Gaëlle Le Fol

Université Paris Dauphine - Department of Finance

Professor

Université Paris-Dauphine, Université PSL

Place du Maréchal de Lattre de Tassigny

Paris Cedex 16, 75775

France

National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)

15 Boulevard Gabriel Peri

Malakoff Cedex, 1 92245

France

  • Université Paris Dauphine - Department of Finance

  • National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)

SCHOLARLY PAPERS

14

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3

CROSSREF CITATIONS

32

Scholarly Papers (14)

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1.

Improving VWAP. Strategies: A Dynamical Volume Approach

Journal of Banking and Finance, Vol. 32, 2008
Number of pages: 61 Posted: 28 Sep 2006 Last Revised: 23 Feb 2018
Jedrzej Pawel Bialkowski, Serge Darolles and Gaëlle Le Fol
University of Canterbury - Department of Economics and Finance, Université Paris Dauphine - DRM-CEREG and Université Paris Dauphine - Department of Finance
Downloads 2,271 (12,320)
Citation 1

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Intraday volume; Factor models; Volume Weighted Average Price; VWAP strategies

2.

Financial Market Liquidity: Who is Acting Strategically?

Number of pages: 43 Posted: 06 Oct 2015 Last Revised: 06 Jul 2016
Serge Darolles, Gaëlle Le Fol and Gulten Mero
Université Paris Dauphine - DRM-CEREG, Université Paris Dauphine - Department of Finance and University of Cergy-Pontoise - THEMA
Downloads 145 (365,750)

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Strategic liquidity trading, market efficiency, mixture of distribution hypothesis, information-based trading, extended Kalman Filter

3.

Liquidity Problems in the FX Liquid Market: Ask for the 'BIL'

Downloads 95 (499,683)

Liquidity Problems in the FX Liquid Market: Ask for the 'BIL'

Banque de France Working Paper No. 279
Number of pages: 44 Posted: 03 Jun 2010
Vladimir Borgy, Julien Idier and Gaëlle Le Fol
Banque de France, Banque de France - Centre de Recherche and Université Paris Dauphine - Department of Finance
Downloads 95 (503,746)
Citation 6

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FX market, Liquidity, financial crisis

Liquidity Problems in the FX Liquid Market: Ask for the 'Bil'

Posted: 04 Apr 2010
Vladimir Borgy, Julien Idier and Gaëlle Le Fol
Banque de France, Banque de France - Centre de Recherche and Université Paris Dauphine - Department of Finance

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FX market, Liquidity, Financial crisis

4.

Intrinsic Liquidity in Conditional Volatility Models

Annals of Economics and Statistics, Vol. 123/124, Dec. 2016, 225-246
Number of pages: 28 Posted: 20 Nov 2017
Serge Darolles, Christian Francq, Gaëlle Le Fol and Jean-Michel Zakoïan
Université Paris Dauphine - DRM-CEREG, University of Lille III, Université Paris Dauphine - Department of Finance and CREST
Downloads 79 (559,703)

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GARCH, Liquidity, Quasi-Maximum Likelihood, Risk measures, Value-at-Risk

5.

Bivariate INAR Processes with Application to Mutual Fund Share Purchase/Redemption Counts

Number of pages: 47 Posted: 14 Aug 2018
Serge Darolles, Gaëlle Le Fol, Yang Lu and Theo Ran Sun
Université Paris Dauphine - DRM-CEREG, Université Paris Dauphine - Department of Finance, Department of Maths & Statis, Concordia University and Université Paris-Dauphine, PSL Research University
Downloads 76 (572,249)

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rare event count process, nonlinear forecasting, memory persistence, liquidity risk

6.

Understanding the Effect of ESG Scores on Stock Returns Using Mediation Theory

Université Paris-Dauphine Research Paper No. 4634699
Number of pages: 47 Posted: 30 Nov 2023 Last Revised: 25 Mar 2024
Serge Darolles, Gaëlle Le Fol and Yuyi He
Université Paris Dauphine - DRM-CEREG, Université Paris Dauphine - Department of Finance and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 68 (608,209)

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ESG performance, Investment decisions, Sustainable investing, Mediation analysis, Transmission channels, Institutional investors.

