Articles

Darolles S., Le Fol G., Lu Y., Sun R. (2019), Bivariate integer-autoregressive process with an application to mutual fund flows, Journal of Multivariate Analysis, vol. 173, n°September 2019, p. 181-203

Bizri M., Bozec M., Le Fol G., Leconte N. (2018), Les actifs illiquides : une oasis dans le désert du rendement ?, RB. Revue banque, vol. Juillet 2018, n°No. spécial House of Finance Day, p. 25-28

Darolles S., Le Fol G., Mero G. (2017), Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows, Journal of Econometrics

Bouin M., Bozec M., El Asmar J., Le Fol G. (2017), Big Data : Quelle révolution pour les marchés financiers et la gestion de portefeuille, RB. Revue banque, vol. Juin 2017, n°Numéro spécial, p. 18-20

Le Fol G., Méhouas B. (2016), Liquidité et risque de liquidité, RB. Revue banque, vol. Juillet 2016, n°HOF2016, p. 42-46

Darolles S., Francq C., Le Fol G., Zakoïan J-M. (2016), Intrinsic Liquidity in Conditional Volatility Models, Annals of Economics and Statistics, vol. 123/124, p. 225-245

Darolles S., Dudek J., Le Fol G. (2016), Gauging Liquidity Risk in Emerging Market Bond Index Funds, Annals of Economics and Statistics, vol. 123/124, p. 247-269

Darolles S., Le Fol G., Mero G. (2015), Measuring the Liquidity Part of Volume, Journal of Banking and Finance, vol. 50, p. 92–105

Le Fol G., Darolles S. (2014), Trading volume and Arbitrage, GSTF Journal on Business Review, vol. 3, n°3, p. 30-39

Bialkowski J., Darolles S., Le Fol G. (2012), Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume, JASSA, n°1, p. 12-18

Le Fol G. (2011), A propos du trading haute fréquence, Analyse financière, n°41, p. 57-59

Jardet C., Le Fol G. (2010), Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework, International Journal of Finance and Economics, vol. 15, n°4, p. 316-330

Le Fol G., Idier J., Jardet C. (2009), How liquid are markets: an Application to Stock Markets, Bankers, Markets & Investors, n°103, p. 50-58

Idier J., Jardet C., Le Fol G., Monfort A., Pegoraro F. (2008), Taking into account extreme events in European option pricing, Financial Stability Review, n°12, p. 39-51

Le Fol G., Darolles S., Bialkowski J. (2008), Improving VWAP strategies: A dynamic volume approach, Journal of Banking and Finance, vol. 32, n°9, p. 1709-1722

Darolles S., Le Fol G. (2004), Nouvelles techniques de gestion et leur impact sur la volatilité, Revue d'économie financière, vol. 74, p. 231-243

Darolles S., Gouriéroux C., Le Fol G. (2000), Intraday Transaction Price Dynamics, Annales d'Economie et de Statistique, n°60, p. 207-238

Le Fol G., Gouriéroux C., Jasiak J. (1999), Intra-day market activity, Journal of Financial Markets, vol. 2, n°3, p. 193-226

Le Fol G., Gouriéroux C. (1998), Effet des modes de négociation sur les échanges, Revue Economique, vol. 49, n°3, p. 795-808

Le Fol G., Mercier L. (1998), Time Deformation: Definition and Comparisons, Journal of Computational Intelligence in Finance, vol. 6, n°5, p. 19-33

Gouriéroux C., Le Fol G. (1997), Volatilités et mesures du risque, Journal de la société de statistique de Paris, vol. 138, n°4, p. 7-32.

Ouvrages

Le Fol G., Gouriéroux C. (1997), Modes de négociation et caractéristiques de marché, Paris: CEPREMAP, 38 p.

Chapitres d'ouvrage

Darolles S., Dudek J., Le Fol G. (2014), Contagion in Emerging Markets, in Finch, Nigel, Emerging Markets and Sovereign Risk, New York: Springer, p. XVI-298

Communications avec actes

Darolles S., Le Fol G. (2014), Trading Volume and Arbitrage, in , Annual International Conference on Accounting & Finance. 2014, Phuket, Global Science & Technology Forum, 121-131 p.

Communications sans actes

Darolles S., Dudek J., Le Fol G. (2014), Liquidity risk and contagion for liquid funds, 31st International French Finance Association Conference, AFFI 2014, Aix-en-Provence, France

Darolles S., Dudek J., Le Fol G. (2013), Liquidity Contagion. The Emerging Sovereign Debt Markets example, 30th International French Finance Association Conference, Lyon, France

Darolles S., Dudek J., Le Fol G. (2012), Liquidity Contagion. The Emerging Sovereign Debt Markets example, European Economic Association & Econometric Society, Malaga, Espagne

Darolles S., Dudek J., Le Fol G. (2012), MLiq a meta liquidity measure, Computational and Financial Econometrics (CFE'12), Oviedo, Espagne

Le Fol G., Mero G., Darolles S. (2011), Tracking Illiquidities in Intradaily and Daily Characteristics, 28th annual International Conference of the French Finance Association, Montpellier, France

Prépublications / Cahiers de recherche

Borgy V., Idier J., Le Fol G. (2010), Liquidity Problems in the FX Liquid Market, Paris, Documents de Travail de la Banque de France, 40 p.