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

DOWNLOADS
Rank 4,328

SSRN RANKINGS

Top 4,328

in Total Papers Downloads

9,149

CITATIONS
Rank 20,074

SSRN RANKINGS

Top 20,074

in Total Papers Citations

23

Scholarly Papers (28)

Actions:
Email selected abstracts
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 1,156 (17,169)
Citation 6

Abstract:

Loading...

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 801 (29,307)
Citation 5

Abstract:

Loading...

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 790 (29,853)

Abstract:

Loading...

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

4.

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

Number of pages: 58 Posted: 02 Sep 2016 Last Revised: 03 Mar 2019
Sofiane Aboura and Yakup Eser Arısoy
Université Paris XIII Nord - Department of Economics and Management and NEOMA Business School
Downloads 703 (35,015)

Abstract:

Loading...

Tail risk, Size, Value, Momentum, Idiosyncratic volatility, 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 633 (40,299)

Abstract:

Loading...

6.

Extreme Asymmetric Volatility: Stress and Aggregate Asset Prices

Downloads 618 ( 36,513)
Citation 2

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 618 (41,045)
Citation 2

Abstract:

Loading...

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:

Loading...

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 (58,359)
Citation 1

Abstract:

Loading...

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 409 (69,986)

Abstract:

Loading...

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

9.

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 406 (70,656)
Citation 1

Abstract:

Loading...

Modigliani-Miller, banks, leverage, regulation

10.

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 397 (72,489)

Abstract:

Loading...

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 377 (76,936)

Abstract:

Loading...

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 373 (77,897)

Abstract:

Loading...

Implied volatility

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 (99,514)
Citation 1

Abstract:

Loading...

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 256 (117,796)

Abstract:

Loading...

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 222 (135,881)
Citation 1

Abstract:

Loading...

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 170 (173,695)

Abstract:

Loading...

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 158 (184,934)

Abstract:

Loading...

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 (200,768)

Abstract:

Loading...

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

19.

A Model of Self-Regulation in Banking Industry

Downloads 123 (226,020)
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 78 (308,984)
Citation 1

Abstract:

Loading...

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 45 (408,202)

Abstract:

Loading...

20.

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 (245,203)

Abstract:

Loading...

Crude Oil market, Volatility, Risk Management

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 96 (268,992)
Citation 5

Abstract:

Loading...

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 90 (280,313)

Abstract:

Loading...

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 84 (292,686)
Citation 2

Abstract:

Loading...

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 79 (303,628)

Abstract:

Loading...

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 78 (305,935)

Abstract:

Loading...

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 73 (317,896)

Abstract:

Loading...

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 29 (466,369)

Abstract:

Loading...

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

Abstract:

Loading...