7.

Euro Money Market Interest Rates Dynamics and Volatility: How They Respond to Recent Changes in the Operational Framework

Banque de France Working Paper No. 167
Number of pages: 42 Posted: 21 Oct 2010
Caroline Jardet and Gaëlle Le Fol
Banque de France and Université Paris Dauphine - Department of Finance
Downloads 54 (681,443)
Citation 28

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European money market, Eonia, Operational framework, Liquidity effect

8.

Mixture of Distribution Hypothesis: Analyzing Daily Liquidity Frictions and Information Flows

Journal of Econometrics, Vol. 201, 2017, Université Paris-Dauphine Research Paper No. 3515235
Posted: 30 Jan 2020
Gaëlle Le Fol
Université Paris Dauphine - Department of Finance

Abstract:

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Strategic liquidity trading Market efficiency, Mixture of distribution hypothesis, Information-based trading, Extended Kalman Filter

9.

A Self-Exciting Model for Mutual Fund Flows: Investor Behaviour and Liability Risk

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Posted: 01 Jun 2018
Serge Darolles, Gaëlle Le Fol, Yang Lu and Theo Ran Sun
Université Paris Dauphine - DRM-CEREG, Université Paris Dauphine - Department of Finance, Department of Maths & Statis, Concordia University and Université Paris-Dauphine, PSL Research University

Abstract:

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Financial Econometrics, Hedge Funds/Mutual Funds, Market Microstructure/Liquidity.

10.

Intraday Transaction Price Dynamics

Annales d'Economie et de Statistique, Vol. 60, 2000, 207-238
Posted: 21 Nov 2017
Serge Darolles, Christian Gourieroux and Gaëlle Le Fol
Université Paris Dauphine - DRM-CEREG, University of Toronto - Department of Economics and Université Paris Dauphine - Department of Finance

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High Frequency trading, Intraday transaction price dynamics, Markov Chain prices, random dates

11.

Reducing the Risk of VWAP Orders Execution

JASSA The Finsia Journal of Applied Finance, Issue 2012, 12-18
Posted: 21 Nov 2017
Jedrzej Pawel Bialkowski, Serge Darolles and Gaëlle Le Fol
University of Canterbury - Department of Economics and Finance, Université Paris Dauphine - DRM-CEREG and Université Paris Dauphine - Department of Finance

Abstract:

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intra-day trading volume, VWAP orders, execution risk, trading costs in securities markets

12.

Gauging Liquidity Risk in Emerging Market Bond Index Funds

Annals of Economics ans Statistics, Vol 123/124, Dec. 2016, 247-269
Posted: 20 Nov 2017
Serge Darolles, Jérémy Dudek and Gaëlle Le Fol
Université Paris Dauphine - DRM-CEREG, National Institute of Statistics and Economic Studies (INSEE) - Laboratory of Finance and Insurance and Université Paris Dauphine - Department of Finance

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Emerging Markets, Sovereign Debt Market, Liquidity Risk Management, Dynamic Correlation, Regime Switching Models

13.

Liquidity Contagion: The Emerging Sovereign Debt Markets Example

Posted: 09 Feb 2013
Serge Darolles, Jérémy Dudek and Gaëlle Le Fol
Université Paris Dauphine - DRM-CEREG, National Institute of Statistics and Economic Studies (INSEE) - Laboratory of Finance and Insurance and Université Paris Dauphine - Department of Finance

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Emerging Markets, Sovereign Debt Market, Liquidity Risk Management, Liquidity, Contagion Effects, Regime Switching models

14.

Measuring the Liquidity Part of Volume

Journal of Banking and Finance, Vol. 50, 2015
Posted: 08 Dec 2008 Last Revised: 06 Jul 2016
Serge Darolles, Gaëlle Le Fol and Gulten Mero
Université Paris Dauphine - DRM-CEREG, Université Paris Dauphine - Department of Finance and University of Cergy-Pontoise - THEMA

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Volatility-volume relationship, mixture of distribution hypothesis, liquidity shocks, information-based trading, liquidity arbitrage, GMM tests