Gaelle Le Fol
Personal Details
First Name: | Gaelle |
Middle Name: | |
Last Name: | Le Fol |
Suffix: | |
RePEc Short-ID: | ple522 |
[This author has chosen not to make the email address public] | |
Affiliation
Dauphine Recherches en Management (DRM)
Université Paris-Dauphine (Paris IX)
Paris, Francehttp://www.drm.dauphine.fr/
RePEc:edi:drmp9fr (more details at EDIRC)
Research output
Jump to: Working papers Articles Chapters BooksWorking papers
- Serge Darolles & Yuyi He & Gaëlle Le Fol, 2024.
"Understanding the effect of ESG scores on stock returns using mediation theory,"
Post-Print
hal-04594004, HAL.
- Gaëlle Le Fol, 2024. "Understanding the effect of ESG scores on stock returns using mediation theory," Post-Print hal-04660291, HAL.
- Serge Darolles & Gaëlle Le Fol & Yuyi He, 2023. "Who can better push firms to go "green"? A look at ESG effects on stock returns," Post-Print hal-04462749, HAL.
- Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2022.
"Timing the Size Risk Premia,"
Post-Print
hal-03544034, HAL.
- Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2022. "Timing the Size Risk Premia," Finance, Presses universitaires de Grenoble, vol. 43(2), pages 111-158.
- Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2019. "Timing the size risk premium," Post-Print hal-04587067, HAL.
- Christian Brownlees & Gaëlle Le Fol & Serge Darolles & Béatrice Sagna, 2022. "Forecasting intra-daily volume in large panels of assets," Post-Print hal-04581708, HAL.
- Gaëlle Le Fol & Christian Brownless & Serge Darolles & Béatrice Sagna, 2021. "Forecasting Intra-daily Liquidity in Large Panels," Working Papers hal-03380670, HAL.
- Gaëlle Le Fol & Serge Darolles & Ran Sun & Yang Lu, 2021. "A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk," Working Papers hal-03380641, HAL.
- Gaëlle Le Fol & Abdelfatah Tlemsani, 2019. "Le retour de la volatilité: asphyxie ou nouveau souffle ?," Post-Print hal-03362812, HAL.
- Serge Darolles & Gaëlle Le Fol & Yang Lu & Ran Sun, 2019.
"Bivariate integer-autoregressive process with an application to mutual fund flows,"
Post-Print
hal-04582262, HAL.
- Serge Darolles & Gaëlle Le Fol & Yang Lu & Ran Sun, 2019. "Bivariate integer-autoregressive process with an application to mutual fund flows," Post-Print halshs-02418967, HAL.
- Serge Darolles & Gaëlle Le Fol & Yang Lu & Ran Sun, 2018. "Bivariate integer-autoregressive process with an application to mutual fund flows," Post-Print hal-04590149, HAL.
- Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2017.
"Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows,"
Post-Print
hal-01593402, HAL.
- Darolles, Serge & Le Fol, Gaëlle & Mero, Gulten, 2017. "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Journal of Econometrics, Elsevier, vol. 201(2), pages 367-383.
- Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2014. "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Post-Print hal-04582298, HAL.
- Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2016. "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Post-Print hal-04590596, HAL.
- Maxime Bouin & Marie Bozec & Jad El Asmar & Gaëlle Le Fol, 2017. "Big Data : Quelle révolution pour les marchés financiers et la gestion de portefeuille," Post-Print hal-02102554, HAL.
- Serge Darolles & Christian Francq & Gaëlle Le Fol & Jean-Michel Zakoïan, 2016.
"Intrinsic Liquidity in Conditional Volatility Models,"
Post-Print
hal-01500747, HAL.
- Serge Darolles & Gaëlle Le Fol & Christian Francq & Jean-Michel Zakoïan, 2016. "Intrinsic Liquidity in Conditional Volatility Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 225-245.
- Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2016.
"Gauging Liquidity Risk in Emerging Market Bond Index Funds,"
Post-Print
hal-01500712, HAL.
- Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2016. "Gauging Liquidity Risk in Emerging Market Bond Index Funds," Annals of Economics and Statistics, GENES, issue 123-124, pages 247-269.
- Gaëlle Le Fol & Benjamin Méhouas, 2016. "Liquidité et risque de liquidité," Post-Print hal-01637915, HAL.
- Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2015.
