Gaëlle Le Fol

• Paris Dauphine-PSL University
• DRM (Dauphine Recherches en Management)

MAIN RESEARCH AREAS:

• Econométrie de la Finance
• Marchés financiers
• Microstructure empirique
• Asset pricing empirique

RESEARCH PROJECTS/INITIATIVES:

• ANR Multirisk (responsable Dauphine)
• IdR QMI (Directrice Scientifique) : Economic Efficiency at EU & Global levels

SELECTED PUBLICATIONS:

• “Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flow”, with S. Darolles and G. Mero, Journal of Econometrics, 201, p.367-383, 2017
• “Intrinsic Liquidity in Conditional Volatility Models”, with S. Darolles, C. Francq and J.M. Zakoïan, Annals of Economics and Statistics, 123/124, p. 225-245, 2016
• “Gauging Liquidity Risk in Emerging Market Bond Index Funds”, with S. Darolles and J. Dudek, Annals of Economics and Statistics, 123/124, p. 247-269, 2016
• “Measuring the liquidity part of volume”, with S. Darolles and G. Mero, Journal of Banking and Finance, 50, p. 92-105, 2015
• “Improving VWAP strategies: A dynamical volume approach”, with J. Bialkowski and S. Darolles, Journal of Banking and Finance, Vol. 32, p. 1709-1722, 2008