Gaelle Le Fol : Citation Profile

Université Paris-Dauphine (Paris IX)

6

H index

6

i10 index

186

Citations

RESEARCH PRODUCTION:

9

Articles

56

Papers

1

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   27 years (1997 - 2024). See details.
   Cites by year: 6
   Journals where Gaelle Le Fol has often published
   Relations with other researchers
   Recent citing documents: 20.    Total self citations: 10 (5.1 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple522
   Updated: 2025-01-10    RAS profile: 2024-07-07    
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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)

Veredas, David (5)

Hautsch, Nikolaus (5)

Ranaldo, Angelo (4)

Bauwens, Luc (4)

Grammig, Joachim (4)

darolles, serge (4)

Jasiak, Joann (4)

Santucci de Magistris, Paolo (4)

CAPELLE-BLANCARD, Gunther (3)

Uctum, Remzi (3)

Cites to:

darolles, serge (16)

Grossman, Sanford (13)

Engle, Robert (12)

gourieroux, christian (9)

Lo, Andrew (8)

Tauchen, George (8)

Trzcinka, Charles (7)

Bollerslev, Tim (7)

Trzcinka, Charles (7)

Jasiak, Joann (7)

Campbell, John (6)

Main data

Production by document typearticlepaperchapter199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202402.557.5Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published19971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240255075Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received1999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202405101520Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year1998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240255075Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 6Most cited documents123456780255075Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250102.557.5h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Gaelle Le Fol has published?

Working Papers Series with more than one paper published# docs
Post-Print / HAL42
Working Papers / Center for Research in Economics and Statistics6
Working Papers / HAL3

Recent works citing Gaelle Le Fol (2024 and 2023)

Year  ↓Title of citing document  ↓
2023Real-time Trading System based on Selections of Potentially Profitable, Uncorrelated, and Balanced Stocks by NP-hard Combinatorial Optimization. (2023). Yamasaki, Masaya ; Kashimata, Tomoya ; Nakayama, Jun ; Hidaka, Ryo ; Tatsumura, Kosuke. In: Papers. RePEc:arx:papers:2307.06339.

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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.

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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.

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2023Arbitrage across different Bitcoin exchange venues: Perspectives from investor base and market related events. (2023). Cheng, Feiyang ; Shu, AO ; Pan, Zheyao ; Liang, Zini ; Han, Jianlei. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:5:p:5183-5210.

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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.

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2023Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test. (2023). Jo, Minyoung ; Lee, Sangyeol. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:5-6:p:644-666.

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2023The predictive distributions of thinning?based count processes. (2021). Lu, Yang. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:1:p:42-67.

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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.

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2024Internet stock message boards and the price–volume relationship: Registered users vs non-registered users. (2024). Shen, Dehua ; Zhang, Zuochao. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000941.

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2024Not all the news fitting to reprint: Evidence from price-volume relationship. (2024). Shen, Dehua ; Zhang, Zuochao. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001582.

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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 Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas. (2023). Abedin, Mohammad Zoynul ; Sharif, Taimur ; Bouteska, Ahmed ; Chen, Shengming. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723005032.

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2024Managing portfolio risk during crisis times: A dynamic conditional correlation perspective. (2024). Dufour, Alfonso ; Zhang, Hanyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251.

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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.

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2024Asymmetric effect of trading volume on realized volatility. (2024). Maki, Daiki. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003800.

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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.

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2023Nexus between Twitter-based sentiment and tourism sector performance amid COVID-19 pandemic. (2023). Bashir, Hajam Abid ; Kumar, Dilip ; Shiljas, K. In: Tourism Economics. RePEc:sae:toueco:v:29:y:2023:i:8:p:2200-2205.

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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.

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Gaelle Le Fol has edited the books:

Year  ↓Title  ↓Type  ↓Cited  ↓

Works by Gaelle Le Fol:

Year  ↓Title  ↓Type  ↓Cited  ↓
2000Intraday Transaction Price Dynamics In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper2
2010Liquidity Problems in the FX Liquid Market : Ask for the BIL .(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2008Taking into account extreme events in European option pricing. In: Financial Stability Review.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article0
2022Timing the Size Risk Premia.(2022) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2019Timing the size risk premium.(2019) 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).
[Full Text][Citation analysis]		paper0
2001Ajustement des prix bid et ask en présence dinformation privée In: Working Papers.
[Full Text][Citation analysis]		paper5
2003Trading Volume and Arbitrage In: Working Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper0
1998Temps Aléatoire et Dynamique du Carnet d’ordres In: Working Papers.
[Full Text][Citation analysis]		paper0
1998Matching Procedures and Market Characteristics In: Working Papers.
[Full Text][Citation analysis]		paper0
2017Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows In: Journal of Econometrics.
[Full Text][Citation analysis]		article22
2017Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2014Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows.(2014) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2016Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows.(2016) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 22		paper
1999Intra-day market activity In: Journal of Financial Markets.
[Full Text][Citation analysis]		article56
1999Intra-day market activity.(1999) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 56		paper
2008Improving VWAP strategies: A dynamic volume approach In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article38
2006Improving VWAP strategies: A dynamical volume approach.(2006) In: Documents de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2008Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2008Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2015Financial Market Liquidity: Who Is Acting Strategically? In: THEMA Working Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper0
2014Contagion in Emerging Markets In: Post-Print.
[Citation analysis]		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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper0
2019Le retour de la volatilité: asphyxie ou nouveau souffle ? In: Post-Print.
[Citation analysis]		paper0
2023Who can better push firms to go green? A look at ESG effects on stock returns In: Post-Print.
[Full Text][Citation analysis]		paper0
2022Forecasting intra-daily volume in large panels of assets In: Post-Print.
[Citation analysis]		paper0
2019Bivariate integer-autoregressive process with an application to mutual fund flows In: Post-Print.
[Citation analysis]		paper6
2018Bivariate integer-autoregressive process with an application to mutual fund flows.(2018) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2019Bivariate integer-autoregressive process with an application to mutual fund flows.(2019) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2024Understanding the effect of ESG scores on stock returns using mediation theory In: Post-Print.
[Full Text][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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]		paper0
2021A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk In: Working Papers.
[Citation analysis]		paper0
2021Forecasting Intra-daily Liquidity in Large Panels In: Working Papers.
[Citation analysis]		paper0
2010Liquidity Problems in the FX Liquid Market In: Working Papers.
[Full Text][Citation analysis]		paper2

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