Similar Search Results

Trends everywhere? : the case of hedge fund styles

Chevalier, Charles; Darolles, Serge - In: The journal of asset management 20 (2019) 6, pp. 442-468

Persistent link: https://www.econbiz.de/10012125380

Asymptotics of Cholesky GARCH models and time-varying conditional betas

Darolles, Serge; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 204 (2018) 2, pp. 223-247

Persistent link: https://www.econbiz.de/10011974730

Approximating payoffs and pricing formulas

Darolles, Serge; Laurent, Jean-Paul - In: Journal of Economic Dynamics and Control 24 (2000) 11-12, pp. 1721-1746

Persistent link: https://www.econbiz.de/10005205190

Improving VWAP strategies: A dynamic volume approach

Bialkowski, Jedrzej; Darolles, Serge; Le Fol, Gaëlle - In: Journal of Banking & Finance 32 (2008) 9, pp. 1709-1722

Persistent link: https://www.econbiz.de/10005213039

Nonparametric Estimation of a Diffusion Equation from Tick Observations

Burgayran, E,; Darolles, Serge - Centre de Recherche en Économie et Statistique … - 1997

Persistent link: https://www.econbiz.de/10005350600

Approximating Payoffs and Approximating Pricing Formulas

Darolles, Serge; Laurent, Jean-Paul - Centre de Recherche en Économie et Statistique … - 1997

Persistent link: https://www.econbiz.de/10005350652

Compound Autoregressive Models

Darolles, Serge; Gourieroux, Christian; Jasiak, Joanna - Centre de Recherche en Économie et Statistique … - 2001

Persistent link: https://www.econbiz.de/10005350683

Decomposing Volume for VWAP Strategies

Bialkowski, Jedrzej; Darolles, Serge; Le Fol, Gaëlle - Centre de Recherche en Économie et Statistique … - 2005

In this paper, we present a new methodology for modeling intraday volume which allows fora significant reduction in the Volume Weighted Average Price (VWAP) on orders risk. Theresults are obtained for the all stocks included in the CAC40 index at the beginning ofSeptember 2004. The idea of...

Persistent link: https://www.econbiz.de/10005350693

Structural Laplace Transform and Compound Autoregressive Models

Darolles, Serge; Gourieroux, Christian; Jasiak, Joann - In: Journal of Time Series Analysis 27 (2006) 4, pp. 477-503

This paper presents a new general class of compound autoregressive (Car) models for non-Gaussian time series. The distinctive feature of the class is that Car models are specified by means of the conditional Laplace transforms. This approach allows for simple derivation of the ergodicity...

Persistent link: https://www.econbiz.de/10005260661

Improving VWAP strategies: A dynamical volume approach

Białkowski, Jedrzej; Darolles, Serge; Fol, Gaëlle Le - Centre d'Études des Politiques Économiques (EPEE), … - 2006

In this paper, we present a new methodology for modeling intraday volume which allows for a reduction of the execution risk in VWAP (Volume Weighted Average Price) orders. The results are obtained for the all stocks included in the CAC40 index at the beginning of September 2004. The idea of...

Persistent link: https://www.econbiz.de/10010641698