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Details about Sofiane Aboura

E-mail:
Homepage:http://urlz.fr/2S1j
Phone:+33 +1 49 40 33 23
Postal address:Université de Paris XIII Sorbonne Paris Cité UFR Economie et Gestion 99 avenue J.B. Clément 93430 Villetaneuse - France

Access statistics for papers by Sofiane Aboura.

Last updated 2017-05-14. Update your information in the RePEc Author Service.

Short-id: pab28


Jump to Journal Articles

Working Papers

2017

  1. New Developments on the Modigliani-Miller Theorem
    Post-Print, HAL

2016

  1. Does Aggregate Uncertainty Explain Size and Value Anomalies?
    Post-Print, HAL
  2. Individual investors and stock returns
    Post-Print, HAL
  3. Oil vs. gasoline: The dark side of volatility and taxation
    Post-Print, HAL
    See also Journal Article in Research in International Business and Finance (2017)
  4. Option Pricing Under Skewness and Kurtosis Using a Cornish-Fisher Expansion
    Post-Print, HAL
    See also Journal Article in Journal of Futures Markets (2016)
  5. Should employers pay their employees better? An asset pricing approach
    Papers, arXiv.org Downloads
  6. Spikes and crashes in the oil market
    Post-Print, HAL
    See also Journal Article in Research in International Business and Finance (2016)
  7. The place of gold in the cross-market dependencies
    Post-Print, HAL View citations (1)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2016)

2015

  1. Cross-market volatility index with Factor-DCC
    Post-Print, HAL
    See also Journal Article in International Review of Financial Analysis (2015)
  2. Disentangling Crashes from Tail Events
    Post-Print, HAL
    Also in Working Papers, HAL (2010) Downloads

    See also Journal Article in International Journal of Finance & Economics (2015)
  3. Do banks satisfy the Modigliani-Miller theorem?
    Post-Print, HAL
    See also Journal Article in Economics Bulletin (2015)
  4. Extreme asymmetric volatility: Stress and aggregate asset prices
    Post-Print, HAL View citations (2)
  5. Les effets controversés de la régulation des banques d'investissement et de marchés
    Post-Print, HAL
  6. Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods?
    Post-Print, HAL
    See also Journal Article in Annals of Economics and Statistics (2015)
  7. Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets
    Post-Print, HAL
    See also Journal Article in Applied Economics (2015)
  8. Which Effect Drives the Equity Market during Stress Periods?
    Post-Print, HAL

2014

  1. Cross-Market Spillovers with 'Volatility Surprise'
    Working Papers, HAL Downloads View citations (3)
    See also Journal Article in Review of Financial Economics (2014)

2013

  1. An Alternative Model to Basel Regulation
    Working Papers, HAL Downloads
  2. The Reactive Volatility Model
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2013)

2012

  1. Leverage vs. Feedback: Which Effect Drives the Oil Market?
    Working Papers, HAL Downloads View citations (6)
    See also Journal Article in Finance Research Letters (2013)

2009

  1. The extreme downside risk of the S&P 500 stock index
    Post-Print, HAL Downloads
    See also Journal Article in Journal of Financial Transformation (2009)

2008

  1. Le Marché d'Options
    Post-Print, HAL
  2. Systematic Credit Risk: CDX Index Correlation and Extreme Dependence
    Post-Print, HAL

2006

  1. Les modèles de volatilité et d'options
    Post-Print, HAL

2005

  1. Le comportement des indices de volatilité implicite internationaux
    Post-Print, HAL
  2. PRICING CAC 40 INDEX OPTIONS WITH STOCHASTIC VOLATILITY
    Post-Print, HAL
  3. Pricing CAC 40 Index Options under Asymmetry of Information
    Post-Print, HAL
  4. The French media campaign in favor of the Treaty Establishing a Constitution for Europe
    Post-Print, HAL

2004

  1. GARCH Option Pricing Under Skew
    Finance, EconWPA Downloads

Journal Articles

2017

  1. Financial stress and economic dynamics: The case of France
    International Economics, 2017, (149), 57-73 Downloads
    Also in International Economics, 2017, 149, (C), 57-73 (2017) Downloads
  2. Oil vs. gasoline: The dark side of volatility and taxation
    Research in International Business and Finance, 2017, 39, (PB), 976-989 Downloads
    See also Working Paper (2016)

2016

  1. Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion
    Journal of Futures Markets, 2016, 36, (12), 1194-1209 Downloads
    See also Working Paper (2016)
  2. Spikes and crashes in the oil market
    Research in International Business and Finance, 2016, 36, (C), 615-623 Downloads
    See also Working Paper (2016)
  3. The place of gold in the cross-market dependencies
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (5), 567-586 Downloads
    See also Working Paper (2016)

2015

  1. A cross-volatility index for hedging the country risk
    Journal of International Financial Markets, Institutions and Money, 2015, 38, (C), 25-41 Downloads View citations (1)
  2. Cross-market volatility index with Factor-DCC
    International Review of Financial Analysis, 2015, 42, (C), 132-140 Downloads
    See also Working Paper (2015)
  3. Disentangling Crashes from Tail Events
    International Journal of Finance & Economics, 2015, 20, (3), 206-219 Downloads
    See also Working Paper (2015)
  4. Do banks satisfy the Modigliani-Miller theorem?
    Economics Bulletin, 2015, 35, (2), 924-935 Downloads
    See also Working Paper (2015)
  5. Geographical diversification with a World Volatility Index
    Journal of Multinational Financial Management, 2015, 30, (C), 62-82 Downloads
  6. Leverage v.s. Feedback: Which effect drives the equity market during stress periods ?
    Annals of Economics and Statistics, 2015, (119-120), 268-288 Downloads
    See also Working Paper (2015)
  7. Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets
    Applied Economics, 2015, 47, (47), 5013-5033 Downloads
    See also Working Paper (2015)
  8. Volatility returns with vengeance: Financial markets vs. commodities
    Research in International Business and Finance, 2015, 33, (C), 334-354 Downloads View citations (8)

2014

  1. Cross-market index with Factor-DCC
    Economic Modelling, 2014, 40, (C), 158-166 Downloads
  2. Cross-market spillovers with ‘volatility surprise’
    Review of Financial Economics, 2014, 23, (4), 194-207 Downloads View citations (7)
    See also Working Paper (2014)
  3. Volatility equicorrelation: A cross-market perspective
    Economics Letters, 2014, 122, (2), 289-295 Downloads View citations (4)
  4. When the U.S. Stock Market Becomes Extreme?
    Risks, 2014, 2, (2), 1-15 Downloads

2013

  1. An equicorrelation measure for equity, bond, foreign exchange and commodity returns
    Applied Economics Letters, 2013, 20, (18), 1618-1624 Downloads
  2. Leverage vs. feedback: Which Effect drives the oil market?
    Finance Research Letters, 2013, 10, (3), 131-141 Downloads View citations (9)
    See also Working Paper (2012)
  3. The reactive volatility model
    Quantitative Finance, 2013, 13, (11), 1697-1706 Downloads View citations (1)
    See also Working Paper (2013)

2009

  1. The extreme downside risk of the S&P 500 stock index
    Journal of Financial Transformation, 2009, 26, 104-107
    See also Working Paper (2009)

2007

  1. Testing the fed and the Graham & Dodd models: asymmetric vs. symmetric adjustment
    Applied Economics Letters, 2007, 15, (2), 91-94 Downloads

2005

  1. French media bias and the vote on the European constitution
    European Journal of Political Economy, 2005, 21, (4), 1093-1098 Downloads View citations (2)
 
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