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Details about Hayette Gatfaoui

E-mail:
Homepage:http://www.ieseg.fr/enseignants-et-recherche/enseignant/?id=2443
Phone:00 33 (0)1 55 91 10 10
Postal address:Associate Professor, IÉSEG School of Management, Paris campus, Finance, Audit & Control Department, Socle de La Grande Arche, 1 Parvis de La Défense, 92044 Paris La Défense
Workplace:IÉSEG School of Management, Université Catholique de Lille (Catholic University of Lille), (more information at EDIRC)
Lille Économie et Management (LEM), (more information at EDIRC)

Access statistics for papers by Hayette Gatfaoui.

Last updated 2019-04-07. Update your information in the RePEc Author Service.

Short-id: pga83


Jump to Journal Articles Chapters

Working Papers

2018

  1. Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures
    Papers, arXiv.org Downloads

2017

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

2016

  1. Are Critical Slowing Down Indicators Useful to Detect Financial Crises?
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)
    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 (1)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2016) Downloads View citations (1)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2016) Downloads View citations (1)
  2. Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (3)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2016) Downloads View citations (3)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2016) View citations (3)
  3. Linking the gas and oil markets with the stock market: Investigating the U.S. relationship
    Post-Print, HAL View citations (7)
    See also Journal Article in Energy Economics (2016)

2015

  1. Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas
    Post-Print, HAL View citations (2)
    See also Journal Article in Energy Policy (2015)
  2. 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 Downloads View citations (3)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014) Downloads

2013

  1. Are demographic attributes and firm characteristics drivers of gender diversity? Investigating women's positions on French boards of directors
    Post-Print, HAL View citations (22)
    See also Journal Article in Journal of Business Ethics (2013)

2012

  1. A correction for classic performance measures
    Post-Print, HAL View citations (1)

2011

  1. Analyzing the link between US Credit default swap spreads and market risk: A 3-D Copula framework
    Post-Print, HAL
  2. 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

2010

  1. Capital Asset Pricing Model
    Post-Print, HAL
  2. Deviation from normality and Sharpe ratio behavior: a brief simulation study
    Post-Print, HAL View citations (1)
  3. Investigating the Common Latent Component in Stock Returns: Systematic and Systemic Risk Factors
    Post-Print, HAL
  4. Investigating the Dependence Structure between Credit Default Swap Spreads and the U.S. Financial Market
    Post-Print, HAL View citations (4)
    See also Journal Article in Annals of Finance (2010)
  5. Model Risk: Caring about Stylized Features of Asset Returns !
    Post-Print, HAL View citations (1)

2009

  1. Bottom-up Investing
    Post-Print, HAL
  2. Is Corporate Bond Market Performance Connected with Stock Market Performance?
    Post-Print, HAL
  3. Less can be more!
    Post-Print, HAL
  4. Liquids markets
    Post-Print, HAL
  5. Performance Persistence
    Post-Print, HAL
  6. Top down investing
    Post-Print, HAL

2008

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

2007

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

2006

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

2004

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

2003

  1. From Fault Tree to Credit Risk Assessment: An Empirical Attempt
    Risk and Insurance, University Library of Munich, Germany Downloads View citations (2)
  2. How Does Systematic Risk Impact US Credit Spreads? A Copula Study
    Risk and Insurance, University Library of Munich, Germany Downloads View citations (3)
  3. Risk Disaggregation And Credit Risk Valuation In The Merton Like Way
    Finance, University Library of Munich, Germany Downloads View citations (5)
  4. Risque de Défaut et Risque de Liquidité: Une Etude de Deux Composantes du Spread de Crédit
    Risk and Insurance, University Library of Munich, Germany Downloads

Journal Articles

2017

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

2016

  1. Linking the gas and oil markets with the stock market: Investigating the U.S. relationship
    Energy Economics, 2016, 53, (C), 5-16 Downloads View citations (6)
    See also Working Paper (2016)

2015

  1. 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 Downloads View citations (2)
    See also Working Paper (2015)

2013

  1. 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 Downloads View citations (27)
    See also Working Paper (2013)
  2. 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 Downloads View citations (5)

2010

  1. Investigating the dependence structure between credit default swap spreads and the U.S. financial market
    Annals of Finance, 2010, 6, (4), 511-535 Downloads View citations (5)
    See also Working Paper (2010)

2002

  1. Systematic risk and idiosyncratic risk: a useful distinction for valuing European options
    Journal of Multinational Financial Management, 2002, 12, (4-5), 305-321 Downloads 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 Downloads
 
Page updated 2020-02-24