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 3 13 78
Cross-Market Spillovers with 'Volatility Surprise' 0 1 6 41 2 4 18 49
Cross-market volatility index with Factor-DCC 0 0 0 0 3 6 7 7
Disentangling Crashes from Tail Events 0 0 0 0 2 2 3 3
Disentangling crashes from tail events 0 0 0 0 2 2 6 10
Do banks satisfy the Modigliani-Miller theorem? 0 0 0 0 4 4 7 8
Extreme asymmetric volatility: Stress and aggregate asset prices 0 0 0 0 4 5 11 11
Financial stress and economic dynamics: An application to France 2 2 5 62 4 8 37 186
GARCH Option Pricing Under Skew 1 1 2 936 3 4 13 1,850
Individual investors and stock returns 0 0 0 0 0 2 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 2 2 6 72
Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 1 5 11 11
Leverage vs. Feedback: Which Effect Drives the Oil Market? 0 1 4 17 1 2 12 64
New Developments on the Modigliani-Miller Theorem 0 0 0 0 7 12 17 17
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 0 1 2 4 4
Option Pricing Under Skewness and Kurtosis Using a Cornish-Fisher Expansion 0 0 0 0 2 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 1 2 3 15
Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets 0 0 0 0 1 2 2 2
Should employers pay their employees better? An asset pricing approach 1 1 5 17 3 5 29 291
Spikes and crashes in the oil market 0 0 0 0 2 2 3 3
Systematic Credit Risk: CDX Index Correlation and Extreme Dependence 0 0 0 0 0 0 1 23
The French media campaign in favor of the Treaty Establishing a Constitution for Europe 0 0 0 0 2 2 4 11
The Reactive Volatility Model 0 0 2 30 2 3 9 46
The extreme downside risk of the S&P 500 stock index 0 0 1 2 2 2 7 12
The place of gold in the cross-market dependencies 0 0 0 0 1 2 6 6
Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 1 1 2 2
Total Working Papers 4 6 25 1,197 55 88 246 2,864


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 2 6 10 2 7 25 41
An equicorrelation measure for equity, bond, foreign exchange and commodity returns 0 0 2 10 0 0 12 35
Cross-market index with Factor-DCC 0 0 1 8 2 5 18 44
Cross-market spillovers with ‘volatility surprise’ 0 0 5 8 2 3 19 33
Cross-market volatility index with Factor-DCC 0 1 5 5 2 7 18 22
Disentangling Crashes from Tail Events 0 1 1 1 0 1 5 10
Do banks satisfy the Modigliani-Miller theorem? 3 7 22 45 9 16 47 99
French media bias and the vote on the European constitution 1 1 1 59 4 4 6 186
Geographical diversification with a World Volatility Index 0 0 0 3 0 4 12 33
Leverage v.s. Feedback: Which effect drives the equity market during stress periods ? 0 3 7 7 3 8 20 20
Leverage vs. feedback: Which Effect drives the oil market? 0 0 1 5 2 4 11 35
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 0 4 6 6 6
Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion 0 3 4 4 5 9 12 12
Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets 0 0 1 1 3 5 17 17
Spikes and crashes in the oil market 1 3 7 9 2 5 21 34
Testing the fed and the Graham & Dodd models: asymmetric vs. symmetric adjustment 0 0 0 2 2 2 3 31
The extreme downside risk of the S&P 500 stock index 0 0 0 0 3 3 7 150
The reactive volatility model 0 0 0 0 2 2 7 11
Volatility equicorrelation: A cross-market perspective 0 1 9 20 1 2 18 54
Volatility returns with vengeance: Financial markets vs. commodities 0 2 9 26 1 6 31 74
When the U.S. Stock Market Becomes Extreme? 0 0 1 3 0 1 11 32
Total Journal Articles 6 24 82 226 49 100 326 979


Statistics updated 2017-03-07