Hayette Gatfaoui : Citation Profile


Are you Hayette Gatfaoui?

Université Catholique de Lille (86% share)
Lille Économie et Management (LEM) (14% share)

5

H index

2

i10 index

91

Citations

RESEARCH PRODUCTION:

7

Articles

45

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (2002 - 2018). See details.
   Cites by year: 5
   Journals where Hayette Gatfaoui has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 12 (11.65 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pga83
   Updated: 2020-11-21    RAS profile: 2019-04-07    
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Relations with other researchers


Works with:

Billio, Monica (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Hayette Gatfaoui.

Is cited by:

Nekhili, Mehdi (4)

Candelon, Bertrand (3)

Ahmed, Walid (3)

Nakashima, Kiyotaka (3)

Saito, Makoto (3)

Joëts, Marc (3)

Sun, David (3)

Tyrowicz, Joanna (2)

tissaoui, KAIS (2)

Addo, Peter Martey (2)

Goutte, Stéphane (2)

Cites to:

Kilian, Lutz (14)

McAleer, Michael (10)

Bollerslev, Tim (8)

merton, robert (8)

Perron, Pierre (7)

Hamilton, James (7)

Campbell, John (7)

Jarrow, Robert (7)

Engle, Robert (7)

barsky, robert (6)

Sharpe, William (5)

Main data


Where Hayette Gatfaoui has published?


Journals with more than one article published# docs
Economic Modelling2

Working Papers Series with more than one paper published# docs
Post-Print / HAL22
Documents de travail du Centre d'Economie de la Sorbonne / Universit Panthon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne5
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL4
Risk and Insurance / University Library of Munich, Germany4
Finance / University Library of Munich, Germany4
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney2

Recent works citing Hayette Gatfaoui (2020 and 2019)


YearTitle of citing document
2019Critical slowing down associated with critical transition and risk of collapse in cryptocurrency. (2018). Suweis, Samir ; Dodorico, Paolo ; Tu, Chengyi. In: Papers. RePEc:arx:papers:1806.08386.

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2019Global financial interconnectedness: A non-linear assessment of the uncertainty channel. (2019). Ferrara, Laurent ; Candelon, Bertrand ; Joets, Marc. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2019_001.

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2019International implied volatility risk indexes and Saudi stock return-volatility predictabilities. (2019). Azibi, Jamel ; Tissaoui, Kais . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:65-84.

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2019Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures. (2019). Gatfaoui, Hayette. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:132-152.

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2019Commodities risk premia and regional integration in gas-exporting countries. (2019). Guesmi, Khaled ; Goutte, Stéphane ; Chevallier, Julien ; Urom, Christian ; Abid, Ilyes. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:267-276.

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2019Financialization, fundamentals, and the time-varying determinants of US natural gas prices. (2019). Zhang, Dayong ; Broadstock, David Clive ; Wang, Tiantian. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:707-719.

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2020Energy commodity uncertainties and the systematic risk of US industries. (2020). Balli, Faruk ; Naeem, Muhammad Abubakr ; de Bruin, Anne ; Hussain, Syed Jawad. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303846.

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2019Risk transmission between natural gas market and stock markets: portfolio and hedging strategy analysis. (2019). Zhou, Zhongbao ; Lin, Ling ; Jiang, Yong ; Liu, Qing. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:245-254.

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2020Gender equalitys impact on female directors’ efficacy: A multi-country study. (2020). Zhao, Hong ; Tao, Ran ; Belaounia, Samia. In: International Business Review. RePEc:eee:iburev:v:29:y:2020:i:5:s0969593120300822.

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2019The effect of environmental information disclosure and energy product type on the cost of debt: Evidence from energy firms in China. (2019). Richardson, Grant ; Rajapakse, Theja ; Fonseka, Mohan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:159-182.

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2020Corruption and equity market performance: International comparative evidence. (2020). , Walid. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:60:y:2020:i:c:s0927538x1930575x.

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2020Valuation of Decision Flexibility and Strategic Value in Coal Gasification Projects with the Option-To-Switch between Different Outputs. (2020). Kamiski, Jacek ; Grzesiak, Pawe ; Sauga, Piotr W. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:11:p:2826-:d:366411.

