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Aboura, Sofiane's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
5,541 |
Total
Citations
12 |
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1.
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Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG) Villa, Christophe
Audencia Nantes School of Management
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929
(10,377)
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5
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GARCH model, Implied Volatility Index, Risk Management
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2.
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Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG)
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596
(20,112)
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4
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GARCH model, Implied Volatility, Risk Management
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3.
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Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG)
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585
(20,634)
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4.
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Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG)
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436
(30,495)
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5.
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Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG) Wagner, Niklas
Passau University
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25 Feb 09
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Last Revised:
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18 Jan 13
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423
(31,697)
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3
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market volatility, asymmetric volatility, leverage effect, volatility feedback, VIX, market stress, systemic market risk
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6.
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Bellalah, Makram
Conservatoire des Arts et Metiers (CNAM) Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG)
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355
(39,405)
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7.
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Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG) Wagner, Niklas
Passau University
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353
(39,666)
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credit risk, factor model, time-varying risk, extreme dependence
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8.
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Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG)
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339
(41,701)
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Implied volatility
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9.
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Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG)
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15 Jul 04
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Last Revised:
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31 Mar 09
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337
(42,008)
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Implied Volatility, Local Volatility, Stochastic Volatility, GARCH Volatility, Smile, Skew
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10.
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Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG)
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335
(42,308)
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11.
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Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG)
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09 Apr 03
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Last Revised:
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23 Feb 09
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275
(53,223)
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Implied Volatility, Stochastic Volatility Model, Skew and Smile
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12.
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Valeyre, Sébastien
John Locke Investments Grebenkov, Denis
CNRS Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG) Liu, Qian
John Locke Investments
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175
(84,984)
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volatility, tail event, risk management, asset pricing
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13.
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Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG)
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17 Oct 10
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Last Revised:
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17 May 12
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124
(114,906)
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Crash, Volatility, Risk Management, Contagion Effect, Systemic Risk
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14.
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Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG) Valeyre, Sébastien
John Locke Investments Wagner, Niklas
Passau University
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30 Mar 12
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Last Revised:
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25 Jan 13
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86
(149,358)
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European-style option pricing, volatility smile, risk model
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15.
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Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG)
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72
(166,450)
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Crude Oil market, Volatility, Risk Management
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16.
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Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG)
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03 Oct 06
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Last Revised:
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02 Apr 09
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67
(173,364)
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Information costs, implied volatility, jump diffusion model
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17.
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Aboura, Sofiane
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG) Chevallier, Julien
University of Paris 8 Vincennes-Saint Denis
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54
(193,431)
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WTI, Crude Oil Price, Implied Volatility, Leverage Effect, Feedback Effect
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