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Idiosyncratic risk, systematic risk and stochastic volatility : an implementation of Merton's credit risk valuation

Gatfaoui, Hayette - 2004

Persistent link: https://www.econbiz.de/10002253937

Idiosyncratic risk, systematic risk and stochastic volatility : an implementation of Merton's credit risk valuation

Gatfaoui, Hayette - In: Advances in risk management, (pp. 107-131). 2007

Persistent link: https://www.econbiz.de/10003401593

Linking the gas and oil markets with the stock market : investigating the U.S. relationship

Gatfaoui, Hayette - In: Energy economics 53 (2016), pp. 5-16

Persistent link: https://www.econbiz.de/10011660425

Equity market information and credit risk signaling : a quantile cointegrating regression approach

Gatfaoui, Hayette - In: Economic modelling 64 (2017), pp. 48-59

Persistent link: https://www.econbiz.de/10011756467

Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets

Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791

Persistent link: https://www.econbiz.de/10009708799

Diversifying portfolios of U.S. stocks with crude oil and natural gas : a regime-dependent optimization with several risk measures

Gatfaoui, Hayette - In: Energy economics 80 (2019), pp. 132-152

Persistent link: https://www.econbiz.de/10012172340

Peut-on exploiter le lien statistique entre cours et volumes? : Le cas de quatre bourses de valeurs

Chauveau, Thierry - 1997

Persistent link: https://www.econbiz.de/10000962614

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

Gatfaoui, Hayette - 2017

We investigate the behavior of daily aggregate U.S. CDS spreads during almost six years. Existing linkages between credit and equity markets advocate the use of market price and volatility channels as explanatory factors. In particular, the evolution of CDS spreads is analyzed along with the...

Persistent link: https://www.econbiz.de/10012961085

La volatilité des marchés augmente-t-elle?

Chauveau, Thierry (contributor) - In: Revue d'économie financière : revue trimestrielle de … (2004) 74, pp. 17-44

Persistent link: https://www.econbiz.de/10002514668

Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders

Chauveau, Thierry; Subbotin, Alexander - In: Journal of economic dynamics & control 37 (2013) 5, pp. 1040-1065

Persistent link: https://www.econbiz.de/10009738270