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Sofiane Aboura

This is information that was supplied by Sofiane Aboura in registering through RePEc. If you are Sofiane Aboura , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name:Sofiane
Middle Name:
Last Name:Aboura
RePEc Short-ID:pab28
Université de Paris XIII Sorbonne Paris Cité UFR Econonmie et Gestion 99 avenue J.B. Clément 93430 Villetaneuse - France
Paris, France

: 01 49 40 33 18
01 49 40 33 34
avenue J.-B. Clément - 93430 VILLETANEUSE
RePEc:edi:cep13fr (more details at EDIRC)
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  1. Sebastien Valeyre & Denis Grebenkov & Qian Liu & Sofiane Aboura & Francois Bonnin, 2016. "Should employers pay their employees better?," Papers 1602.00931,
  2. Sofiane Aboura & Emmanuel Lépinette, 2015. "Do banks satisfy the Modigliani-Miller theorem?," Post-Print hal-01252895, HAL.
  3. Sofiane Aboura & Niklas Wagner, 2015. "Extreme asymmetric volatility: Stress and aggregate asset prices," Post-Print hal-01275450, HAL.
  4. Sofiane Aboura, 2015. "Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods?," Post-Print hal-01274397, HAL.
  5. Sofiane Aboura & Emmanuel Lepinette, 2015. "Les effets controversés de la régulation des banques d'investissement et de marchés," Post-Print hal-01103074, HAL.
  6. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with 'Volatility Surprise'," Working Papers halshs-01052488, HAL.
  7. Sofiane Aboura & Emmanuel Lépinette, 2013. "An Alternative Model to Basel Regulation," Working Papers hal-00825018, HAL.
  8. 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.
  9. Sofiane Aboura & Julien Chevallier, 2012. "Leverage vs. Feedback: Which Effect Drives the Oil Market?," Working Papers halshs-00720156, HAL.
  10. Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Qian Liu, 2012. "The Reactive Volatility Model," Papers 1209.5190,, revised Apr 2013.
  11. Sofiane Aboura, 2010. "Disentangling crashes from tail events," Working Papers halshs-00638072, HAL.
  12. Sofiane Aboura, 2009. "The extreme downside risk of the S&P 500 stock index," Post-Print halshs-00638075, HAL.
  13. Sofiane Aboura, 2008. "Systematic Credit Risk: CDX Index Correlation and Extreme Dependence," Post-Print halshs-00172513, HAL.
  14. Sofiane Aboura, 2008. "Le Marché d'Options," Post-Print halshs-00337509, HAL.
  15. Sofiane Aboura, 2006. "Les modèles de volatilité et d'options," Post-Print halshs-00161680, HAL.
  16. Sofiane Aboura, 2005. "Pricing Cac 40 Index Options With Stochastic Volatility," Post-Print halshs-00153116, HAL.
  17. Sofiane Aboura, 2005. "The French media campaign in favor of the Treaty Establishing a Constitution for Europe," Post-Print halshs-00153114, HAL.
  18. Sofiane Aboura, 2005. "Le comportement des indices de volatilité implicite internationaux," Post-Print halshs-00153113, HAL.
  19. Sofiane Aboura, 2005. "Pricing CAC 40 Index Options under Asymmetry of Information," Post-Print halshs-00161679, HAL.
  20. Sofiane ABOURA, 2004. "GARCH Option Pricing Under Skew," Finance 0405032, EconWPA.
  1. 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.
  2. 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.
  3. Sofiane Aboura & Emmanuel Lépinette, 2015. "Do banks satisfy the Modigliani-Miller theorem?," Economics Bulletin, AccessEcon, vol. 35(2), pages 924-935.
  4. 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.
  5. 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.
  6. Aboura, Sofiane & Chevallier, Julien, 2015. "Cross-market volatility index with Factor-DCC," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 132-140.
  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, 07.
  9. 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.
  10. Sofiane Aboura, 2014. "When the U.S. Stock Market Becomes Extreme?," Risks, MDPI, Open Access Journal, vol. 2(2), pages 211, May.
  11. Aboura, Sofiane & Chevallier, Julien, 2014. "Volatility equicorrelation: A cross-market perspective," Economics Letters, Elsevier, vol. 122(2), pages 289-295.
  12. Aboura, Sofiane & Chevallier, Julien, 2014. "Cross-market index with Factor-DCC," Economic Modelling, Elsevier, vol. 40(C), pages 158-166.
  13. Aboura, Sofiane & Chevallier, Julien, 2014. "Cross-market spillovers with ‘volatility surprise’," Review of Financial Economics, Elsevier, vol. 23(4), pages 194-207.
  14. 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.
  15. 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.
  16. Aboura, Sofiane & Chevallier, Julien, 2013. "Leverage vs. feedback: Which Effect drives the oil market?," Finance Research Letters, Elsevier, vol. 10(3), pages 131-141.
  17. 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.
  18. 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.
  19. 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.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 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. Author is listed
  2. NEP-RMG: Risk Management (3) 2012-10-06 2013-03-23 2013-07-28. Author is listed
  3. NEP-FMK: Financial Markets (2) 2013-07-28 2014-08-20. Author is listed
  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 & Western Asia (1) 2012-08-23
  8. NEP-ECM: Econometrics (1) 2012-10-06
  9. NEP-FIN: Finance (1) 2004-06-02
  10. NEP-MAC: Macroeconomics (1) 2013-03-23

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