Hayette Gatfaoui
Names
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Hayette |
| last: |
Gatfaoui |
Identifer
Contact
Affiliations
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Lille Économie et Management (LEM) (weight: 14%)
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Université Catholique de Lille
/ IESEG School of Management (weight: 86%)
Research profile
author of:
- Special Issue for the 6 th International Conference on Applied Financial Economics, Samos, Greece, 2-4 July 2009 (RePEc:abk:jajeba:ajebasp.2010.339.340)
by Alexandros E. Milionis & Hayette Gatfaoui - Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures (RePEc:arx:papers:1811.02382)
by Hayette Gatfaoui - Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets (RePEc:eee:ecmode:v:30:y:2013:i:c:p:776-791)
by Gatfaoui, Hayette - Equity market information and credit risk signaling: A quantile cointegrating regression approach (RePEc:eee:ecmode:v:64:y:2017:i:c:p:48-59)
by Gatfaoui, Hayette - Linking the gas and oil markets with the stock market: Investigating the U.S. relationship (RePEc:eee:eneeco:v:53:y:2016:i:c:p:5-16)
by Gatfaoui, Hayette - Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures (RePEc:eee:eneeco:v:80:y:2019:i:c:p:132-152)
by Gatfaoui, Hayette - Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas (RePEc:eee:enepol:v:87:y:2015:i:c:p:270-283)
by Gatfaoui, Hayette - Systematic risk and idiosyncratic risk: a useful distinction for valuing European options (RePEc:eee:mulfin:v:12:y:2002:i:4-5:p:305-321)
by Chauveau, Thierry & Gatfaoui, Hayette - From Fault Tree to Credit Risk Assessment: A Case Study (RePEc:eei:rpaper:eeri_rp_2004_05)
by Hayette Gatfaoui - Risk Disaggregation and Credit Risk Valuation in a Merton Framework (RePEc:eme:jrfpps:eb022964)
by Hayette Gatfaoui - The kiss of information theory that captures systemic risk (RePEc:hal:cesptp:hal-01110712)
by Peter Martey Addo & Philippe de Peretti & Hayette Gatfaoui & Jakob Runge - Flickering in Information Spreading Precedes Critical Transitions in Financial Markets (RePEc:hal:cesptp:hal-02098605)
by Hayette Gatfaoui & Philippe de Peretti - Testing for non-chaoticity under noisy dynamics using the largest Lyapunov exponent (RePEc:hal:cesptp:hal-02388420)
by Hayette Gatfaoui & Philippe de Peretti - Are critical slowing down indicators useful to detect financial crises? (RePEc:hal:cesptp:halshs-01339815)
by Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti - Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone (RePEc:hal:cesptp:halshs-01339826)
by Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti - Are Critical Slowing Down Indicators Useful to Detect Financial Crises? (RePEc:hal:cesptp:halshs-01505202)
by Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti - From Fault Tree to Credit Risk Assessment: A Case Study (RePEc:hal:journl:hal-00564963)
by Hayette Gatfaoui - Is Corporate Bond Market Performance Connected with Stock Market Performance? (RePEc:hal:journl:hal-00565492)
by Hayette Gatfaoui - Less can be more! (RePEc:hal:journl:hal-00565493)
by Hayette Gatfaoui & Christian Walter - Investigating the Common Latent Component in Stock Returns: Systematic and Systemic Risk Factors (RePEc:hal:journl:hal-00565524)
by Hayette Gatfaoui - Investigating the Dependence Structure between Credit Default Swap Spreads and the U.S. Financial Market (RePEc:hal:journl:hal-00565525)
by Hayette Gatfaoui - Deviation from normality and Sharpe ratio behavior: a brief simulation study (RePEc:hal:journl:hal-00568613)
by Hayette Gatfaoui - Bottom-up Investing (RePEc:hal:journl:hal-00589876)
by Hayette Gatfaoui - Liquids markets (RePEc:hal:journl:hal-00589878)
by Hayette Gatfaoui - Performance Persistence (RePEc:hal:journl:hal-00589880)
by Hayette Gatfaoui - Top down investing (RePEc:hal:journl:hal-00589884)
by Hayette Gatfaoui - Capital Asset Pricing Model (RePEc:hal:journl:hal-00589904)
by Hayette Gatfaoui - How Does Systematic Risk Impact Stocks? A Study on the French Financial Market (RePEc:hal:journl:hal-00589908)
by Hayette Gatfaoui - Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation (RePEc:hal:journl:hal-00589918)
by Hayette Gatfaoui - Investigating the Link between Credit Default Swap Spreads and U.S. Financial Market (RePEc:hal:journl:hal-00589921)
by Hayette Gatfaoui - Model Risk: Caring about Stylized Features of Asset Returns ! (RePEc:hal:journl:hal-00589925)
by Hayette Gatfaoui - Analyzing the link between US Credit default swap spreads and market risk: A 3-D Copula framework (RePEc:hal:journl:hal-00740054)
by Hayette Gatfaoui - Linking U.S. CDS Indexes with the U.S. Stock Market: A Three-Dimensional Copula Approach Integrating Market Price and Market Volatility Channels (RePEc:hal:journl:hal-00760683)
by Hayette Gatfaoui - A correction for classic performance measures (RePEc:hal:journl:hal-00809485)
by Hayette Gatfaoui - Are demographic attributes and firm characteristics drivers of gender diversity? Investigating women's positions on French boards of directors (RePEc:hal:journl:hal-00913360)
