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Hayette Gatfaoui

Personal Details

First Name:Hayette
Middle Name:
Last Name:Gatfaoui
Suffix:
RePEc Short-ID:pga83
http://www.ieseg.fr/enseignants-et-recherche/enseignant/?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 10

Affiliation

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

Lille, France
http://www.ieseg.fr/

: +33/320545892
+33/320574855
3, rue de la Digue, FR-59000 Lille
RePEc:edi:iesegfr (more details at EDIRC)

(14%) Lille Économie et Management (LEM)

France
http://lem.cnrs.fr/

: 00-33-(0)3-20-41-73-69

Université Lille3, Domaine universitaire du "Pont de bois", BP 60149, Villeneuve d'Ascq Cedex
RePEc:edi:laborfr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. 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.
  2. Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti, 2016. "Are critical slowing down indicators useful to detect financial crises?," Documents de travail du Centre d'Economie de la Sorbonne 16045, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  3. Peter Martey Addo & Philippe De Peretti & Hayette Gatfaoui & Jakob Runge, 2014. "The kiss of information theory that captures systemic risk," Documents de travail du Centre d'Economie de la Sorbonne 14069r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Mar 2015.
  4. 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.
  5. Hayette Gatfaoui, 2012. "A correction for classic performance measures," Post-Print hal-00809485, HAL.
  6. 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.
  7. 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.
  8. Hayette Gatfaoui, 2010. "Model Risk: Caring about Stylized Features of Asset Returns !," Post-Print hal-00589925, HAL.
  9. Hayette Gatfaoui, 2010. "Investigating the Common Latent Component in Stock Returns: Systematic and Systemic Risk Factors," Post-Print hal-00565524, HAL.
  10. Hayette Gatfaoui, 2010. "Capital Asset Pricing Model," Post-Print hal-00589904, HAL.
  11. Hayette Gatfaoui, 2010. "Deviation from normality and Sharpe ratio behavior: a brief simulation study," Post-Print hal-00568613, HAL.
  12. Hayette Gatfaoui, 2010. "Investigating the Dependence Structure between Credit Default Swap Spreads and the U.S. Financial Market," Post-Print hal-00565525, HAL.
  13. Hayette Gatfaoui, 2009. "Bottom-up Investing," Post-Print hal-00589876, HAL.
  14. Hayette Gatfaoui, 2009. "Is Corporate Bond Market Performance Connected with Stock Market Performance?," Post-Print hal-00565492, HAL.
  15. Hayette Gatfaoui, 2009. "Performance Persistence," Post-Print hal-00589880, HAL.
  16. Hayette Gatfaoui, 2009. "Top down investing," Post-Print hal-00589884, HAL.
  17. Hayette Gatfaoui, 2009. "Liquids markets," Post-Print hal-00589878, HAL.
  18. Hayette Gatfaoui & Christian Walter, 2009. "Less can be more!," Post-Print hal-00565493, HAL.
  19. Hayette Gatfaoui, 2008. "Investigating the Link between Credit Default Swap Spreads and U.S. Financial Market," Post-Print hal-00589921, HAL.
  20. Gatfaoui Hayette, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation," Finance 0404004, EconWPA.
  21. Gatfaoui Hayette, 2004. "How Does Systematic Risk Impact Stocks? A Study On the French Financial Market," Finance 0404003, EconWPA.
  22. 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.
  23. Gatfaoui Hayette & Chauveau Thierry, 2004. "Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility," Finance 0404002, EconWPA.
  24. Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact US Credit Spreads? A Copula Study," Risk and Insurance 0308002, EconWPA.
  25. Hayette Gatfaoui, 2003. "Risk Disaggregation And Credit Risk Valuation In The Merton Like Way," Finance 0308007, EconWPA.
  26. Hayette Gatfaoui, 2003. "From Fault Tree to Credit Risk Assessment: An Empirical Attempt," Risk and Insurance 0308003, EconWPA.
  27. Hayette Gatfaoui, 2003. "Risque de Défaut et Risque de Liquidité : Une Etude de Deux Composantes du Spread de Crédit," Risk and Insurance 0308005, EconWPA.

Articles

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. 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.

    Cited by:

    1. Bertrand Candelon & Laurent Ferrara & Marc Joëts, 2018. "Global Financial interconnectedness: A non-linear assessment of the uncertainty channel," EconomiX Working Papers 2018-2, University of Paris Nanterre, EconomiX.

  2. Peter Martey Addo & Philippe De Peretti & Hayette Gatfaoui & Jakob Runge, 2014. "The kiss of information theory that captures systemic risk," Documents de travail du Centre d'Economie de la Sorbonne 14069r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Mar 2015.

