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 91 0 1 6 120
Cross-Market Spillovers with 'Volatility Surprise' 0 0 0 48 1 3 13 101
Cross-market volatility index with Factor-DCC 0 0 0 0 0 1 43 72
Disentangling Crashes from Tail Events 0 0 0 0 0 1 3 16
Disentangling crashes from tail events 0 0 0 1 0 1 3 20
Do banks satisfy the Modigliani-Miller theorem? 0 0 0 0 0 0 2 33
Does Aggregate Uncertainty Explain Size and Value Anomalies? 0 0 0 0 0 2 8 27
Extreme asymmetric volatility: Stress and aggregate asset prices 0 0 0 0 1 1 3 31
GARCH Option Pricing Under Skew 0 0 0 939 1 2 4 1,878
Le Marché d'Options 0 0 0 0 0 1 4 15
Les effets controversés de la régulation des banques d'investissement et de marchés 0 0 0 0 0 1 3 17
Les modèles de volatilité et d'options 0 0 0 4 0 2 7 93
Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 1 1 3 25
Leverage vs. Feedback: Which Effect Drives the Oil Market? 0 0 0 23 1 2 7 125
New Developments on the Modigliani-Miller Theorem 0 0 0 0 3 8 12 85
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 0 0 4 8 46
Spikes and crashes in the oil market 0 0 0 0 0 1 4 44
Systematic Credit Risk: CDX Index Correlation and Extreme Dependence 0 0 0 0 0 0 6 42
The French media campaign in favor of the Treaty Establishing a Constitution for Europe 0 0 0 0 0 0 4 25
The Reactive Volatility Model 0 0 0 31 0 1 7 72
The extreme downside risk of the S&P 500 stock index 0 0 0 5 0 0 4 24
Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 0 0 1 12
Total Working Papers 0 0 0 1,142 8 33 155 2,923


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 0 18 0 1 7 110
An equicorrelation measure for equity, bond, foreign exchange and commodity returns 0 0 0 11 0 2 13 64
Cross-market index with Factor-DCC 0 0 0 12 0 0 3 81
Cross-market spillovers with ‘volatility surprise’ 0 0 0 13 0 4 8 88
Cross-market volatility index with Factor-DCC 0 0 0 8 0 1 4 101
Disentangling Crashes from Tail Events 0 0 0 1 0 0 2 23
Do banks satisfy the Modigliani-Miller theorem? 2 13 29 161 6 41 125 496
Financial stress and economic dynamics: The case of France 1 1 4 23 2 3 14 75
Financial stress and economic dynamics: The case of France 0 0 4 18 1 3 13 74
French media bias and the vote on the European constitution 0 0 0 61 0 1 3 203
Geographical diversification with a World Volatility Index 0 0 0 5 1 3 11 82
Leverage v.s. Feedback: Which effect drives the equity market during stress periods ? 0 0 0 9 0 0 2 45
Leverage vs. feedback: Which Effect drives the oil market? 0 0 0 13 0 0 10 84
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 2 1 3 8 76
Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion 0 0 2 15 0 3 12 71
Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets 0 0 0 2 1 2 4 33
Spikes and crashes in the oil market 0 0 0 12 1 7 10 81
Testing the fed and the Graham & Dodd models: asymmetric vs. symmetric adjustment 0 0 0 2 0 0 4 49
The extreme downside risk of the S&P 500 stock index 0 0 0 0 1 2 16 208
The place of gold in the cross-market dependencies 0 0 0 9 1 1 12 99
The reactive volatility model 0 0 0 0 1 1 5 25
Volatility equicorrelation: A cross-market perspective 0 0 0 23 0 0 5 85
Volatility returns with vengeance: Financial markets vs. commodities 0 1 1 36 3 5 26 181
When the U.S. Stock Market Becomes Extreme? 0 0 0 4 1 2 11 85
Total Journal Articles 3 15 40 458 20 85 328 2,519


Statistics updated 2022-01-05