Sofiane Aboura

Université Paris XIII Nord - Department of Economics and Management

Professor

99 avenue Jean-Baptiste

Clément , Villetaneuse 93430

France

SCHOLARLY PAPERS

26

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8,343

CITATIONS
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SSRN RANKINGS

Top 21,907

in Total Papers Citations

13

Scholarly Papers (26)

1.

International Market Volatility Indexes: A Study on VX1, VDAX and VIX

Number of pages: 26 Posted: 23 May 2003
Sofiane Aboura and Christophe Villa
Université Paris XIII Nord - Department of Economics and Management and Audencia Nantes School of Management
Downloads 1,044 (14,349)
Citation 5

Abstract:

GARCH model, Implied Volatility Index, Risk Management

2.

International Transmission of Volatility: A Study on the Volatility Indexes VX1, VDAX and VIX

Number of pages: 39 Posted: 07 Mar 2004
Sofiane Aboura
Université Paris XIII Nord - Department of Economics and Management
Downloads 663 (25,996)
Citation 4

Abstract:

GARCH model, Implied Volatility, Risk Management

3.

An Empirical Test of the Hull-White Option Pricing Model: A Correction

Number of pages: 5 Posted: 04 Nov 2003
Sofiane Aboura
Université Paris XIII Nord - Department of Economics and Management
Downloads 603 (33,745)

Abstract:

Extreme Asymmetric Volatility: Stress and Aggregate Asset Prices

Number of pages: 43 Posted: 25 Feb 2009 Last Revised: 21 Jun 2015
Sofiane Aboura and Niklas Wagner
Université Paris XIII Nord - Department of Economics and Management and Passau University
Downloads 572 (36,614)
Citation 3

Abstract:

market volatility, asymmetric volatility, leverage effect, volatility feedback, market stress, financial stability, systemic risk, extreme volatility, aggregate asset prices;

Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices

Posted: 06 Feb 2010 Last Revised: 21 Jun 2015
Sofiane Aboura and Niklas Wagner
Université Paris XIII Nord - Department of Economics and Management and Passau University

Abstract:

market volatility, asymmetric volatility, leverage effect, volatility feedback, VIX, market stress, systemic market risk

5.

GARCH Option Pricing Under Skew

Number of pages: 13 Posted: 23 Oct 2003
Sofiane Aboura
Université Paris XIII Nord - Department of Economics and Management
Downloads 445 (48,545)

Abstract:

6.

Systematic Credit Risk: CDX Index Correlation and Extreme Dependence

Number of pages: 23 Posted: 18 Sep 2007
Sofiane Aboura and Niklas Wagner
Université Paris XIII Nord - Department of Economics and Management and Passau University
Downloads 371 (59,138)

Abstract:

credit risk, factor model, time-varying risk, extreme dependence

7.

The Effect of Asymmetric Information and Transaction Costs on Asset Pricing: Theory and Test

EFMA 2003 Helsinki Meetings
Number of pages: 33 Posted: 21 Apr 2003
Makram Bellalah and Sofiane Aboura
Conservatoire des Arts et Metiers (CNAM) and Université Paris XIII Nord - Department of Economics and Management
Downloads 362 (62,940)

Abstract:

8.

The Behavior of the International Implied Volatility Indexes

Number of pages: 5 Posted: 03 Oct 2006
Sofiane Aboura
Université Paris XIII Nord - Department of Economics and Management
Downloads 357 (64,732)

Abstract:

Implied volatility

9.

A Survey on Implied Theories : The Volatility Models

Number of pages: 36 Posted: 15 Jul 2004 Last Revised: 21 Jun 2015
Sofiane Aboura
Université Paris XIII Nord - Department of Economics and Management
Downloads 357 (63,494)

Abstract:

Implied Volatility, Local Volatility, Stochastic Volatility, GARCH Volatility, Smile, Skew

10.

Pricing Cac 40 Index Options with Stochastic Volatility

EFMA 2003 Helsinki Meetings
Number of pages: 16 Posted: 09 Apr 2003 Last Revised: 21 Jun 2015
Sofiane Aboura
Université Paris XIII Nord - Department of Economics and Management
Downloads 282 (83,419)

Abstract:

Implied Volatility, Stochastic Volatility Model, Skew and Smile

11.

The Reactive Volatility Model

Number of pages: 15 Posted: 08 Aug 2012
John Locke Investments, CNRS, Université Paris XIII Nord - Department of Economics and Management and John Locke Investments
Downloads 222 (100,829)

Abstract:

volatility, tail event, risk management, asset pricing

12.

Do Banks Satisfy the Modigliani-Miller Theorem ?

Number of pages: 13 Posted: 02 Nov 2013 Last Revised: 21 Jun 2015
Sofiane Aboura and Emmanuel Lepinette
Université Paris XIII Nord - Department of Economics and Management and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 180 (97,102)

Abstract:

Modigliani-Miller, banks, leverage, regulation

13.

Option Pricing with a Dynamic Fat-Tailed Model

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 38 Posted: 30 Mar 2012 Last Revised: 21 Jun 2015
Sofiane Aboura, Sébastien Valeyre and Niklas Wagner
Université Paris XIII Nord - Department of Economics and Management, John Locke Investments and Passau University
Downloads 139 (170,658)

Abstract:

European-style option pricing, volatility smile, risk model

14.