    Cited by:

    1. Peter Martey Addo, 2015. "Coupling direction of the European Banking and Insurance sectors using inter-system recurrence networks," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01169516, HAL.

  3. 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.

    Cited by:

    1. Walid Ben-Amar & Millicent Chang & Philip McIlkenny, 2017. "Board Gender Diversity and Corporate Response to Sustainability Initiatives: Evidence from the Carbon Disclosure Project," Journal of Business Ethics, Springer, vol. 142(2), pages 369-383, May.
    2. Amélie Charles & Etienne Redor & Constantin Zopounidis, 2015. "The determinants of the existence of a critical mass of women on boards: A discriminant analysis," Post-Print hal-01188269, HAL.
    3. Nekhili, Mehdi & Nagati, Haithem & Chtioui, Tawhid & Nekhili, Ali, 2017. "Gender-diverse board and the relevance of voluntary CSR reporting," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 81-100.
    4. Xingqiang Du, 2016. "Does Confucianism Reduce Board Gender Diversity? Firm-Level Evidence from China," Journal of Business Ethics, Springer, vol. 136(2), pages 399-436, June.
    5. Hisham Farag & Chris Mallin, 2016. "The Impact of the Dual Board Structure and Board Diversity: Evidence from Chinese Initial Public Offerings (IPOs)," Journal of Business Ethics, Springer, vol. 139(2), pages 333-349, December.
    6. Galbreath, Jeremy, 2017. "Drivers Of Environmental Sustainability In Wine Firms: The Role And Effect Of Women In Leadership," Working Papers 253851, American Association of Wine Economists.
    7. Hamid Mohsin Jadah & Logasvathi A/P Murugiah & Azira Binti Abdul Adzis, 2016. "The Effect of Board Characteristics on Iraqi Banks Performance," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 6(4), pages 205-214, October.
    8. Rey Dang & Anne Françoise Bender & Marie José Scotto, 2014. "Women on French Corporate Board of Directors: How Do They Differ from their Male Counterparts?," Working Papers 2014-54, Department of Research, Ipag Business School.
    9. Amélie Charles & Etienne Redor & Constantin Zopounidis, 2015. "The determinants of the existence of a critical mass of women on boards: A discriminant analysis," Economics Bulletin, AccessEcon, vol. 35(3), pages 1809-1819.
    10. Rey Dang & Duc Khuong Nguyen & Linh-Chi Vo, 2014. "Does the Glass Ceiling Exist? A Longitudinal Study of Women’s Progress on French Corporate Boards," Working Papers 2014-239, Department of Research, Ipag Business School.
    11. Unai Arzubiaga & Txomin Iturralde & Amaia Maseda & Josip Kotlar, 2018. "Entrepreneurial orientation and firm performance in family SMEs: the moderating effects of family, women, and strategic involvement in the board of directors," International Entrepreneurship and Management Journal, Springer, vol. 14(1), pages 217-244, March.
    12. Nina Smith & Pierpaolo Parrotta, 2018. "Why so Few Women on Boards of Directors? Empirical Evidence from Danish Companies in 1998–2010," Journal of Business Ethics, Springer, vol. 147(2), pages 445-467, January.

  4. Hayette Gatfaoui, 2012. "A correction for classic performance measures," Post-Print hal-00809485, HAL.

    Cited by:

    1. Adegbemi Babatunde Onakoya & Adedotun Victor Seyingbo, 2017. "Financial Markets Integration: Appraising the Developed and Emerging Markets Nexus," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 613-624.

  5. Hayette Gatfaoui, 2010. "Model Risk: Caring about Stylized Features of Asset Returns !," Post-Print hal-00589925, HAL.

    Cited by:

    1. 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.

  6. Hayette Gatfaoui, 2010. "Investigating the Dependence Structure between Credit Default Swap Spreads and the U.S. Financial Market," Post-Print hal-00565525, HAL.

    Cited by:

    1. Naifar, Nader, 2012. "Modeling the dependence structure between default risk premium, equity return volatility and the jump risk: Evidence from a financial crisis," Economic Modelling, Elsevier, vol. 29(2), pages 119-131.
    2. 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.
    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.

  7. Gatfaoui Hayette, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation," Finance 0404004, EconWPA.

    Cited by:

    1. Nakashima, Kiyotaka & Saito, Makoto, 2009. "Credit spreads on corporate bonds and the macroeconomy in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 23(3), pages 309-331, September.

  8. Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact US Credit Spreads? A Copula Study," Risk and Insurance 0308002, EconWPA.

