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 0 0 83 2 5 15 80
Cross-Market Spillovers with 'Volatility Surprise' 1 2 7 42 2 6 20 51
Cross-market volatility index with Factor-DCC 0 0 0 0 0 4 7 7
Disentangling Crashes from Tail Events 0 0 0 0 1 3 4 4
Disentangling crashes from tail events 0 0 0 0 0 2 6 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 5 11 11
Financial stress and economic dynamics: An application to France 0 2 5 62 1 6 36 187
GARCH Option Pricing Under Skew 0 1 1 936 1 4 13 1,851
Individual investors and stock returns 0 0 0 0 0 0 4 4
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 3 10 11
Leverage vs. Feedback: Which Effect Drives the Oil Market? 0 1 3 17 2 4 12 66
New Developments on the Modigliani-Miller Theorem 0 0 0 0 4 13 21 21
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 0 1 2 5 5
Option Pricing Under Skewness and Kurtosis Using a Cornish-Fisher Expansion 0 0 0 0 0 4 5 5
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 0 1 3 15
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 0 4 24 291
Spikes and crashes in the oil market 0 0 0 0 0 2 3 3
Systematic Credit Risk: CDX Index Correlation and Extreme Dependence 0 0 0 0 1 1 2 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 1 1 3 31 4 7 13 50
The extreme downside risk of the S&P 500 stock index 0 0 1 2 0 2 7 12
The place of gold in the cross-market dependencies 0 0 0 0 0 2 6 6
Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 0 1 2 2
Total Working Papers 2 8 25 1,199 19 90 254 2,883


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 1 3 7 11 3 9 27 44
An equicorrelation measure for equity, bond, foreign exchange and commodity returns 1 1 3 11 1 1 12 36
Cross-market index with Factor-DCC 0 0 0 8 0 3 16 44
Cross-market spillovers with ‘volatility surprise’ 0 0 5 8 1 3 20 34
Cross-market volatility index with Factor-DCC 0 0 5 5 2 6 20 24
Disentangling Crashes from Tail Events 0 1 1 1 0 1 4 10
Do banks satisfy the Modigliani-Miller theorem? 1 8 21 46 5 19 47 104
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 1 11 33
Leverage v.s. Feedback: Which effect drives the equity market during stress periods ? 0 2 7 7 0 6 19 20
Leverage vs. feedback: Which Effect drives the oil market? 1 1 2 6 4 7 15 39
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 0 2 8 8 8
Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion 0 2 4 4 2 10 14 14
Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets 0 0 1 1 1 5 16 18
Spikes and crashes in the oil market 0 2 6 9 0 4 20 34
Testing the fed and the Graham & Dodd models: asymmetric vs. symmetric adjustment 0 0 0 2 1 3 4 32
The extreme downside risk of the S&P 500 stock index 0 0 0 0 0 3 7 150
The reactive volatility model 0 0 0 0 0 2 7 11
Volatility equicorrelation: A cross-market perspective 1 2 8 21 2 4 18 56
Volatility returns with vengeance: Financial markets vs. commodities 0 1 8 26 1 5 30 75
When the U.S. Stock Market Becomes Extreme? 0 0 1 3 1 2 12 33
Total Journal Articles 5 24 80 231 26 106 333 1,005


Statistics updated 2017-04-03