier C., Darolles S. (2024), Diversifying trends, Econometrics and Statistics, p. 1-24

Ain Tommar S., Darolles S., Jurczenko E. (2024), Private equity fund performance around the world, Financial Analysts Journal, vol. 80, n°2, p. 99-121

Darolles S., Le Fol G., Mero G. (2022), Timing the Size Risk Premia, Finance, vol. 43, n°2, p. 111-158

Chevalier C., Darolles S. (2019), Trends everywhere? The case of hedge fund styles, Journal of Asset Management, vol. 20, n°6, p. 442-468

Darolles S., Le Fol G., Lu Y., Sun R. (2019), Bivariate integer-autoregressive process with an application to mutual fund flows, Journal of Multivariate Analysis, vol. 173, n°September 2019, p. 181-203

Darolles S., Francq C., Laurent S. (2018), Asymptotics of Cholesky GARCH models and time-varying conditional betas, Journal of Econometrics, vol. 204, n°2, p. 223-247

Darolles S., Vaissié M. (2017), Diversification at a reasonable price, Bankers, markets, investors, vol. Special Issue Illiquid Assets, n°148

Darolles S., Le Fol G., Mero G. (2017), Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows, Journal of Econometrics

Darolles S. (2016), The rise of FinTechs and their regulation, Financial Stability Review, vol. 20, p. 85-92

Darolles S., Francq C., Le Fol G., Zakoïan J-M. (2016), Intrinsic Liquidity in Conditional Volatility Models, Annals of Economics and Statistics, vol. 123/124, p. 225-245

Darolles S., Dudek J., Le Fol G. (2016), Gauging Liquidity Risk in Emerging Market Bond Index Funds, Annals of Economics and Statistics, vol. 123/124, p. 247-269

Darolles S., Gourieroux C. (2015), Performance fees and hedge fund return dynamics, International Journal of Approximate Reasoning, vol. 65, p. 45–58

Darolles S., Le Fol G., Mero G. (2015), Measuring the Liquidity Part of Volume, Journal of Banking and Finance, vol. 50, p. 92–105

Le Fol G., Darolles S. (2014), Trading volume and Arbitrage, GSTF Journal on Business Review, vol. 3, n°3, p. 30-39

Darolles S. (2014), Evaluating UCITS Compliant Hedge Fund Performance, Bankers, markets, investors, n°133, p. 11-22

Darolles S., Vaissié M. (2012), The Alpha and Omega of Fund of Hedge Fund Added Value, Journal of Banking and Finance, vol. 36, n°4, p. 1067-1078

Bialkowski J., Darolles S., Le Fol G. (2012), Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume, Journal of Applied Science in Southern Africa (JASSA), n°1, p. 12-18

Jay E., Duvaut P., Darolles S., Chretien A. (2011), Multifactor Models : Examining the potential of signal processing techniques, IEEE Signal Processing Magazine, vol. 28, n°5, p. 37-48

Darolles S., Mero G. (2011), Hedge Fund Returns and Factor Models : A Cross-Section Approach, Bankers, markets, investors, n°112, p. 34-53

Darolles S., Fan Y., Florens J-P., Renault E. (2011), Nonparametric Instrumental Regression, Econometrica, vol. 79, n°5, p. 1541-1565

Darolles S., Gourieroux C. (2010), Conditionally fitted Sharpe performance with an application to hedge fund rating, Journal of Banking and Finance, vol. 34, n°3, p. 578–593

Darolles S., Gouriéroux C., Jasiak J. (2009), L-performance with an application to hedge funds, Journal of Empirical Finance, vol. 16, n°4, p. 671– 685

Bialkowski J., Darolles S., Le Fol G. (2008), Improving VWAP strategies: A dynamic volume approach, Journal of Banking and Finance, vol. 32, n°9, p. 1709-1722

Darolles S., Gouriéroux C., Jasiak J. (2006), Structural Laplace Transform and Compound Autoregressive Models, Journal of Time Series Analysis, vol. 27, n°4, p. 477-503

Darolles S., Florens J-P., Gouriéroux C. (2004), Kernel-based nonlinear canonical analysis and time reversibility, Journal of Econometrics, vol. 119, n°2, p. 323–353

Darolles S., Le Fol G. (2004), Nouvelles techniques de gestion et leur impact sur la volatilité, Revue d'économie financière, vol. 74, p. 231-243

Darolles S., Gouriéroux C. (2001), Truncated dynamics and estimation of diffusion equations, Journal of Econometrics, vol. 102, n°1, p. 1–22

Darolles S., Florens J-P., Gouriéroux C. (2001), Factor ARMA representation of a Markov process, Economics Letters, vol. 71, n°2, p. 165–171

Darolles S., Gouriéroux C., Le Fol G. (2000), Intraday Transaction Price Dynamics, Annales d'Economie et de Statistique, n°60, p. 207-238

Darolles S., Laurent J-P. (2000), Approximating payoffs and pricing formulas, Journal of Economic Dynamics & Control, vol. 24, n°11-12, p. 1721–1746

Ouvrages

Darolles S., Gouriéroux C. (2015), Contagion phenomena with applications in finance, Amsterdam: Elsevier, 166 p.

