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Hayette Gatfaoui

This is information that was supplied by Hayette Gatfaoui in registering through RePEc. If you are Hayette Gatfaoui, you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name:Hayette
Middle Name:
Last Name:Gatfaoui
RePEc Short-ID:pga83
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
Lille, France

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

: 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)
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  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.
  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.
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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