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Gaelle Le Fol : Citation Profile


Are you Gaelle Le Fol?

Université Paris-Dauphine (Paris IX)

5

H index

2

i10 index

91

Citations

RESEARCH PRODUCTION:

8

Articles

41

Papers

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   20 years (1997 - 2017). See details.
   Cites by year: 4
   Journals where Gaelle Le Fol has often published
   Relations with other researchers
   Recent citing documents: 4.    Total self citations: 8 (8.08 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple522
   Updated: 2018-02-17    RAS profile: 2018-02-08    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

darolles, serge (13)

Authors registered in RePEc who have co-authored more than one work in the last five years with Gaelle Le Fol.

Is cited by:

Giot, Pierre (6)

Veredas, David (5)

Jasiak, Joann (4)

Grammig, Joachim (4)

Bauwens, Luc (4)

Dionne, Georges (2)

Hautsch, Nikolaus (2)

Shephard, Neil (2)

Liapis, Konstantinos (2)

Thalassinos, El (2)

Racicot, François-Éric (2)

Cites to:

Grossman, Sanford (12)

Engle, Robert (11)

darolles, serge (11)

Miller, Merton (10)

Trzcinka, Charles (7)

Andersen, Torben (7)

gourieroux, christian (7)

Lo, Andrew (7)

Trzcinka, Charles (7)

Campbell, John (6)

Tauchen, George (6)

Main data


Where Gaelle Le Fol has published?


Working Papers Series with more than one paper published# docs
Post-Print / HAL29
Working Papers / Center for Research in Economics and Statistics6
Working Papers / HAL2

Recent works citing Gaelle Le Fol (2018 and 2017)


YearTitle of citing document
2017Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2017). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

Full description at Econpapers || Download paper

2017Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models. (2017). Yang, Yaxing ; Ling, Shiqing. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:368-381.

Full description at Econpapers || Download paper

2017Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. (2017). Chen, Richard Y ; Mykland, Per A. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:79-103.

Full description at Econpapers || Download paper

2017Forecasting intraday volume: Comparison of two early models. (2017). Szűcs, Balázs Árpád ; Szcs, Balazs Arpad . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:249-258.

Full description at Econpapers || Download paper

Gaelle Le Fol has edited the books:


YearTitleTypeCited

Works by Gaelle Le Fol:


YearTitleTypeCited
2000Intraday Transaction Price Dynamics In: Annals of Economics and Statistics.
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article7
1999Intraday Transaction Price Dynamics.(1999) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 7
paper
2007Euro money market interest rates dynamics and volatility: How they respond to recent changes in the operational framework. In: Working papers.
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paper4
2010Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework.(2010) In: International Journal of Finance & Economics.
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This paper has another version. Agregated cites: 4
article
2010Liquidity problems in the FX liquid market: Ask for the BIL. In: Working papers.
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paper1
2010Liquidity Problems in the FX Liquid Market : Ask for the BIL .(2010) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2008Taking into account extreme events in European option pricing. In: Financial Stability Review.
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article1
2008Taking into account extreme events in European option pricing.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2008Taking into account extreme events in European option pricing.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2001Ajustement des prix bid et ask en présence dinformation privée In: Working Papers.
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paper5
2003Trading Volume and Arbitrage In: Working Papers.
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paper1
2014Trading volume and Arbitrage.(2014) In: Post-Print.
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This paper has another version. Agregated cites: 1
paper
2014Trading Volume and Arbitrage.(2014) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2014Trading volume and Arbitrage.(2014) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2005Decomposing Volume for VWAP Strategies In: Working Papers.
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paper0
1998Temps Aléatoire et Dynamique du Carnet d’ordres In: Working Papers.
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paper0
1998Matching Procedures and Market Characteristics In: Working Papers.
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paper0
2017Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows In: Journal of Econometrics.
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article0
2017Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows.(2017) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1999Intra-day market activity In: Journal of Financial Markets.
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article38
1999Intra-day market activity.(1999) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 38
paper
2008Improving VWAP strategies: A dynamic volume approach In: Journal of Banking & Finance.
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article19
2006Improving VWAP strategies: A dynamical volume approach.(2006) In: Documents de recherche.
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This paper has another version. Agregated cites: 19
paper
2008Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 19
paper
2015Financial Market Liquidity: Who Is Acting Strategically? In: THEMA Working Papers.
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paper0
2016Gauging Liquidity Risk in Emerging Market Bond Index Funds In: Post-Print.
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paper0
2016Intrinsic Liquidity in Conditional Volatility Models In: Post-Print.
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paper0
2015Measuring the Liquidity Part of Volume In: Post-Print.
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paper2
2014Liquidity risk and contagion for liquid funds In: Post-Print.
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paper0
2014Contagion in Emerging Markets In: Post-Print.
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paper0
2013Liquidity Contagion. The Emerging Sovereign Debt Markets example In: Post-Print.
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2012Liquidity Contagion. The Emerging Sovereign Debt Markets example.(2012) In: Post-Print.
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This paper has another version. Agregated cites: 0
paper
2012Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume In: Post-Print.
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paper0
2016Liquidité et risque de liquidité In: Post-Print.
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paper0
2009Returns and Volume: Between Information andLiquidity In: Post-Print.
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paper0
1998Effet des Modes de Négociation sur les Echanges In: Post-Print.
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paper4
1998Effet des modes de négociation sur les échanges.(1998) In: Revue Économique.
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This paper has another version. Agregated cites: 4
article
2004Nouvelles techniques de gestion et leur impact sur la volatilité In: Post-Print.
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paper1
2004Nouvelles techniques de gestion et leur impact sur la volatilité.(2004) In: Post-Print.
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This paper has another version. Agregated cites: 1
paper
2004Nouvelles techniques de gestion et leur impact sur la volatilité.(2004) In: Revue d'Économie Financière.
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This paper has another version. Agregated cites: 1
article
1998Time Deformation: Definition and Comparisons In: Post-Print.
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paper6
2009How Liquid are Markets? In: Post-Print.
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paper0
2010Euro money market interest rates dynamics and volatility In: Post-Print.
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paper0
2012MLiq a meta liquidity measure In: Post-Print.
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paper0
2013MLiq a meta liquidity measure.(2013) In: Post-Print.
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This paper has another version. Agregated cites: 0
paper
2012Liquidity contagion: A look at emerging markets In: Post-Print.
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paper1
1997Volatilités et mesures de risque In: Post-Print.
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paper0
2010When Market Illiquidity Generates Volumes In: Working Papers.
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paper1
2010Liquidity Problems in the FX Liquid Market In: Working Papers.
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paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 12 2018. Contact: CitEc Team