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Sofiane Aboura

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Personal Details

First Name:Sofiane
Middle Name:
Last Name:Aboura
Suffix:
RePEc Short-ID:pab28
Email:
Homepage:http://ssrn.com/author=101097
Postal Address:Université Paris Dauphine CEREG Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16 – France
Phone:
Location: Paris, France
Homepage: http://www.dauphine.fr/cereg/
Email:
Phone: 01 44 05 49 30
Fax: 01 44 05 40 23
Postal: Place du Maréchal de Lattre de Tassigny, 75775 Paris cédex 16
Handle: RePEc:edi:crgp9fr (more details at EDIRC)
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  1. Aboura, Sofiane & Chevallier, Julien, 2015. "Volatility returns with vengeance: Financial markets vs. commodities," Economics Papers from University Paris Dauphine 123456789/13359, Paris Dauphine University.
  2. Aboura, Sofiane & Valeyre, Sébastien & Wagner, Niklas, 2014. "Option pricing with a dynamic fat-tailed model," Economics Papers from University Paris Dauphine 123456789/14003, Paris Dauphine University.
  3. Aboura, Sofiane & Chevallier, Julien, 2014. "Cross-market volatility index with Factor-DCC," Economics Papers from University Paris Dauphine 123456789/13801, Paris Dauphine University.
  4. Chevallier, Julien & Aboura, Sofiane, 2014. "Cross-market index with Factor-DCC," Economics Papers from University Paris Dauphine 123456789/13247, Paris Dauphine University.
  5. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with Volatility Surprise," Working Papers 2014-469, Department of Research, Ipag Business School.
  6. Chevallier, Julien & Aboura, Sofiane, 2014. "Volatility equicorrelation: A cross-market perspective," Economics Papers from University Paris Dauphine 123456789/12323, Paris Dauphine University.
  7. Aboura, Sofiane, 2014. "When the U.S. Stock Market Becomes Extreme?," Economics Papers from University Paris Dauphine 123456789/13771, Paris Dauphine University.
  8. Aboura, Sofiane & Chevallier, Julien, 2014. "The cross-market index for volatility surprise," Economics Papers from University Paris Dauphine 123456789/12986, Paris Dauphine University.
  9. Sofiane Aboura & Emmanuel Lépinette, 2013. "An Alternative Model to Basel Regulation," Working Papers hal-00825018, HAL.
  10. Aboura, Sofiane, 2013. "Empirical Performance Study of Alternative Option Pricing Models: An Application to the French Option Market," Economics Papers from University Paris Dauphine 123456789/13809, Paris Dauphine University.
  11. Aboura, Sofiane & Chevallier, Julien, 2013. "An equicorrelation measure for equity, bond, foreign exchange and commodity returns," Economics Papers from University Paris Dauphine 123456789/11710, Paris Dauphine University.
  12. Sofiane Aboura & Björn van Roye, 2013. "Financial stress and economic dynamics: an application to France," Kiel Working Papers 1834, Kiel Institute for the World Economy.
  13. Sofiane Aboura & Julien Chevallier, 2012. "Leverage vs. Feedback: Which Effect Drives the Oil Market?," Working Papers halshs-00720156, HAL.
  14. Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Qian Liu, 2012. "The Reactive Volatility Model," Papers 1209.5190, arXiv.org, revised Apr 2013.
  15. Aboura, Sofiane, 2010. "Disentangling crashes from tail events," Economics Papers from University Paris Dauphine 123456789/5071, Paris Dauphine University.
  16. Aboura, Sofiane, 2009. "The extreme downside risk of the S&P 500 stock index," Economics Papers from University Paris Dauphine 123456789/7713, Paris Dauphine University.
  17. Sofiane Aboura, 2009. "The extreme downside risk of the S&P 500 stock index," Post-Print halshs-00638075, HAL.