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2020Can Crude Oil Serve as a Hedging Asset for Underlying Securities?—Research on the Heterogenous Correlation between Crude Oil and Stock Index. (2020). Zhang, Hai ; Du, Ziqing ; Xu, SA. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:12:p:3139-:d:372639.

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2020The Valuation of the Operational Flexibility of the Energy Investment Project Based on a Gas-Fired Power Plant. (2020). Kryzia, Katarzyna ; Kopacz, Micha. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:7:p:1567-:d:338321.

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2019The Influence of Innovation on Corporate Sustainability in the International Banking Industry. (2019). Ubeda, Fernando ; Aracil, Elisa ; Forcadell, Francisco Javier . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:11:p:3210-:d:238472.

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2020Board and Top Management Social Sustainability Work in Cluster Organizations. (2020). Mickelsson, Kristina ; Sundstrom, Agneta. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:19:p:8115-:d:422600.

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2019La gouvernance salariale: contribution de la représentation des salariés à la gouvernance dentreprise. (2019). Aubert, Nicolas ; Hollandts, Xavier. In: Post-Print. RePEc:hal:journl:hal-01989060.

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2020COVID 19s impact on crude oil and natural gas S&P GS Indexes. (2020). Goutte, Stéphane ; Hchaichi, Rafla ; Guesmi, Khaled ; Aloui, Donia. In: Working Papers. RePEc:hal:wpaper:halshs-02613280.

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2019All on board? New evidence on board gender diversity from a large panel of European firms. (2019). Mazurek, Jakub ; Terjesen, Siri ; Tyrowicz, Joanna. In: IAAEU Discussion Papers. RePEc:iaa:dpaper:201904.

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2019On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review. (2019). Venegas-Martínez, Francisco ; Venegas-Martinez, Francisco ; Carbajal-De, Carolina. In: Panorama Económico. RePEc:ipn:panora:v:15:y:2019:i:29:p:7-38.

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2020All on Board? New Evidence on Board Gender Diversity from a Large Panel of Firms. (2020). Mazurek, Jakub ; Terjesen, Siri ; Tyrowicz, Joanna. In: IZA Discussion Papers. RePEc:iza:izadps:dp12883.

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2020Diversification and portfolio theory: a review. (2020). Koumou, Gilles Boevi. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00352-6.

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2019Empowering Women: The Role of Emancipative Forces in Board Gender Diversity. (2019). Ben-Amar, Walid ; Welzel, Christian ; Francoeur, Claude ; Brieger, Steven A. In: Journal of Business Ethics. RePEc:kap:jbuset:v:155:y:2019:i:2:d:10.1007_s10551-017-3489-3.

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2020Fix the Game, Not the Dame: Restoring Equity in Leadership Evaluations. (2020). Backes-Gellner, Uschi ; Paustian-Underdahl, Samantha ; Morf, Manuela ; Gloor, Jamie L. In: Journal of Business Ethics. RePEc:kap:jbuset:v:161:y:2020:i:3:d:10.1007_s10551-018-3861-y.

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2019On the informational market efficiency of the worldwide sovereign credit default swaps. (2019). Hmaied, Dorra ; Peretti, Christian ; Sabkha, Saker. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:7:d:10.1057_s41260-019-00142-4.

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2020Indebtedness in family-managed firms: the moderating role of female directors on the board. (2020). Dieguez-Soto, J ; Lopez-Delgado, P. In: Review of Managerial Science. RePEc:spr:rvmgts:v:14:y:2020:i:4:d:10.1007_s11846-018-0307-y.

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2019Do country risk and financial uncertainty matter for energy commodity futures?. (2019). Lee, Chien-Chiang ; Lien, Donald. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:3:p:366-383.

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2019International implied volatility risk indexes and Saudi stock return-volatility predictabilities. (2019). Azibi, Jamel ; Tissaoui, Kais . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:65-84.

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2019Ask CARL: Forecasting tail probabilities for energy commodities. (2019). Algieri, Bernardina ; Leccadito, Arturo. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319302786.

