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Hayette Gatfaoui

Personal Details

First Name:Hayette
Middle Name:
Last Name:Gatfaoui
Suffix:
RePEc Short-ID:pga83
[This author has chosen not to make the email address public]
https://www.ieseg.fr/en/faculty-and-research/professor/?id=2443
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
00 33 (0)1 55 91 10

Affiliation

(14%) Lille Économie et Management (LEM)

Lille, France
http://lem.univ-lille.fr/
RePEc:edi:laborfr (more details at EDIRC)

(86%) IESEG School of Management
Université Catholique de Lille

Lille, France
http://www.ieseg.fr/
RePEc:edi:iesegfr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Roy Cerqueti & Hayette Gatfaoui & Giulia Rotundo, 2024. "Correction: Resilience for financial networks under a multivariate GARCH model of stock index returns with multiple regimes," Post-Print hal-04546574, HAL.
  2. Hayette Gatfaoui & Philippe de Peretti, 2019. "Flickering in Information Spreading Precedes Critical Transitions in Financial Markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02098605, HAL.
  3. Hayette Gatfaoui & Philippe de Peretti, 2019. "Testing for non-chaoticity under noisy dynamics using the largest Lyapunov exponent," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02388420, HAL.
  4. Hayette Gatfaoui, 2018. "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Papers 1811.02382, arXiv.org.
  5. Hayette Gatfaoui, 2017. "Equity market information and credit risk signaling: A quantile cointegrating regression approach," Post-Print hal-01745285, HAL.
  6. Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016. "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01339826, HAL.
  7. Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are critical slowing down indicators useful to detect financial crises?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01339815, HAL.
  8. Hayette Gatfaoui, 2016. "Linking the gas and oil markets with the stock market: Investigating the U.S. relationship," Post-Print hal-01562989, HAL.
  9. Hayette Gatfaoui, 2015. "Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas," Post-Print hal-01563015, HAL.
  10. Peter Martey Addo & Philippe de Peretti & Hayette Gatfaoui & Jakob Runge, 2014. "The kiss of information theory that captures systemic risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01110712, HAL.
  11. Mehdi Nekhili & Hayette Gatfaoui, 2013. "Are demographic attributes and firm characteristics drivers of gender diversity? Investigating women's positions on French boards of directors," Post-Print hal-00913360, HAL.
  12. Hayette Gatfaoui, 2012. "A correction for classic performance measures," Post-Print hal-00809485, HAL.
  13. Hayette Gatfaoui, 2011. "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-00760683, HAL.
  14. Hayette Gatfaoui, 2011. "Analyzing the link between US Credit default swap spreads and market risk: A 3-D Copula framework," Post-Print hal-00740054, HAL.
  15. Hayette Gatfaoui, 2010. "Model Risk: Caring about Stylized Features of Asset Returns !," Post-Print hal-00589925, HAL.
  16. Hayette Gatfaoui, 2010. "Investigating the Common Latent Component in Stock Returns: Systematic and Systemic Risk Factors," Post-Print hal-00565524, HAL.
  17. Hayette Gatfaoui, 2010. "Capital Asset Pricing Model," Post-Print hal-00589904, HAL.
  18. Hayette Gatfaoui, 2010. "Deviation from normality and Sharpe ratio behavior: a brief simulation study," Post-Print hal-00568613, HAL.
  19. Hayette Gatfaoui, 2010. "Investigating the Dependence Structure between Credit Default Swap Spreads and the U.S. Financial Market," Post-Print hal-00565525, HAL.
  20. Hayette Gatfaoui, 2009. "Bottom-up Investing," Post-Print hal-00589876, HAL.
  21. Hayette Gatfaoui, 2009. "Is Corporate Bond Market Performance Connected with Stock Market Performance?," Post-Print hal-00565492, HAL.
  22. Hayette Gatfaoui, 2009. "Performance Persistence," Post-Print hal-00589880, HAL.
  23. Hayette Gatfaoui, 2009. "Top down investing," Post-Print hal-00589884, HAL.
  24. Hayette Gatfaoui, 2009. "Liquids markets," Post-Print hal-00589878, HAL.
  25. Hayette Gatfaoui & Christian Walter, 2009. "Less can be more!," Post-Print hal-00565493, HAL.
  26. Hayette Gatfaoui, 2008. "Investigating the Link between Credit Default Swap Spreads and U.S. Financial Market," Post-Print hal-00589921, HAL.
  27. Hayette Gatfaoui, 2007. "How Does Systematic Risk Impact Stocks? A Study on the French Financial Market," Post-Print hal-00589908, HAL.
  28. Hayette Gatfaoui, 2006. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Post-Print hal-00589918, HAL.
  29. Thierry Chauveau & Hayette Gatfaoui, 2004. "Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility," Research Paper Series 122, Quantitative Finance Research Centre, University of Technology, Sydney.
  30. Hayette Gatfaoui, 2004. "From Fault Tree to Credit Risk Assessment: A Case Study," EERI Research Paper Series EERI_RP_2004_05, Economics and Econometrics Research Institute (EERI), Brussels.
  31. Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact US Credit Spreads? A Copula Study," Risk and Insurance 0308002, University Library of Munich, Germany.
  32. Hayette Gatfaoui, 2003. "Risk Disaggregation And Credit Risk Valuation In The Merton Like Way," Finance 0308007, University Library of Munich, Germany.
  33. Hayette Gatfaoui, 2003. "From Fault Tree to Credit Risk Assessment: An Empirical Attempt," Risk and Insurance 0308003, University Library of Munich, Germany.
  34. Hayette Gatfaoui, 2003. "Risque de Défaut et Risque de Liquidité : Une Etude de Deux Composantes du Spread de Crédit," Risk and Insurance 0308005, University Library of Munich, Germany.

