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Intraday transaction price dynamics

Darolles, Serge; Gouriéroux, Christian; LeFol, Gaëlle - In: Annales d'économie et de statistique (2000), pp. 207-238

Persistent link: https://www.econbiz.de/10001543535

Improving VWAP strategies : a dynamic volume approach

Białkowski, Je̜drzej; Darolles, Serge; LeFol, Gaëlle - In: Journal of banking & finance 32 (2008) 9, pp. 1709-1722

Persistent link: https://www.econbiz.de/10003774720

Contagion in emerging markets

Darolles, Serge; Dudek, Jérémy; LeFol, Gaëlle - In: Emerging markets and sovereign risk, (pp. 45-58). 2015

Persistent link: https://www.econbiz.de/10010458450

Measuring the liquidity part of volume

Darolles, Serge; LeFol, Gaëlle; Mero, Gulten - In: Journal of banking & finance 50 (2015), pp. 92-105

Persistent link: https://www.econbiz.de/10010509138

Decomposing volume for VWAP strategies

Białkowski, Je̜drzej; Darolles, Serge; LeFol, Gaëlle - 2005

Persistent link: https://www.econbiz.de/10003230687

Intrinsic liquidity in conditional volatility models

Darolles, Serge; LeFol, Gaëlle; Francq, Christian; … - In: Annals of economics and statistics 123/124 (2016), pp. 225-245

Persistent link: https://www.econbiz.de/10011592745

Gauging liquidity risk in emerging market bond index funds

Darolles, Serge; Dudek, Jérémy; LeFol, Gaëlle - In: Annals of economics and statistics 123/124 (2016), pp. 247-269

Persistent link: https://www.econbiz.de/10011592748

Mixture of distribution hypothesis : analyzing daily liquidity frictions and information flows

Darolles, Serge; LeFol, Gaëlle; Mero, Gulten - In: Journal of econometrics 201 (2017) 2, pp. 367-383

Persistent link: https://www.econbiz.de/10011920520

Timing the size risk premia

Darolles, Serge; LeFol, Gaëlle; Mero, Gulten - In: Finance : revue de l'Association Française de Finance 43 (2022) 2, pp. 111-158

Persistent link: https://www.econbiz.de/10014253302

Improving VWAP strategies: A dynamical volume approach

Białkowski, Jedrzej; Darolles, Serge; Fol, Gaëlle Le - Centre d'Études des Politiques Économiques (EPEE), … - 2006

In this paper, we present a new methodology for modeling intraday volume which allows for a reduction of the execution risk in VWAP (Volume Weighted Average Price) orders. The results are obtained for the all stocks included in the CAC40 index at the beginning of September 2004. The idea of...

Persistent link: https://www.econbiz.de/10010641698