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Works by Hayette Gatfaoui:


YearTitleTypeCited
2018Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures In: Papers.
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paper3
2013Translating financial integration into correlation risk: A weekly reportings viewpoint for the volatility behavior of stock markets In: Economic Modelling.
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article5
2017Equity market information and credit risk signaling: A quantile cointegrating regression approach In: Economic Modelling.
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article0
2017Equity market information and credit risk signaling: A quantile cointegrating regression approach.(2017) In: Post-Print.
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2016Linking the gas and oil markets with the stock market: Investigating the U.S. relationship In: Energy Economics.
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2016Linking the gas and oil markets with the stock market: Investigating the U.S. relationship.(2016) In: Post-Print.
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paper
2015Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas In: Energy Policy.
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article6
2015Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas.(2015) In: Post-Print.
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This paper has another version. Agregated cites: 6
paper
2002Systematic risk and idiosyncratic risk: a useful distinction for valuing European options In: Journal of Multinational Financial Management.
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article2
2004From Fault Tree to Credit Risk Assessment: A Case Study In: EERI Research Paper Series.
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2008From Fault Tree to Credit Risk Assessment: A Case Study.(2008) In: Post-Print.
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2005From Fault Tree to Credit Risk Assessment: A Case Study.(2005) In: Econometrics.
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2014The kiss of information theory that captures systemic risk In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2015The kiss of information theory that captures systemic risk.(2015) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2016Are critical slowing down indicators useful to detect financial crises? In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2016Are Critical Slowing Down Indicators Useful to Detect Financial Crises?.(2016) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2016Are critical slowing down indicators useful to detect financial crises?.(2016) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2016Are critical slowing down indicators useful to detect financial crises?.(2016) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper4
2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone.(2016) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone.(2016) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2009Is Corporate Bond Market Performance Connected with Stock Market Performance? In: Post-Print.
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2009Less can be more! In: Post-Print.
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2010Investigating the Common Latent Component in Stock Returns: Systematic and Systemic Risk Factors In: Post-Print.
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2010Investigating the Dependence Structure between Credit Default Swap Spreads and the U.S. Financial Market In: Post-Print.
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2010Investigating the dependence structure between credit default swap spreads and the U.S. financial market.(2010) In: Annals of Finance.
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2010Deviation from normality and Sharpe ratio behavior: a brief simulation study In: Post-Print.
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2009Bottom-up Investing In: Post-Print.
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2009Liquids markets In: Post-Print.
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2009Performance Persistence In: Post-Print.
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2009Top down investing In: Post-Print.
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2010Capital Asset Pricing Model In: Post-Print.
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2007How Does Systematic Risk Impact Stocks? A Study on the French Financial Market In: Post-Print.
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2005How does systematic risk impact stocks ? A study on the French financial market.(2005) In: Working Papers.
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2004How Does Systematic Risk Impact Stocks? A Study On the French Financial Market.(2004) In: Finance.
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2003How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market.(2003) In: Risk and Insurance.
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2006Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Mertons Credit Risk Valuation In: Post-Print.
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2004Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Mertons Credit Risk Valuation.(2004) In: Research Paper Series.
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2004Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation.(2004) In: Finance.
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2008Investigating the Link between Credit Default Swap Spreads and U.S. Financial Market In: Post-Print.
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2010Model Risk: Caring about Stylized Features of Asset Returns ! In: Post-Print.
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2011Analyzing the link between US Credit default swap spreads and market risk: A 3-D Copula framework In: Post-Print.
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2011Linking U.S. CDS Indexes with the U.S. Stock Market: A Three-Dimensional Copula Approach Integrating Market Price and Market Volatility Channels In: Post-Print.
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2012A correction for classic performance measures In: Post-Print.
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2013Are demographic attributes and firm characteristics drivers of gender diversity? Investigating womens positions on French boards of directors In: Post-Print.
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2013Are Demographic Attributes and Firm Characteristics Drivers of Gender Diversity? Investigating Women’s Positions on French Boards of Directors.(2013) In: Journal of Business Ethics.
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Linking U.S. CDS Indexes with the U.S. Stock Market: A Multidimensional Analysis with the Market Price and Market Volatility Channels In: Chapters.
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2004Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility In: Research Paper Series.
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2004Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility.(2004) In: Finance.
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2003Risk Disaggregation And Credit Risk Valuation In The Merton Like Way In: Finance.
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2003How Does Systematic Risk Impact US Credit Spreads? A Copula Study In: Risk and Insurance.
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2003From Fault Tree to Credit Risk Assessment: An Empirical Attempt In: Risk and Insurance.
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2003Risque de Défaut et Risque de Liquidité : Une Etude de Deux Composantes du Spread de Crédit In: Risk and Insurance.
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