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Sofiane Aboura

Personal Details

First Name:Sofiane
Middle Name:
Last Name:Aboura
Suffix:
RePEc Short-ID:pab28
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 & Julien Chevallier, 2016. "Spikes and crashes in the oil market," Post-Print halshs-01348711, HAL.
  3. Sofiane Aboura & Julien Chevallier, 2016. "Oil vs. gasoline: The dark side of volatility and taxation," Post-Print halshs-01348705, HAL.
  4. Sofiane Aboura & Eser Arisoy, 2016. "Does Aggregate Uncertainty Explain Size and Value Anomalies?," Post-Print hal-01488305, HAL.
  5. Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Francois Bonnin, 2016. "Should employers pay their employees better? An asset pricing approach," Papers 1602.00931, arXiv.org, revised Oct 2016.
  6. Sofiane Aboura & Emmanuel Lépinette, 2015. "Do banks satisfy the Modigliani-Miller theorem?," Post-Print hal-01252895, HAL.
  7. Sofiane Aboura & Emmanuel Lepinette, 2015. "Les effets controversés de la régulation des banques d'investissement et de marchés," Post-Print hal-01103074, HAL.
  8. Sofiane Aboura & Julien Chevallier, 2015. "Cross-market volatility index with Factor-DCC," Post-Print halshs-01348723, HAL.
  9. Sofiane Aboura, 2015. "Which Effect Drives the Equity Market during Stress Periods?," Post-Print halshs-01348718, HAL.
  10. Sofiane Aboura & Niklas Wagner, 2015. "Extreme asymmetric volatility: Stress and aggregate asset prices," Post-Print hal-01275450, HAL.
  11. Sofiane Aboura, 2015. "Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods?," Post-Print hal-01274397, HAL.
  12. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with 'Volatility Surprise'," Working Papers halshs-01052488, HAL.
  13. Sofiane Aboura & Emmanuel Lépinette, 2013. "An Alternative Model to Basel Regulation," Working Papers hal-00825018, HAL.
  14. Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Qian Liu, 2012. "The Reactive Volatility Model," Papers 1209.5190, arXiv.org, revised Apr 2013.
  15. Sofiane Aboura & Julien Chevallier, 2012. "Leverage vs. Feedback: Which Effect Drives the Oil Market?," Working Papers halshs-00720156, HAL.
  16. Sofiane Aboura, 2010. "Disentangling crashes from tail events," Working Papers halshs-00638072, HAL.
  17. Sofiane Aboura, 2009. "The extreme downside risk of the S&P 500 stock index," Post-Print halshs-00638075, HAL.
  18. Sofiane Aboura, 2008. "Le Marché d'Options," Post-Print halshs-00337509, HAL.
  19. Sofiane Aboura, 2008. "Systematic Credit Risk: CDX Index Correlation and Extreme Dependence," Post-Print halshs-00172513, HAL.
  20. Sofiane Aboura, 2006. "Les modèles de volatilité et d'options," Post-Print halshs-00161680, HAL.
  21. Sofiane Aboura, 2005. "Pricing Cac 40 Index Options With Stochastic Volatility," Post-Print halshs-00153116, HAL.
  22. Sofiane Aboura, 2005. "The French media campaign in favor of the Treaty Establishing a Constitution for Europe," Post-Print halshs-00153114, HAL.
  23. Sofiane Aboura, 2005. "Le comportement des indices de volatilité implicite internationaux," Post-Print halshs-00153113, HAL.
  24. Sofiane Aboura, 2005. "Pricing CAC 40 Index Options under Asymmetry of Information," Post-Print halshs-00161679, HAL.
  25. Sofiane ABOURA, 2004. "GARCH Option Pricing Under Skew," Finance 0405032, University Library of Munich, Germany.
    repec:hal:journl:halshs-01348685 is not listed on IDEAS
    repec:hal:journl:halshs-01348729 is not listed on IDEAS
    repec:hal:journl:halshs-01348689 is not listed on IDEAS
    repec:hal:journl:halshs-01348702 is not listed on IDEAS