Disentangling Crashes from Tail Events

Number of pages: 17 Posted: 17 Oct 2010 Last Revised: 21 Jun 2015
Sofiane Aboura
Université Paris XIII Nord - Department of Economics and Management
Downloads 133 (171,636)

Abstract:

Crash, Volatility, Risk Management, Contagion Effect, Systemic Risk

15.

Does Aggregate Uncertainty Explain Size and Value Anomalies?

Applied Economics, Forthcoming
Number of pages: 29 Posted: 13 Sep 2014 Last Revised: 03 Nov 2016
Sofiane Aboura and Yakup Eser Arısoy
Université Paris XIII Nord - Department of Economics and Management and Université Paris Dauphine - DRM Finance
Downloads 97 (24,397)

Abstract:

Uncertainty, vol-of-vol, VVIX, size, value

16.

Is There Any Black Swan Hidden in the Oil Markets?

Number of pages: 11 Posted: 14 Oct 2012
Sofiane Aboura
Université Paris XIII Nord - Department of Economics and Management
Downloads 90 (214,063)

Abstract:

Crude Oil market, Volatility, Risk Management

A Model of Self-Regulation in Banking Industry

Number of pages: 11 Posted: 09 Feb 2014
Sofiane Aboura and Emmanuel Lepinette
Université Paris XIII Nord - Department of Economics and Management and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 56 (309,960)

Abstract:

Self-regulation, banking regulation, systemic risk, insurance

A Model of Self-Regulation in Banking Industry

Number of pages: 14 Posted: 05 Feb 2015
Sofiane Aboura and Emmanuel Lepinette
Université Paris XIII Nord - Department of Economics and Management and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 24 (430,374)

Abstract:

18.

New Developments on the Modigliani-Miller Theorem

Number of pages: 16 Posted: 25 Feb 2015
Sofiane Aboura and Emmanuel Lepinette
Université Paris XIII Nord - Department of Economics and Management and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 78 (163,955)

Abstract:

19.

Leverage vs. Feedback: Which Effect Drives the Oil Market?

Number of pages: 15 Posted: 24 Jul 2012
Sofiane Aboura and Julien Chevallier
Université Paris XIII Nord - Department of Economics and Management and University of Paris 8 Vincennes-Saint Denis
Downloads 77 (241,159)
Citation 1

Abstract:

WTI, Crude Oil Price, Implied Volatility, Leverage Effect, Feedback Effect

20.

Option Pricing under Skewness and Kurtosis Using a Cornish Fisher Expansion

Number of pages: 18 Posted: 07 Nov 2014 Last Revised: 21 Jun 2015
Sofiane Aboura and Didier Maillard
Université Paris XIII Nord - Department of Economics and Management and Conservatoire National des Arts et Métiers (CNAM)
Downloads 76 (177,834)

Abstract:

Option pricing, Cornish-Fisher, Skewness, Kurtosis, Tail Risk

21.

Pricing Cac 40 Index Options Under Asymmetry of Information

Number of pages: 5 Posted: 03 Oct 2006 Last Revised: 21 Jun 2015
Sofiane Aboura
Université Paris XIII Nord - Department of Economics and Management
Downloads 69 (257,933)

Abstract:

Information costs, implied volatility, jump diffusion model

22.

An Alternative Model to Basel Regulation

Number of pages: 19 Posted: 23 May 2013 Last Revised: 21 Jun 2015
Sofiane Aboura and Emmanuel Lepinette
Université Paris XIII Nord - Department of Economics and Management and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 54 (279,101)

Abstract:

23.

Cross-Market Spillovers with ‘Volatility Surprise’

Number of pages: 35 Posted: 28 Jul 2014
Sofiane Aboura and Julien Chevallier
Université Paris XIII Nord - Department of Economics and Management and University of Paris 8 Vincennes-Saint Denis
Downloads 45 (290,654)

Abstract:

Cross-market relationships, Volatility surprise, Volatility spillover, ADCCX, Asset management

24.

Can Exposure to Aggregate Tail Risk Explain Size, Book-to-Market, and Idiosyncratic Volatility Anomalies?

Number of pages: 26 Posted: 02 Sep 2016 Last Revised: 10 Nov 2016
Sofiane Aboura and Yakup Eser Arısoy
Université Paris XIII Nord - Department of Economics and Management and Université Paris Dauphine - DRM Finance
Downloads 0 (30,018)

Abstract:

Tail risk, Idiosyncratic volatility, Size, Value, Anomalies

25.

Should Employers Pay Their Employees Better?

Number of pages: 33 Posted: 03 Feb 2016
John Locke Investments, CNRS, John Locke Investments, Université Paris XIII Nord - Department of Economics and Management and John Locke Investments
Downloads 0 (295,461)

Abstract:

Anomalies, Asset Pricing, Remuneration, Performance

26.

Empirical Performance Study of Alternative Option Pricing Models: An Application to the French Option Market

ESSEC Department of Finance Working Paper
Posted: 20 May 2003
Sofiane Aboura
Université Paris XIII Nord - Department of Economics and Management

Abstract: