Details about Hayette Gatfaoui

Access statistics for papers by Hayette Gatfaoui.

Last updated 2024-08-09. Update your information in the RePEc Author Service.

Short-id: pga83

Working Papers

2024

1. Correction: Resilience for financial networks under a multivariate GARCH model of stock index returns with multiple regimes
   Post-Print, HAL
   See also Journal Article Correction: Resilience for financial networks under a multivariate GARCH model of stock index returns with multiple regimes, Annals of Operations Research, Springer (2024) (2024)

2019

2. Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures
   Post-Print, HAL View citations (21)
   Also in Papers, arXiv.org (2018) View citations (2)
   See also Journal Article Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures, Energy Economics, Elsevier (2019) View citations (21) (2019)
3. Flickering in Information Spreading Precedes Critical Transitions in Financial Markets
   Post-Print, HAL View citations (6)
   Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2019) View citations (8)
4. Testing for non-chaoticity under noisy dynamics using the largest Lyapunov exponent
   Post-Print, HAL View citations (1)
   Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2019) View citations (1)

2017

5. Equity market information and credit risk signaling: A quantile cointegrating regression approach
   Post-Print, HAL
   See also Journal Article Equity market information and credit risk signaling: A quantile cointegrating regression approach, Economic Modelling, Elsevier (2017) View citations (1) (2017)

2016

6. Are Critical Slowing Down Indicators Useful to Detect Financial Crises?
   Post-Print, HAL View citations (2)
   Also in Post-Print, HAL (2016) View citations (2)
   Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2016) View citations (2)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2016) View citations (2)
   Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2016) View citations (2)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2016) View citations (2)
7. Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone
   Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (7)
   Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2016) View citations (7)
   Post-Print, HAL (2016) View citations (5)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2016) View citations (5)
8. Linking the gas and oil markets with the stock market: Investigating the U.S. relationship
   Post-Print, HAL View citations (39)
   See also Journal Article Linking the gas and oil markets with the stock market: Investigating the U.S. relationship, Energy Economics, Elsevier (2016) View citations (41) (2016)

2015

9. Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas
   Post-Print, HAL View citations (5)
   See also Journal Article Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas, Energy Policy, Elsevier (2015) View citations (5) (2015)
10. The kiss of information theory that captures systemic risk
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (4)
    Also in Post-Print, HAL (2014)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014)

2013

11. Are Demographic Attributes and Firm Characteristics Drivers of Gender Diversity? Investigating Women’s Positions on French Boards of Directors
    Post-Print, HAL View citations (66)
    Also in Post-Print, HAL (2013) View citations (57)
    See also Journal Article Are Demographic Attributes and Firm Characteristics Drivers of Gender Diversity? Investigating Women’s Positions on French Boards of Directors, Journal of Business Ethics, Springer (2013) View citations (74) (2013)

2012

12. A correction for classic performance measures
    Post-Print, HAL View citations (2)

2011

13. Analyzing the link between US Credit default swap spreads and market risk: A 3-D Copula framework
    Post-Print, HAL
14. Linking U.S. CDS Indexes with the U.S. Stock Market: A Three-Dimensional Copula Approach Integrating Market Price and Market Volatility Channels
    Post-Print, HAL View citations (1)

2010

15. Capital Asset Pricing Model
    Post-Print, HAL
16. Deviation from normality and Sharpe ratio behavior: a brief simulation study
    Post-Print, HAL View citations (1)
17. Investigating the Common Latent Component in Stock Returns: Systematic and Systemic Risk Factors
    Post-Print, HAL
18. Investigating the Dependence Structure between Credit Default Swap Spreads and the U.S. Financial Market
    Post-Print, HAL View citations (7)
    See also Journal Article Investigating the dependence structure between credit default swap spreads and the U.S. financial market, Annals of Finance, Springer (2010) View citations (7) (2010)
19. Model Risk: Caring about Stylized Features of Asset Returns !
    Post-Print, HAL View citations (1)

2009

20. Bottom-up Investing
    Post-Print, HAL
21. Is Corporate Bond Market Performance Connected with Stock Market Performance?
    Post-Print, HAL
22. Liquids markets
    Post-Print, HAL
23. Performance Persistence
    Post-Print, HAL
24. Top down investing
    Post-Print, HAL

