Hayette Gatfaoui : Citation Profile

Are you Hayette Gatfaoui?

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

6

H index

3

i10 index

168

Citations

RESEARCH PRODUCTION:

8

Articles

55

Papers

1

Chapters

RESEARCH ACTIVITY:

   17 years (2002 - 2019). See details.
   Cites by year: 9
   Journals where Hayette Gatfaoui has often published
   Relations with other researchers
   Recent citing documents: 35.    Total self citations: 14 (7.69 %)

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   Permalink: http://citec.repec.org/pga83
   Updated: 2023-11-04    RAS profile: 2020-12-09    
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Relations with other researchers

Works with:

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

Is cited by:

Ahmed, Walid (6)

Nekhili, Mehdi (4)

Nakashima, Kiyotaka (4)

Terjesen, Siri (4)

Tiwari, Aviral (4)

Saito, Makoto (4)

Guesmi, Khaled (3)

Candelon, Bertrand (3)

Sun, David (3)

Tyrowicz, Joanna (3)

Goutte, Stéphane (3)

Cites to:

Kilian, Lutz (15)

merton, robert (9)

Bollerslev, Tim (8)

Campbell, John (8)

Hamilton, James (7)

Engle, Robert (7)

barsky, robert (7)

Jarrow, Robert (7)

Perron, Pierre (7)

Billio, Monica (6)

Sharpe, William (5)

Main data

Where Hayette Gatfaoui has published?

Journals with more than one article published# docs
Energy Economics2
Economic Modelling2

Working Papers Series with more than one paper published# docs
Post-Print / HAL30
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL6
Documents de travail du Centre d'Economie de la Sorbonne / Universit Panthon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne5
Finance / University Library of Munich, Germany4
Risk and Insurance / University Library of Munich, Germany4
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney2

Recent works citing Hayette Gatfaoui (2023 and 2022)

YearTitle of citing document
2022Cointegration and ARDL specification between the Dubai crude oil and the US natural gas market. (2022). Stavroyiannis, Stavros. In: Papers. RePEc:arx:papers:2206.03278.

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2023Maintaining human wellbeing as socio-environmental systems undergo regime shifts. (2023). Watson, James R ; McManus, Lisa C ; Krueger, Elisabeth H ; Tilman, Andrew R. In: Papers. RePEc:arx:papers:2309.04578.

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2023Do the Profitability, the Volume of Assets, and Equity of Public Enterprises Have Any Role in Local Authorities Gender and Age Policy? – A Case Study of Belgrade. (2023). Bojicic, Radica ; Knezevic, Goranka ; Pavlovic, Vladan. In: Economic Studies journal. RePEc:bas:econst:y:2023:i:2:p:172-191.

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2023Do Methane Gas Prices Interact with Stock Indices?. (2023). Wainberg, Dorin ; Iuga, Iulia Cristina ; Hada, Teodor ; Barbuta-Misu, Nicoleta. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2023:i:2:p:90-100.

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2022Temporal networks in the analysis of financial contagion. (2022). Vouldis, Angelos ; Nocciola, Luca ; Franch, Fabio. In: Working Paper Series. RePEc:ecb:ecbwps:20222667.

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2022Comparing the asymmetric efficiency of dirty and clean energy markets pre and during COVID-19. (2022). Tiwari, Aviral Kumar ; Farid, Saqib ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:548-562.

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2022Financial contagion drivers during recent global crises. (2022). Perote, Javier ; Cortes, Lina M ; Pineda, Julian. In: Economic Modelling. RePEc:eee:ecmode:v:117:y:2022:i:c:s0264999322003042.

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2022The commodity futures historical basis in trading strategy and portfolio investment. (2022). Yang, Baochen ; Pu, Yingjian. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321006204.

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2022Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness. (2022). Tiwari, Aviral ; Roubaud, David ; Asadi, Mehrad. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001372.