Articles

  1. 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.
  2. 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.
  3. 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.
  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, 2016. "Spikes and crashes in the oil market," Research in International Business and Finance, Elsevier, vol. 36(C), pages 615-623.
  6. Sofiane Aboura, 2015. "Disentangling Crashes from Tail Events," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 20(3), pages 206-219, July.
  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 & Emmanuel Lépinette, 2015. "Do banks satisfy the Modigliani-Miller theorem?," Economics Bulletin, AccessEcon, vol. 35(2), pages 924-935.
  9. Aboura, Sofiane & Chevallier, Julien, 2015. "Cross-market volatility index with Factor-DCC," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 132-140.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. Aboura, Sofiane & Chevallier, Julien, 2014. "Cross-market spillovers with ‘volatility surprise’," Review of Financial Economics, Elsevier, vol. 23(4), pages 194-207.
  15. Aboura, Sofiane & Chevallier, Julien, 2014. "Volatility equicorrelation: A cross-market perspective," Economics Letters, Elsevier, vol. 122(2), pages 289-295.
  16. Aboura, Sofiane & Chevallier, Julien, 2014. "Cross-market index with Factor-DCC," Economic Modelling, Elsevier, vol. 40(C), pages 158-166.
  17. Sofiane Aboura, 2014. "When the U.S. Stock Market Becomes Extreme?," Risks, MDPI, Open Access Journal, vol. 2(2), pages 1-15, May.
  18. 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.
  19. 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.
  20. Aboura, Sofiane & Chevallier, Julien, 2013. "Leverage vs. feedback: Which Effect drives the oil market?," Finance Research Letters, Elsevier, vol. 10(3), pages 131-141.
  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.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Sofiane Aboura & Julien Chevallier, 2016. "Spikes and crashes in the oil market," Post-Print halshs-01348711, HAL.

    Cited by:

    1. Lu-Tao Zhao & Li-Na Liu & Zi-Jie Wang & Ling-Yun He, 2019. "Forecasting Oil Price Volatility in the Era of Big Data: A Text Mining for VaR Approach," Sustainability, MDPI, Open Access Journal, vol. 11(14), pages 1-20, July.
    2. Zhang, Yue-Jun & Chevallier, Julien & Guesmi, Khaled, 2017. "“De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets," Energy Economics, Elsevier, vol. 68(C), pages 228-239.
    3. Zhang, Yue-Jun & Wang, Jin-Li, 2019. "Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models," Energy Economics, Elsevier, vol. 78(C), pages 192-201.

  2. Sofiane Aboura & Emmanuel Lépinette, 2015. "Do banks satisfy the Modigliani-Miller theorem?," Post-Print hal-01252895, HAL.

    Cited by:

    1. Belinda Cheung & Sebastien Printant, 2019. "Australian Money Market Divergence: Arbitrage Opportunity or Illusion?," RBA Research Discussion Papers rdp2019-09, Reserve Bank of Australia.

  3. Sofiane Aboura & Julien Chevallier, 2015. "Cross-market volatility index with Factor-DCC," Post-Print halshs-01348723, HAL.

    Cited by:

    1. Tsuji, Chikashi, 2018. "Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses," Economic Modelling, Elsevier, vol. 74(C), pages 167-185.
    2. Aboura, Sofiane & Chevallier, Julien, 2017. "A new weighting-scheme for equity indexes," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 159-175.

  4. Sofiane Aboura & Niklas Wagner, 2015. "Extreme asymmetric volatility: Stress and aggregate asset prices," Post-Print hal-01275450, HAL.

    Cited by:

    1. Yiguo Sun & Ximing Wu, 2018. "Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 11(2), pages 1-20, June.
    2. Ushir HARRILALL & Yudhvir SEETHARAM, 2015. "Forecasting changes in the South African volatility index: A comparison of methods," EuroEconomica, Danubius University of Galati, issue 2(34), pages 51-70, November.
    3. Bollerslev, Tim & Xu, Lai & Zhou, Hao, 2015. "Stock return and cash flow predictability: The role of volatility risk," Journal of Econometrics, Elsevier, vol. 187(2), pages 458-471.
    4. Alexandra Horobet & Lucian Belascu & Ștefania Cristina Curea & Alma Pentescu, 2019. "Ownership Concentration and Performance Recovery Patterns in the European Union," Sustainability, MDPI, Open Access Journal, vol. 11(4), pages 1-31, February.

  5. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with 'Volatility Surprise'," Working Papers halshs-01052488, HAL.

