- FR
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serge.darolles@dauphine.psl.eu
Phone
: 01 44054784
Office
: P608
Serge Darolles is Professor of Finance at Université Paris-Dauphine where he teaches Financial Econometrics and Empirical Finance since 2012. Prior to joining Dauphine, he worked for Lyxor Asset Management between 2000 and 2012, where he developed mathematical models for various investment strategies. He also held consultant roles at Caisse des Dépôts & Consignations, Banque Paribas and the French Atomic Energy Agency. Serge specializes in financial econometrics and has written numerous articles, which have been published in academic journals. He is a member of the AMF Scientific Advisory Board. Serge holds a Ph.D. in Applied Mathematics from the University of Toulouse and a postgraduate degree from ENSAE, Paris.
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., 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. (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., Le Fol G., Mero G. (2015), Measuring the Liquidity Part of Volume, Journal of Banking and Finance, vol. 50, p. 92–105
Darolles S., Gourieroux C. (2015), Performance fees and hedge fund return dynamics, International Journal of Approximate Reasoning, vol. 65, p. 45–58
Darolles S. (2014), Evaluating UCITS Compliant Hedge Fund Performance, Bankers, markets, investors, n°133, p. 11-22
Le Fol G., Darolles S. (2014), Trading volume and Arbitrage, GSTF Journal on Business Review, vol. 3, n°3, p. 30-39
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
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
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., 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., 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., 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., 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
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.
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., Gouriéroux C., Teiletche J. (2015), The Dynamics of Hedge Fund Performance, in Suriya, Komsan, Econometrics of Risk, Heidelberg: Springer, p. X-498
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), Factor Selection, in Jay, Emmanuelle, Multi-factor models and signal processing techniques: application to quantitative finance, London ; Hoboken, NJ: Wiley-ISTE, p. 23–58
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., 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.
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
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
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., 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., Dudek J., Le Fol G. (2013), Liquidity Contagion. The Emerging Sovereign Debt Markets example, 30th International French Finance Association Conference, Lyon, 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. (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., 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
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., 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 Finance Seminar Faculté des sciences de l'administration (FSA ULaval), Laval
Darolles S., Roussellet G. (2017), Managing hedge fund liquidity risks, in Mc Gill University, Finance Seminar, Montreal
Darolles S., Roussellet G. (2016), Managing hedge fund liquidity risks, in EHL (Ecole hôtelière de Lausanne) Finance Seminar, Lausanne
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.
Darolles, S., Gouriéroux, C., (2015), Performance fees and hedge fund return dynamics , International Journal of Approximate Reasoning, Volume 65, October 2015, Pages 45Â58
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