Darolles S., Duvaut P., Jay E. (2013), Multi-factor models and signal processing techniques: application to quantitative finance, London ; Hoboken, NJ: Wiley, 184 p.

Chapitres d'ouvrage

Darolles S., Gouriéroux C., Teiletche J. (2015), The Dynamics of Hedge Fund Performance, in Suriya, Komsan, Econometrics of Risk, Heidelberg: Springer, p. X-498

Darolles S., Gouriéroux C., Jay E. (2015), Robust portfolio allocation with systematic risk contribution restrictions, in Emmanuel Jurczenko, Risk-Based and Factor Investing, Amsterdam: Elsevier, p. 123-146

Darolles S., Dudek J., Le Fol G. (2014), Contagion in Emerging Markets, in Finch, Nigel, Emerging Markets and Sovereign Risk, New York: Springer, p. XVI-298

Darolles S., Duvaut P., Jay E. (2013), A Regularized Kalman Filter (rgKF) for Spiky Data, in Jay, Emmanuelle, Multi-factor models and signal processing techniques: application to quantitative finance, London ; Hoboken, NJ: Wiley-ISTE, p. 184

Darolles S., Vaissié M. (2013), Regulation: Threat or Opportunity for the Funds of Hedge Funds Industry?, in Gregoriou, Greg N., Reconsidering funds of hedge funds : the financial crisis and best practices in UCITS, tail risk, performance, and due diligence, Oxford: Elsevier, p. 545

Darolles S., Duvaut P., Jay E. (2013), Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective, in Jay, Emmanuelle, Multi-factor models and signal processing techniques: application to quantitative finance, London ; Hoboken, NJ: Wiley-ISTE, p. 59-116

Darolles S., Duvaut P., Jay E. (2013), Factor Models and General Definition, in Jay, Emmanuelle, Multi-factor models and signal processing techniques: application to quantitative finance, London ; Hoboken, NJ: Wiley-ISTE, p. 1–21

Darolles S., Duvaut P., Jay E. (2013), Factor Selection, in Jay, Emmanuelle, Multi-factor models and signal processing techniques: application to quantitative finance, London ; Hoboken, NJ: Wiley-ISTE, p. 23–58

Communications avec actes

Darolles S., Roussellet G. (2017), Managing hedge fund liquidity risks, in , Amsterdam, Elsevier

Darolles S., Roussellet G. (2017), Managing hedge fund liquidity risks, in , Amsterdam, Elsevier

Darolles S., Gouriéroux C. (2014), The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme, in Sriboonchitta, Songsak, Seventh International Conference of the Thailand Econometric Society, Chiang Mai, Springer, 575 p.

Darolles S., Gouriéroux C. (2014), The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The HighWater Mark Scheme, in Sriboonchitta, Songsak, Seventh International Conference of the Thailand Econometric Society, Chiang Mai, Springer, 575 p.

Darolles S., Le Fol G. (2014), Trading Volume and Arbitrage, in , Annual International Conference on Accounting & Finance. 2014, Phuket, Global Science & Technology Forum, 121-131 p.

Communications sans actes

Coadou J., Darolles S. (2024), Does ESG matter more than Tracking Error ?, 40th International Conference of the French Finance Association (AFFI) 2024, Lille, France

Darolles S., Roussellet G. (2024), Managing hedge fund liquidity risks, 2024 FMA (Financial Management Association International) European Conference, Turin, Italie

Darolles S., Roussellet G. (2024), Managing hedge fund liquidy risks, 16th Annual SoFiE (Society for Financial Econometrics) Meeting, Rio de Janeiro, BrÉsil

Darolles S., Roussellet G. (2024), Managing hedge fund liquidity risks, 6th QFFE (Quantitative Finance and Financial Econometrics) Spring School and International Conference, Marseille, France

Darolles S., Coadou J. (2024), Does ESG matter more than Tracking Error ?, GRASFI PhD Workshop in Sustainable Finance, Paris, France

