Serge Darolles

According to our database, Serge Darolles authored at least 7 papers between 2011 and 2019.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2019

Bivariate integer-autoregressive process with an application to mutual fund flows.

Serge Darolles, Gaëlle Le Fol, Yang Lu, Ran Sun

J. Multivar. Anal., 2019

2015

The Dynamics of Hedge Fund Performance.

Serge Darolles, Christian Gouriéroux, Jérome Teiletche

Proceedings of the Econometrics of Risk, 2015

Performance fees and hedge fund return dynamics.

Serge Darolles, Christian Gouriéroux

Int. J. Approx. Reason., 2015

2014

The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme.

Serge Darolles, Christian Gouriéroux

Proceedings of the Modeling Dependence in Econometrics, 2014

The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The HighWater Mark Scheme.

Serge Darolles, Christian Gouriéroux

Proceedings of the Modeling Dependence in Econometrics, 2014

2011

Multifactor Models.

Emmanuelle Jay, Patrick Duvaut, Serge Darolles, Arnaud Chrétien

IEEE Signal Process. Mag., 2011

l^q-regularization of the Kalman Filter for exogenous outlier removal: Application to hedge funds analysis.

Emmanuelle Jay, Patrick Duvaut, Serge Darolles, Christian Gouriéroux

Proceedings of the 4th IEEE International Workshop on Computational Advances in Multi-Sensor Adaptive Processing, 2011