Serge Darolles

MAIN RESEARCH AREAS:

RESEARCH PROJECTS/INITIATIVES:

Founding Member, Research Initiative “Quantitative Management Initiative (QMI),” Institut Louis Bachelier, 2011-
Scientific Director, Research Initiative “Private Equity and Venture Capital”, Institut Louis Bachelier, 2015-2020
Research Grant from the Consulate General of France in Hong Kong (CGF) and the Research Grants Council (RGC), in sponsorship of the “Advances in Risk Premia and Quantitative Investing Workshop”, 124 000 HK$ (with JayCao), 2020
Research Grant from ANR for “Econometric Methods for the Modeling of Multiple Risks (ANR-16-CE26-0015),” 281 800 Euros (with C. Francq, C. Hurlin, G. Le Fol and J.M. Zakoïan), 2016-2020

SELECTED PUBLICATIONS:

Darolles, S., Francq, C. and S. Laurent (2018). “Asymptotics of Cholesky GARCH models and time-varying conditional betas”, Journal of Econometrics 204, 2018, 223-247
Darolles, S., Le Fol, G. and G. Mero (2017). “Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows”, Journal of Econometrics 201, 2017, 367-383
Darolles, S., G. Le Fol and G. Mero, (2015). “Measuring the liquidity part of volume,” Journal of Banking and Finance, n° 50, 2015, 92-105
Darolles, S. and M. Vaissié, (2012). “The alpha and omega of fund of hedge fund added value,” Journal of Banking and Finance, n°36, 1067-1078
Darolles, S., Fan, Y., Florens, J.P. and E. Renault (2011). “Nonparametric instrumental regression”, Econometrica, n°79, 1541-1565