Details about Gaelle Le Fol

Access statistics for papers by Gaelle Le Fol.

Last updated 2024-07-07. Update your information in the RePEc Author Service.

Short-id: ple522

Working Papers

2024

1. Understanding the effect of ESG scores on stock returns using mediation theory
   Post-Print, HAL
   Also in Post-Print, HAL (2024)

2023

2. Who can better push firms to go "green"? A look at ESG effects on stock returns
   Post-Print, HAL

2022

3. Forecasting intra-daily volume in large panels of assets
   Post-Print, HAL
4. Timing the Size Risk Premia
   Post-Print, HAL
   Also in Post-Print, HAL (2019)
   See also Journal Article Timing the Size Risk Premia, Finance, Presses universitaires de Grenoble (2022) (2022)

2021

5. A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk
   Working Papers, HAL
6. Forecasting Intra-daily Liquidity in Large Panels
   Working Papers, HAL

2019

7. Bivariate integer-autoregressive process with an application to mutual fund flows
   Post-Print, HAL View citations (2)
   Also in Post-Print, HAL (2018)
   Post-Print, HAL (2019) View citations (6)
8. Le retour de la volatilité: asphyxie ou nouveau souffle ?
   Post-Print, HAL

2017

9. Big Data: Quelle révolution pour les marchés financiers et la gestion de portefeuille
   Post-Print, HAL
10. Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows
    Post-Print, HAL View citations (22)
    Also in Post-Print, HAL (2016)
    Post-Print, HAL (2014)
    See also Journal Article Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows, Journal of Econometrics, Elsevier (2017) View citations (20) (2017)

2016

11. Gauging Liquidity Risk in Emerging Market Bond Index Funds
    Post-Print, HAL
    See also Journal Article Gauging Liquidity Risk in Emerging Market Bond Index Funds, Annals of Economics and Statistics, GENES (2016) (2016)
12. Intrinsic Liquidity in Conditional Volatility Models
    Post-Print, HAL
    See also Journal Article Intrinsic Liquidity in Conditional Volatility Models, Annals of Economics and Statistics, GENES (2016) (2016)
13. Liquidité et risque de liquidité
    Post-Print, HAL

2015

14. Financial Market Liquidity: Who Is Acting Strategically?
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
15. Measuring the Liquidity Part of Volume
    Post-Print, HAL View citations (16)
    Also in Post-Print, HAL (2015) View citations (16)

2014

16. Contagion in Emerging Markets
    Post-Print, HAL
    See also Chapter Contagion in Emerging Markets, Palgrave Macmillan Books, Palgrave Macmillan (2015) View citations (1) (2015)
17. Liquidity risk and contagion for liquid funds
    Post-Print, HAL
18. Trading Volume and Arbitrage
    Post-Print, HAL View citations (3)
    Also in Post-Print, HAL (2014) View citations (3)
    Post-Print, HAL (2014) View citations (3)
    Working Papers, Center for Research in Economics and Statistics (2003) View citations (7)

2013

19. Liquidity Contagion. The Emerging Sovereign Debt Markets example
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2012)
20. MLiq a meta liquidity measure
    Post-Print, HAL
    Also in Post-Print, HAL (2012)

2012

21. Liquidity contagion: A look at emerging markets
    Post-Print, HAL View citations (1)
22. Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume
    Post-Print, HAL

2010

23. Euro money market interest rates dynamics and volatility
    Post-Print, HAL
24. Liquidity Problems in the FX Liquid Market
    Working Papers, HAL View citations (2)
25. Liquidity Problems in the FX Liquid Market: Ask for the BIL" "
    Working Papers, Center for Research in Economics and Statistics View citations (2)
    Also in Working papers, Banque de France (2010) View citations (2)

2009

26. Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework
    Post-Print, HAL View citations (1)
    Also in Working papers, Banque de France (2007) View citations (1)
    See also Journal Article Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2010) View citations (4) (2010)
27. How Liquid are Markets?
    Post-Print, HAL View citations (2)
28. Returns and Volume: Between Information andLiquidity
    Post-Print, HAL

2008

29. Improving VWAP strategies: A dynamic volume approach
    Post-Print, HAL View citations (35)
    Also in Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne (2006) View citations (1)
    Post-Print, HAL (2008) View citations (38)
    See also Journal Article Improving VWAP strategies: A dynamic volume approach, Journal of Banking & Finance, Elsevier (2008) View citations (39) (2008)
30. Taking into account extreme events in European option pricing
    Post-Print, HAL
    See also Journal Article Taking into account extreme events in European option pricing, Financial Stability Review, Banque de France (2008) View citations (1) (2008)