"Measuring the Liquidity Part of Volume,"
Post-Print
hal-01632766, HAL.
- Darolles, Serge & Fol, Gaëlle Le & Mero, Gulten, 2015. "Measuring the liquidity part of volume," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 92-105.
- Gulten Mero & S. Darolles & Gaëlle Le Fol, 2015. "Measuring the Liquidity Part of Volume," Post-Print hal-02979999, HAL.
- Gulten Mero & Serge Darolles & Gaëlle Le Fol, 2015. "Financial Market Liquidity: Who Is Acting Strategically?," THEMA Working Papers 2015-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2014.
"Contagion in Emerging Markets,"
Post-Print
hal-01632778, HAL.
- Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2015. "Contagion in Emerging Markets," Palgrave Macmillan Books, in: Nigel Finch (ed.), Emerging Markets and Sovereign Risk, chapter 3, pages 45-58, Palgrave Macmillan.
- Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2014. "Liquidity risk and contagion for liquid funds," Post-Print hal-01632776, HAL.
- Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2013.
"Liquidity Contagion. The Emerging Sovereign Debt Markets example,"
Post-Print
hal-01632782, HAL.
- Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2012. "Liquidity Contagion. The Emerging Sovereign Debt Markets example," Post-Print hal-01632803, HAL.
- Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2012.
"MLiq a meta liquidity measure,"
Post-Print
halshs-00877026, HAL.
- Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2013. "MLiq a meta liquidity measure," Post-Print halshs-00877030, HAL.
- Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2012. "Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume," Post-Print hal-01632822, HAL.
- Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2012. "Liquidity contagion: A look at emerging markets," Post-Print halshs-00877035, HAL.
- Vladimir Borgy & Julien Idier & Gaëlle Le Fol, 2010. "Liquidity Problems in the FX Liquid Market," Working Papers halshs-00539985, HAL.
- Caroline Jardet & Gaëlle Le Fol, 2010. "Euro money market interest rates dynamics and volatility," Post-Print halshs-00876971, HAL.
- Borgy, V. & Idier, J. & Le Fol, G., 2010.
"Liquidity problems in the FX liquid market: Ask for the "BIL","
Working papers
279, Banque de France.
- Vladimir Borgy & Julien Idier & Gaëlle Le Fol, 2010. "Liquidity Problems in the FX Liquid Market : Ask for the BIL" "," Working Papers 2010-16, Center for Research in Economics and Statistics.
- Gaëlle Le Fol & Julien Idier & Caroline Jardet, 2009. "How Liquid are Markets?," Post-Print halshs-00638443, HAL.
- Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2009. "Returns and Volume: Between Information andLiquidity," Post-Print halshs-00391286, HAL.
- Julien Idier & Caroline Jardet & Gaëlle Le Fol & Alain Monfort & Fulvio Pegoraro, 2008.
"Taking into account extreme events in European option pricing,"
Post-Print
halshs-00638450, HAL.
- Idier, J. & Jardet, C. & Le Fol, G. & Monfort, A. & Pegoraro, J., 2008. "Taking into account extreme events in European option pricing," Financial Stability Review, Banque de France, issue 12, pages 39-51, October.
- Jardet, C. & Le Fol, G., 2007.
"Euro money market interest rates dynamics and volatility: How they respond to recent changes in the operational framework,"
Working papers
167, Banque de France.
- Caroline Jardet & Gaelle Le Fol, 2010. "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., vol. 15(4), pages 316-330.
- Caroline Jardet & Gaëlle Le Fol, 2009. "Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework," Post-Print hal-02877978, HAL.
- Jedrzej Białkowski & Serge Darolles & Gaëlle Le Fol, 2006.
"Improving VWAP strategies: A dynamical volume approach,"
Documents de recherche
06-08, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- Bialkowski, Jedrzej & Darolles, Serge & Le Fol, Gaëlle, 2008. "Improving VWAP strategies: A dynamic volume approach," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1709-1722, September.
- Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2008. "Improving VWAP strategies: A dynamic volume approach," Post-Print halshs-00676946, HAL.
- Jędrzej Białkowski & Serge Darolles & Gaëlle Le Fol, 2008. "Improving VWAP strategies: A dynamic volume approach," Post-Print hal-02877984, HAL.
- Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2005. "Decomposing Volume for VWAP Strategies," Working Papers 2005-16, Center for Research in Economics and Statistics.