    Cited by:

    1. Zhang, Yue-Jun & Peng, Yu-Lu & Ma, Chao-Qun & Shen, Bo, 2017. "Can environmental innovation facilitate carbon emissions reduction? Evidence from China," Energy Policy, Elsevier, vol. 100(C), pages 18-28.
    2. Eduard Baumohl & Evzen Kocenda & Stefan Lyocsa & Tomas Vyrost, 2016. "Networks of volatility spillovers among stock markets," KIER Working Papers 941, Kyoto University, Institute of Economic Research.
    3. Jozef Baruník & Evžen Kocenda, 2019. "Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets," CESifo Working Paper Series 7756, CESifo Group Munich.
    4. Kanamura, Takashi, 2016. "Role of carbon swap trading and energy prices in price correlations and volatilities between carbon markets," Energy Economics, Elsevier, vol. 54(C), pages 204-212.
    5. Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2017. "Asymmetric volatility connectedness on the forex market," KIER Working Papers 956, Kyoto University, Institute of Economic Research.
    6. Zhang, Weiping & Zhuang, Xintian, 2019. "The stability of Chinese stock network and its mechanism," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 748-761.

  6. Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Qian Liu, 2012. "The Reactive Volatility Model," Papers 1209.5190, arXiv.org, revised Apr 2013.

    Cited by:

    1. Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Francois Bonnin, 2016. "Should employers pay their employees better? An asset pricing approach," Papers 1602.00931, arXiv.org, revised Oct 2016.
    2. Sebastien Valeyre, 2020. "Refined model of the covariance/correlation matrix between securities," Papers 2001.08911, arXiv.org.
    3. Sebastien Valeyre & Sofiane Aboura & Denis Grebenkov, 2019. "The Reactive Beta Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 42(1), pages 71-113, March.

  7. Sofiane Aboura & Julien Chevallier, 2012. "Leverage vs. Feedback: Which Effect Drives the Oil Market?," Working Papers halshs-00720156, HAL.

    Cited by:

    1. Luo, Xingguo & Qin, Shihua, 2017. "Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index," Finance Research Letters, Elsevier, vol. 20(C), pages 29-34.
    2. Brice V. Dupoyet & Corey A. Shank, 2018. "Oil prices implied volatility or direction: Which matters more to financial markets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(3), pages 275-295, August.
    3. Gong, Xu & Lin, Boqiang, 2018. "The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market," Energy Economics, Elsevier, vol. 74(C), pages 370-386.
    4. Julien Chevallier & Benoit Sevi, 2014. "A fear index to predict oil futures returns," Working Papers 2014-333, Department of Research, Ipag Business School.
    5. Campos, I. & Cortazar, G. & Reyes, T., 2017. "Modeling and predicting oil VIX: Internet search volume versus traditional mariables," Energy Economics, Elsevier, vol. 66(C), pages 194-204.
    6. Jeng-Bau Lin & Chin-Chia Liang & Wei Tsai, 2019. "Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information," Sustainability, MDPI, Open Access Journal, vol. 11(14), pages 1-15, July.
    7. Agbeyegbe, Terence D., 2015. "An inverted U-shaped crude oil price return-implied volatility relationship," Review of Financial Economics, Elsevier, vol. 27(C), pages 28-45.
    8. Deeney, Peter & Cummins, Mark & Dowling, Michael & Bermingham, Adam, 2015. "Sentiment in oil markets," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 179-185.
    9. Nguyen, Duc Khuong & Sousa, Ricardo M. & Uddin, Gazi Salah, 2015. "Testing for asymmetric causality between U.S. equity returns and commodity futures returns," Finance Research Letters, Elsevier, vol. 12(C), pages 38-47.
    10. Ji, Qiang & Fan, Ying, 2016. "Modelling the joint dynamics of oil prices and investor fear gauge," Research in International Business and Finance, Elsevier, vol. 37(C), pages 242-251.
    11. Florian Ielpo & Benoît Sévi, 2014. "Forecasting the density of oil futures," Working Papers 2014-601, Department of Research, Ipag Business School.
    12. Liu, Bing-Yue & Ji, Qiang & Fan, Ying, 2017. "Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model," Energy Economics, Elsevier, vol. 68(C), pages 53-65.
    13. Sofiane Aboura & Julien Chevallier, 2016. "Spikes and crashes in the oil market," Post-Print halshs-01348711, HAL.
    14. Ji, Qiang & Liu, Bing-Yue & Nehler, Henrik & Uddin, Gazi Salah, 2018. "Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach," Energy Economics, Elsevier, vol. 76(C), pages 115-126.
    15. Jeng-Bau Lin & Wei Tsai, 2019. "The Relations of Oil Price Change with Fear Gauges in Global Political and Economic Environment," Energies, MDPI, Open Access Journal, vol. 12(15), pages 1-17, August.