Darolles S., He Y., Le Fol G. (2024), Understanding the effect of ESG scores on stock returns using mediation theory, 17th Financial Risks International Forum (Risks Forum), Paris, France

Ain Tommar S., Darolles S., Jurczenko E. (2023), Private equity fund performance around the world, 39th Conference of the French Finance Association (AFFI), Bordeaux, France

Darolles S., Coadou J. (2023), Does ESG matter more than Tracking Error ?, The 17th International Conference on Computational and Financial Econometrics (CFE 2023), Berlin, Allemagne

Ain Tommar S., Darolles S., Jurczenko E. (2023), The Geography of Private Equity Returns : Private equity fund performance around the world, Lapland Investment Fund Summit, Levi, Finlande

Darolles S., He Y., Le Fol G. (2023), Who can better push firms to go "green"? A look at ESG effects on stock returns, 39th International Conference of the French Finance Association (AFFI), Bordeaux, France

Chevalier C., Darolles S. (2022), Futures market liquidity and the trading cost of trend following strategies, Quantitative Finance and Financial Econometrics (QFFE 2022), Marseille, France

Brownlees C., Darolles S., Le Fol G., Sagna B. (2022), Forecasting intra-daily volume in large panels of assets, CIREQ Econometrics Conference in Honor of Eric Renault, Montreal, Canada

Chevalier C., Darolles S., . (2022), Futures market liquidity and the trading cost of trend following strategies, 38th International Conference of the French Finance Association (AFFI), Saint Malo, France

Darolles S., Le Fol G., Lu Y., Sun R. (2019), A Self-Exciting Model for Mutual Fund Flows: Investor Behaviour and Liability Risk, AFFI, Québec, Canada

Darolles S., Le Fol G., Mero G. (2019), Timing the size risk premium, 5th Inter-Business Schools Finance Seminar Business School Conference, Reims, France

Darolles S., Roussellet G. (2019), Managing hedge fund liquidity risks, ESSEC Conference on Financial Markets and Risk Management, Cergy, France

Darolles S., Le Fol G., Lu Y., Sun R. (2019), Bivariate integer-autoregressive process with an application to mutual fund flows, Quantitative Finance and Financial Econometrics (QFFE 2019), Marseille, France

Darolles S., Francq C., Laurent S. (2018), Asymptotics of Cholesky GARCH models and time-varying conditional betas, FERM (Financial Engineering and Risk Management) 2018 Conference, Shanghai, Chine

Ain Tommar S., Darolles S., Jurzcenko E. (2018), Is destiny worth the Distance? On Private Equity in Emerging Markets, Université Paris-Dauphine Finance Seminar, Paris, France

Darolles S., Le Fol G., Lu Y., Sun R. (2018), A Self-Exciting Model for Mutual Fund Flows: Investor Behaviour and Liability Risk, AFFI, Paris, France

Darolles S., Francq C., Laurent S. (2018), Asymptotics of Cholesky GARCH models and time-varying conditional betas, Financial Econometric Conference, Toulouse School of Economics, Toulouse, France

Darolles S., Francq C., Laurent S. (2018), Asymptotics of Cholesky GARCH models and time-varying conditional betas, Conference on New Developments in Econometrics and Time Series, Copenhagen, Danemark

Darolles S., Le Fol G., Lu Y., Sun R. (2018), Bivariate integer-autoregressive process with an application to mutual fund flows, Financial Time Series Workshop, CREST-ENSAE, Palaiseau, France

Darolles S., Al Wakil A. (2018), Do hedge fund hedge? New evidence from volatility risk premia embedded in VIX options, 5th Empirical Finance Workshop, ESSEC Business School, Cergy, France

Darolles S., Roussellet G. (2018), Managing hedge fund liquidity risks, Quantitative Finance and Financial Econometrics (QFFE ) 2018, Marseille, France

Darolles S., Francq C., Laurent S. (2017), Asymptotics of Cholesky GARCH models and time-varying conditional betas, Econometric Society European Meeting, Lisbon, Portugal

Darolles S., Roussellet G. (2017), Managing hedge fund liquidity risks, The Role of Hedge Funds in and other Collective Investment Funds in the Modern World, Manchester, Royaume-Uni

Darolles S., Francq C., Laurent S. (2017), Asymptotics of Cholesky GARCH models and time-varying conditional betas, 34th International Conference of the French Finance Association (AFFI), Valence, France

Darolles S., Roussellet G. (2017), Managing hedge fund liquidity risks, 11th International Conference on Computational and Financial Econometrics (CFE 2017), London, Royaume-Uni