    Cited by:

    1. Bargès, Mathieu & Cossette, Hélène & Marceau, Étienne, 2009. "TVaR-based capital allocation with copulas," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 348-361, December.
    2. Cossette, Hélène & Côté, Marie-Pier & Marceau, Etienne & Moutanabbir, Khouzeima, 2013. "Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 560-572.
    3. Mathieu Bargès & Hélène Cossette & Etienne Marceau, 2009. "TVaR-based capital allocation with copulas," Working Papers hal-00431265, HAL.

  9. Hayette Gatfaoui, 2003. "Risk Disaggregation And Credit Risk Valuation In The Merton Like Way," Finance 0308007, EconWPA.

    Cited by:

    1. Hayette Gatfaoui, 2006. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Post-Print hal-00589918, HAL.
    2. Lin, William & Sun, David, 2006. "Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels," MPRA Paper 37288, University Library of Munich, Germany, revised Jun 2007.
    3. Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact US Credit Spreads? A Copula Study," Risk and Insurance 0308002, EconWPA.
    4. Sun, David & Tsai, Shih-Chuan, 2013. "Diversifying Risks in Bond Portfolios: A Cross-border Approach," MPRA Paper 44767, University Library of Munich, Germany, revised 09 Jan 2014.

  10. Hayette Gatfaoui, 2003. "From Fault Tree to Credit Risk Assessment: An Empirical Attempt," Risk and Insurance 0308003, EconWPA.

    Cited by:

    1. Hayette Gatfaoui, 2008. "From Fault Tree to Credit Risk Assessment: A Case Study," Post-Print hal-00564963, HAL.

Articles

  1. 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.

    Cited by:

    1. Bouri, Elie & Chen, Qian & Lien, Donald & Lv, Xin, 2017. "Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 34-48.
    2. Ahmed, Walid M.A., 2017. "On the dynamic interactions between energy and stock markets under structural shifts: Evidence from Egypt," Research in International Business and Finance, Elsevier, vol. 42(C), pages 61-74.

  2. 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.

    Cited by:

    1. Glensk, Barbara & Madlener, Reinhard, 2017. "Evaluating the Enhanced Flexibility of Lignite-Fired Power Plants: A Real Options Analysis," FCN Working Papers 10/2016, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).

  3. 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.

    Cited by:

    1. Afees A. Salisu & Kazeem Isah, 2017. "Modeling the spillovers between stock market and money market in Nigeria," Working Papers 023, Centre for Econometric and Allied Research, University of Ibadan.
    2. Fowowe, Babajide & Shuaibu, Mohammed, 2016. "Dynamic spillovers between Nigerian, South African and international equity markets," International Economics, Elsevier, vol. 148(C), pages 59-80.
    3. Vortelinos, Dimitrios I., 2015. "The Greek equity market in European equity portfolios," Economic Modelling, Elsevier, vol. 49(C), pages 144-153.
    4. Liow, Kim Hiang & Newell, Graeme, 2016. "Real estate global beta and spillovers: An international study," Economic Modelling, Elsevier, vol. 59(C), pages 297-313.

  4. 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. See citations under working paper version above.
  5. 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. See citations under working paper version above.
  6. 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.

    Cited by:

    1. Gatfaoui Hayette & Chauveau Thierry, 2004. "Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility," Finance 0404002, EconWPA.
    2. Fleming, Euan & Villano, Renato & Williamson, Brendon, 2013. "Structuring Exotic Options Contracts on Water to Improve the Efficiency of Resource Allocation in the Australian Water Market," Australasian Agribusiness Perspectives 234295, University of Melbourne, Melbourne School of Land and Environment.
    3. Williamson, Brendon & Villano, Renato A. & Fleming, Euan M., 2008. "Structuring Exotic Options Contracts on Water to Improve the Efficiency of Resource Allocation in the Water Spot Market," 2008 Conference (52nd), February 5-8, 2008, Canberra, Australia 5992, Australian Agricultural and Resource Economics Society.

More information

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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 17 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 (9) 2003-08-31 2003-08-31 2003-08-31 2004-08-16 2005-11-09 2015-03-22 2015-06-05 2016-07-09 2016-12-18. 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 (3) 2016-07-16 2016-12-18 2016-12-18
  6. NEP-NET: Network Economics (2) 2016-07-09 2016-09-25
  7. NEP-ORE: Operations Research (2) 2016-07-09 2016-12-18
  8. NEP-BAN: Banking (1) 2015-03-22
  9. NEP-GER: German Papers (1) 2016-07-16
  10. NEP-MIC: Microeconomics (1) 2003-08-31

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