- Serge Darolles & Gaëlle Le Fol, 2004.
"Nouvelles techniques de gestion et leur impact sur la volatilité,"
Post-Print
halshs-00586095, HAL.
- Serge Darolles & Gaëlle Le Fol, 2004. "Nouvelles techniques de gestion et leur impact sur la volatilité," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 231-243.
- Serge Darolles & Gaëlle Le Fol, 2003.
"Trading Volume and Arbitrage,"
Working Papers
2003-46, Center for Research in Economics and Statistics.
- Serge Darolles & Gaëlle Le Fol, 2014. "Trading volume and Arbitrage," Post-Print hal-01632841, HAL.
- Gaëlle Le Fol & Serge Darolles, 2014. "Trading volume and Arbitrage," Post-Print halshs-01061280, HAL.
- Serge Darolles & Gaëlle Le Fol, 2014. "Trading Volume and Arbitrage," Post-Print hal-01632848, HAL.
- Cécile Boyer & Christian Gourieroux & Gaëlle Le Fol, 2001. "Ajustement des prix bid et ask en présence d'information privée," Working Papers 2001-25, Center for Research in Economics and Statistics.
- Gaëlle Le Fol & Serge Darolles & Christian Gourieroux, 1999.
"Intraday Transaction Price Dynamics,"
Post-Print
halshs-00536272, HAL.
- Serge Darolles & Christian Gouriéroux & Gaëlle Le Fol, 2000. "Intraday Transaction Price Dynamics," Annals of Economics and Statistics, GENES, issue 60, pages 207-238.
- Gaëlle Le Fol & Christian Gourieroux, 1999.
"Intra-day market activity,"
Post-Print
halshs-00536268, HAL.
- Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999. "Intra-day market activity," Journal of Financial Markets, Elsevier, vol. 2(3), pages 193-226, August.
- Christian Gourieroux & Gaëlle Le Fol, 1998. "Matching Procedures and Market Characteristics," Working Papers 98-15, Center for Research in Economics and Statistics.
- Gaëlle Le Fol & Mercier Ludovic, 1998. "Time Deformation: Definition and Comparisons," Post-Print halshs-00586097, HAL.
- Gaëlle Le Fol & Christian Gourieroux, 1998.
"Effet des Modes de Négociation sur les Echanges,"
Post-Print
halshs-00536273, HAL.
- Christian Gouriéroux & Gaëlle Le Fol, 1998. "Effet des modes de négociation sur les échanges," Revue Économique, Programme National Persée, vol. 49(3), pages 795-808.
- Cécile Boyer & Gaëlle Le Fol, 1998. "Temps Aléatoire et Dynamique du Carnet d’ordres," Working Papers 98-14, Center for Research in Economics and Statistics.
- Gourieroux, Christian & Le Fol, Gaëlle, 1997. "Modes de négociation et caractéristiques de marché," CEPREMAP Working Papers (Couverture Orange) 9714, CEPREMAP.
- Christian Gourieroux & Gaëlle Le Fol, 1997. "Volatilités et mesures de risque," Post-Print halshs-00877048, HAL.
Articles
- Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2022.
"Timing the Size Risk Premia,"
Finance, Presses universitaires de Grenoble, vol. 43(2), pages 111-158.
- Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2019. "Timing the size risk premium," Post-Print hal-04587067, HAL.
- Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2022. "Timing the Size Risk Premia," Post-Print hal-03544034, HAL.
- Darolles, Serge & Le Fol, Gaëlle & Mero, Gulten, 2017.
"Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows,"
Journal of Econometrics, Elsevier, vol. 201(2), pages 367-383.
- Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2014. "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Post-Print hal-04582298, HAL.
- Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2016. "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Post-Print hal-04590596, HAL.
- Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2017. "Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows," Post-Print hal-01593402, HAL.
- Serge Darolles & Gaëlle Le Fol & Christian Francq & Jean-Michel Zakoïan, 2016.
"Intrinsic Liquidity in Conditional Volatility Models,"
Annals of Economics and Statistics, GENES, issue 123-124, pages 225-245.
- Serge Darolles & Christian Francq & Gaëlle Le Fol & Jean-Michel Zakoïan, 2016. "Intrinsic Liquidity in Conditional Volatility Models," Post-Print hal-01500747, HAL.
- Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2016.
