Sofiane Aboura : Citation Profile

Are you Sofiane Aboura?

7

H index

6

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156

Citations

RESEARCH PRODUCTION:

23

Articles

22

Papers

RESEARCH ACTIVITY:

   13 years (2004 - 2017). See details.
   Cites by year: 12
   Journals where Sofiane Aboura has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 1 (0.64 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pab28
   Updated: 2023-05-27    RAS profile: 2020-05-27    
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Relations with other researchers

Works with:

van Roye, Björn (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Sofiane Aboura.

Is cited by:

Kočenda, Evžen (7)

Yoon, Seong-Min (5)

Chevallier, Julien (5)

Zhang, Yue-Jun (4)

Ji, Qiang (4)

Baruník, Jozef (4)

Výrost, Tomáš (3)

Douady, Raphael (3)

Baumohl, Eduard (3)

Roubaud, David (3)

Vacha, Lukas (3)

Cites to:

Engle, Robert (24)

Forni, Mario (12)

Hallin, Marc (12)

Watson, Mark (12)

Lippi, Marco (12)

Bollerslev, Tim (12)

Bai, Jushan (12)

Managi, Shunsuke (9)

makram, beljid (8)

Reichlin, Lucrezia (8)

Ng, Serena (8)

Main data

Where Sofiane Aboura has published?

Journals with more than one article published# docs
Research in International Business and Finance3
Applied Economics Letters2

Working Papers Series with more than one paper published# docs
Post-Print / HAL16
Working Papers / HAL4

Recent works citing Sofiane Aboura (2022 and 2021)

YearTitle of citing document
2022Optimal trend following portfolios. (2022). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2201.06635.

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2022Financial stress and economic growth: The moderating role of trust. (2022). Tasiou, Menelaos ; Pasiouras, Fotios ; Makrychoriti, Panagiota. In: Kyklos. RePEc:bla:kyklos:v:75:y:2022:i:1:p:48-74.

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2021Financial Stability and Economic Growth Nexus: Evidence from Sub-Saharan Africa using Panel Data. (2021). Muda, Paul ; MacCarthy, John ; Ahulu, Helena. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2021-04-2.

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2021Oil Price and Leverage for Mining Sector Companies in Indonesia. (2021). Razak, A ; Siahaan, Matdio ; Budiasih, Yanti ; Rasyid, Iqbal M ; Endri, Endri ; Sudjono, Sudjono. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-04-4.

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2021What drives dynamic connectedness of the U.S equity sectors during different business cycles?. (2021). Ngene, Geoffrey M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001133.

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2022A time-varying copula approach for constructing a daily financial systemic stress index. (2022). Yeap, Xiu Wei ; Li, Changtai ; Tan, Sook-Rei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001565.

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2021Inflation synchronization among the G7and China: The important role of oil inflation. (2021). Sousa, Ricardo ; Elsayed, Ahmed H ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002383.

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2021Financial stress, economic policy uncertainty, and oil price uncertainty. (2021). Apostolakis, George ; Wohar, Mark ; Gkillas, Konstantinos ; Floros, Christos. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321005405.

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2022The asymmetric relationship between returns and implied higher moments: Evidence from the crude oil market. (2022). Zhang, Gongqiu ; Xu, Yahua ; Bouri, Elie. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s014098832200127x.

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2021Network connectedness between natural gas markets, uncertainty and stock markets. (2021). Ji, Qiang ; Liu, Bing-Yue ; Chen, Fu-Rui ; Geng, Jiang-Bo. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988320303418.

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2021Investor attention and oil market volatility: Does economic policy uncertainty matter?. (2021). Wang, Yudong ; Xiao, Jihong. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000852.

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2021Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets. (2021). Zou, Huiwen ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:225:y:2021:i:c:s0360544221004394.

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2022International financial stress spillovers to bank lending: Do internal characteristics matter?. (2022). Haddou, Samira . In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002459.

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2022When bad news is good news: Geopolitical risk and the cross-section of emerging market stock returns. (2022). Demir, Ender ; Long, Huaigang ; Cakici, Nusret ; Zaremba, Adam. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001236.

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2021Stock market and deviations from covered interest parity. (2021). Ibhagui, Oyakhilome. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001104.

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2022Asymmetric, time and frequency-based spillover transmission in financial and commodity markets. (2022). Dar, Arif Billah ; Shah, Adil Ahmad. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:25:y:2022:i:c:s1703494922000020.

