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Sofiane Aboura

Personal Details

First Name:Sofiane
Middle Name:
Last Name:Aboura
Suffix:
RePEc Short-ID:pab28
[This author has chosen not to make the email address public]
http://urlz.fr/2S1j
Université de Paris XIII Sorbonne Paris Cité UFR Economie et Gestion 99 avenue J.B. Clément 93430 Villetaneuse - France
+33 +1 49 40 33 23
Twitter: @sofianeaboura

Research output

as
Jump to: Working papers Articles

Working papers

  1. Sofiane Aboura, 2017. "New Developments on the Modigliani-Miller Theorem," Post-Print halshs-01348693, HAL.
  2. Sofiane Aboura & Eser Arisoy, 2016. "Does Aggregate Uncertainty Explain Size and Value Anomalies?," Post-Print hal-01488305, HAL.
  3. Sofiane Aboura & Julien Chevallier, 2016. "Spikes and crashes in the oil market," Post-Print halshs-01348711, HAL.
  4. Sofiane Aboura & Julien Chevallier, 2016. "Oil vs. gasoline: The dark side of volatility and taxation," Post-Print halshs-01348705, HAL.
  5. Sofiane Aboura & Julien Chevallier, 2015. "Cross-market volatility index with Factor-DCC," Post-Print halshs-01348723, HAL.
  6. Sofiane Aboura, 2015. "Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods?," Post-Print halshs-01348718, HAL.
  7. Sofiane Aboura & Emmanuel Lépinette, 2015. "Do banks satisfy the Modigliani-Miller theorem?," Post-Print hal-01252895, HAL.
  8. Sofiane Aboura & Emmanuel Lépinette, 2015. "Les effets controversés de la régulation des banques d'investissement et de marchés," Post-Print hal-01103074, HAL.
  9. Sofiane Aboura, 2015. "Disentangling Crashes from Tail Events," Post-Print halshs-01348725, HAL.
  10. Sofiane Aboura & Niklas Wagner, 2015. "Extreme asymmetric volatility: Stress and aggregate asset prices," Post-Print hal-01275450, HAL.
  11. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with 'Volatility Surprise'," Working Papers halshs-01052488, HAL.
  12. Sofiane Aboura & Emmanuel Lépinette, 2013. "An Alternative Model to Basel Regulation," Working Papers hal-00825018, HAL.
  13. Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Qian Liu, 2012. "The Reactive Volatility Model," Papers 1209.5190, arXiv.org, revised Apr 2013.
  14. Sofiane Aboura & Julien Chevallier, 2012. "Leverage vs. Feedback: Which Effect Drives the Oil Market?," Working Papers halshs-00720156, HAL.
  15. Sofiane Aboura, 2009. "The extreme downside risk of the S&P 500 stock index," Post-Print halshs-00638075, HAL.
  16. Sofiane Aboura, 2008. "Systematic Credit Risk: CDX Index Correlation and Extreme Dependence," Post-Print halshs-00172513, HAL.
  17. Sofiane Aboura, 2008. "Le Marché d'Options," Post-Print halshs-00337509, HAL.
  18. Sofiane Aboura, 2006. "Les modèles de volatilité et d'options," Post-Print halshs-00161680, HAL.
  19. Sofiane Aboura, 2005. "The French media campaign in favor of the Treaty Establishing a Constitution for Europe," Post-Print halshs-00153114, HAL.
  20. Sofiane ABOURA, 2004. "GARCH Option Pricing Under Skew," Finance 0405032, University Library of Munich, Germany.
    repec:hal:journl:hal-01274397 is not listed on IDEAS

