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 88 0 2 5 97
Cross-Market Spillovers with 'Volatility Surprise' 0 0 0 47 2 2 7 71
Cross-market volatility index with Factor-DCC 0 0 0 0 0 0 0 15
Disentangling Crashes from Tail Events 0 0 0 0 0 0 0 6
Disentangling crashes from tail events 0 0 0 0 0 0 0 11
Do banks satisfy the Modigliani-Miller theorem? 0 0 0 0 1 1 3 22
Does Aggregate Uncertainty Explain Size and Value Anomalies? 0 0 0 0 0 0 3 11
Extreme asymmetric volatility: Stress and aggregate asset prices 0 0 0 0 0 0 4 24
GARCH Option Pricing Under Skew 0 0 1 938 0 2 5 1,863
Individual investors and stock returns 0 0 0 0 0 1 3 15
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 1 5 48
Les effets controversés de la régulation des banques d'investissement et de marchés 0 0 0 0 0 0 1 7
Les modèles de volatilité et d'options 0 0 0 4 0 1 4 81
Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 0 1 1 14
Leverage vs. Feedback: Which Effect Drives the Oil Market? 0 0 0 20 1 6 19 97
New Developments on the Modigliani-Miller Theorem 0 0 0 0 2 4 13 54
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 0 2 2 5 26
Option Pricing Under Skewness and Kurtosis Using a Cornish-Fisher Expansion 0 0 0 0 1 2 10 27
PRICING CAC 40 INDEX OPTIONS WITH STOCHASTIC VOLATILITY 0 0 0 2 0 1 3 39
Pricing CAC 40 Index Options under Asymmetry of Information 0 0 0 1 0 1 3 22
Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets 0 0 0 0 0 1 4 8
Should employers pay their employees better? An asset pricing approach 0 0 0 18 0 0 2 304
Spikes and crashes in the oil market 0 0 0 0 2 2 8 27
Systematic Credit Risk: CDX Index Correlation and Extreme Dependence 0 0 0 0 0 0 2 28
The French media campaign in favor of the Treaty Establishing a Constitution for Europe 0 0 0 0 0 1 3 15
The Reactive Volatility Model 0 0 0 31 0 0 1 54
The extreme downside risk of the S&P 500 stock index 0 0 1 5 0 0 1 15
The place of gold in the cross-market dependencies 0 0 0 0 0 2 5 24
Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 0 0 0 4
Total Working Papers 0 0 2 1,156 11 33 120 3,031


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 2 16 1 1 17 88
An equicorrelation measure for equity, bond, foreign exchange and commodity returns 0 0 0 11 0 0 4 48
Cross-market index with Factor-DCC 0 1 1 12 1 3 7 67
Cross-market spillovers with ‘volatility surprise’ 0 0 4 13 1 1 16 64
Cross-market volatility index with Factor-DCC 0 0 1 8 0 2 33 87
Disentangling Crashes from Tail Events 0 0 0 1 0 0 1 16
Do banks satisfy the Modigliani-Miller theorem? 2 7 20 103 3 14 70 257
Financial stress and economic dynamics: The case of France 0 1 5 9 6 10 19 36
Financial stress and economic dynamics: The case of France 0 0 5 15 0 0 12 41
French media bias and the vote on the European constitution 0 0 1 61 0 1 4 193
Geographical diversification with a World Volatility Index 0 0 0 5 1 2 8 56
Leverage v.s. Feedback: Which effect drives the equity market during stress periods ? 0 0 1 9 1 2 6 35
Leverage vs. feedback: Which Effect drives the oil market? 0 0 1 10 0 1 9 60
Oil vs. gasoline: The dark side of volatility and taxation 0 0 1 2 0 5 14 48
Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion 0 0 3 11 3 5 16 42
Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets 0 0 0 2 0 1 2 25
Spikes and crashes in the oil market 0 0 1 12 1 1 7 59
Testing the fed and the Graham & Dodd models: asymmetric vs. symmetric adjustment 0 0 0 2 0 0 1 40
The extreme downside risk of the S&P 500 stock index 0 0 0 0 0 1 2 161
The place of gold in the cross-market dependencies 0 1 3 7 2 7 27 50
The reactive volatility model 0 0 0 0 0 0 1 15
Volatility equicorrelation: A cross-market perspective 0 0 1 22 0 0 3 70
Volatility returns with vengeance: Financial markets vs. commodities 0 0 2 34 4 8 24 129
When the U.S. Stock Market Becomes Extreme? 0 0 0 4 0 1 4 55
Total Journal Articles 2 10 52 369 24 66 307 1,742


Statistics updated 2019-09-09