Access Statistics for Sofiane Aboura

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An Alternative Model to Basel Regulation 0 1 3 86 1 3 13 87
Cross-Market Spillovers with 'Volatility Surprise' 0 0 7 46 2 4 17 60
Cross-market volatility index with Factor-DCC 0 0 0 0 0 1 9 9
Disentangling Crashes from Tail Events 0 0 0 0 0 1 4 5
Disentangling crashes from tail events 0 0 0 0 0 0 3 11
Do banks satisfy the Modigliani-Miller theorem? 0 0 0 0 0 4 11 14
Does Aggregate Uncertainty Explain Size and Value Anomalies? 0 0 0 0 1 1 3 3
Extreme asymmetric volatility: Stress and aggregate asset prices 0 0 0 0 1 2 9 15
GARCH Option Pricing Under Skew 0 0 1 936 0 3 9 1,855
Individual investors and stock returns 0 0 0 0 2 2 6 8
Le Marché d'Options 0 0 0 0 0 0 0 2
Le comportement des indices de volatilité implicite internationaux 0 0 0 2 0 0 5 41
Les effets controversés de la régulation des banques d'investissement et de marchés 0 0 0 0 0 2 3 5
Les modèles de volatilité et d'options 0 0 0 4 0 1 5 75
Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 0 1 6 12
Leverage vs. Feedback: Which Effect Drives the Oil Market? 0 0 1 17 0 0 5 67
New Developments on the Modigliani-Miller Theorem 0 0 0 0 1 2 28 29
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 0 2 2 9 11
Option Pricing Under Skewness and Kurtosis Using a Cornish-Fisher Expansion 0 0 0 0 1 2 8 9
PRICING CAC 40 INDEX OPTIONS WITH STOCHASTIC VOLATILITY 0 0 0 2 0 0 1 33
Pricing CAC 40 Index Options under Asymmetry of Information 0 0 0 1 0 1 6 19
Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets 0 0 0 0 0 2 4 4
Should employers pay their employees better? An asset pricing approach 0 0 3 17 1 6 18 299
Spikes and crashes in the oil market 0 0 0 0 0 2 11 12
Systematic Credit Risk: CDX Index Correlation and Extreme Dependence 0 0 0 0 0 0 1 24
The French media campaign in favor of the Treaty Establishing a Constitution for Europe 0 0 0 0 0 0 4 12
The Reactive Volatility Model 0 0 1 31 0 0 8 51
The extreme downside risk of the S&P 500 stock index 0 0 0 2 0 0 2 12
The place of gold in the cross-market dependencies 0 0 0 0 0 1 11 13
Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 0 1 3 3
Total Working Papers 0 1 16 1,144 12 44 222 2,800


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A cross-volatility index for hedging the country risk 0 0 3 11 0 0 18 51
An equicorrelation measure for equity, bond, foreign exchange and commodity returns 0 0 1 11 0 0 2 37
Cross-market index with Factor-DCC 0 1 1 9 0 1 8 46
Cross-market spillovers with ‘volatility surprise’ 0 0 1 9 2 2 14 42
Cross-market volatility index with Factor-DCC 0 1 2 6 0 3 16 29
Disentangling Crashes from Tail Events 0 0 1 1 0 0 5 14
Do banks satisfy the Modigliani-Miller theorem? 0 2 24 61 1 8 57 137
Financial stress and economic dynamics: The case of France 0 0 0 0 0 2 8 8
Financial stress and economic dynamics: The case of France 1 3 6 6 1 4 13 13
French media bias and the vote on the European constitution 0 0 1 59 0 0 4 186
Geographical diversification with a World Volatility Index 0 1 1 4 0 4 11 40
Leverage v.s. Feedback: Which effect drives the equity market during stress periods ? 0 0 5 8 0 1 12 23
Leverage vs. feedback: Which Effect drives the oil market? 2 2 4 9 2 2 12 43
Oil vs. gasoline: The dark side of volatility and taxation 0 1 1 1 2 8 23 23
Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion 1 2 6 6 1 2 19 19
Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets 0 0 0 1 0 0 9 21
Spikes and crashes in the oil market 1 1 4 10 3 4 16 44
Testing the fed and the Graham & Dodd models: asymmetric vs. symmetric adjustment 0 0 0 2 0 5 10 39
The extreme downside risk of the S&P 500 stock index 0 0 0 0 0 3 8 154
The place of gold in the cross-market dependencies 0 1 1 1 0 3 10 10
The reactive volatility model 0 0 0 0 0 0 3 12
Volatility equicorrelation: A cross-market perspective 0 0 2 21 0 2 6 58
Volatility returns with vengeance: Financial markets vs. commodities 0 2 7 30 3 5 25 91
When the U.S. Stock Market Becomes Extreme? 0 0 0 3 1 3 8 39
Total Journal Articles 5 17 71 269 16 62 317 1,179


Statistics updated 2017-11-04