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Are critical slowing down indicators useful to detect financial crises?
Hayette Gatfaoui
,
Isabelle Nagot
,
Philippe de Peretti
2016
Autre publication scientifique
halshs-01339815v2
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Linking the gas and oil markets with the stock market: Investigating the U.S. relationship
Hayette Gatfaoui
Article dans une revue
hal-01562989v1
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Linking U.S. CDS Indexes with the U.S. Stock Market: A Three-Dimensional Copula Approach Integrating Market Price and Market Volatility Channels
Hayette Gatfaoui
Quantitative Methods in Finance Conference 2011, Dec 2011, Sydney, Australia
Communication dans un congrès
hal-00760683v1
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Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone
Monica Billio
,
Lorenzo Frattarolo
,
Hayette Gatfaoui
,
Philippe de Peretti
2016
Autre publication scientifique
halshs-01339826v2
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A correction for classic performance measures
Hayette Gatfaoui
Chinese Business Review, 2012, Vol. 11 (Issue 1), pp 1-28
Article dans une revue
hal-00809485v1
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Performance Persistence
Hayette Gatfaoui
Encyclopedia of Alternative Investments, CRC Press, pp. 357, 2009
Chapitre d'ouvrage
hal-00589880v1
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How Does Systematic Risk Impact Stocks? A Study on the French Financial Market
Hayette Gatfaoui
Asset Allocation and International Investments, Palgrave Macmillan, pp. 183-213, 2007
Chapitre d'ouvrage
hal-00589908v1
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Top down investing
Hayette Gatfaoui
Encyclopedia of Alternative Investments, CRC Press, pp. 481, 2009
Chapitre d'ouvrage
hal-00589884v1
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Investigating the Link between Credit Default Swap Spreads and U.S. Financial Market
Hayette Gatfaoui
The Credit Derivatives Handbook: Global Perspectives, Innovations and Market Drivers, McGraw-Hill, pp. 183-202, 2008
Chapitre d'ouvrage
hal-00589921v1
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Equity market information and credit risk signaling: A quantile cointegrating regression approach
Hayette Gatfaoui
Article dans une revue
hal-01745285v1
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Is Corporate Bond Market Performance Connected with Stock Market Performance?
Hayette Gatfaoui
Bankers Markets & Investors : an academic & professional review, 2009, n° 102, pp.46-59
Article dans une revue
hal-00565492v1
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Investigating the Common Latent Component in Stock Returns: Systematic and Systemic Risk Factors
Hayette Gatfaoui
Bankers Markets & Investors : an academic & professional review, 2010, n°107, pp. 20-44
Article dans une revue
hal-00565524v1
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Bottom-up Investing
Hayette Gatfaoui
Encyclopedia of Alternative Investments, CRC Press, pp. 49-50, 2009
Chapitre d'ouvrage
hal-00589876v1
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Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation
Hayette Gatfaoui
Advances in Risk Management, Palgrave Macmillan, 2006
Chapitre d'ouvrage
hal-00589918v1
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Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas
Hayette Gatfaoui
Article dans une revue
hal-01563015v1
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Are demographic attributes and firm characteristics drivers of gender diversity? Investigating women's positions on French boards of directors
Mehdi Nekhili
,
Hayette Gatfaoui
Article dans une revue
istex
hal-00913360v1
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Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures
Hayette Gatfaoui
Article dans une revue
hal-02115626v1
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Deviation from normality and Sharpe ratio behavior: a brief simulation study
Hayette Gatfaoui
Investment Management and Financial Innovations, 2010, vol.7 (n°4), pp.106-118
Article dans une revue
hal-00568613v1
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Testing for non-chaoticity under noisy dynamics using the largest Lyapunov exponent
Hayette Gatfaoui
,
Philippe de Peretti
Article dans une revue
hal-02388420v1
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Analyzing the link between US Credit default swap spreads and market risk: A 3-D Copula framework
Hayette Gatfaoui
8th International Conference on Applied Financial Economics (AFE - QASS), Jun 2011, Samos, Greece
Communication dans un congrès
hal-00740054v1
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Liquids markets
Hayette Gatfaoui
Encyclopedia of Alternative Investments, CRC Press, pp. 271-272, 2009
Chapitre d'ouvrage
hal-00589878v1
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Capital Asset Pricing Model
Hayette Gatfaoui
Chapitre d'ouvrage
hal-00589904v1
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From Fault Tree to Credit Risk Assessment: A Case Study
Hayette Gatfaoui
International Research Journal of Finance and Economics, 2008, vol. 14, pp.379-401
Article dans une revue
hal-00564963v1
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How does systematic risk impact stocks ? A study on the French financial market
Hayette Gatfaoui
2005
Rapport
hal-00605035v1
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Flickering in Information Spreading Precedes Critical Transitions in Financial Markets
Hayette Gatfaoui
,
Philippe de Peretti
Article dans une revue
hal-02098605v1
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Less can be more!
Hayette Gatfaoui
,
Christian Walter
Journal of Money Investment and Banking, 2009, Special Issue, n°9, pp. 61-79
Article dans une revue
hal-00565493v1
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Model Risk: Caring about Stylized Features of Asset Returns !
Hayette Gatfaoui
The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets, McGraw-Hill, pp. 75-96, 2010
Chapitre d'ouvrage
hal-00589925v1
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Are Demographic Attributes and Firm Characteristics Drivers of Gender Diversity? Investigating Women’s Positions on French Boards of Directors
Mehdi Nekhili
,
Hayette Gatfaoui
Article dans une revue
istex
hal-02380581v1
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Are Critical Slowing Down Indicators Useful to Detect Financial Crises?
Hayette Gatfaoui
,
Isabelle Nagot
,
Philippe de Peretti
Chapitre d'ouvrage
halshs-01505202v1
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The kiss of information theory that captures systemic risk
Peter Martey Addo
,
Philippe de Peretti
,
Hayette Gatfaoui
,
Jakob Runge
2014
Autre publication scientifique
hal-01110712v2
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