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 1 88 2 2 5 95
Cross-Market Spillovers with 'Volatility Surprise' 0 0 0 47 0 1 7 69
Cross-market volatility index with Factor-DCC 0 0 0 0 0 0 2 15
Disentangling Crashes from Tail Events 0 0 0 0 0 0 1 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 0 0 4 21
Does Aggregate Uncertainty Explain Size and Value Anomalies? 0 0 0 0 1 1 3 11
Extreme asymmetric volatility: Stress and aggregate asset prices 0 0 0 0 1 1 6 24
GARCH Option Pricing Under Skew 0 0 2 938 0 1 5 1,861
Individual investors and stock returns 0 0 0 0 0 1 4 14
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 4 4 47
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 1 1 3 80
Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 0 0 1 13
Leverage vs. Feedback: Which Effect Drives the Oil Market? 0 0 0 20 1 5 17 91
New Developments on the Modigliani-Miller Theorem 0 0 0 0 1 4 12 50
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 0 0 1 7 24
Option Pricing Under Skewness and Kurtosis Using a Cornish-Fisher Expansion 0 0 0 0 1 2 9 25
PRICING CAC 40 INDEX OPTIONS WITH STOCHASTIC VOLATILITY 0 0 0 2 0 1 2 38
Pricing CAC 40 Index Options under Asymmetry of Information 0 0 0 1 0 2 2 21
Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets 0 0 0 0 0 1 3 7
Should employers pay their employees better? An asset pricing approach 0 0 0 18 1 2 2 304
Spikes and crashes in the oil market 0 0 0 0 1 4 10 25
Systematic Credit Risk: CDX Index Correlation and Extreme Dependence 0 0 0 0 0 1 3 28
The French media campaign in favor of the Treaty Establishing a Constitution for Europe 0 0 0 0 0 1 2 14
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 4 22
Which Effect Drives the Equity Market during Stress Periods? 0 0 0 0 0 0 1 4
Total Working Papers 0 0 4 1,156 10 38 122 2,998


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 2 16 3 6 22 87
An equicorrelation measure for equity, bond, foreign exchange and commodity returns 0 0 0 11 1 3 9 48
Cross-market index with Factor-DCC 0 0 0 11 0 1 7 64
Cross-market spillovers with ‘volatility surprise’ 0 0 4 13 1 3 18 63
Cross-market volatility index with Factor-DCC 0 0 1 8 9 21 47 85
Disentangling Crashes from Tail Events 0 0 0 1 0 1 1 16
Do banks satisfy the Modigliani-Miller theorem? 5 7 16 96 8 19 70 243
Financial stress and economic dynamics: The case of France 1 1 5 8 1 3 12 26
Financial stress and economic dynamics: The case of France 0 0 5 15 0 1 15 41
French media bias and the vote on the European constitution 0 0 1 61 0 0 3 192
Geographical diversification with a World Volatility Index 0 0 0 5 0 2 9 54
Leverage v.s. Feedback: Which effect drives the equity market during stress periods ? 0 0 1 9 0 0 6 33
Leverage vs. feedback: Which Effect drives the oil market? 0 0 1 10 0 1 12 59
Oil vs. gasoline: The dark side of volatility and taxation 0 0 1 2 0 4 12 43
Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion 0 2 3 11 1 5 14 37
Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets 0 0 0 2 0 0 1 24
Spikes and crashes in the oil market 0 0 2 12 0 2 11 58
Testing the fed and the Graham & Dodd models: asymmetric vs. symmetric adjustment 0 0 0 2 1 1 1 40
The extreme downside risk of the S&P 500 stock index 0 0 0 0 0 0 2 160
The place of gold in the cross-market dependencies 0 0 3 6 1 7 22 43
The reactive volatility model 0 0 0 0 1 1 2 15
Volatility equicorrelation: A cross-market perspective 0 0 1 22 0 1 8 70
Volatility returns with vengeance: Financial markets vs. commodities 0 0 4 34 1 11 23 121
When the U.S. Stock Market Becomes Extreme? 0 0 0 4 1 2 6 54
Total Journal Articles 6 11 50 359 29 95 333 1,676


Statistics updated 2019-06-03