Hayette Gatfaoui

IESEG School of Management (Paris campus)

Associate Professor

Socle de la Grande Arche

1 Parvis de la Defense

Puteaux, Paris 92800

France

http://www.ieseg.fr/enseignants-et-recherche/enseignant/?id=2443

IESEG School of Management and LEM member - UMR 9221

Associate Professor

Socle de la Grande Arche

1 Parvis de La Defense

Paris La Defense, Paris La Defense 92044

France

http://www.ieseg.fr/enseignants-et-recherche/enseignant/?id=2443

Lille Economy and Management (LEM), UMR 9221

LEM Member

Lille

France

http://lem.cnrs.fr/

SCHOLARLY PAPERS

25

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Top 36,708

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2,542

SSRN CITATIONS
Rank 46,561

SSRN RANKINGS

Top 46,561

in Total Papers Citations

8

CROSSREF CITATIONS

10

Scholarly Papers (25)

1.

Credit Risk and Market Risk: Analyzing U.S. Credit Spreads

Number of pages: 58 Posted: 14 May 2009
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)
Downloads 350 (158,071)
Citation 6

Abstract:

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Credit spreads, Credit risk, Flexible least squares, Kalman filter, Latent factor, Market risk, Systematic risk

2.

Estimating Fundamental Sharpe Ratios: A Kalman Filter Approach

Number of pages: 38 Posted: 15 Sep 2016
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)
Downloads 318 (175,759)

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Extreme Value Copula, Kalman Filter, GARCH, Latent factor, Pure Performance, Sharpe ratio, Value-at-Risk

3.

Credit Default Swap Spreads and U.S. Financial Market: Investigating Some Dependence Structure

Published as follows: « Investigating The Dependence Structure Between Credit Default Swap Spreads and the U.S. Financial Market. », Gatfaoui H., ANNALS OF FINANCE, 2010, vol. 6, n° 4, p. 511-535., 20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 28 Posted: 12 Jun 2007 Last Revised: 13 Apr 2017
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)
Downloads 232 (241,041)
Citation 3

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Archimedean copulas, concordance measures, credit risk, market risk, risk management, tail dependence

4.

Is Corporate Bond Market Performance Driven by Stock Market Performance?

Bankers, Markets & Investors, 2009
Number of pages: 30 Posted: 12 Jun 2007 Last Revised: 22 Jul 2009
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)
Downloads 199 (278,065)
Citation 1

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Corporate bonds, Flexible least squares, Kalman filter, Latent factor, Systematic risk, Total return

5.

Deviation from Normality and Sharpe Ratio Behavior: A Brief Simulation Study

Proceedings of the 6th International Conference on Applied Financial Economics (AFE), Samos (Greece), July 2-5, 2009, Investment Management and Financial Innovations, Vol. 7, No. 4, pp. 95-107, 2010
Number of pages: 19 Posted: 28 Jul 2009 Last Revised: 26 Oct 2011
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)
Downloads 185 (296,879)
Citation 3

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asset return, kurtosis, performance, Sharpe ratio, skewness

6.

A Correction for Classic Performance Measures

21st Australasian Finance and Banking Conference 2008 Paper, Chinese Business Review, Forthcoming
Number of pages: 50 Posted: 20 Aug 2008 Last Revised: 26 Oct 2011
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)
Downloads 183 (299,800)
Citation 1

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Hedge fund, Kurtosis, Performance, Sharpe ratio, Skewness, Treynor ratio

7.

Are Credit Default Swap Spreads Market Driven?

Published as follows: “MODEL RISK: CARING ABOUT STYLIZED FEATURES OF ASSET RETURNS! How does equity market influence credit default swap market?”, In Gregoriou Greg N., Hoppe Christian, Wehn Carsten (Eds), Chapter 5, The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management , 21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 19 Posted: 21 Aug 2008 Last Revised: 13 Apr 2017
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)
Downloads 164 (329,965)

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Correlation, credit risk, flexible least squares regression, market risk

8.

Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone

CES Working Paper 2016.46
Number of pages: 30 Posted: 31 Oct 2016 Last Revised: 28 Nov 2016
Monica Billio, Monica Billio, Lorenzo Frattarolo, Hayette Gatfaoui, Hayette Gatfaoui and Philippe de Peretti
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, European Commission-Joint Research Centre, IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 156 (344,193)
Citation 3

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Causal Network, Topology, Custering, Flickering, Desynchronisation, Phase transitions

9.

Less Can Be More!

Journal of Money, Investment and Banking, 2009
Number of pages: 30 Posted: 14 Mar 2006 Last Revised: 22 Jul 2009
Christian Pierre Walter, Hayette Gatfaoui, Hayette Gatfaoui and Hubert Rodarie
Ecole des Hautes Etudes en Sciences Sociales (EHESS), IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus) and Groupe SMA BTP
Downloads 153 (349,847)

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asset allocation, asset selection, concentration, excess return, market timing, performance, stock-picking

10.

Is There a Latent Factor in Stock Returns?

Published as follows: Investigating the Common Latent Component in Stock Returns: Systematic and Systemic Risk Factors, Gatfaoui H., Bankers, Markets & Investors, 2010, nº 107, July-August, p. 20-44.
Number of pages: 35 Posted: 17 May 2006 Last Revised: 13 Apr 2017
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)
Downloads 152 (351,766)

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CAPM, idiosyncratic risk, Kalman filter, market risk, stock returns, systematic risk

11.

Are Critical Slowing Down Indicators Useful to Detect Financial Crises?

Systemic Risk Tomography: Signals, Measurement and Transmission Channels, edited by Monica Billio, Loriana Pelizzon and Roberto Savona, Iste Press - Elsevier, Elsevier Science & Technology, Chapter 3, p. 73-94, December 2016.
Number of pages: 28 Posted: 04 Nov 2016 Last Revised: 13 Apr 2017
Hayette Gatfaoui, Hayette Gatfaoui, Isabelle Nagot and Philippe de Peretti
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus), Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 145 (365,424)

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Autocorrelation, Crisis, Critical slowing down, Phase transition, Skewness, Variance

12.

Capturing Long-Term Coupling and Short-Term Decoupling Crude Oil and Natural Gas Prices

Number of pages: 41 Posted: 22 Nov 2016 Last Revised: 28 Nov 2016
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)
Downloads 99 (485,901)
Citation 2

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Coupling, Crude Oil, Decoupling, Natural Gas, State Space Modeling, Structural Breaks

13.

Is the U.S. Natural Gas Market Integrated or Segmented? a Dynamic Study of Regional Natural Gas Prices

Number of pages: 3 Posted: 02 May 2019
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)
Downloads 60 (647,702)

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Distance Measure, Fundamental Gas Price, Market Integration, Market Segmentation, Natural Gas, Unobserved Component Model

14.

Investigating Linkages between U.S. CDS Spreads and Both Equity Market Price and Equity Market Volatility Channels: A Quantile Cointegrating Regression Approach

Number of pages: 47 Posted: 16 Mar 2017 Last Revised: 26 Apr 2017
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)
Downloads 58 (658,379)
Citation 2

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CDS, Cointegration, Credit Risk, Fat Tail, Implied Volatility, Market Risk, Quantile Regression, Regime Shifts, Risk Management, Risk Signal, Skewness

15.

Diversifying Portfolios of U.S. Stocks with Crude Oil and Natural Gas: A Regime-Dependent Optimization with Several Risk Measures

Forthcoming in Energy Economics
Number of pages: 29 Posted: 23 Aug 2018 Last Revised: 21 Dec 2018
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)
Downloads 54 (680,802)
Citation 1

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Copula, Energy Commodity, Portfolio Optimization, Stock Market, Tail Risk

16.

On the Long-Term Coupling and Short-Term Decoupling of Crude Oil and Natural Gas Prices

Number of pages: 38 Posted: 12 Mar 2021
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)
Downloads 34 (816,418)

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Coupling and decoupling, Energy, Heteroskedasticity, State space modelling, Structural breaks, Uncertainty

17.

