Aboura Sofiane - CV

Articles

Aboura S., Lépinette-Denis E. (2017), New Developments on the Modigliani-Miller Theorem, Theory of Probability and Its Applications, vol. 61, n°1, p. 3-14

Aboura S., Chevallier J. (2016), Spikes and crashes in the oil market, Research in International Business and Finance, vol. 36, p. 615–623

Aboura S., Wagner N. (2016), Extreme asymmetric volatility: Stress and aggregate asset prices, Journal of International Financial Markets, Institutions and Money, vol. 41, p. 47–59

Aboura S. (2015), Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods?, Annals of Economics and Statistics, n°119-120, p. 269-288

Aboura S., Chevallier J. (2015), A cross-volatility index for hedging the country risk, Journal of International Financial Markets, Institutions and Money, vol. 38, p. 25–41

Aboura S., Lépinette-Denis E. (2015), Do Banks Satisfy the Modigliani-Miller Theorem?, Economics Bulletin, vol. 35, n°2, p. 924-935

Chevallier J., Aboura S. (2015), Geographical Diversification with a World Volatility Index, Journal of Multinational Financial Management, vol. 30, p. 62-82

Aboura S., Chevallier J. (2015), Volatility returns with vengeance: Financial markets vs. commodities, Research in International Business and Finance, vol. 33, p. 334–354

Aboura S., Chevallier J. (2015), Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets, Applied Economics, vol. 47, n°47, p. 5013-5033

Aboura S., Chevallier J. (2015), Cross-market volatility index with Factor-DCC, International Review of Financial Analysis, vol. 42, p. 132–140

Aboura S., Chevallier J. (2014), Cross-Market Spillovers with 'Volatility Surprise', Review of Financial Economics, vol. 23, n°4, p. 194–207

Aboura S., Chevallier J. (2014), The cross-market index for volatility surprise, Journal of Asset Management, vol. 15, n°1, p. 7-23

Aboura S., Valeyre S., Wagner N. (2014), Option pricing with a dynamic fat-tailed model, Journal of Derivatives & Hedge Funds, vol. 20, n°3, p. 131-155

Chevallier J., Aboura S. (2014), Volatility equicorrelation: A cross-market perspective, Economics Letters, vol. 122, n°2, p. 289–295

Aboura S., Lepinette-Denis E. (2014), A Model of Self-Regulation in Banking Industry, Journal of Quantitative Economics, vol. 12, n°2, p. 32-43

Aboura S. (2014), When the U.S. Stock Market Becomes Extreme?, Risks, vol. 2, n°2, p. 211-225

Chevallier J., Aboura S. (2014), Cross-market index with Factor-DCC, Economic Modelling, vol. 40, p. 158–166

Aboura S., Chevallier J. (2013), An equicorrelation measure for equity, bond, foreign exchange and commodity returns, Applied Economics Letters, vol. 20, n°18, p. 1618-1624

Valeyre S., Liu Q., Grebenkov D., Aboura S. (2013), The reactive volatility model, Quantitative Finance, vol. 13, n°11, p. 1697-1706

Aboura S. (2013), Empirical Performance Study of Alternative Option Pricing Models: An Application to the French Option Market, Journal of Stock & Forex Trading, vol. 2, n°2, p. 1-10

Aboura S., Chevallier J. (2013), Leverage vs. Feedback: Which Effect Drives the Oil Market ?, Finance Research Letters, vol. 10, n°3, p. 15 pages

Aboura S. (2009), The extreme downside risk of the S&P 500 stock index, Journal of Financial Transformation, n°26, p. 47

Boucher C., Aboura S. (2008), Testing the Fed and the Graham and Dodd Models : Asymmetric vs Symmetric Adjustment, Applied Economics Letters, vol. 15, n°2, p. 91-94

Aboura S., Bellalah M. (2007), Information Asymmetry in the French Market around Crises, International Journal of Business, vol. 12, n°3, p. 301-309

Aboura S. (2005), Pricing CAC 40 Index Options with Stochastic Volatility, Journal of Derivatives Accounting, vol. 2, n°1, p. 77-85

Aboura S. (2005), Le comportement des indices de volatilité implicite internationaux, Revue bancaire et financière, vol. 7, n°8, p. 457-460

Aboura S. (2005), French media bias and the vote on the European constitution, European Journal of Political Economy, vol. 21, n°4, p. 1093-1098

Aboura S. (2005), L'analyse de la performance des fonds obligataires Français, Revue des sciences de gestion, n°216, p. 110-121

Aboura S. (2005), GARCH option pricing under skew, International Journal of Applied Economics, vol. 4, n°6, p. 78-86

Aboura S. (2005), Pricing CAC 40 Index Options under Asymmetry of Information, Risk letters, n°1, p. 55-62

Ouvrages

Aboura S. (2008), Le Marché d'options, Paris: Economica, .112 p.

Aboura S. (2006), Les modèles de volatilité et d'options, Paris: publibook, 110 p.

Chapitres d'ouvrage

Aboura S., Lépinette-Denis E. (2015), Les effets controversés de la régulation des banques d'investissement et de marchés, in Véronique Perret, Gwenaëlle Nogatchewsky, IEEE - Institute of Electrical and Electronics Engineers, p. 51-63

Renucci A., Aboura S. (2008), La rémunération des dirigeants des grandes entreprises : un problème non résolu, in Pezet, Anne, L'état des entreprises 2009, Paris: La Découverte, p. 49-58

Wagner N., Aboura S. (2008), Systematic credit risk: CDX index correlation and extreme dependence, in Wagner, Niklas, Credit-risk models, derivatives and management, New York: Financial Mathematics Series, p. 600

Communications avec actes

Aboura S. (2015), Disentangling crashes from tail events, in , AFFI 2010, Saint-Malo, IEEE - Institute of Electrical and Electronics Engineers, 206–219 p.

Communications sans actes

Aboura S., Valeyre S., Wagner N. (2013), Option Pricing with a Dynamic Fat-Tailed Model, 62nd Annual Meeting of the Midwest Finance Association - MFA 2013 Annual Meeting, Chicago, États-Unis

Aboura S., Wagner N. (2009), Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices, Third Annual Risk Management Conference: Systemic Risk and the Challenges for Risk Management, Singapour, Singapour

Aboura S., Bellalah M. (2003), The effect of asymmetric information and transaction costs on asset pricing: theory and tests, 12th Annual Meeting of EFMA, Helsinki, Finlande

Prépublications / Cahiers de recherche

Aboura S., Wagner N. (2014), Extreme Asymmetric Volatility: VIX and S&P 500, 41 p.

Aboura S., Lépinette-Denis E. (2014), Why the Market's Participants in the Modigliani-Miller Model are Markowitz Rational?

van Roye B., Aboura S. (2013), Financial stress and economic dynamics: An application to France, Kiel Working Paper, 29 p.

Lépinette-Denis E., Aboura S. (2013), The Impact of Speculation on Firms' Capital Structure, Paris, Université Paris-Dauphine, 13 p.

Aboura S. (2012), Is There Any Black Swan Hidden in the Oil Markets?, 11 p.

Rapports

Lépinette-Denis E., Aboura S. (2013), An Alternative Model to Basel Regulation, 22 p.