  8. Sofiane Aboura, 2010. "Disentangling crashes from tail events," Working Papers halshs-00638072, HAL.

    Cited by:

    1. Polanski, Arnold & Stoja, Evarist & Chiu, Ching-Wai (Jeremy), 2019. "Tail risk interdependence," Bank of England working papers 815, Bank of England.
    2. Sofiane Aboura, 2016. "Individual investors and stock returns," Journal of Asset Management, Palgrave Macmillan, vol. 17(7), pages 477-485, December.

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.

    Cited by:

    1. Mansour-Ichrakieh, Layal, 2020. "The impact of Israeli Geopolitical Risks on the Lebanese Financial Market: A Destabilizer Multiplier," MPRA Paper 99376, University Library of Munich, Germany.
    2. Alsamara, Mouyad & Mrabet, Zouhair & Jarallah, Shaif & Barkat, Karim, 2019. "The switching impact of financial stability and economic growth in Qatar: Evidence from an oil-rich country," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 205-216.
    3. Mansour-Ichrakieh, Layal & Zeaiter, Hussein, 2019. "The role of geopolitical risks on the Turkish economy opportunity or threat," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    4. Mikhail Stolbov & Alexander Karminsky & Maria Shchepeleva, 2018. "Does Economic Policy Uncertainty Lead Systemic Risk? A Comparative Analysis of Selected European Countries," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(3), pages 332-360, September.
    5. Leonardo Badea & Daniel Ştefan Armeanu & Iulian Panait & Ştefan Cristian Gherghina, 2019. "A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings," Sustainability, MDPI, Open Access Journal, vol. 11(5), pages 1-24, March.

  2. 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.

    Cited by:

    1. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Didier Maillard, 2017. "Computation of the Corrected Cornish-Fisher Expansion using the Response Surface Methodology: Application to V aR and CV aR," THEMA Working Papers 2017-21, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

  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.
    See citations under working paper version above.
  4. Sofiane Aboura, 2015. "Disentangling Crashes from Tail Events," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 20(3), pages 206-219, July.
    See citations under working paper version above.
  5. Sofiane Aboura & Emmanuel Lépinette, 2015. "Do banks satisfy the Modigliani-Miller theorem?," Economics Bulletin, AccessEcon, vol. 35(2), pages 924-935.
    See citations under working paper version above.
  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.
    See citations under working paper version above.
  7. 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.

    Cited by:

    1. Shank, Corey A. & Vianna, Andre C., 2016. "Are US-Dollar-Hedged-ETF investors aggressive on exchange rates? A panel VAR approach," Research in International Business and Finance, Elsevier, vol. 38(C), pages 430-438.
    2. Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam, 2018. "Modeling extreme risks in commodities and commodity currencies," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 108-120.
    3. Zhang, Yue-Jun & Chevallier, Julien & Guesmi, Khaled, 2017. "“De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets," Energy Economics, Elsevier, vol. 68(C), pages 228-239.
    4. Akkoc, Ugur & Civcir, Irfan, 2019. "Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model," Resources Policy, Elsevier, vol. 62(C), pages 231-239.
    5. Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2016. "Stock markets’ bubbles burst and volatility spillovers in agricultural commodity markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 277-285.
    6. Kang, Sang Hoon & McIver, Ron & Yoon, Seong-Min, 2017. "Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets," Energy Economics, Elsevier, vol. 62(C), pages 19-32.
    7. Alexakis, Christos & Pappas, Vasileios, 2018. "Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes," Economic Modelling, Elsevier, vol. 73(C), pages 222-239.
    8. Almeida, Daniel de & Ruiz, Esther & Hotta, Luiz, 2015. "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS ws1516, Universidad Carlos III de Madrid. Departamento de Estadística.
    9. Huchet, Nicolas & Fam, Papa Gueye, 2016. "The role of speculation in international futures markets on commodity prices," Research in International Business and Finance, Elsevier, vol. 37(C), pages 49-65.
    10. Tanha, Hassan & Dempsey, Michael, 2015. "The asymmetric response of volatility to market changes and the volatility smile: Evidence from Australian options," Research in International Business and Finance, Elsevier, vol. 34(C), pages 164-176.
    11. Sila Alan, Nazli & Karagozoglu, Ahmet K. & Korkmaz, Sibel, 2016. "Growing pains: The evolution of new stock index futures in emerging markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 1-16.
    12. Morrison, Eleanor J., 2019. "Energy price implications for emerging market bond returns," Research in International Business and Finance, Elsevier, vol. 50(C), pages 398-415.
    13. Karyotis, Catherine & Alijani, Sharam, 2016. "Soft commodities and the global financial crisis: Implications for the economy, resources and institutions," Research in International Business and Finance, Elsevier, vol. 37(C), pages 350-359.
    14. Bouri, Elie & Jain, Anshul & Biswal, P.C. & Roubaud, David, 2017. "Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices," Resources Policy, Elsevier, vol. 52(C), pages 201-206.
    15. Andriosopoulos, Kostas & Galariotis, Emilios & Spyrou, Spyros, 2017. "Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis," Energy Economics, Elsevier, vol. 66(C), pages 217-227.
    16. Mensi, Walid & Tiwari, Aviral & Bouri, Elie & Roubaud, David & Al-Yahyaee, Khamis H., 2017. "The dependence structure across oil, wheat, and corn: A wavelet-based copula approach using implied volatility indexes," Energy Economics, Elsevier, vol. 66(C), pages 122-139.