Flickering in Information Spreading Precedes Critical Transitions in Financial Markets

Scientific Reports 9, Article number: 5671 (2019) (Springer Nature) DOI/10.1038/s41598-019-42223-9
Posted: 22 Apr 2019
Hayette Gatfaoui, Hayette Gatfaoui and Philippe de Peretti
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)

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physical sciences, physics, statistical physics, thermodynamics and nonlinear dynamics, complex networks

18.

Equity Market Information and Credit Risk Signaling: A Quantile Cointegrating Regression Approach

Economic Modelling, Vol. 64, August 2017
Posted: 24 Aug 2018
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)

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CDS, Cointegration, Credit Risk, Fat Tail, Implied Volatility, Market Risk, Quantile Regression, Regime Shifts, Risk Management, Risk Signal, Skewness

19.

Linking the Gas and Oil Markets with the Stock Market: Investigating the U.S. Relationship

Energy Economics, Volume 53, January 2016, Pages 5–16, Energy Markets
Posted: 31 Oct 2016
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)

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Copula, Dependence structure, Energy commodity, Stock market, Tail risk

20.

Pricing the (European) Option to Switch between Two Energy Sources: An Application to Crude Oil and Natural Gas

Energy Policy, Volume 87, December 2015, Pages 270–283
Posted: 31 Oct 2016
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)

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21.

Sharpe Ratios and Their Fundamental Components: An Empirical Study

Posted: 14 Oct 2009
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)

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Sharpe ratio, performance, skewness, kurtosis

22.

From Fault Tree to Credit Risk Assessment: A Case Study

International Research Journal of Finance and Economics, Issue 14, pp. 379-401, March 2008
Posted: 28 Jul 2009
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)

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credit risk, default probability, failure rate, fault tree, reliability, survival

23.

Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation

ADVANCES IN RISK MANAGEMENT, Chapter 6, pp. 107-131, Palgrave-MacMillan, Greg N. Gregoriou, ed., 2007
Posted: 18 Jul 2009 Last Revised: 29 Jul 2009
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)

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Credit risk, credit spread, idiosyncratic risk, stochastic volatility, systematic risk

24.

How Does Systematic Risk Impact Stocks? A Study on the French Financial Market

ASSET ALLOCATION AND INTERNATIONAL INVESTMENTS, Greg N. Gregoriou, ed., Chapter 10, Palgrave-MacMillan, 2007, pp. 183-213, EFMA 2004 Basel Meetings Paper
Posted: 14 Jun 2004 Last Revised: 22 Jul 2009
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)

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Call pricing, Granger causality, implied volatility, leptokurtic, systematic risk

25.

Risk Disaggregation and Credit Risk Valuation in the Mertonlike Way

Journal of Risk Finance, Vol. 4, No. 3, pp. 27-42, 2003, EFMA 2002 London Meetings
Posted: 22 Mar 2002 Last Revised: 22 Jul 2009
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)

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option pricing, credit risk, default probability

Other Papers (2)

Total Downloads: 49
1.

Diversifying Portfolios of U.S. Stocks with Crude Oil and Natural Gas: A Regime-Dependent Optimization with Several Risk Measures (Version 2 - Revision 1)

Forthcoming in Energy Economics
Number of pages: 38 Posted: 15 Nov 2018 Last Revised: 23 Dec 2018
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)
Downloads 30 (566,517)

Abstract:

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Copula, Energy commodity, Portfolio optimization, Stock market, Tail risk

2.

Translating Financial Integration into Correlation Risk: A Weekly Reporting’s Viewpoint for the Volatility Behavior of Stock Markets

Economic Modelling, Vol. 30, 2013, 23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 15 Posted: 27 Jul 2010 Last Revised: 13 Apr 2017
Hayette Gatfaoui and Hayette Gatfaoui
IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus)
Downloads 19

Abstract:

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Conditional correlation, Contagion risk, Multivariate BEKK, Leverage effect, Systematic risk, Volatility spillover