Darolles S., Roussellet G. (2016), Managing hedge fund liquidity risks, 33th International Conference of the French Finance Association (AFFI), Liege, Belgique

Darolles S., Francq C., Laurent S. (2016), Asymptotics of Cholesky GARCH models and time-varying conditional betas, 10th International Conference on Computational and Financial Econometrics (CFE) 2016), Seville, Espagne

Darolles S., Le Fol G., Mero G. (2016), Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows, 9th Annual SoFiE Conference (Society for Financial Econometrics) 2016, Hong Kong, Hong kong

Darolles S., Roussellet G. (2016), Managing hedge fund liquidity risks, ESEM Conference (European meeting of the Econometric Society), Geneve, Suisse

Darolles S., Le Fol G., Mero G. (2014), Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows, 8th International Conference on Computational and Financial Econometrics (CFE 2014), Pisa, Italie

Darolles S., Dubecq S., Gouriéroux C. (2014), Contagion Analysis In The Banking Sector, 31st International French Finance Association Conference, AFFI 2014, Aix-en-Provence, France

Darolles S., Dudek J., Le Fol G. (2014), Liquidity risk and contagion for liquid funds, 31st International French Finance Association Conference, AFFI 2014, Aix-en-Provence, France

Darolles S., Gagliardini P., Gouriéroux C. (2013), Survival of Hedge Funds: Frailty vs Contagion, 22nd Annual Meeting of the European Financial Management Association - EFMA 2013, Reading, Royaume-Uni

Darolles S., Dudek J., Le Fol G. (2013), Liquidity Contagion. The Emerging Sovereign Debt Markets example, 30th International French Finance Association Conference, Lyon, France

Darolles S., Dudek J., Le Fol G. (2012), Liquidity Contagion. The Emerging Sovereign Debt Markets example, European Economic Association & Econometric Society, Malaga, Espagne

Darolles S., Dudek J., Le Fol G. (2012), MLiq a meta liquidity measure, Computational and Financial Econometrics (CFE'12), Oviedo, Espagne

Darolles S., Duvaut P., Gouriéroux C., Jay E. (2011), 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

Darolles S., Gagliardini P., Gouriéroux C. (2011), Survival of Hedge Funds: Frailty vs Contagion, European Economic Association & Econometric Society, Malaga, Espagne

Darolles S., Gouriéroux C., Gagliardini P. (2011), Survival of Hedge Funds: Frailty vs Contagion, International Conference on Stochastic Analysis and Applications, Hammamet, Tunisie

Le Fol G., Mero G., Darolles S. (2011), Tracking Illiquidities in Intradaily and Daily Characteristics, 28th annual International Conference of the French Finance Association, Montpellier, France

Darolles S., Duvaut P., Gouriéroux C., Jay E. (2011), 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

Présentation(s) dans un séminaire de recherche

Darolles S., Roussellet G. (2023), Managing hedge fund liquidity risks, in HEC Montreal (Laboratoire de mathématiques actuarielles et financières Quantact) : Séminaire de mathématiques actuarielles et financières, Montreal

Darolles S., Roussellet G. (2017), Managing hedge fund liquidity risks, in Mc Gill University, Finance Seminar, Montreal

Darolles S., Ain Tommar S. (2017), Permanent capital, permanent struggle? New evidence from listed private equity, in Aix-Marseille University, Finance Seminar, Aix

Darolles S., Roussellet G. (2017), Managing hedge fund liquidity risks, in Finance Seminar Faculté des sciences de l'administration (FSA ULaval), Laval

Darolles S., Roussellet G. (2016), Managing hedge fund liquidity risks, in EHL (Ecole hôtelière de Lausanne) Finance Seminar, Lausanne

Prépublications / Cahiers de recherche

Brownlees C., Darolles S., Le Fol G., Sagna B. (2019), Forecasting Intra-daily Liquidity in Large Panels, Paris, Université Paris-Dauphine

Darolles S., Le Fol G., Lu Y., Sun R. (2018), A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk, Paris, Université Paris-Dauphine

Gouriéroux C., Darolles S., Jay E. (2012), Robust Portfolio Allocation with Systematic Risk Contribution Restrictions, 48 p.

Autres publications

Darolles, S., Gouriéroux, C., (2015), Performance fees and hedge fund return dynamics , International Journal of Approximate Reasoning, Volume 65, October 2015, Pages 45–58

Darolles S., (2014), Special issue on hedge funds , guest editor for Bankers, Markets and Investors, Mars-Avril

Darolles, S ; Le Fol, G . Trading volume and Arbitrage. GSTF : Journal on Business Review. Volume 3. n° 3. 2014. pages 30-39