Hayette GATFAOUI
- IÉSEG School Of Management [Puteaux]
- Lille économie management - UMR 9221 (LEM)
Présentation
Compétences
Publications
Publications
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Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone2016 |
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Are critical slowing down indicators useful to detect financial crises?2016 |
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The kiss of information theory that captures systemic risk2014 |
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Are Critical Slowing Down Indicators Useful to Detect Financial Crises?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⟩ |
Capital Asset Pricing ModelEncyclopaedia of Quantitative Finance, John Wiley & Sons, 2010, ⟨10.1002/9780470061602.eqf03001⟩ |
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Model Risk: Caring about Stylized Features of Asset Returns !The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets, McGraw-Hill, pp. 75-96, 2010 |
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Performance PersistenceEncyclopedia of Alternative Investments, CRC Press, pp. 357, 2009 |
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Top down investingEncyclopedia of Alternative Investments, CRC Press, pp. 481, 2009 |
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Liquids marketsEncyclopedia of Alternative Investments, CRC Press, pp. 271-272, 2009 |
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Bottom-up InvestingEncyclopedia of Alternative Investments, CRC Press, pp. 49-50, 2009 |
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Investigating the Link between Credit Default Swap Spreads and U.S. Financial MarketThe Credit Derivatives Handbook: Global Perspectives, Innovations and Market Drivers, McGraw-Hill, pp. 183-202, 2008 |
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How Does Systematic Risk Impact Stocks? A Study on the French Financial MarketAsset Allocation and International Investments, Palgrave Macmillan, pp. 183-213, 2007 |
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Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk ValuationAdvances in Risk Management, Palgrave Macmillan, 2006 |
Analyzing the link between US Credit default swap spreads and market risk: A 3-D Copula framework8th International Conference on Applied Financial Economics (AFE - QASS), Jun 2011, Samos, Greece |
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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 ChannelsQuantitative Methods in Finance Conference 2011, Dec 2011, Sydney, Australia |