Serge Darolles


  • Paris Dauphine-PSL University
  • DRM (Dauphine Recherches en Management)


  • Asset Pricing
  • Hedge Funds
  • Liquidité


  • 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


  • 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


CNRS Dauphine INSP Mines Nicod

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