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2022Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain. (2022). Kang, Sanghoon ; Lucey, Brian M ; Hasan, Mudassar ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322003036.

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2023Scrutinizing commodity markets by quantile spillovers: A case study of the Australian economy. (2023). Roubaud, David ; Tiwari, Aviral Kumar ; Roudari, Soheil ; Asadi, Mehrad. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988322006119.

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2023Financial technology stocks, green financial assets, and energy markets: A quantile causality and dependence analysis. (2023). Abakah, Emmanuel ; Ntowgyamfi, Matthew ; Le, Tn-Lan ; Shao, Xuefeng ; Aikins, Emmanuel Joel ; Tiwari, Aviral Kumar. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988322006272.

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2023Natural gas and the utility sector nexus in the U.S.: Quantile connectedness and portfolio implications. (2023). Do, Hung ; Thanh, Thao Thac ; Pham, Son Duy. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001305.

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2022Risk spread in multiple energy markets: Extreme volatility spillover network analysis before and during the COVID-19 pandemic. (2022). Chen, Jin ; Zhou, Wei. In: Energy. RePEc:eee:energy:v:256:y:2022:i:c:s0360544222014839.

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2022Understanding the linkage-dependence structure between oil and gas markets: A new perspective. (2022). Lu, Quanying ; Dong, Jichang ; Chai, Jian ; Wei, Zhaohao. In: Energy. RePEc:eee:energy:v:257:y:2022:i:c:s0360544222016589.

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2023Portfolios with return and volatility prediction for the energy stock market. (2023). Zhang, Chong ; Wang, Weizhong ; Ma, Yilin. In: Energy. RePEc:eee:energy:v:270:y:2023:i:c:s0360544223003523.

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2023The valuation impact of gender quotas in the boardroom: Evidence from the European markets. (2023). Pathan, Shams ; Fernandez-Mendez, Carlos. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000739.

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2022Board gender diversity and firm risk in UK private firms. (2022). Roberts, Helen ; Biswas, Pallab Kumar ; Sattar, Mahnoor. In: Global Finance Journal. RePEc:eee:glofin:v:54:y:2022:i:c:s1044028322000680.

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2022Institutional voids, liability of origin, and presence of women in TMT of emerging market multinationals. (2022). Saeed, Abubakr ; Riaz, Hammad ; Baloch, Muhammad Saad. In: International Business Review. RePEc:eee:iburev:v:31:y:2022:i:4:s0969593121001591.

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2022Women directors and market valuation: What are the “Wonder Woman” attributes in banking?. (2022). Alharbi, Rana ; Elnahass, Marwa ; McLaren, Josie. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000890.

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2023Doing more with more: Women on the board and firm employment. (2023). Khalid, Sharif ; Tob-Ogu, Abiye ; Areneke, Geofry ; Tunyi, Abongeh A. In: Journal of Business Research. RePEc:eee:jbrese:v:154:y:2023:i:c:s0148296322008505.

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2022Early warning signals of financial crises using persistent homology. (2022). Razak, Fatimah Abdul ; Ismail, Munira ; Salmi, Mohd ; Alias, Mohd Almie. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:586:y:2022:i:c:s0378437121007329.

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2022On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis. (2022). Ahmed, Walid. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:83:y:2022:i:c:p:135-151.

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2023A novel hybrid strategy for crude oil future hedging based on the combination of three minimum-CVaR models. (2023). Xie, Wenzhao ; Zheng, Chengli ; Yao, Yinhong ; Su, Kuangxi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:35-50.

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2022Underrepresentation of female CEOs in China: The role of culture, market forces, and foreign experience of directors. (2022). Ling, Leng ; Liang, Quanxi ; Liu, Haiming. In: Research in International Business and Finance. RePEc:eee:riibaf:v:63:y:2022:i:c:s0275531922001799.

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2022Critical Masses and Gender Diversity in Voluntary Sport Leadership: The Role of Economic and Social State-Level Factors. (2022). Thormann, Tim F ; Kerwin, Shannon ; Lesch, Lara ; Wicker, Pamela. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:10:p:6208-:d:819646.

