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 2 85 1 3 12 83
Cross-Market Spillovers with 'Volatility Surprise' 0 4 10 46 0 4 21 55
Cross-market volatility index with Factor-DCC 0 0 0 0 1 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 0 4 10
Do banks satisfy the Modigliani-Miller theorem? 0 0 0 0 1 1 8 9
Does Aggregate Uncertainty Explain Size and Value Anomalies? 0 0 0 0 0 1 1 1
Extreme asymmetric volatility: Stress and aggregate asset prices 0 0 0 0 0 1 11 12
Financial stress and economic dynamics: An application to France 1 1 5 63 3 6 38 193
GARCH Option Pricing Under Skew 0 0 1 936 1 1 9 1,852
Individual investors and stock returns 0 0 0 0 0 2 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 1 1 6 39
Les effets controversés de la régulation des banques d'investissement et de marchés 0 0 0 0 0 1 1 3
Les modèles de volatilité et d'options 0 0 0 4 1 2 8 74
Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 0 0 9 11
Leverage vs. Feedback: Which Effect Drives the Oil Market? 0 0 2 17 0 1 9 67
New Developments on the Modigliani-Miller Theorem 0 0 0 0 1 5 26 26
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 0 1 4 9 9
Option Pricing Under Skewness and Kurtosis Using a Cornish-Fisher Expansion 0 0 0 0 0 1 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 0 2 5 17
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 5 17 0 1 23 292
Spikes and crashes in the oil market 0 0 0 0 1 5 8 8
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 11
The Reactive Volatility Model 0 0 3 31 0 0 12 50
The extreme downside risk of the S&P 500 stock index 0 0 1 2 0 0 6 12
The place of gold in the cross-market dependencies 0 0 0 0 0 4 10 10
Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 0 0 2 2
Total Working Papers 2 7 29 1,206 12 47 269 2,930


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 3 4 25 48
An equicorrelation measure for equity, bond, foreign exchange and commodity returns 0 0 2 11 0 0 7 36
Cross-market index with Factor-DCC 0 0 0 8 0 0 13 44
Cross-market spillovers with ‘volatility surprise’ 0 1 4 9 0 3 18 37
Cross-market volatility index with Factor-DCC 0 0 1 5 0 0 15 24
Disentangling Crashes from Tail Events 0 0 1 1 1 3 6 13
Do banks satisfy the Modigliani-Miller theorem? 4 13 29 59 5 21 59 125
Financial stress and economic dynamics: The case of France 0 2 2 2 0 5 5 5
Financial stress and economic dynamics: The case of France 0 0 0 0 2 5 5 5
French media bias and the vote on the European constitution 0 0 1 59 0 0 5 186
Geographical diversification with a World Volatility Index 0 0 0 3 0 1 11 34
Leverage v.s. Feedback: Which effect drives the equity market during stress periods ? 0 1 7 8 0 1 15 21
Leverage vs. feedback: Which Effect drives the oil market? 1 1 2 7 1 1 13 40
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 0 0 4 12 12
Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion 0 0 4 4 1 2 16 16
Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets 0 0 1 1 2 2 15 20
Spikes and crashes in the oil market 0 0 5 9 1 4 19 38
Testing the fed and the Graham & Dodd models: asymmetric vs. symmetric adjustment 0 0 0 2 0 0 4 32
The extreme downside risk of the S&P 500 stock index 0 0 0 0 0 0 5 150
The place of gold in the cross-market dependencies 0 0 0 0 0 3 4 4
The reactive volatility model 0 0 0 0 0 0 5 11
Volatility equicorrelation: A cross-market perspective 0 0 7 21 0 0 13 56
Volatility returns with vengeance: Financial markets vs. commodities 0 2 9 28 3 7 28 82
When the U.S. Stock Market Becomes Extreme? 0 0 1 3 0 1 11 34
Total Journal Articles 5 20 80 251 19 67 329 1,073


Statistics updated 2017-07-04