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

29

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20

CROSSREF CITATIONS

13

Scholarly Papers (29)

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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 1,232 (28,535)
Citation 6

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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 891 (45,127)
Citation 7

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GARCH model, Implied Volatility, Risk Management

3.

Does Aggregate Uncertainty Explain Size and Value Anomalies?

Applied Economics, Vol. 49, No. 32, 3214-3230, 2017
Number of pages: 29 Posted: 13 Sep 2014 Last Revised: 09 Aug 2019
Sofiane Aboura and Yakup Eser Arısoy
Université Paris XIII Nord - Department of Economics and Management and NEOMA Business School
Downloads 805 (51,866)
Citation 1

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

4.

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

Journal of Business Finance and Accounting, Forthcoming
Number of pages: 66 Posted: 02 Sep 2016 Last Revised: 09 Aug 2019
Sofiane Aboura and Yakup Eser Arısoy
Université Paris XIII Nord - Department of Economics and Management and NEOMA Business School
Downloads 776 (54,516)
Citation 1

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Tail risk, Size, Value, Momentum, Idiosyncratic volatility, Anomalies

5.

Extreme Asymmetric Volatility: Stress and Aggregate Asset Prices

Downloads 684 (57,230)

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 684 (63,548)

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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

6.

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 661 (67,295)

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7.

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 657 (67,831)

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Modigliani-Miller, banks, leverage, regulation

8.

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 564 (82,143)
Citation 1

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9.

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

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 460 (105,399)

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10.

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 458 (105,928)

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

11.

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 406 (122,294)

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

12.

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 399 (124,403)

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Implied volatility

13.

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 391 (127,303)

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

14.

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 324 (156,422)

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Implied Volatility, Stochastic Volatility Model, Skew and Smile

15.

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 311 (163,285)
Citation 1

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16.

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 298 (170,833)
Citation 1

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volatility, tail event, risk management, asset pricing

17.

A Model of Self-Regulation in Banking Industry

Downloads 212 (239,009)
Citation 1

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 131 (360,741)
Citation 2

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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 81 (504,683)

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18.

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 202 (249,920)
Citation 1

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European-style option pricing, volatility smile, risk model

19.

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 162 (303,166)
Citation 1

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

20.

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 147 (328,732)

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

21.

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 135 (351,622)

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Crude Oil market, Volatility, Risk Management

22.

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 128 (365,963)
Citation 7

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

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 116 (393,480)
Citation 3

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

24.

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 105 (422,749)

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Anomalies, Asset Pricing, Remuneration, Performance

25.

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 94 (455,618)

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Information costs, implied volatility, jump diffusion model

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 93 (458,844)

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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 84 (488,810)
Citation 3

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

28.

A Note on the Bitcoin and Fed Funds Rate

Empirical Economics, 2022
Posted: 01 Mar 2022
Sofiane Aboura
Université Paris XIII Nord - Department of Economics and Management

Abstract:

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Bitcoins, Fed Funds Rates, Spillovers, Financial Markets

29.

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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