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2022Bringing the Social Back into Sustainability: Why Integrative Negotiation Matters. (2022). Shijaku, Elio ; Elgoibar, Patricia. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:11:p:6699-:d:827960.

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2023Drawdown risk measures for asset portfolios with high frequency data. (2023). Petroni, Filippo ; Masala, Giovanni. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:2:d:10.1007_s10436-022-00421-y.

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2023Best-Case Scenario Robust Portfolio: Evidence from China Stock Market. (2023). Xian, Liang ; Wang, Lihua ; Tian, Jingsong ; Li, Jinjun ; Zhao, Guiyu ; Chen, Chen. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:2:d:10.1007_s10690-022-09375-7.

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2023Do Gas Price and Uncertainty Indices Forecast Crude Oil Prices? Fresh Evidence Through XGBoost Modeling. (2023). Nsaibi, Mariem ; Hakimi, Abdelaziz ; Zaghdoudi, Taha ; Tissaoui, Kais. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10305-y.

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2022Board Gender Diversity and Corporate Response to Cyber Risk: Evidence from Cybersecurity Related Disclosure. (2022). Smaili, Nadia ; Radu, Camelia. In: Journal of Business Ethics. RePEc:kap:jbuset:v:177:y:2022:i:2:d:10.1007_s10551-020-04717-9.

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2022Understanding rural–urban transitions in the Global South through peri-urban turbulence. (2022). Cooper, Sarah ; Brewer, Tim ; Bundhoo, Dilshaad ; Welivita, Indunee ; Lynch, Kenneth ; Vicario, Dolores Rey ; Willcock, Simon ; Venkatesh, Kongala ; Hutchings, Paul ; Shackleton, Charlie M ; Parker, Alison ; Mishra, Prajna Paramita ; Mekala, Sneha ; Keech, Daniel. In: Nature Sustainability. RePEc:nat:natsus:v:5:y:2022:i:11:d:10.1038_s41893-022-00920-w.

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Status of Women in Corporate Governance in the Private Sector Companies in India. (2023). Ekbote, Nivedita ; Kaul, Natashaa ; Gupta, Kirti ; Deshpande, Amruta ; Raut, Rajesh. In: Indian Journal of Corporate Governance. RePEc:sae:ijcgvn:v:16:y:2023:i:1:p:94-107.

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2022Portfolio optimization of financial commodities with energy futures. (2022). Kirikkaleli, Dervis ; Luo, Gong-Li ; Ahmad, Ferhana ; Wang, LU ; Umar, Muhammad. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04283-x.

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2022Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model. (2022). Liu, Yezheng ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:3:p:407-421.

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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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2019Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures.(2019) In: Energy Economics.
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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) In: Post-Print.
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2013Translating financial integration into correlation risk: A weekly reportings viewpoint for the volatility behavior of stock markets In: Economic Modelling.
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2017Equity market information and credit risk signaling: A quantile cointegrating regression approach In: Economic Modelling.
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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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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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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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2002Systematic risk and idiosyncratic risk: a useful distinction for valuing European options In: Journal of Multinational Financial Management.
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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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2014The kiss of information theory that captures systemic risk.(2014) In: Post-Print.
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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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2019Flickering in Information Spreading Precedes Critical Transitions in Financial Markets In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2019Flickering in Information Spreading Precedes Critical Transitions in Financial Markets.(2019) In: Post-Print.
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2019Testing for non-chaoticity under noisy dynamics using the largest Lyapunov exponent In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper1
2019Testing for non-chaoticity under noisy dynamics using the largest Lyapunov exponent.(2019) In: Post-Print.
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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: Post-Print.
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2016Are Critical Slowing Down Indicators Useful to Detect Financial Crises?.(2016) In: Post-Print.
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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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2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone.(2016) In: Post-Print.
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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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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: 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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