Hayette GATFAOUI

Identifiants chercheurs

IdHAL :

hayette-gatfaoui

ORCID :

0000-0001-7491-6650

IdRef :

069826269

ResearcherID :

http://www.researcherid.com/rid/P-8744-2014

Présentation

https://www.ieseg.fr/en/faculty-and-research/professor/?id=2443

https://orcid.org/0000-0001-7491-6650

Publications

Article dans une revue (17)

A meta-analysis of supervised and unsupervised machine learning algorithms and their application to active portfolio management Ayari Salah,Hayette Gatfaoui Expert Systems with Applications, 2025, 271 (C), pp.126611. ⟨10.1016/j.eswa.2025.126611⟩ Article dans une revue hal-05105526v1
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
On the relationship between U.S. crude oil and natural gas for economic resilience prospects Hayette Gatfaoui Annals of Operations Research, 2024, ⟨10.1007/s10479-024-06411-9⟩ Article dans une revue hal-05117265v1
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
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
Flickering in Information Spreading Precedes Critical Transitions in Financial Markets Hayette Gatfaoui,Philippe de Peretti Scientific Reports, 2019, 9 (1), pp.5671. ⟨10.1038/s41598-019-42223-9⟩ Article dans une revue hal-02098605v1
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 istex hal-01745285v1
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
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 istex 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
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
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
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
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
Investigating the Dependence Structure between Credit Default Swap Spreads and the U.S. Financial Market Hayette Gatfaoui Annals of Finance, 2010, Vol. 6, pp. 511-535. ⟨10.1007/s10436-009-0139-5⟩ Article dans une revue istex hal-00565525v1
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
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

Autre publication scientifique (3)

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
Are critical slowing down indicators useful to detect financial crises? Hayette Gatfaoui,Isabelle Nagot,Philippe de Peretti 2016 Autre publication scientifique halshs-01339815v2
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

Chapitre d'ouvrage (10)

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
Capital Asset Pricing Model Hayette Gatfaoui Encyclopaedia of Quantitative Finance, John Wiley & Sons, 2010, ⟨10.1002/9780470061602.eqf03001⟩ Chapitre d'ouvrage hal-00589904v1
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
Liquids markets Hayette Gatfaoui Encyclopedia of Alternative Investments, CRC Press, pp. 271-272, 2009 Chapitre d'ouvrage hal-00589878v1
Performance Persistence Hayette Gatfaoui Encyclopedia of Alternative Investments, CRC Press, pp. 357, 2009 Chapitre d'ouvrage hal-00589880v1
Top down investing Hayette Gatfaoui Encyclopedia of Alternative Investments, CRC Press, pp. 481, 2009 Chapitre d'ouvrage hal-00589884v1
Bottom-up Investing Hayette Gatfaoui Encyclopedia of Alternative Investments, CRC Press, pp. 49-50, 2009 Chapitre d'ouvrage hal-00589876v1
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
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
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

Communication dans un congrès (2)

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
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

Rapport (1)

How does systematic risk impact stocks ? A study on the French financial market Hayette Gatfaoui 2005 Rapport hal-00605035v1