Gaelle Le Fol : Citation Profile


Are you Gaelle Le Fol?

Université Paris-Dauphine (Paris IX)

6

H index

2

i10 index

132

Citations

RESEARCH PRODUCTION:

8

Articles

42

Papers

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   20 years (1997 - 2017). See details.
   Cites by year: 6
   Journals where Gaelle Le Fol has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 10 (7.04 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple522
   Updated: 2020-02-08    RAS profile: 2019-06-11    
   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)

Jasiak, Joann (5)

Veredas, David (5)

Uctum, Remzi (5)

Hautsch, Nikolaus (4)

Grammig, Joachim (4)

Bauwens, Luc (4)

gourieroux, christian (3)

Ranaldo, Angelo (3)

Racicot, François-Éric (3)

Prat, Georges (3)

Cites to:

Engle, Robert (13)

darolles, serge (12)

Grossman, Sanford (12)

Miller, Merton (10)

Lo, Andrew (10)

Tauchen, George (9)

gourieroux, christian (9)

Trzcinka, Charles (9)

Trzcinka, Charles (9)

Bollerslev, Tim (8)

Campbell, John (8)

Main data


Where Gaelle Le Fol has published?


Working Papers Series with more than one paper published# docs
Post-Print / HAL30
Working Papers / Center for Research in Economics and Statistics6
Working Papers / HAL2

Recent works citing Gaelle Le Fol (2019 and 2018)


YearTitle of citing document
2018Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

Full description at Econpapers || Download paper

2018Endogeneous Dynamics of Intraday Liquidity. (2018). Lehalle, Charles-Albert ; Bi, Mikolaj . In: Papers. RePEc:arx:papers:1811.03766.

Full description at Econpapers || Download paper

2017Monetary Policy Implementation and Volatility Transmission Along the Yield Curve: The Case of Kenya. (2017). Alper, C. Emre ; Yang, Fan ; Morales, Armando R. In: South African Journal of Economics. RePEc:bla:sajeco:v:85:y:2017:i:3:p:455-478.

Full description at Econpapers || Download paper

2019Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems. (2019). Dubois, Florent ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-15.

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

2019Liquidity, surprise volume and return premia in the oil market. (2019). Wagner, Niklasf ; Szilagyi, Peter G ; Kinateder, Harald ; Batten, Jonathan A. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:93-104.

Full description at Econpapers || Download paper

2019A systematic review of sovereign connectedness on emerging economies. (2019). Gonzalez-Urteaga, Ana ; Diaz-Mendoza, Ana Carmen ; Ballester, Laura. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:157-163.

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

2018Equivalent volume and comovement. (2018). Staer, Arsenio ; Sottile, Pedro . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:143-157.

Full description at Econpapers || Download paper

2018Limit theorems for Markovian Hawkes processes with a large initial intensity. (2018). Gao, Xuefeng ; Zhu, Lingjiong. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:11:p:3807-3839.

Full description at Econpapers || Download paper

2017Price Discovery and Volatility:A theoretical Approach. (2017). Muchochoma, Drayton ; Mpofu, Olipha ; Kambeu, Edson. In: International Journal of Finance & Banking Studies. RePEc:rbs:ijfbss:v:6:y:2017:i:2:p:37-43.

Full description at Econpapers || Download paper

2017Modelling the relationship between future energy intraday volatility and trading volume with wavelet. (2017). Ftiti, Zied ; JAWADI, Fredj ; Louhichi, Wal. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:20:p:1981-1993.

Full description at Econpapers || Download paper

2019Trading Volume, Illiquidity and Commonalities in FX Markets. (2018). Santucci de Magistris, Paolo ; Ranaldo, Angelo. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:23.

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.
[Full Text][Citation analysis]
article6
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
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 another version. Agregated cites: 5
article
2010Liquidity problems in the FX liquid market: Ask for the BIL. In: Working papers.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
article1
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]
paper2
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]
article3
1999Intra-day market activity In: Journal of Financial Markets.
[Full Text][Citation analysis]
article44
2008Improving VWAP strategies: A dynamic volume approach In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article21
2006Improving VWAP strategies: A dynamical volume approach.(2006) In: Documents de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
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
2017Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows In: Post-Print.
[Citation analysis]
paper3
2015Measuring the Liquidity Part of Volume In: Post-Print.
[Citation analysis]
paper3
2014Liquidity risk and contagion for liquid funds In: Post-Print.
[Full Text][Citation analysis]
paper0
2014Contagion in Emerging Markets In: Post-Print.
[Citation analysis]
paper0
2013Liquidity Contagion. The Emerging Sovereign Debt Markets example In: Post-Print.
[Full Text][Citation analysis]
paper1
2012Liquidity Contagion. The Emerging Sovereign Debt Markets example In: Post-Print.
[Full Text][Citation analysis]
paper0
2012Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume In: Post-Print.
[Full Text][Citation analysis]
paper0
2014Trading volume and Arbitrage In: Post-Print.
[Full Text][Citation analysis]
paper0
2014Trading Volume and Arbitrage In: Post-Print.
[Citation analysis]
paper0
2016Liquidité et risque de liquidité In: Post-Print.
[Citation analysis]
paper0
2019Bivariate integer-autoregressive process with an application to mutual fund flows In: Post-Print.
[Citation analysis]
paper0
2009Returns and Volume: Between Information andLiquidity In: Post-Print.
[Citation analysis]
paper0
1999Intra-day market activity In: Post-Print.
[Citation analysis]
paper8
1999Intraday Transaction Price Dynamics In: Post-Print.
[Citation analysis]
paper3
1998Effet des Modes de Négociation sur les Echanges In: Post-Print.
[Citation analysis]
paper2
2004Nouvelles techniques de gestion et leur impact sur la volatilité In: Post-Print.
[Citation analysis]
paper0
1998Time Deformation: Definition and Comparisons In: Post-Print.
[Citation analysis]
paper6
2009How Liquid are Markets? In: Post-Print.
[Citation analysis]
paper0
2008Taking into account extreme events in European option pricing In: Post-Print.
[Citation analysis]
paper0
2008Improving VWAP strategies: A dynamic volume approach In: Post-Print.
[Citation analysis]
paper9
2010Euro money market interest rates dynamics and volatility In: Post-Print.
[Citation analysis]
paper0
2008Taking into account extreme events in European option pricing In: Post-Print.
[Citation analysis]
paper1
2004Nouvelles techniques de gestion et leur impact sur la volatilité In: Post-Print.
[Citation analysis]
paper0
2012MLiq a meta liquidity measure In: Post-Print.
[Citation analysis]
paper0
2013MLiq a meta liquidity measure In: Post-Print.
[Citation analysis]
paper0
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
2014Trading volume and Arbitrage In: Post-Print.
[Citation analysis]
paper0
2010When Market Illiquidity Generates Volumes In: Working Papers.
[Full Text][Citation analysis]
paper1
2010Liquidity Problems in the FX Liquid Market In: Working Papers.
[Full Text][Citation analysis]
paper0
2004Nouvelles techniques de gestion et leur impact sur la volatilité In: Revue d'Économie Financière.
[Full Text][Citation analysis]
article1
1998Effet des modes de négociation sur les échanges In: Revue Économique.
[Full Text][Citation analysis]
article5

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated February, 4 2020. Contact: CitEc Team