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 2 3 86 1 3 11 85
Cross-Market Spillovers with 'Volatility Surprise' 0 0 8 46 0 1 18 56
Cross-market volatility index with Factor-DCC 0 0 0 0 0 1 8 8
Disentangling Crashes from Tail Events 0 0 0 0 0 0 4 4
Disentangling crashes from tail events 0 0 0 0 0 1 4 11
Do banks satisfy the Modigliani-Miller theorem? 0 0 0 0 2 4 10 12
Does Aggregate Uncertainty Explain Size and Value Anomalies? 0 0 0 0 0 1 2 2
Extreme asymmetric volatility: Stress and aggregate asset prices 0 0 0 0 0 1 10 13
Financial stress and economic dynamics: An application to France 1 2 5 64 2 6 37 196
GARCH Option Pricing Under Skew 0 0 1 936 2 3 9 1,854
Individual investors and stock returns 0 0 0 0 0 0 6 6
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 3 6 41
Les effets controversés de la régulation des banques d'investissement et de marchés 0 0 0 0 0 0 1 3
Les modèles de volatilité et d'options 0 0 0 4 1 2 8 75
Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 0 0 7 11
Leverage vs. Feedback: Which Effect Drives the Oil Market? 0 0 2 17 0 0 8 67
New Developments on the Modigliani-Miller Theorem 0 0 0 0 0 2 27 27
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 0 0 1 9 9
Option Pricing Under Skewness and Kurtosis Using a Cornish-Fisher Expansion 0 0 0 0 1 2 8 8
PRICING CAC 40 INDEX OPTIONS WITH STOCHASTIC VOLATILITY 0 0 0 2 0 1 1 33
Pricing CAC 40 Index Options under Asymmetry of Information 0 0 0 1 0 1 5 18
Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets 0 0 0 0 0 0 2 2
Should employers pay their employees better? An asset pricing approach 0 0 3 17 4 5 21 297
Spikes and crashes in the oil market 0 0 0 0 1 4 11 11
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 1 5 12
The Reactive Volatility Model 0 0 3 31 0 1 13 51
The extreme downside risk of the S&P 500 stock index 0 0 0 2 0 0 3 12
The place of gold in the cross-market dependencies 0 0 0 0 1 3 13 13
Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 0 0 2 2
Total Working Papers 2 4 25 1,208 15 47 270 2,965


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 4 11 0 6 23 51
An equicorrelation measure for equity, bond, foreign exchange and commodity returns 0 0 2 11 0 1 7 37
Cross-market index with Factor-DCC 1 1 1 9 1 2 9 46
Cross-market spillovers with ‘volatility surprise’ 0 0 2 9 0 3 16 40
Cross-market volatility index with Factor-DCC 1 1 2 6 3 5 17 29
Disentangling Crashes from Tail Events 0 0 1 1 0 2 6 14
Do banks satisfy the Modigliani-Miller theorem? 1 5 29 60 5 14 64 134
Financial stress and economic dynamics: The case of France 2 3 5 5 2 6 11 11
Financial stress and economic dynamics: The case of France 0 0 0 0 1 4 7 7
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 0 0 3 2 4 11 38
Leverage v.s. Feedback: Which effect drives the equity market during stress periods ? 0 0 7 8 1 2 15 23
Leverage vs. feedback: Which Effect drives the oil market? 0 1 2 7 0 2 11 41
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 0 3 6 18 18
Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion 1 1 5 5 1 3 18 18
Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets 0 0 1 1 0 3 11 21
Spikes and crashes in the oil market 0 0 3 9 0 3 16 40
Testing the fed and the Graham & Dodd models: asymmetric vs. symmetric adjustment 0 0 0 2 2 4 7 36
The extreme downside risk of the S&P 500 stock index 0 0 0 0 1 2 7 152
The place of gold in the cross-market dependencies 1 1 1 1 3 6 10 10
The reactive volatility model 0 0 0 0 0 1 5 12
Volatility equicorrelation: A cross-market perspective 0 0 5 21 0 0 8 56
Volatility returns with vengeance: Financial markets vs. commodities 2 2 10 30 2 9 26 88
When the U.S. Stock Market Becomes Extreme? 0 0 0 3 1 3 9 37
Total Journal Articles 9 15 81 261 28 91 336 1,145


Statistics updated 2017-09-03