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2021The day-of-the-week-effect on the volatility of commodities. (2021). Idilbi-Bayaa, Yasmeen ; Qadan, Mahmoud. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420720310084.

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2021Rare earth and financial markets: Dynamics of return and volatility connectedness around the COVID-19 outbreak. (2021). Kanjilal, Kakali ; Ghosh, Sajal ; Bouri, Elie ; Song, Ying. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003883.

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2022The role of financial stress, oil, gold and natural gas prices on clean energy stocks: Global evidence from extreme quantile approach. (2022). Fu, Zheng ; Chen, Zhiguo ; Sharif, Arshian ; Razi, Ummara. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003063.

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2023Can implied volatility predict returns on oil market? Evidence from Cross-Quantilogram Approach. (2023). Raggad, Bechir. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722007206.

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2022Exploring the dynamic nonlinear relationship between crude oil price and implied volatility indices: A new perspective from MMV-MFDFA. (2022). Sun, Yihong ; Lu, Xinsheng ; Li, Jian Feng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:603:y:2022:i:c:s0378437122004563.

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2021Time-frequency dependencies of financial and economic risks in South American countries. (2021). Kirikkaleli, Dervis ; Athari, Seyed Alireza ; Kondoz, Mehmet. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:170-181.

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2021Implied volatility indices – A review. (2021). Siriopoulos, Costas ; Fassas, Athanasios P. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:303-329.

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2021No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process. (2021). Rathgeber, Andreas W ; Stadler, Johannes ; Ulze, Markus. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:82:y:2021:i:c:p:163-184.

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2021Oil prices and economic policy uncertainty: Evidence from global, oil importers, and exporters’ perspective. (2021). Lin, Boqiang ; Bai, Rui. In: Research in International Business and Finance. RePEc:eee:riibaf:v:56:y:2021:i:c:s027553192030965x.

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2022How Does Financial Market Stress Respond to Shocks in Global Economic Activity and Exchange Rate Stability? A Structural VAR Approach. (2022). Qeqe, Bekithemba ; Naape, Baneng. In: Eurasian Journal of Social Sciences. RePEc:ejn:ejssjr:v:10:y:2022:i:1:p:25-36.

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2021Different Measures of Country Risk: An Application to European Countries. (2021). Ivaldi, Enrico ; Ciacci, Andrea ; Bonatti, Guido. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:1:p:19-:d:474295.

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2023Markov-Regime Switches in Oil Markets: The Fear Factor Dynamics. (2023). Okawa, Hiroyuki. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:67-:d:1045068.

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2022.

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2021.

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2021An Optimal Tail Selection in Risk Measurement. (2021). Echaust, Krzysztof ; Just, Magorzata. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:4:p:70-:d:533421.

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2021Directional Spillover Effects Between BRICS Stock Markets and Economic Policy Uncertainty. (2021). Hung, Ngo Thai. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:28:y:2021:i:3:d:10.1007_s10690-020-09328-y.

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2022Spillovers in the Presence of Financial Stress – An Application to Romania. (2022). Horobet, Alexandra ; Copaciu, Anca Mihaela. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2022:i:2:p:29-43.

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2021Modeling the flow of information between financial time-series by an entropy-based approach. (2021). Vellucci, P ; Mastroeni, L ; Benedetto, F. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03319-7.

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2022.

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2021The role of financial stress in the economic activity: Fresh evidence from a Granger?causality in quantiles analysis for the UK and Germany. (2021). Bahramian, Pejman ; Saliminezhad, Andisheh. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:1670-1680.

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2021Determinants of financial stress in emerging market economies: Are spatial effects important?. (2021). Onder, Ozlem A ; Kosedali, Begum Yurteri. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4653-4669.

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2021Macrofinancial linkages in Europe: Evidence from quantile local projections. (2021). Shchepeleva, Maria ; Stolbov, Mikhail. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5557-5569.