  8. 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.

    Cited by:

    1. Kilic, Erdem, 2017. "Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets," Economic Modelling, Elsevier, vol. 62(C), pages 51-67.
    2. Cañón Salazar Carlos Iván;Gallón Santiago;Olivar Santiago, 2016. "Functional Systemic Risk, Complementarities and Early Warnings," Working Papers 2016-12, Banco de México.

  9. Aboura, Sofiane & Chevallier, Julien, 2014. "Cross-market spillovers with ‘volatility surprise’," Review of Financial Economics, Elsevier, vol. 23(4), pages 194-207.
    See citations under working paper version above.
  10. Aboura, Sofiane & Chevallier, Julien, 2014. "Volatility equicorrelation: A cross-market perspective," Economics Letters, Elsevier, vol. 122(2), pages 289-295.

    Cited by:

    1. Mensi, Walid & Hammoudeh, Shawkat & Al-Jarrah, Idries Mohammad Wanas & Sensoy, Ahmet & Kang, Sang Hoon, 2017. "Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications," Energy Economics, Elsevier, vol. 67(C), pages 454-475.
    2. R. REYTIER & A. Blanes & Q. Gaucher & S. Thiam & P. Debled, 2015. "Behavior of Covariance Matrices with Equi-Correlation Approach," Proceedings of International Academic Conferences 2805027, International Institute of Social and Economic Sciences.
    3. Yilmaz, Mustafa K. & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk, 2015. "Cross-sectoral interactions in Islamic equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 32(C), pages 1-20.
    4. Kang, Sang Hoon & Uddin, Gazi Salah & Troster, Victor & Yoon, Seong-Min, 2019. "Directional spillover effects between ASEAN and world stock markets," Journal of Multinational Financial Management, Elsevier, vol. 52.
    5. Xiao Jing Cai & Shuairu Tian & Shigeyuki Hamori, 2016. "Dynamic correlation and equicorrelation analysis of global financial turmoil: evidence from emerging East Asian stock markets," Applied Economics, Taylor & Francis Journals, vol. 48(40), pages 3789-3803, August.
    6. Kang, Sang Hoon & McIver, Ron & Yoon, Seong-Min, 2017. "Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets," Energy Economics, Elsevier, vol. 62(C), pages 19-32.
    7. Ching-Chun Wei, 2016. "Empirical Analysis of ¡°Volatility Surprise¡± between Dollar Exchange Rate and CRB Commodity Future Markets," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(9), pages 117-126, September.

  11. Aboura, Sofiane & Chevallier, Julien, 2014. "Cross-market index with Factor-DCC," Economic Modelling, Elsevier, vol. 40(C), pages 158-166.

    Cited by:

    1. Tsuji, Chikashi, 2018. "Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses," Economic Modelling, Elsevier, vol. 74(C), pages 167-185.
    2. Tsuji, Chikashi, 2018. "New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries," Applied Energy, Elsevier, vol. 229(C), pages 1202-1217.

  12. 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.
    See citations under working paper version above.
  13. Aboura, Sofiane & Chevallier, Julien, 2013. "Leverage vs. feedback: Which Effect drives the oil market?," Finance Research Letters, Elsevier, vol. 10(3), pages 131-141.
    See citations under working paper version above.
  14. 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.

    Cited by:

    1. Marco Gambaro and Riccardo Puglisi, 2010. "What Do Ads Buy? Daily Coverage of Listed Companies on the Italian Press," RSCAS Working Papers 2010/26, European University Institute.
    2. Tridimas, George, 2007. "Ratification through referendum or parliamentary vote: When to call a non-required referendum?," European Journal of Political Economy, Elsevier, vol. 23(3), pages 674-692, September.

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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 & Western Asia (1) 2012-08-23
  8. NEP-ECM: Econometrics (1) 2012-10-06

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