Serge Darolles - researchr alias

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Viewing Publication 1 - 7 from 7

2019

Bivariate integer-autoregressive process with an application to mutual fund flowsSerge Darolles, Gaëlle Le Fol, Yang Lu, Ran Sun. ma, 173:181-203, 2019. [doi]

2015

The Dynamics of Hedge Fund PerformanceSerge Darolles, Christian Gouriéroux, Jérome Teiletche. In Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta, Komsan Suriya, editors, Econometrics of Risk. Volume 583 of Studies in Computational Intelligence, pages 85-113, Springer, 2015. [doi]

Performance fees and hedge fund return dynamicsSerge Darolles, Christian Gouriéroux. ijar, 65:45-58, 2015. [doi]

2014

The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The HighWater Mark SchemeSerge Darolles, Christian Gouriéroux. tes2 2014: 23-45 [doi]

The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward SchemeSerge Darolles, Christian Gouriéroux. tes2 2014: 47-62 [doi]

2011

Multifactor ModelsEmmanuelle Jay, Patrick Duvaut, Serge Darolles, Arnaud Chrétien. spm, 28(5):37-48, 2011. [doi]

q-regularization of the Kalman Filter for exogenous outlier removal: Application to hedge funds analysisEmmanuelle Jay, Patrick Duvaut, Serge Darolles, Christian Gouriéroux. camsap 2011: 29-32 [doi]

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