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 1 1 1 84 2 6 16 82
Cross-Market Spillovers with 'Volatility Surprise' 3 4 9 45 3 7 21 54
Cross-market volatility index with Factor-DCC 0 0 0 0 0 3 7 7
Disentangling Crashes from Tail Events 0 0 0 0 0 3 4 4
Disentangling crashes from tail events 0 0 0 0 0 2 5 10
Do banks satisfy the Modigliani-Miller theorem? 0 0 0 0 0 4 7 8
Extreme asymmetric volatility: Stress and aggregate asset prices 0 0 0 0 0 4 11 11
Financial stress and economic dynamics: An application to France 0 2 4 62 2 7 34 189
GARCH Option Pricing Under Skew 0 1 1 936 0 4 11 1,851
Individual investors and stock returns 0 0 0 0 1 1 5 5
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 6 38
Les effets controversés de la régulation des banques d'investissement et de marchés 0 0 0 0 0 0 0 2
Les modèles de volatilité et d'options 0 0 0 4 0 2 6 72
Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 0 1 10 11
Leverage vs. Feedback: Which Effect Drives the Oil Market? 0 0 2 17 1 4 10 67
New Developments on the Modigliani-Miller Theorem 0 0 0 0 0 11 21 21
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 0 2 4 7 7
Option Pricing Under Skewness and Kurtosis Using a Cornish-Fisher Expansion 0 0 0 0 1 3 6 6
PRICING CAC 40 INDEX OPTIONS WITH STOCHASTIC VOLATILITY 0 0 0 2 0 0 0 32
Pricing CAC 40 Index Options under Asymmetry of Information 0 0 0 1 1 2 4 16
Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets 0 0 0 0 0 1 2 2
Should employers pay their employees better? An asset pricing approach 0 1 5 17 1 4 23 292
Spikes and crashes in the oil market 0 0 0 0 2 4 5 5
Systematic Credit Risk: CDX Index Correlation and Extreme Dependence 0 0 0 0 0 1 1 24
The French media campaign in favor of the Treaty Establishing a Constitution for Europe 0 0 0 0 0 2 4 11
The Reactive Volatility Model 0 1 3 31 0 6 12 50
The extreme downside risk of the S&P 500 stock index 0 0 1 2 0 2 6 12
The place of gold in the cross-market dependencies 0 0 0 0 2 3 8 8
Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 0 1 2 2
Total Working Papers 4 10 26 1,203 18 92 254 2,901


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 2 6 11 1 6 26 45
An equicorrelation measure for equity, bond, foreign exchange and commodity returns 0 1 2 11 0 1 10 36
Cross-market index with Factor-DCC 0 0 0 8 0 2 16 44
Cross-market spillovers with ‘volatility surprise’ 1 1 4 9 1 4 18 35
Cross-market volatility index with Factor-DCC 0 0 2 5 0 4 17 24
Disentangling Crashes from Tail Events 0 0 1 1 1 1 4 11
Do banks satisfy the Modigliani-Miller theorem? 5 9 25 51 7 21 51 111
French media bias and the vote on the European constitution 0 1 1 59 0 4 6 186
Geographical diversification with a World Volatility Index 0 0 0 3 0 0 11 33
Leverage v.s. Feedback: Which effect drives the equity market during stress periods ? 1 1 8 8 1 4 20 21
Leverage vs. feedback: Which Effect drives the oil market? 0 1 2 6 0 6 14 39
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 0 1 7 9 9
Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion 0 0 4 4 1 8 15 15
Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets 0 0 1 1 0 4 16 18
Spikes and crashes in the oil market 0 1 6 9 2 4 21 36
Testing the fed and the Graham & Dodd models: asymmetric vs. symmetric adjustment 0 0 0 2 0 3 4 32
The extreme downside risk of the S&P 500 stock index 0 0 0 0 0 3 5 150
The reactive volatility model 0 0 0 0 0 2 6 11
Volatility equicorrelation: A cross-market perspective 0 1 7 21 0 3 16 56
Volatility returns with vengeance: Financial markets vs. commodities 0 0 7 26 0 2 28 75
When the U.S. Stock Market Becomes Extreme? 0 0 1 3 1 2 12 34
Total Journal Articles 7 18 77 238 16 91 325 1,021


Statistics updated 2017-05-02