by Mehdi Nekhili & Hayette Gatfaoui - The kiss of information theory that captures systemic risk (RePEc:hal:journl:hal-01110712)
by Peter Martey Addo & Philippe de Peretti & Hayette Gatfaoui & Jakob Runge - Linking the gas and oil markets with the stock market: Investigating the U.S. relationship (RePEc:hal:journl:hal-01562989)
by Hayette Gatfaoui - Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas (RePEc:hal:journl:hal-01563015)
by Hayette Gatfaoui - Equity market information and credit risk signaling: A quantile cointegrating regression approach (RePEc:hal:journl:hal-01745285)
by Hayette Gatfaoui - Flickering in Information Spreading Precedes Critical Transitions in Financial Markets (RePEc:hal:journl:hal-02098605)
by Hayette Gatfaoui & Philippe de Peretti - Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures (RePEc:hal:journl:hal-02115626)
by Hayette Gatfaoui - Are Demographic Attributes and Firm Characteristics Drivers of Gender Diversity? Investigating Women’s Positions on French Boards of Directors (RePEc:hal:journl:hal-02380581)
by Mehdi Nekhili & Hayette Gatfaoui - Testing for non-chaoticity under noisy dynamics using the largest Lyapunov exponent (RePEc:hal:journl:hal-02388420)
by Hayette Gatfaoui & Philippe de Peretti - Correction: Resilience for financial networks under a multivariate GARCH model of stock index returns with multiple regimes (RePEc:hal:journl:hal-04546574)
by Roy Cerqueti & Hayette Gatfaoui & Giulia Rotundo - Are critical slowing down indicators useful to detect financial crises? (RePEc:hal:journl:halshs-01339815)
by Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti - Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone (RePEc:hal:journl:halshs-01339826)
by Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti - Are Critical Slowing Down Indicators Useful to Detect Financial Crises? (RePEc:hal:journl:halshs-01505202)
by Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti - How does systematic risk impact stocks ? A study on the French financial market (RePEc:hal:wpaper:hal-00605035)
by Hayette Gatfaoui - Linking U.S. CDS Indexes with the U.S. Stock Market: A Multidimensional Analysis with the Market Price and Market Volatility Channels (RePEc:ito:pchaps:59023)
by Hayette Gatfaoui - Investigating the dependence structure between credit default swap spreads and the U.S. financial market (RePEc:kap:annfin:v:6:y:2010:i:4:p:511-535)
by Hayette Gatfaoui - Are Demographic Attributes and Firm Characteristics Drivers of Gender Diversity? Investigating Women’s Positions on French Boards of Directors (RePEc:kap:jbuset:v:118:y:2013:i:2:p:227-249)
by Mehdi Nekhili & Hayette Gatfaoui - The kiss of information theory that captures systemic risk (RePEc:mse:cesdoc:14069r)
by Peter Martey Addo & Philippe De Peretti & Hayette Gatfaoui & Jakob Runge - Are critical slowing down indicators useful to detect financial crises? (RePEc:mse:cesdoc:16045)
by Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti - Are critical slowing down indicators useful to detect financial crises? (RePEc:mse:cesdoc:16045r)
by Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti - Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone (RePEc:mse:cesdoc:16046)
by Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti - Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone (RePEc:mse:cesdoc:16046r)
by Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti - Correction: Resilience for financial networks under a multivariate GARCH model of stock index returns with multiple regimes (RePEc:spr:annopr:v:335:y:2024:i:1:d:10.1007_s10479-024-05853-5)
by Roy Cerqueti & Hayette Gatfaoui & Giulia Rotundo - Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility (RePEc:uts:rpaper:122)
by Thierry Chauveau & Hayette Gatfaoui - Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation (RePEc:uts:rpaper:123)
by Hayette Gatfaoui - From Fault Tree to Credit Risk Assessment: A Case Study (RePEc:wpa:wuwpem:0509002)
by Hayette GATFAOUI - Risk Disaggregation And Credit Risk Valuation In The Merton Like Way (RePEc:wpa:wuwpfi:0308007)
by Hayette Gatfaoui - Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility (RePEc:wpa:wuwpfi:0404002)
by Gatfaoui Hayette & Chauveau Thierry - How Does Systematic Risk Impact Stocks? A Study On the French Financial Market (RePEc:wpa:wuwpfi:0404003)
by Gatfaoui Hayette - Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation (RePEc:wpa:wuwpfi:0404004)
by Gatfaoui Hayette - How Does Systematic Risk Impact US Credit Spreads? A Copula Study (RePEc:wpa:wuwpri:0308002)
by Hayette Gatfaoui - From Fault Tree to Credit Risk Assessment: An Empirical Attempt (RePEc:wpa:wuwpri:0308003)
by Hayette Gatfaoui - How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market (RePEc:wpa:wuwpri:0308004)
by Hayette Gatfaoui - Risque de Défaut et Risque de Liquidité : Une Etude de Deux Composantes du Spread de Crédit (RePEc:wpa:wuwpri:0308005)
by Hayette Gatfaoui