Articles

  1. Sofiane Aboura & Bjoern van Roye, 2017. "Financial stress and economic dynamics: The case of France," International Economics, CEPII research center, issue 149, pages 57-73.
  2. Aboura, Sofiane & Chevallier, Julien, 2017. "Oil vs. gasoline: The dark side of volatility and taxation," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 976-989.
  3. Aboura, Sofiane & Chevallier, Julien, 2016. "Spikes and crashes in the oil market," Research in International Business and Finance, Elsevier, vol. 36(C), pages 615-623.
  4. Sofiane Aboura & Didier Maillard, 2016. "Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(12), pages 1194-1209, December.
  5. Aboura Sofiane & Chevallier Julien & Jammazi Rania & Tiwari Aviral Kumar, 2016. "The place of gold in the cross-market dependencies," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(5), pages 567-586, December.
  6. Sofiane Aboura, 2015. "Leverage v.s. Feedback : Which effect drives the equity market during stress periods ?," Annals of Economics and Statistics, GENES, issue 119-120, pages 268-288.
  7. Aboura, Sofiane & Chevallier, Julien, 2015. "Geographical diversification with a World Volatility Index," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 62-82.
  8. Sofiane Aboura, 2015. "Disentangling Crashes from Tail Events," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 20(3), pages 206-219, July.
  9. Sofiane Aboura & Emmanuel Lépinette, 2015. "Do banks satisfy the Modigliani-Miller theorem?," Economics Bulletin, AccessEcon, vol. 35(2), pages 924-935.
  10. Aboura, Sofiane & Chevallier, Julien, 2015. "A cross-volatility index for hedging the country risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 25-41.
  11. Sofiane Aboura & Julien Chevallier, 2015. "Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets," Applied Economics, Taylor & Francis Journals, vol. 47(47), pages 5013-5033, October.
  12. Aboura, Sofiane & Chevallier, Julien, 2015. "Cross-market volatility index with Factor-DCC," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 132-140.
  13. Aboura, Sofiane & Chevallier, Julien, 2015. "Volatility returns with vengeance: Financial markets vs. commodities," Research in International Business and Finance, Elsevier, vol. 33(C), pages 334-354.
  14. Aboura, Sofiane & Chevallier, Julien, 2014. "Volatility equicorrelation: A cross-market perspective," Economics Letters, Elsevier, vol. 122(2), pages 289-295.
  15. Aboura, Sofiane & Chevallier, Julien, 2014. "Cross-market index with Factor-DCC," Economic Modelling, Elsevier, vol. 40(C), pages 158-166.
  16. Aboura, Sofiane & Chevallier, Julien, 2014. "Cross-market spillovers with ‘volatility surprise’," Review of Financial Economics, Elsevier, vol. 23(4), pages 194-207.
  17. Sofiane Aboura, 2014. "When the U.S. Stock Market Becomes Extreme?," Risks, MDPI, vol. 2(2), pages 1-15, May.
  18. Aboura, Sofiane & Chevallier, Julien, 2013. "Leverage vs. feedback: Which Effect drives the oil market?," Finance Research Letters, Elsevier, vol. 10(3), pages 131-141.
  19. Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Qian Liu, 2013. "The reactive volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1697-1706, November.
  20. Sofiane Aboura & Julien Chevallier, 2013. "An equicorrelation measure for equity, bond, foreign exchange and commodity returns," Applied Economics Letters, Taylor & Francis Journals, vol. 20(18), pages 1618-1624, December.
  21. Aboura, Sofiane, 2009. "The extreme downside risk of the S&P 500 stock index," Journal of Financial Transformation, Capco Institute, vol. 26, pages 104-107.
  22. Christophe Boucher & Sofiane Aboura, 2007. "Testing the fed and the Graham & Dodd models: asymmetric vs. symmetric adjustment," Applied Economics Letters, Taylor & Francis Journals, vol. 15(2), pages 91-94.
  23. Aboura, Sofiane, 2005. "French media bias and the vote on the European constitution," European Journal of Political Economy, Elsevier, vol. 21(4), pages 1093-1098, December.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (3) 2004-06-02 2012-10-06 2014-08-20
  2. NEP-FMK: Financial Markets (2) 2013-07-28 2014-08-20
  3. NEP-RMG: Risk Management (2) 2012-10-06 2013-07-28
  4. NEP-BAN: Banking (1) 2013-07-28
  5. NEP-BEC: Business Economics (1) 2012-08-23
  6. NEP-CBA: Central Banking (1) 2013-07-28
  7. NEP-CWA: Central and Western Asia (1) 2012-08-23
  8. NEP-ECM: Econometrics (1) 2012-10-06
  9. NEP-FIN: Finance (1) 2004-06-02

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