"Gauging Liquidity Risk in Emerging Market Bond Index Funds,"
Annals of Economics and Statistics, GENES, issue 123-124, pages 247-269.
- Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2016. "Gauging Liquidity Risk in Emerging Market Bond Index Funds," Post-Print hal-01500712, HAL.
- Caroline Jardet & Gaelle Le Fol, 2010.
"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., vol. 15(4), pages 316-330.
- Caroline Jardet & Gaëlle Le Fol, 2009. "Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework," Post-Print hal-02877978, HAL.
- Jardet, C. & Le Fol, G., 2007. "Euro money market interest rates dynamics and volatility: How they respond to recent changes in the operational framework," Working papers 167, Banque de France.
- Bialkowski, Jedrzej & Darolles, Serge & Le Fol, Gaëlle, 2008.
"Improving VWAP strategies: A dynamic volume approach,"
Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1709-1722, September.
- Jedrzej Białkowski & Serge Darolles & Gaëlle Le Fol, 2006. "Improving VWAP strategies: A dynamical volume approach," Documents de recherche 06-08, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2008. "Improving VWAP strategies: A dynamic volume approach," Post-Print halshs-00676946, HAL.
- Jędrzej Białkowski & Serge Darolles & Gaëlle Le Fol, 2008. "Improving VWAP strategies: A dynamic volume approach," Post-Print hal-02877984, HAL.
- Idier, J. & Jardet, C. & Le Fol, G. & Monfort, A. & Pegoraro, J., 2008.
"Taking into account extreme events in European option pricing,"
Financial Stability Review, Banque de France, issue 12, pages 39-51, October.
- Julien Idier & Caroline Jardet & Gaëlle Le Fol & Alain Monfort & Fulvio Pegoraro, 2008. "Taking into account extreme events in European option pricing," Post-Print halshs-00638450, HAL.
- Serge Darolles & Gaëlle Le Fol, 2004.
"Nouvelles techniques de gestion et leur impact sur la volatilité,"
Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 231-243.
- Serge Darolles & Gaëlle Le Fol, 2004. "Nouvelles techniques de gestion et leur impact sur la volatilité," Post-Print halshs-00586095, HAL.
- Serge Darolles & Christian Gouriéroux & Gaëlle Le Fol, 2000.
"Intraday Transaction Price Dynamics,"
Annals of Economics and Statistics, GENES, issue 60, pages 207-238.
- Gaëlle Le Fol & Serge Darolles & Christian Gourieroux, 1999. "Intraday Transaction Price Dynamics," Post-Print halshs-00536272, HAL.
- Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999.
"Intra-day market activity,"
Journal of Financial Markets, Elsevier, vol. 2(3), pages 193-226, August.
- Gaëlle Le Fol & Christian Gourieroux, 1999. "Intra-day market activity," Post-Print halshs-00536268, HAL.
- Christian Gouriéroux & Gaëlle Le Fol, 1998.
"Effet des modes de négociation sur les échanges,"
Revue Économique, Programme National Persée, vol. 49(3), pages 795-808.
- Gaëlle Le Fol & Christian Gourieroux, 1998. "Effet des Modes de Négociation sur les Echanges," Post-Print halshs-00536273, HAL.
Chapters
- Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2015.
"Contagion in Emerging Markets,"
Palgrave Macmillan Books, in: Nigel Finch (ed.), Emerging Markets and Sovereign Risk, chapter 3, pages 45-58,
Palgrave Macmillan.
- Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2014. "Contagion in Emerging Markets," Post-Print hal-01632778, HAL.
Books
- Dudek, Jérémy, 2013. "Illiquidité, contagion et risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13236 edited by Le Fol, Gaëlle.
- Tiozzo Pezzoli, Luca, 2013. "Specification analysis of interest rates factors : an international perspective," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13417 edited by Le Fol, Gaëlle.
More information
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-MST: Market Microstructure (3) 2010-05-08 2010-12-11 2015-12-08
- NEP-ENV: Environmental Economics (2) 2024-04-01 2024-07-15
- NEP-FMK: Financial Markets (2) 2024-04-01 2024-07-15
- NEP-ENE: Energy Economics (1) 2024-04-01
- NEP-ETS: Econometric Time Series (1) 2020-01-13
- NEP-IFN: International Finance (1) 2010-05-08
- NEP-ORE: Operations Research (1) 2020-01-13
- NEP-RMG: Risk Management (1) 2010-05-08
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