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Works by Sofiane Aboura:

YearTitleTypeCited
2013The Reactive Volatility Model In: Papers.
[Full Text][Citation analysis]		paper4
2013The reactive volatility model.(2013) In: Quantitative Finance.
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This paper has another version. Agregated cites: 4		article
2016The place of gold in the cross-market dependencies In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article1
2017Financial stress and economic dynamics: The case of France In: International Economics.
[Full Text][Citation analysis]		article26
2017Financial stress and economic dynamics: The case of France.(2017) In: International Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26		article
2015Do banks satisfy the Modigliani-Miller theorem? In: Economics Bulletin.
[Full Text][Citation analysis]		article1
2015Do banks satisfy the Modigliani-Miller theorem?.(2015) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1		paper
2014Cross-market index with Factor-DCC In: Economic Modelling.
[Full Text][Citation analysis]		article3
2014Volatility equicorrelation: A cross-market perspective In: Economics Letters.
[Full Text][Citation analysis]		article16
2015Cross-market volatility index with Factor-DCC In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article2
2015Cross-market volatility index with Factor-DCC.(2015) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 2		paper
2013Leverage vs. feedback: Which Effect drives the oil market? In: Finance Research Letters.
[Full Text][Citation analysis]		article31
2012Leverage vs. Feedback: Which Effect Drives the Oil Market?.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 31		paper
2015A cross-volatility index for hedging the country risk In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article4
2015Geographical diversification with a World Volatility Index In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]		article0
2005French media bias and the vote on the European constitution In: European Journal of Political Economy.
[Full Text][Citation analysis]		article2
2014Cross-market spillovers with ‘volatility surprise’ In: Review of Financial Economics.
[Full Text][Citation analysis]		article15
2014Cross-Market Spillovers with Volatility Surprise.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 15		paper
2015Volatility returns with vengeance: Financial markets vs. commodities In: Research in International Business and Finance.
[Full Text][Citation analysis]		article23
2016Spikes and crashes in the oil market In: Research in International Business and Finance.
[Full Text][Citation analysis]		article4
2016Spikes and crashes in the oil market.(2016) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 4		paper
2017Oil vs. gasoline: The dark side of volatility and taxation In: Research in International Business and Finance.
[Full Text][Citation analysis]		article1
2016Oil vs. gasoline: The dark side of volatility and taxation.(2016) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1		paper
2014When the U.S. Stock Market Becomes Extreme? In: Risks.
[Full Text][Citation analysis]		article2
2015Les effets controversés de la régulation des banques dinvestissement et de marchés. In: Post-Print.
[Citation analysis]		paper0
2015Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods? In: Post-Print.
[Citation analysis]		paper0
2015Extreme asymmetric volatility: Stress and aggregate asset prices In: Post-Print.
[Citation analysis]		paper10
2016Does Aggregate Uncertainty Explain Size and Value Anomalies? In: Post-Print.
[Citation analysis]		paper1
2005The French media campaign in favor of the Treaty Establishing a Constitution for Europe In: Post-Print.
[Citation analysis]		paper0
2006Les modèles de volatilité et doptions In: Post-Print.
[Citation analysis]		paper0
2008Systematic Credit Risk: CDX Index Correlation and Extreme Dependence In: Post-Print.
[Citation analysis]		paper0
2008Le Marché dOptions In: Post-Print.
[Citation analysis]		paper0
2009The extreme downside risk of the S&P 500 stock index In: Post-Print.
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2009The extreme downside risk of the S&P 500 stock index.(2009) In: Journal of Financial Transformation.
[Citation analysis]
This paper has another version. Agregated cites: 0		article
2017New Developments on the Modigliani-Miller Theorem In: Post-Print.
[Citation analysis]		paper0
2015Which Effect Drives the Equity Market during Stress Periods? In: Post-Print.
[Citation analysis]		paper0
2015Disentangling Crashes from Tail Events In: Post-Print.
[Citation analysis]		paper2
2010Disentangling crashes from tail events.(2010) In: Working Papers.
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2015Disentangling Crashes from Tail Events.(2015) In: International Journal of Finance & Economics.
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2013An Alternative Model to Basel Regulation In: Working Papers.
[Full Text][Citation analysis]		paper0
2007Testing the fed and the Graham & Dodd models: asymmetric vs. symmetric adjustment In: Applied Economics Letters.
[Full Text][Citation analysis]		article0
2013An equicorrelation measure for equity, bond, foreign exchange and commodity returns In: Applied Economics Letters.
[Full Text][Citation analysis]		article1
2015Realized EquiCorrelation: a birds-eye view of financial stress on equity markets In: Applied Economics.
[Full Text][Citation analysis]		article0
2016Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion In: Journal of Futures Markets.
[Full Text][Citation analysis]		article7
2004GARCH Option Pricing Under Skew In: Finance.
[Full Text][Citation analysis]		paper0

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