Gaelle Le Fol : Citation Profile


Are you Gaelle Le Fol?

Université Paris-Dauphine (Paris IX)

6

H index

6

i10 index

176

Citations

RESEARCH PRODUCTION:

9

Articles

48

Papers

1

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   25 years (1997 - 2022). See details.
   Cites by year: 7
   Journals where Gaelle Le Fol has often published
   Relations with other researchers
   Recent citing documents: 10.    Total self citations: 10 (5.38 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple522
   Updated: 2024-01-16    RAS profile: 2023-12-06    
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Relations with other researchers


Works with:

darolles, serge (3)

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)

Hautsch, Nikolaus (5)

Veredas, David (5)

Jasiak, Joann (4)

Grammig, Joachim (4)

Bauwens, Luc (4)

Santucci de Magistris, Paolo (4)

darolles, serge (4)

Ranaldo, Angelo (4)

Uctum, Remzi (3)

Prat, Georges (3)

Cites to:

darolles, serge (17)

Engle, Robert (12)

gourieroux, christian (11)

Jasiak, Joann (10)

Grossman, Sanford (10)

Tauchen, George (8)

Lo, Andrew (8)

Trzcinka, Charles (7)

Bollerslev, Tim (7)

Trzcinka, Charles (7)

Campbell, John (6)

Main data


Where Gaelle Le Fol has published?


Working Papers Series with more than one paper published# docs
Post-Print / HAL34
Working Papers / Center for Research in Economics and Statistics6
Working Papers / HAL3

Recent works citing Gaelle Le Fol (2024 and 2023)


YearTitle of citing document
2023An Adaptive Dual-level Reinforcement Learning Approach for Optimal Trade Execution. (2023). Hong, Youngjoon ; Sul, Hong Kee ; Kim, Jimyeong. In: Papers. RePEc:arx:papers:2307.10649.

Full description at Econpapers || Download paper

2023Assessing the liquidity premium in the Italian bond market. (2023). Venturi, Giulio Carlo ; Drudi, Maria Ludovica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_795_23.

Full description at Econpapers || Download paper

2023The role of the U.S. exchange?rate equity market volatility on agricultural exports and forecasts. (2023). Nganje, William ; Addey, Kwame Asiam. In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie. RePEc:bla:canjag:v:71:y:2023:i:1:p:25-47.

Full description at Econpapers || Download paper

2023Flexible bivariate INGARCH process with a broad range of contemporaneous correlation. (2023). Ombao, Hernando ; Barretosouza, Wagner. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:206-222.

Full description at Econpapers || Download paper

2023Modeling and inference for multivariate time series of counts based on the INGARCH scheme. (2023). Kim, Byungsoo ; Lee, Sangyeol. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:177:y:2023:i:c:s0167947322001591.

Full description at Econpapers || Download paper

2023Microstructure and high-frequency price discovery in the soybean complex. (2023). Debie, Philippe ; Gohin, Alexandre ; Bagnarosa, Guillaume ; Zhou, Xinquan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000041.

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2023The impact of bank loan announcements on stock liquidity. (2023). Pham, Thu Phuong ; Vu, Van Hoang ; Singh, Harminder. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:848-864.

Full description at Econpapers || Download paper

2023The Effects of Volatility on Liquidity in the Treasury Market. (2023). Sokolinskiy, Oleg ; Meldrum, Andrew C. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-28.

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2023The impact of bank loan announcements on stock liquidity. (2023). Vu, Van Hoang ; Singh, Harminder ; Pham, Thu Phuong. In: MPRA Paper. RePEc:pra:mprapa:116398.

Full description at Econpapers || Download paper

2023On bivariate threshold Poisson integer-valued autoregressive processes. (2023). Wang, Dehui ; Li, Han ; Zhao, Yiwei ; Yang, Kai. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:8:d:10.1007_s00184-023-00899-0.

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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article10
1999Intraday Transaction Price Dynamics.(1999) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 10
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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paper5
2009Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework.(2009) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 5
paper
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5
article
2010Liquidity problems in the FX liquid market: Ask for the BIL. In: Working papers.
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paper2
2010Liquidity Problems in the FX Liquid Market : Ask for the BIL .(2010) In: Working Papers.
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This paper has nother version. Agregated cites: 2
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 nother version. Agregated cites: 1
paper
2022Timing the Size Risk Premia In: Finance.
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article0
2022Timing the Size Risk Premia.(2022) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 0
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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paper5
2014Trading volume and Arbitrage.(2014) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5
paper
2014Trading Volume and Arbitrage.(2014) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 5
paper
2014Trading volume and Arbitrage.(2014) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 5
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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article16
2017Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 16
paper
1999Intra-day market activity In: Journal of Financial Markets.
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article55
1999Intra-day market activity.(1999) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 55
paper
2008Improving VWAP strategies: A dynamic volume approach In: Journal of Banking & Finance.
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article37
2006Improving VWAP strategies: A dynamical volume approach.(2006) In: Documents de recherche.
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This paper has nother version. Agregated cites: 37
paper
2008Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 37
paper
2008Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 37
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.
[Citation analysis]
paper0
2016Intrinsic Liquidity in Conditional Volatility Models In: Post-Print.
[Citation analysis]
paper0
2015Measuring the Liquidity Part of Volume In: Post-Print.
[Citation analysis]
paper14
2015Measuring the Liquidity Part of Volume.(2015) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 14
paper
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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paper1
2015Contagion in Emerging Markets.(2015) In: Palgrave Macmillan Books.
[Citation analysis]
This paper has nother version. Agregated cites: 1
chapter
2013Liquidity Contagion. The Emerging Sovereign Debt Markets example In: Post-Print.
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paper1
2012Liquidity Contagion. The Emerging Sovereign Debt Markets example.(2012) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1
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.
[Citation analysis]
paper0
2017Big Data : Quelle révolution pour les marchés financiers et la gestion de portefeuille In: Post-Print.
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paper0
2019Le retour de la volatilité: asphyxie ou nouveau souffle ? In: Post-Print.
[Citation analysis]
paper0
2009Returns and Volume: Between Information andLiquidity In: Post-Print.
[Citation analysis]
paper0
1998Effet des Modes de Négociation sur les Echanges In: Post-Print.
[Citation analysis]
paper6
1998Effet des modes de négociation sur les échanges.(1998) In: Revue Économique.
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This paper has nother version. Agregated cites: 6
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: Revue d'Économie Financière.
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This paper has nother version. Agregated cites: 1
article
1998Time Deformation: Definition and Comparisons In: Post-Print.
[Citation analysis]
paper10
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 nother 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
2019Bivariate integer-autoregressive process with an application to mutual fund flows In: Post-Print.
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paper4
2021A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk In: Working Papers.
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paper0
2021Forecasting Intra-daily Liquidity in Large Panels In: Working Papers.
[Citation analysis]
paper0
2010Liquidity Problems in the FX Liquid Market In: Working Papers.
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paper2

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