Details about Sofiane Aboura

Access statistics for papers by Sofiane Aboura.

Last updated 2020-05-27. Update your information in the RePEc Author Service.

Short-id: pab28

Working Papers

2017

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

2016

2. Does Aggregate Uncertainty Explain Size and Value Anomalies?
   Post-Print, HAL
3. Oil vs. gasoline: The dark side of volatility and taxation
   Post-Print, HAL
   See also Journal Article Oil vs. gasoline: The dark side of volatility and taxation, Research in International Business and Finance, Elsevier (2017) View citations (1) (2017)
4. Spikes and crashes in the oil market
   Post-Print, HAL View citations (3)
   See also Journal Article Spikes and crashes in the oil market, Research in International Business and Finance, Elsevier (2016) View citations (4) (2016)

2015

5. Cross-market volatility index with Factor-DCC
   Post-Print, HAL View citations (2)
   See also Journal Article Cross-market volatility index with Factor-DCC, International Review of Financial Analysis, Elsevier (2015) View citations (2) (2015)
6. Disentangling Crashes from Tail Events
   Post-Print, HAL View citations (2)
   Also in Working Papers, HAL (2010)
   See also Journal Article Disentangling Crashes from Tail Events, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2015) View citations (2) (2015)
7. Do banks satisfy the Modigliani-Miller theorem?
   Post-Print, HAL View citations (1)
   See also Journal Article Do banks satisfy the Modigliani-Miller theorem?, Economics Bulletin, AccessEcon (2015) View citations (1) (2015)
8. Extreme asymmetric volatility: Stress and aggregate asset prices
   Post-Print, HAL View citations (9)
9. Les effets controversés de la régulation des banques d'investissement et de marchés
   Post-Print, HAL
10. Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods?
    Post-Print, HAL
    See also Journal Article Leverage v.s. Feedback: Which effect drives the equity market during stress periods ?, Annals of Economics and Statistics, GENES (2015) (2015)

2014

11. Cross-Market Spillovers with 'Volatility Surprise'
    Working Papers, HAL View citations (4)
    See also Journal Article Cross-market spillovers with ‘volatility surprise’, Review of Financial Economics, Elsevier (2014) View citations (12) (2014)

2013

12. An Alternative Model to Basel Regulation
    Working Papers, HAL
13. The Reactive Volatility Model
    Papers, arXiv.org View citations (4)
    See also Journal Article The reactive volatility model, Quantitative Finance, Taylor & Francis Journals (2013) View citations (4) (2013)

2012

14. Leverage vs. Feedback: Which Effect Drives the Oil Market?
    Working Papers, HAL View citations (9)
    See also Journal Article Leverage vs. feedback: Which Effect drives the oil market?, Finance Research Letters, Elsevier (2013) View citations (34) (2013)

2009

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

2008

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

2006

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

2005

19. The French media campaign in favor of the Treaty Establishing a Constitution for Europe
    Post-Print, HAL

2004

20. GARCH Option Pricing Under Skew
    Finance, University Library of Munich, Germany

Journal Articles

2017

1. Financial stress and economic dynamics: The case of France
   International Economics, 2017, 149, (C), 57-73 View citations (27)
   Also in International Economics, 2017, (149), 57-73 (2017) View citations (28)
2. Oil vs. gasoline: The dark side of volatility and taxation
   Research in International Business and Finance, 2017, 39, (PB), 976-989 View citations (1)
   See also Working Paper Oil vs. gasoline: The dark side of volatility and taxation, Post-Print (2016) (2016)

2016

3. Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion
   Journal of Futures Markets, 2016, 36, (12), 1194-1209 View citations (7)
4. Spikes and crashes in the oil market
   Research in International Business and Finance, 2016, 36, (C), 615-623 View citations (4)
   See also Working Paper Spikes and crashes in the oil market, Post-Print (2016) View citations (3) (2016)
5. The place of gold in the cross-market dependencies
   Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (5), 567-586

2015

6. A cross-volatility index for hedging the country risk
   Journal of International Financial Markets, Institutions and Money, 2015, 38, (C), 25-41 View citations (4)
7. Cross-market volatility index with Factor-DCC
   International Review of Financial Analysis, 2015, 42, (C), 132-140 View citations (2)
   See also Working Paper Cross-market volatility index with Factor-DCC, Post-Print (2015) View citations (2) (2015)
8. Disentangling Crashes from Tail Events
   International Journal of Finance & Economics, 2015, 20, (3), 206-219 View citations (2)
   See also Working Paper Disentangling Crashes from Tail Events, Post-Print (2015) View citations (2) (2015)
9. Do banks satisfy the Modigliani-Miller theorem?
   Economics Bulletin, 2015, 35, (2), 924-935 View citations (1)
   See also Working Paper Do banks satisfy the Modigliani-Miller theorem?, Post-Print (2015) View citations (1) (2015)
10. Geographical diversification with a World Volatility Index
    Journal of Multinational Financial Management, 2015, 30, (C), 62-82
11. Leverage v.s. Feedback: Which effect drives the equity market during stress periods ?
    Annals of Economics and Statistics, 2015, (119-120), 268-288
    See also Working Paper Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods?, Post-Print (2015) (2015)
12. Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets
    Applied Economics, 2015, 47, (47), 5013-5033
13. Volatility returns with vengeance: Financial markets vs. commodities
    Research in International Business and Finance, 2015, 33, (C), 334-354 View citations (23)

2014

14. Cross-market index with Factor-DCC
    Economic Modelling, 2014, 40, (C), 158-166 View citations (3)
15. Cross-market spillovers with ‘volatility surprise’
    Review of Financial Economics, 2014, 23, (4), 194-207 View citations (12)
    See also Working Paper Cross-Market Spillovers with 'Volatility Surprise', Working Papers (2014) View citations (4) (2014)
16. Volatility equicorrelation: A cross-market perspective
    Economics Letters, 2014, 122, (2), 289-295 View citations (12)
17. When the U.S. Stock Market Becomes Extreme?
    Risks, 2014, 2, (2), 1-15 View citations (2)

2013

18. An equicorrelation measure for equity, bond, foreign exchange and commodity returns
    Applied Economics Letters, 2013, 20, (18), 1618-1624 View citations (1)
19. Leverage vs. feedback: Which Effect drives the oil market?
    Finance Research Letters, 2013, 10, (3), 131-141 View citations (34)
    See also Working Paper Leverage vs. Feedback: Which Effect Drives the Oil Market?, Working Papers (2012) View citations (9) (2012)
20. The reactive volatility model
    Quantitative Finance, 2013, 13, (11), 1697-1706 View citations (4)
    See also Working Paper The Reactive Volatility Model, Papers (2013) View citations (4) (2013)

2009

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

2007

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

2005

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