Sofiane Aboura

Names

first:	Sofiane
last:	Aboura

Identifer

RePEc Short-ID:

pab28

Contact

homepage:	http://urlz.fr/2S1j
phone:	+33 +1 49 40 33 23
postal address:	Université de Paris XIII Sorbonne Paris Cité UFR Economie et Gestion 99 avenue J.B. Clément 93430 Villetaneuse - France

Research profile

author of:

Leverage v.s. Feedback : Which effect drives the equity market during stress periods ? (RePEc:adr:anecst:y:2015:i:119-120:p:268-288)
by Sofiane Aboura
The Reactive Volatility Model (RePEc:arx:papers:1209.5190)
by Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Qian Liu
The place of gold in the cross-market dependencies (RePEc:bpj:sndecm:v:20:y:2016:i:5:p:567-586:n:3)
by Aboura Sofiane & Chevallier Julien & Jammazi Rania & Tiwari Aviral Kumar
Financial stress and economic dynamics: The case of France (RePEc:cii:cepiie:2017-q1-149-5)
by Sofiane Aboura & Bjoern van Roye
Cross-market index with Factor-DCC (RePEc:eee:ecmode:v:40:y:2014:i:c:p:158-166)
by Aboura, Sofiane & Chevallier, Julien
Volatility equicorrelation: A cross-market perspective (RePEc:eee:ecolet:v:122:y:2014:i:2:p:289-295)
by Aboura, Sofiane & Chevallier, Julien
Cross-market volatility index with Factor-DCC (RePEc:eee:finana:v:42:y:2015:i:c:p:132-140)
by Aboura, Sofiane & Chevallier, Julien
Leverage vs. feedback: Which Effect drives the oil market? (RePEc:eee:finlet:v:10:y:2013:i:3:p:131-141)
by Aboura, Sofiane & Chevallier, Julien
Financial stress and economic dynamics: The case of France (RePEc:eee:inteco:v:149:y:2017:i:c:p:57-73)
by Aboura, Sofiane & Roye, Bjoern van
A cross-volatility index for hedging the country risk (RePEc:eee:intfin:v:38:y:2015:i:c:p:25-41)
by Aboura, Sofiane & Chevallier, Julien
Geographical diversification with a World Volatility Index (RePEc:eee:mulfin:v:30:y:2015:i:c:p:62-82)
by Aboura, Sofiane & Chevallier, Julien
French media bias and the vote on the European constitution (RePEc:eee:poleco:v:21:y:2005:i:4:p:1093-1098)
by Aboura, Sofiane
Cross-market spillovers with ‘volatility surprise’ (RePEc:eee:revfin:v:23:y:2014:i:4:p:194-207)
by Aboura, Sofiane & Chevallier, Julien
Volatility returns with vengeance: Financial markets vs. commodities (RePEc:eee:riibaf:v:33:y:2015:i:c:p:334-354)
by Aboura, Sofiane & Chevallier, Julien
Spikes and crashes in the oil market (RePEc:eee:riibaf:v:36:y:2016:i:c:p:615-623)
by Aboura, Sofiane & Chevallier, Julien
Oil vs. gasoline: The dark side of volatility and taxation (RePEc:eee:riibaf:v:39:y:2017:i:pb:p:976-989)
by Aboura, Sofiane & Chevallier, Julien
When the U.S. Stock Market Becomes Extreme? (RePEc:gam:jrisks:v:2:y:2014:i:2:p:211-225:d:36605)
by Sofiane Aboura
Les effets controversés de la régulation des banques d'investissement et de marchés (RePEc:hal:journl:hal-01103074)
by Sofiane Aboura & Emmanuel Lépinette
Do banks satisfy the Modigliani-Miller theorem? (RePEc:hal:journl:hal-01252895)
by Sofiane Aboura & Emmanuel Lépinette
Unknown item RePEc:hal:journl:hal-01274397 (paper)
Extreme asymmetric volatility: Stress and aggregate asset prices (RePEc:hal:journl:hal-01275450)
by Sofiane Aboura & Niklas Wagner
Does Aggregate Uncertainty Explain Size and Value Anomalies? (RePEc:hal:journl:hal-01488305)
by Sofiane Aboura & Eser Arisoy
The French media campaign in favor of the Treaty Establishing a Constitution for Europe (RePEc:hal:journl:halshs-00153114)
by Sofiane Aboura
Les modèles de volatilité et d'options (RePEc:hal:journl:halshs-00161680)
by Sofiane Aboura
Systematic Credit Risk: CDX Index Correlation and Extreme Dependence (RePEc:hal:journl:halshs-00172513)
by Sofiane Aboura
Le Marché d'Options (RePEc:hal:journl:halshs-00337509)
by Sofiane Aboura
The extreme downside risk of the S&P 500 stock index (RePEc:hal:journl:halshs-00638075)
by Sofiane Aboura
New Developments on the Modigliani-Miller Theorem (RePEc:hal:journl:halshs-01348693)
by Sofiane Aboura
Oil vs. gasoline: The dark side of volatility and taxation (RePEc:hal:journl:halshs-01348705)
by Sofiane Aboura & Julien Chevallier
Spikes and crashes in the oil market (RePEc:hal:journl:halshs-01348711)
by Sofiane Aboura & Julien Chevallier
Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods? (RePEc:hal:journl:halshs-01348718)
by Sofiane Aboura
Cross-market volatility index with Factor-DCC (RePEc:hal:journl:halshs-01348723)
by Sofiane Aboura & Julien Chevallier
Disentangling Crashes from Tail Events (RePEc:hal:journl:halshs-01348725)
by Sofiane Aboura
An Alternative Model to Basel Regulation (RePEc:hal:wpaper:hal-00825018)
by Sofiane Aboura & Emmanuel Lépinette
Disentangling crashes from tail events (RePEc:hal:wpaper:halshs-00638072)
by Sofiane Aboura
Leverage vs. Feedback: Which Effect Drives the Oil Market? (RePEc:hal:wpaper:halshs-00720156)
by Sofiane Aboura & Julien Chevallier
Cross-Market Spillovers with 'Volatility Surprise' (RePEc:hal:wpaper:halshs-01052488)
by Sofiane Aboura & Julien Chevallier
The extreme downside risk of the S&P 500 stock index (RePEc:ris:jofitr:1397)
by Aboura, Sofiane
Testing the fed and the Graham & Dodd models: asymmetric vs. symmetric adjustment (RePEc:taf:apeclt:v:15:y:2007:i:2:p:91-94)
by Christophe Boucher & Sofiane Aboura
An equicorrelation measure for equity, bond, foreign exchange and commodity returns (RePEc:taf:apeclt:v:20:y:2013:i:18:p:1618-1624)
by Sofiane Aboura & Julien Chevallier
Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets (RePEc:taf:applec:v:47:y:2015:i:47:p:5013-5033)
by Sofiane Aboura & Julien Chevallier
The reactive volatility model (RePEc:taf:quantf:v:13:y:2013:i:11:p:1697-1706)
by Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Qian Liu
Disentangling Crashes from Tail Events (RePEc:wly:ijfiec:v:20:y:2015:i:3:p:206-219)
by Sofiane Aboura
Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion (RePEc:wly:jfutmk:v:36:y:2016:i:12:p:1194-1209)
by Sofiane Aboura & Didier Maillard
GARCH Option Pricing Under Skew (RePEc:wpa:wuwpfi:0405032)
by Sofiane ABOURA

The profile is maintained by Sofiane Aboura

Permanent link: http://authors.repec.org/pro/pab28/