Gaelle Le Fol : Citation Profile


Are you Gaelle Le Fol?

Université Paris-Dauphine (Paris IX)

5

H index

2

i10 index

89

Citations

RESEARCH PRODUCTION:

7

Articles

30

Papers

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   18 years (1997 - 2015). See details.
   Cites by year: 4
   Journals where Gaelle Le Fol has often published
   Relations with other researchers
   Recent citing documents: 11.    Total self citations: 5 (5.32 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple522
   Updated: 2017-07-15    RAS profile: 2016-07-05    
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Relations with other researchers


Works with:

darolles, serge (5)

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)

Bauwens, Luc (4)

Hautsch, Nikolaus (4)

Grammig, Joachim (4)

Duchesne, Pierre (2)

Fernandes, Marcelo (2)

Gallo, Giampiero (2)

darolles, serge (2)

Thalassinos, El (2)

Cites to:

Grossman, Sanford (12)

Miller, Merton (10)

Engle, Robert (8)

Campbell, John (6)

Andersen, Torben (6)

gourieroux, christian (6)

Viswanathan, S (5)

Foster, Frederick (5)

Tauchen, George (5)

darolles, serge (5)

Lo, Andrew (5)

Main data


Where Gaelle Le Fol has published?


Working Papers Series with more than one paper published# docs
Post-Print / HAL17
Working Papers / Centre de Recherche en Economie et Statistique6
Working Papers / HAL2

Recent works citing Gaelle Le Fol (2017 and 2016)


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.

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2016Monetary policy and volatility in the sterling money market. (2016). Osborne, Matthew. In: Bank of England working papers. RePEc:boe:boeewp:0588.

Full description at Econpapers || Download paper

2016Spline-DCS for Forecasting Trade Volume in High-Frequency Finance. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1606.

Full description at Econpapers || Download paper

2016Efficient estimation of integrated volatility incorporating trading information. (2016). Li, Yingying ; Zheng, Xinghua ; Xie, Shangyu . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:33-50.

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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.

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

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2016Excess liquidity and the money market in the euro area. (2016). Beaupain, Renaud ; Durre, Alain . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:47:y:2016:i:pa:p:33-44.

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2016Algorithmic and High-Frequency Trading Strategies: A Literature Review. (2016). Mandes, Alexandru . In: MAGKS Papers on Economics. RePEc:mar:magkse:201625.

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2016PERFORMANCE OF AMERICAN AND RUSSIAN JOINT STOCK COMPANIES ON FINANCIAL MARKET. A MICROSTRUCTURE PERSPECTIVE. (2016). Shachmurove, Yochanan ; Osinska, Magdalena ; Dobrzynski, Andrzej . In: Equilibrium. Quarterly Journal of Economics and Economic Policy. RePEc:pes:ierequ:v:11:y:2016:i:4:p:819-851.

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2016Intrinsically weighted means and non-ergodic marked point processes. (2016). Zhang, Zhengjun ; Malinowski, Alexander ; Schlather, Martin . In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:68:y:2016:i:1:d:10.1007_s10463-014-0485-6.

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2016Intrinsically weighted means and non-ergodic marked point processes. (2016). Zhang, Zhengjun ; Schlather, Martin ; Malinowski, Alexander . In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:68:y:2016:i:1:p:1-24.

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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.
[Full Text][Citation analysis]
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
1997Modes de négociation et caractéristiques de marché In: CEPREMAP Working Papers (Couverture Orange).
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paper0
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.
[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
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
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
2004Nouvelles techniques de gestion et leur impact sur la volatilité In: Post-Print.
[Citation analysis]
paper1
2004Nouvelles techniques de gestion et leur impact sur la volatilité.(2004) In: Post-Print.
[Citation analysis]
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
1998Time Deformation: Definition and Comparisons In: Post-Print.
[Citation analysis]
paper6
2009How Liquid are Markets? In: Post-Print.
[Citation analysis]
paper0
2010Euro money market interest rates dynamics and volatility In: Post-Print.
[Citation analysis]
paper0
2012MLiq a meta liquidity measure In: Post-Print.
[Citation analysis]
paper0
2013MLiq a meta liquidity measure.(2013) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
2012Liquidity contagion: A look at emerging markets In: Post-Print.
[Citation analysis]
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.
[Full Text][Citation analysis]
paper0

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