2005

31. Decomposing Volume for VWAP Strategies
    Working Papers, Center for Research in Economics and Statistics

2004

32. Nouvelles techniques de gestion et leur impact sur la volatilité
    Post-Print, HAL
    See also Journal Article Nouvelles techniques de gestion et leur impact sur la volatilité, Revue d'Économie Financière, Programme National Persée (2004) View citations (1) (2004)

2001

33. Ajustement des prix bid et ask en présence d'information privée
    Working Papers, Center for Research in Economics and Statistics View citations (5)

1999

34. Intra-day market activity
    Post-Print, HAL View citations (31)
    See also Journal Article Intra-day market activity, Journal of Financial Markets, Elsevier (1999) View citations (59) (1999)
35. Intraday Transaction Price Dynamics
    Post-Print, HAL View citations (2)
    See also Journal Article Intraday Transaction Price Dynamics, Annals of Economics and Statistics, GENES (2000) View citations (10) (2000)

1998

36. Effet des Modes de Négociation sur les Echanges
    Post-Print, HAL View citations (3)
    See also Journal Article Effet des modes de négociation sur les échanges, Revue Économique, Programme National Persée (1998) View citations (6) (1998)
37. Matching Procedures and Market Characteristics
    Working Papers, Center for Research in Economics and Statistics
38. Temps Aléatoire et Dynamique du Carnet d’ordres
    Working Papers, Center for Research in Economics and Statistics
39. Time Deformation: Definition and Comparisons
    Post-Print, HAL View citations (11)

1997

40. Modes de négociation et caractéristiques de marché
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
41. Volatilités et mesures de risque
    Post-Print, HAL

Journal Articles

2022

1. Timing the Size Risk Premia
   Finance, 2022, 43, (2), 111-158
   See also Working Paper Timing the Size Risk Premia, Post-Print (2022) (2022)

2017

2. Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows
   Journal of Econometrics, 2017, 201, (2), 367-383 View citations (20)
   See also Working Paper Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows, Post-Print (2017) View citations (22) (2017)

2016

3. Gauging Liquidity Risk in Emerging Market Bond Index Funds
   Annals of Economics and Statistics, 2016, (123-124), 247-269
   See also Working Paper Gauging Liquidity Risk in Emerging Market Bond Index Funds, Post-Print (2016) (2016)
4. Intrinsic Liquidity in Conditional Volatility Models
   Annals of Economics and Statistics, 2016, (123-124), 225-245
   See also Working Paper Intrinsic Liquidity in Conditional Volatility Models, Post-Print (2016) (2016)

2010

5. Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework
   International Journal of Finance & Economics, 2010, 15, (4), 316-330 View citations (4)
   See also Working Paper Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework, Post-Print (2009) View citations (1) (2009)

2008

6. Improving VWAP strategies: A dynamic volume approach
   Journal of Banking & Finance, 2008, 32, (9), 1709-1722 View citations (39)
   See also Working Paper Improving VWAP strategies: A dynamic volume approach, Post-Print (2008) View citations (35) (2008)
7. Taking into account extreme events in European option pricing
   Financial Stability Review, 2008, (12), 39-51 View citations (1)
   See also Working Paper Taking into account extreme events in European option pricing, Post-Print (2008) (2008)

2004

8. Nouvelles techniques de gestion et leur impact sur la volatilité
   Revue d'Économie Financière, 2004, 74, (1), 231-243 View citations (1)
   See also Working Paper Nouvelles techniques de gestion et leur impact sur la volatilité, Post-Print (2004) (2004)

2000

9. Intraday Transaction Price Dynamics
   Annals of Economics and Statistics, 2000, (60), 207-238 View citations (10)
   See also Working Paper Intraday Transaction Price Dynamics, Post-Print (1999) View citations (2) (1999)

1999

10. Intra-day market activity
    Journal of Financial Markets, 1999, 2, (3), 193-226 View citations (59)
    See also Working Paper Intra-day market activity, Post-Print (1999) View citations (31) (1999)

1998

11. Effet des modes de négociation sur les échanges
    Revue Économique, 1998, 49, (3), 795-808 View citations (6)
    See also Working Paper Effet des Modes de Négociation sur les Echanges, Post-Print (1998) View citations (3) (1998)

Edited books

2013

1. Illiquidité, contagion et risque systémique
   Economics Thesis from University Paris Dauphine, Paris Dauphine University
2. Specification analysis of interest rates factors: an international perspective
   Economics Thesis from University Paris Dauphine, Paris Dauphine University

Chapters

2015

1. Contagion in Emerging Markets
   Palgrave Macmillan View citations (1)
   See also Working Paper Contagion in Emerging Markets, HAL (2014) (2014)