Articles

  1. Roy Cerqueti & Hayette Gatfaoui & Giulia Rotundo, 2024. "Correction: Resilience for financial networks under a multivariate GARCH model of stock index returns with multiple regimes," Annals of Operations Research, Springer, vol. 335(1), pages 637-637, April.
  2. Gatfaoui, Hayette, 2019. "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Energy Economics, Elsevier, vol. 80(C), pages 132-152.
  3. Gatfaoui, Hayette, 2017. "Equity market information and credit risk signaling: A quantile cointegrating regression approach," Economic Modelling, Elsevier, vol. 64(C), pages 48-59.
  4. Gatfaoui, Hayette, 2016. "Linking the gas and oil markets with the stock market: Investigating the U.S. relationship," Energy Economics, Elsevier, vol. 53(C), pages 5-16.
  5. Gatfaoui, Hayette, 2015. "Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas," Energy Policy, Elsevier, vol. 87(C), pages 270-283.
  6. Gatfaoui, Hayette, 2013. "Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets," Economic Modelling, Elsevier, vol. 30(C), pages 776-791.
  7. Mehdi Nekhili & Hayette Gatfaoui, 2013. "Are Demographic Attributes and Firm Characteristics Drivers of Gender Diversity? Investigating Women’s Positions on French Boards of Directors," Journal of Business Ethics, Springer, vol. 118(2), pages 227-249, December.
  8. Hayette Gatfaoui, 2010. "Investigating the dependence structure between credit default swap spreads and the U.S. financial market," Annals of Finance, Springer, vol. 6(4), pages 511-535, October.
  9. Alexandros E. Milionis & Hayette Gatfaoui, 2010. "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, Science Publications, vol. 2(4), pages 339-340, November.
  10. Hayette Gatfaoui, 2003. "Risk Disaggregation and Credit Risk Valuation in a Merton Framework," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 4(3), pages 27-42, February.
  11. Chauveau, Thierry & Gatfaoui, Hayette, 2002. "Systematic risk and idiosyncratic risk: a useful distinction for valuing European options," Journal of Multinational Financial Management, Elsevier, vol. 12(4-5), pages 305-321.

Chapters

  1. Hayette Gatfaoui, 2012. "Linking U.S. CDS Indexes with the U.S. Stock Market: A Multidimensional Analysis with the Market Price and Market Volatility Channels," Chapters, in: Jan Emblemsvag (ed.), Risk Management for the Future - Theory and Cases, IntechOpen.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 19 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (11) 2003-08-31 2003-08-31 2003-08-31 2004-08-16 2005-11-09 2015-03-22 2015-06-05 2016-07-09 2016-09-18 2016-12-18 2018-11-19. Author is listed
  2. NEP-FIN: Finance (6) 2003-08-31 2004-04-11 2004-04-11 2004-04-11 2004-06-02 2004-08-16. Author is listed
  3. NEP-CFN: Corporate Finance (5) 2003-08-31 2004-04-11 2004-04-11 2004-04-11 2015-03-22. Author is listed
  4. NEP-FMK: Financial Markets (5) 2003-08-31 2003-08-31 2004-04-11 2004-06-02 2005-11-09. Author is listed
  5. NEP-EEC: European Economics (4) 2016-07-16 2016-09-18 2016-12-18 2016-12-18
  6. NEP-NET: Network Economics (3) 2016-07-09 2016-09-18 2016-09-25
  7. NEP-ORE: Operations Research (3) 2016-07-09 2016-09-18 2016-12-18
  8. NEP-BAN: Banking (1) 2015-03-22
  9. NEP-ENE: Energy Economics (1) 2018-11-19
  10. NEP-GER: German Papers (1) 2016-07-16
  11. NEP-MIC: Microeconomics (1) 2003-08-31
  12. NEP-SOG: Sociology of Economics (1) 2016-09-18

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