2008

25. From Fault Tree to Credit Risk Assessment: A Case Study
    Post-Print, HAL
    Also in Econometrics, University Library of Munich, Germany (2005)
    EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels (2004)
26. Investigating the Link between Credit Default Swap Spreads and U.S. Financial Market
    Post-Print, HAL

2007

27. How Does Systematic Risk Impact Stocks? A Study on the French Financial Market
    Post-Print, HAL View citations (1)
    Also in Working Papers, HAL (2005)
    Finance, University Library of Munich, Germany (2004) View citations (1)
    Risk and Insurance, University Library of Munich, Germany (2003)

2006

28. Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation
    Post-Print, HAL View citations (3)
    Also in Finance, University Library of Munich, Germany (2004) View citations (1)
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2004) View citations (5)

2004

29. Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    Also in Finance, University Library of Munich, Germany (2004)

2003

30. From Fault Tree to Credit Risk Assessment: An Empirical Attempt
    Risk and Insurance, University Library of Munich, Germany View citations (2)
31. How Does Systematic Risk Impact US Credit Spreads? A Copula Study
    Risk and Insurance, University Library of Munich, Germany View citations (4)
32. Risk Disaggregation And Credit Risk Valuation In The Merton Like Way
    Finance, University Library of Munich, Germany View citations (5)
33. Risque de Défaut et Risque de Liquidité: Une Etude de Deux Composantes du Spread de Crédit
    Risk and Insurance, University Library of Munich, Germany

Journal Articles

2024

1. Correction: Resilience for financial networks under a multivariate GARCH model of stock index returns with multiple regimes
   Annals of Operations Research, 2024, 335, (1), 637-637
   See also Working Paper Correction: Resilience for financial networks under a multivariate GARCH model of stock index returns with multiple regimes, Post-Print (2024) (2024)

2019

2. Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures
   Energy Economics, 2019, 80, (C), 132-152 View citations (21)
   See also Working Paper Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures, Post-Print (2019) View citations (21) (2019)

2017

3. Equity market information and credit risk signaling: A quantile cointegrating regression approach
   Economic Modelling, 2017, 64, (C), 48-59 View citations (1)
   See also Working Paper Equity market information and credit risk signaling: A quantile cointegrating regression approach, Post-Print (2017) (2017)

2016

4. Linking the gas and oil markets with the stock market: Investigating the U.S. relationship
   Energy Economics, 2016, 53, (C), 5-16 View citations (41)
   See also Working Paper Linking the gas and oil markets with the stock market: Investigating the U.S. relationship, Post-Print (2016) View citations (39) (2016)

2015

5. Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas
   Energy Policy, 2015, 87, (C), 270-283 View citations (5)
   See also Working Paper Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas, Post-Print (2015) View citations (5) (2015)

2013

6. Are Demographic Attributes and Firm Characteristics Drivers of Gender Diversity? Investigating Women’s Positions on French Boards of Directors
   Journal of Business Ethics, 2013, 118, (2), 227-249 View citations (74)
   See also Working Paper Are Demographic Attributes and Firm Characteristics Drivers of Gender Diversity? Investigating Women’s Positions on French Boards of Directors, Post-Print (2013) View citations (66) (2013)
7. Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets
   Economic Modelling, 2013, 30, (C), 776-791 View citations (8)

2010

8. Investigating the dependence structure between credit default swap spreads and the U.S. financial market
   Annals of Finance, 2010, 6, (4), 511-535 View citations (7)
   See also Working Paper Investigating the Dependence Structure between Credit Default Swap Spreads and the U.S. Financial Market, Post-Print (2010) View citations (7) (2010)
9. Special Issue for the 6 th International Conference on Applied Financial Economics, Samos, Greece, 2-4 July 2009
   American Journal of Economics and Business Administration, 2010, 2, (4), 339-340

2003

10. Risk Disaggregation and Credit Risk Valuation in a Merton Framework
    Journal of Risk Finance, 2003, 4, (3), 27-42

2002

11. Systematic risk and idiosyncratic risk: a useful distinction for valuing European options
    Journal of Multinational Financial Management, 2002, 12, (4-5), 305-321 View citations (4)

Chapters

Undated

1. Linking U.S. CDS Indexes with the U.S. Stock Market: A Multidimensional Analysis with the Market Price and Market Volatility Channels
   IntechOpen