  18. Aboura, Sofiane & Wagner, Niklas, 2009. "Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices," Economics Papers from University Paris Dauphine 123456789/3400, Paris Dauphine University.
  19. Aboura, Sofiane & Renucci, Antoine, 2008. "La rémunération des dirigeants des grandes entreprises : un problème non résolu," Economics Papers from University Paris Dauphine 123456789/6849, Paris Dauphine University.
  20. Aboura, Sofiane, 2008. "Le Marché d'options," Economics Papers from University Paris Dauphine 123456789/662, Paris Dauphine University.
  21. Aboura, Sofiane & Wagner, Niklas, 2008. "Systematic credit risk: CDX index correlation and extreme dependence," Economics Papers from University Paris Dauphine 123456789/1039, Paris Dauphine University.
  22. Aboura, Sofiane & Boucher, Christophe, 2008. "Testing the Fed and the Graham and Dodd Models : Asymmetric vs Symmetric Adjustment," Economics Papers from University Paris Dauphine 123456789/2139, Paris Dauphine University.
  23. Aboura, Sofiane, 2006. "Les modèles de volatilité et d'options," Economics Papers from University Paris Dauphine 123456789/611, Paris Dauphine University.
  24. Aboura, Sofiane, 2005. "Pricing CAC 40 Index Options with Stochastic Volatility," Economics Papers from University Paris Dauphine 123456789/2127, Paris Dauphine University.
  25. Aboura, Sofiane, 2005. "Pricing CAC 40 Index Options under Asymmetry of Information," Economics Papers from University Paris Dauphine 123456789/2089, Paris Dauphine University.
  26. Aboura, Sofiane, 2005. "Le comportement des indices de volatilité implicite internationaux," Economics Papers from University Paris Dauphine 123456789/1382, Paris Dauphine University.
  27. Aboura, Sofiane, 2005. "French media bias and the vote on the European constitution," Economics Papers from University Paris Dauphine 123456789/1278, Paris Dauphine University.
  28. Sofiane ABOURA, 2004. "GARCH Option Pricing Under Skew," Finance 0405032, EconWPA.
  29. Bellalah, Makram & Aboura, Sofiane, 2003. "The effect of asymmetric information and transaction costs on asset pricing: theory and tests," Economics Papers from University Paris Dauphine 123456789/9772, Paris Dauphine University.
  1. Sofiane Aboura, 2014. "When the U.S. Stock Market Becomes Extreme?," Risks, MDPI, Open Access Journal, vol. 2(2), pages 211-225, May.
  2. Aboura, Sofiane & Chevallier, Julien, 2014. "Volatility equicorrelation: A cross-market perspective," Economics Letters, Elsevier, vol. 122(2), pages 289-295.
  3. Aboura, Sofiane & Chevallier, Julien, 2014. "Cross-market index with Factor-DCC," Economic Modelling, Elsevier, vol. 40(C), pages 158-166.
  4. Aboura, Sofiane & Chevallier, Julien, 2013. "Leverage vs. feedback: Which Effect drives the oil market?," Finance Research Letters, Elsevier, vol. 10(3), pages 131-141.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. Sofiane ABOURA, 2005. "GARCH Option Pricing Under Skew," The IUP Journal of Applied Economics, IUP Publications, vol. 0(6), pages 78-86, November.
9 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (2) 2013-07-28 2014-07-21
  2. NEP-BEC: Business Economics (1) 2012-08-23
  3. NEP-CBA: Central Banking (2) 2013-07-28 2014-07-21
  4. NEP-CWA: Central & Western Asia (1) 2012-08-23
  5. NEP-ECM: Econometrics (1) 2012-10-06
  6. NEP-ETS: Econometric Time Series (4) 2004-06-02 2012-10-06 2014-08-20 2014-09-08. Author is listed
  7. NEP-FIN: Finance (1) 2004-06-02
  8. NEP-FMK: Financial Markets (5) 2013-07-28 2014-07-21 2014-08-20 2014-09-08 2014-10-22. Author is listed
  9. NEP-IFN: International Finance (1) 2014-09-08
  10. NEP-MAC: Macroeconomics (2) 2013-03-23 2014-07-21
  11. NEP-REG: Regulation (1) 2014-07-21
  12. NEP-RMG: Risk Management (4) 2012-10-06 2013-03-23 2013-07-28 2014-07-21. Author is listed

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