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 3 86 0 1 12 87
Cross-Market Spillovers with 'Volatility Surprise' 0 0 6 46 0 3 16 61
Cross-market volatility index with Factor-DCC 0 0 0 0 0 0 6 9
Disentangling Crashes from Tail Events 0 0 0 0 0 0 4 5
Disentangling crashes from tail events 0 0 0 0 0 0 3 11
Do banks satisfy the Modigliani-Miller theorem? 0 0 0 0 0 0 10 14
Does Aggregate Uncertainty Explain Size and Value Anomalies? 0 0 0 0 1 2 4 4
Extreme asymmetric volatility: Stress and aggregate asset prices 0 0 0 0 0 2 10 16
GARCH Option Pricing Under Skew 0 0 1 936 1 1 9 1,856
Individual investors and stock returns 0 0 0 0 0 2 4 8
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 4 42
Les effets controversés de la régulation des banques d'investissement et de marchés 0 0 0 0 0 0 3 5
Les modèles de volatilité et d'options 0 0 0 4 2 2 7 77
Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 0 0 4 12
Leverage vs. Feedback: Which Effect Drives the Oil Market? 1 1 2 18 1 1 6 68
New Developments on the Modigliani-Miller Theorem 0 0 0 0 2 3 23 31
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 0 0 5 11 14
Option Pricing Under Skewness and Kurtosis Using a Cornish-Fisher Expansion 0 0 0 0 0 2 9 10
PRICING CAC 40 INDEX OPTIONS WITH STOCHASTIC VOLATILITY 0 0 0 2 0 0 1 33
Pricing CAC 40 Index Options under Asymmetry of Information 0 0 0 1 0 0 5 19
Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets 0 0 0 0 0 0 3 4
Should employers pay their employees better? An asset pricing approach 0 1 2 18 0 3 14 301
Spikes and crashes in the oil market 0 0 0 0 0 0 11 12
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 3 12
The Reactive Volatility Model 0 0 1 31 0 1 9 52
The extreme downside risk of the S&P 500 stock index 1 2 2 4 1 2 4 14
The place of gold in the cross-market dependencies 0 0 0 0 2 2 11 15
Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 0 0 2 3
Total Working Papers 2 4 17 1,148 11 33 209 2,821


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 1 4 12 0 1 17 52
An equicorrelation measure for equity, bond, foreign exchange and commodity returns 0 0 1 11 0 1 3 38
Cross-market index with Factor-DCC 0 0 1 9 0 2 7 48
Cross-market spillovers with ‘volatility surprise’ 0 0 1 9 0 2 11 42
Cross-market volatility index with Factor-DCC 0 0 1 6 0 0 11 29
Disentangling Crashes from Tail Events 0 0 1 1 0 0 5 14
Do banks satisfy the Modigliani-Miller theorem? 3 6 29 67 5 11 62 147
Financial stress and economic dynamics: The case of France 0 0 0 0 0 1 9 9
Financial stress and economic dynamics: The case of France 1 2 7 7 1 4 16 16
French media bias and the vote on the European constitution 1 1 2 60 1 2 6 188
Geographical diversification with a World Volatility Index 1 1 2 5 1 2 10 42
Leverage v.s. Feedback: Which effect drives the equity market during stress periods ? 0 0 3 8 1 1 10 24
Leverage vs. feedback: Which Effect drives the oil market? 0 2 4 9 0 2 11 43
Oil vs. gasoline: The dark side of volatility and taxation 0 0 1 1 1 3 24 24
Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion 0 1 4 6 0 1 15 19
Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets 0 0 0 1 0 1 9 22
Spikes and crashes in the oil market 0 1 3 10 0 4 15 45
Testing the fed and the Graham & Dodd models: asymmetric vs. symmetric adjustment 0 0 0 2 0 0 10 39
The extreme downside risk of the S&P 500 stock index 0 0 0 0 1 2 9 156
The place of gold in the cross-market dependencies 2 2 3 3 3 3 13 13
The reactive volatility model 0 0 0 0 0 1 4 13
Volatility equicorrelation: A cross-market perspective 0 0 2 21 0 2 8 60
Volatility returns with vengeance: Financial markets vs. commodities 0 0 5 30 1 6 24 94
When the U.S. Stock Market Becomes Extreme? 0 1 1 4 1 5 12 43
Total Journal Articles 8 18 75 282 16 57 321 1,220


Statistics updated 2018-01-04