Sofiane Aboura

Université Paris XIII Nord - Department of Economics and Management

Professor

99 avenue Jean-Baptiste

Clément , Villetaneuse 93430

France

  • Université Paris XIII Nord - Department of Economics and Management

SCHOLARLY PAPERS

28

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CITATIONS
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in Total Papers Citations

13

Scholarly Papers (28)

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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 1,148 (16,561)
Citation 5

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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 790 (28,609)
Citation 4

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GARCH model, Implied Volatility, Risk Management

3.

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 NEOMA Business School
Downloads 786 (28,791)

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

4.

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 NEOMA Business School
Downloads 687 (34,617)

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Tail risk, Idiosyncratic volatility, Size, Value, Anomalies

5.

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 630 (38,885)

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6.

Extreme Asymmetric Volatility: Stress and Aggregate Asset Prices

Downloads 608 ( 35,691)
Citation 3

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 608 (40,171)
Citation 3

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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

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

7.

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 475 (55,849)

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8.

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 408 (67,287)

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

9.

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 392 (70,500)

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10.

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 375 (74,281)

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

11.

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 372 (74,959)

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Implied volatility

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 366 (76,419)

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Modigliani-Miller, banks, leverage, regulation

13.

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 300 (95,717)

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Implied Volatility, Stochastic Volatility Model, Skew and Smile

14.

The Reactive Volatility Model

Number of pages: 15 Posted: 08 Aug 2012
Sébastien Valeyre, Denis Grebenkov, Sofiane Aboura and Qian Liu
John Locke Investments, CNRS, Université Paris XIII Nord - Department of Economics and Management and John Locke Investments
Downloads 253 (114,693)

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volatility, tail event, risk management, asset pricing

15.

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 206 (140,335)

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

16.

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 165 (171,592)

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17.

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 155 (180,860)

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European-style option pricing, volatility smile, risk model

18.

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 143 (193,347)

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

19.

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 110 (236,264)

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Crude Oil market, Volatility, Risk Management

20.

A Model of Self-Regulation in Banking Industry

Downloads 104 (245,841)

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 65 (330,448)

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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 39 (416,768)

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21.

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 94 (262,986)
Citation 1

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

22.

The Beta Neutral Model with Leverage Effect

Number of pages: 27 Posted: 28 Aug 2017
Sébastien Valeyre, Denis Grebenkov and Sofiane Aboura
John Locke Investments, CNRS and Université Paris XIII Nord - Department of Economics and Management
Downloads 84 (282,219)

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Beta, Correlation, Volatility, Portfolio Management, Market Neutral Strategies

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 81 (288,494)

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

24.

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 78 (294,958)

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Information costs, implied volatility, jump diffusion model

25.

Should Employers Pay Their Employees Better?

Number of pages: 33 Posted: 03 Feb 2016
Sébastien Valeyre, Denis Grebenkov, Qian Liu, Sofiane Aboura and Francois Bonnin
John Locke Investments, CNRS, John Locke Investments, Université Paris XIII Nord - Department of Economics and Management and John Locke Investments
Downloads 77 (297,245)

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Anomalies, Asset Pricing, Remuneration, Performance

26.

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 73 (306,557)

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27.

Risk Premium Spillovers Among Stock Markets: Evidence from Higher-Order Moments

Number of pages: 39 Posted: 05 Mar 2018 Last Revised: 12 Oct 2018
Marinela Adriana Finta and Sofiane Aboura
Singapore Management University and Université Paris XIII Nord - Department of Economics and Management
Downloads 26 (464,730)

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Spillovers, Volatility, Skewness, Kurtosis, Risk-Neutral, Risk Premium

28.

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

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