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Hayette Gatfaoui
Hayette Gatfaoui
Associate professor, Professeur associé, IESEG School of Management
Adresse e-mail validée de ieseg.fr - Page d'accueil
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Are demographic attributes and firm characteristics drivers of gender diversity? Investigating women’s positions on French boards of directors
M Nekhili, H Gatfaoui
Journal of business ethics 118, 227-249, 2013
4222013
Linking the gas and oil markets with the stock market: Investigating the US relationship
H Gatfaoui
Energy Economics 53, 5-16, 2016
832016
Diversifying portfolios of US stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures
H Gatfaoui
Energy Economics 80, 132-152, 2019
432019
Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets
H Gatfaoui
Economic Modelling 30, 776-791, 2013
312013
Flickering in information spreading precedes critical transitions in financial markets
H Gatfaoui, P de Peretti
Scientific reports 9 (1), 5671, 2019
262019
Systematic risk and idiosyncratic risk: a useful distinction for valuing European options
T Chauveau, H Gatfaoui
Journal of multinational financial management 12 (4-5), 305-321, 2002
202002
How does systematic risk impact US credit spreads? A copula study
H Gatfaoui
Bankers Markets & Investors 77, 5-12, 2005
192005
Risk disaggregation and credit risk valuation in a Merton framework
H Gatfaoui
The Journal of Risk Finance 4 (3), 27-42, 2003
182003
Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas
H Gatfaoui
Energy Policy 87, 270-283, 2015
142015
Investigating the dependence structure between credit default swap spreads and the US financial market
H Gatfaoui
Annals of Finance 6, 511-535, 2010
132010
Equity market information and credit risk signaling: a quantile cointegrating regression approach
H Gatfaoui
Economic Modelling 64, 48-59, 2017
122017
Idiosyncratic risk, systematic risk and stochastic volatility: an implementation of Merton’s credit risk valuation
H Gatfaoui
Advances in Risk Management, 107-131, 2006
122006
Are critical slowing down indicators useful to detect financial crises?
H Gatfaoui, I Nagot, P De Peretti
Systemic Risk Tomography, 73-93, 2017
112017
Clustering in dynamic causal networks as a measure of systemic risk on the euro zone
M Billio, L Frattarolo, H Gatfaoui, P De Peretti
CES Working Paper 2016.46, 2016
112016
Deviation from normality and Sharpe ratio behavior: A brief simulation study
H Gatfaoui
Investment Management and Financial Innovations, 106-118, 2010
102010
Capturing long-term coupling and short-term decoupling crude oil and natural gas prices
H Gatfaoui
Available at SSRN 2872780, 2016
82016
A correction for classic performance measures
H Gatfaoui
21st Australasian Finance and Banking Conference, 2008
82008
From fault tree to credit risk assessment: A case study
H Gatfaoui
International Research Journal of Finance and Economics 14, 379-401, 2008
72008
Une histoire du risque de défaut
H Gatfaoui
Editions Publibook, 2008
72008
Credit risk and market risk: Analyzing us credit spreads
H Gatfaoui
Available at SSRN 1404640, 2008
62008
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