Recherche - Archive ouverte HAL Accéder directement au contenu

Filtrer vos résultats

32 résultats
Page :
triés par
Image document

Are critical slowing down indicators useful to detect financial crises?

 Hayette Gatfaoui , Isabelle Nagot , Philippe de Peretti
2016
Autre publication scientifique halshs-01339815v2

Linking the gas and oil markets with the stock market: Investigating the U.S. relationship

 Hayette Gatfaoui
Energy Economics, 2016, 53, pp.5--16. ⟨10.1016/j.eneco.2015.05.021⟩
Article dans une revue hal-01562989v1

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
Image document

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
Image document

Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures

 Hayette Gatfaoui
Energy Economics, 2019, 80, pp.132-152. ⟨10.1016/j.eneco.2018.12.013⟩
Article dans une revue hal-02115626v1

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

Testing for non-chaoticity under noisy dynamics using the largest Lyapunov exponent

 Hayette Gatfaoui , Philippe de Peretti
Soft Computing, 2019, 24, pp.8617-8626. ⟨10.1007/s00500-019-04595-y⟩
Article dans une revue hal-02388420v1

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

Performance Persistence

 Hayette Gatfaoui
Encyclopedia of Alternative Investments, CRC Press, pp. 357, 2009
Chapitre d'ouvrage hal-00589880v1

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

Top down investing

 Hayette Gatfaoui
Encyclopedia of Alternative Investments, CRC Press, pp. 481, 2009
Chapitre d'ouvrage hal-00589884v1

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

Equity market information and credit risk signaling: A quantile cointegrating regression approach

 Hayette Gatfaoui
Economic Modelling, 2017, 64, pp.48 - 59. ⟨10.1016/j.econmod.2017.03.012⟩
Article dans une revue hal-01745285v1

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

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

Correction: Resilience for financial networks under a multivariate GARCH model of stock index returns with multiple regimes

 Roy Cerqueti , Hayette Gatfaoui , Giulia Rotundo
Annals of Operations Research, 2024, 335 (1), pp.637-637. ⟨10.1007/s10479-024-05853-5⟩
Article dans une revue hal-04546574v1

Bottom-up Investing

 Hayette Gatfaoui
Encyclopedia of Alternative Investments, CRC Press, pp. 49-50, 2009
Chapitre d'ouvrage hal-00589876v1

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

Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas

 Hayette Gatfaoui
Energy Policy, 2015, 87, pp.270--283. ⟨10.1016/j.enpol.2015.09.010⟩
Article dans une revue hal-01563015v1

Are demographic attributes and firm characteristics drivers of gender diversity? Investigating women's positions on French boards of directors

 Mehdi Nekhili , Hayette Gatfaoui
Journal of Business Ethics, 2013, Vol. 118 (n° 2), pp. 227-249. ⟨10.1007/s10551-012-1576-z⟩
Article dans une revue istex hal-00913360v1

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

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

Liquids markets

 Hayette Gatfaoui
Encyclopedia of Alternative Investments, CRC Press, pp. 271-272, 2009
Chapitre d'ouvrage hal-00589878v1

Capital Asset Pricing Model

 Hayette Gatfaoui
Encyclopaedia of Quantitative Finance, John Wiley & Sons, 2010, ⟨10.1002/9780470061602.eqf03001⟩
Chapitre d'ouvrage hal-00589904v1

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

How does systematic risk impact stocks ? A study on the French financial market

 Hayette Gatfaoui
2005
Rapport hal-00605035v1

Flickering in Information Spreading Precedes Critical Transitions in Financial Markets

 Hayette Gatfaoui , Philippe de Peretti
Scientific Reports, 2019, 9 (1), ⟨10.1038/s41598-019-42223-9⟩
Article dans une revue hal-02098605v1

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

Are Demographic Attributes and Firm Characteristics Drivers of Gender Diversity? Investigating Women’s Positions on French Boards of Directors

 Mehdi Nekhili , Hayette Gatfaoui
Journal of Business Ethics, 2013, 118 (2), pp.227-249. ⟨10.1007/s10551-012-1576-z⟩
Article dans une revue istex hal-02380581v1

Are Critical Slowing Down Indicators Useful to Detect Financial Crises?

 Hayette Gatfaoui , Isabelle Nagot , Philippe de Peretti
Monica Billio; Loriana Pelizzon; Roberto Savona. Systemic Risk Tomography: Signals, Measurement and Transmission Channels, ISTE Press Ltd; Elsevier Ltd, pp.73-92, 2016, 9780081011768. ⟨10.2139/ssrn.2861258⟩
Chapitre d'ouvrage halshs-01505202v1
Page :