Sofiane Aboura : Citation Profile


Are you Sofiane Aboura?

6

H index

6

i10 index

130

Citations

RESEARCH PRODUCTION:

23

Articles

22

Papers

RESEARCH ACTIVITY:

   13 years (2004 - 2017). See details.
   Cites by year: 10
   Journals where Sofiane Aboura has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 1 (0.76 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pab28
   Updated: 2022-01-15    RAS profile: 2020-05-27    
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Relations with other researchers


Works with:

Chevallier, Julien (5)

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)

Chevallier, Julien (5)

Baruník, Jozef (4)

Zhang, Yue-Jun (4)

Ji, Qiang (4)

Roubaud, David (3)

Vacha, Lukas (3)

Výrost, Tomᚠ(3)

Baumohl, Eduard (3)

Yoon, Seong-Min (3)

Bouri, Elie (3)

Cites to:

Engle, Robert (23)

Bai, Jushan (12)

Forni, Mario (12)

Hallin, Marc (12)

Lippi, Marco (12)

Bollerslev, Tim (11)

Watson, Mark (10)

Managi, Shunsuke (9)

Boubaker, Adel (8)

makram, beljid (8)

Reichlin, Lucrezia (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 (2021 and 2020)


YearTitle of citing document
2020Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911.

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2020Tempered Stable Processes with Time Varying Exponential Tails. (2020). Douady, Raphael ; Roh, Kum-Hwan ; Kim, Young Shin. In: Papers. RePEc:arx:papers:2006.07669.

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2020Financial Vulnerability and Economic Dynamics in Malaysia. (2020). Puah, Chin-Hong ; Arip, Affendy M ; Kuek, Tai-Hock. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:9:y:2020:i:si:p:55-73.

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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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2020Can systemic risk measures predict economic shocks? Evidence from China. (2020). Zhang, YU ; Liu, Yanzhen ; Chen, Guojin. In: China Economic Review. RePEc:eee:chieco:v:64:y:2020:i:c:s1043951x20301541.

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2020Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets. (2020). Kang, Sang Hoon ; Ali, Alanoud ; Ur, Mobeen ; Hammoudeh, Shawkat ; Mensi, Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819301615.

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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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2020Risk appetite and oil prices. (2020). Idilbi-Bayaa, Yasmeen ; Qadan, Mahmoud. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303901.

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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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2020Examining the predictive information of CBOE OVX on China’s oil futures volatility: Evidence from MS-MIDAS models. (2020). Wang, Jianqiong ; Ma, Feng ; Lu, Xinjie. In: Energy. RePEc:eee:energy:v:212:y:2020:i:c:s0360544220318508.

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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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2020Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks?. (2020). Yang, Chen ; Lv, Fei ; Fang, Libing. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301812.

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2020The volatility surprise of leading cryptocurrencies: Transitory and permanent linkages. (2020). lucey, brian ; Roubaud, David ; Bouri, Elie. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319303137.

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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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2020Sign and size asymmetry in the stock returns-implied volatility relationship. (2020). Fousekis, Panos. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494920300098.

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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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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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2020Assessing the impacts of financial stress index of developed countries on the exchange market pressure index of emerging countries. (2020). Ozcelebi, Oguzhan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:288-302.

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2020Analysis of brand influence in the rockets and feathers effect using disaggregated data. (2020). Palencia-González, Francisco ; Juberias-Caceres, Gema ; Navio-Marco, Julio ; Palencia-Gonzalez, Francisco J. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919306385.

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2020Impact of stock market trading on currency market volatility spillovers. (2020). Yelkenci, Tezer ; AYDOAN, Berna ; Baklaci, Hasan Fehmi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919307287.

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2020Volatility spillovers and hedging effectiveness between the oil market and Eurozone sectors: A tale of two crises. (2020). Belhassine, Olfa. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531918310638.

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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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2020Liner shipping industry and oil price volatility: Dynamic connectedness and portfolio diversification. (2020). Chandra, Saurabh ; Maitra, Debasish ; Dash, Saumya Ranjan. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:138:y:2020:i:c:s136655452030613x.

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

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2021.

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

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2020Tempered Stable Processes with Time Varying Exponential Tails. (2020). Kim, Youngshin ; Douady, Raphael ; Roh, Kum-Hwan. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-03018495.

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2020Tempered Stable Processes with Time Varying Exponential Tails. (2020). Kim, Youngshin ; Douady, Raphael ; Roh, Kum-Hwan. In: Working Papers. RePEc:hal:wpaper:hal-03018495.

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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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2020The impact of Israeli Geopolitical Risks on the Lebanese Financial Market: A Destabilizer Multiplier. (2020). Mansour-Ichrakieh, Layal. In: MPRA Paper. RePEc:pra:mprapa:99376.

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2020A Financial Stress Index for South Africa: A Time-Varying Correlation Approach. (2020). Kisten, Theshne. In: Working Papers. RePEc:pre:wpaper:202011.

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2020The Impact of Uncertainty Shocks in South Africa: The Role of Financial Regimes. (2020). Kisten, Theshne ; GUPTA, RANGAN ; Balcilar, Mehmet. In: Working Papers. RePEc:pre:wpaper:202046.

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2020Contagion in Futures Metal Markets during the Recent Global Financial Crisis: Evidence from Gold, Silver, Copper, Zinc and Aluminium. (2020). Tsiaras, Konstantinos. In: SPOUDAI Journal of Economics and Business. RePEc:spd:journl:v:70:y:2020:i:3-4:p:42-55.

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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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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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2020Forecasting stock volatility in the presence of extreme shocks: Short‐term and long‐term effects. (2020). Wang, LU ; Liu, Guoshan ; Ma, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:5:p:797-810.

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2020Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets. (2020). Kang, Sang Hoon ; Ali, Alanoud ; Ur, Mobeen ; Hammoudeh, Shawkat ; Mensi, Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819301615.

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Works by Sofiane Aboura:


YearTitleTypeCited
2013The Reactive Volatility Model In: Papers.
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2013The reactive volatility model.(2013) In: Quantitative Finance.
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article
2016The place of gold in the cross-market dependencies In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2017Financial stress and economic dynamics: The case of France In: International Economics.
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article16
2017Financial stress and economic dynamics: The case of France.(2017) In: International Economics.
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This paper has another version. Agregated cites: 16
article
2015Do banks satisfy the Modigliani-Miller theorem? In: Economics Bulletin.
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article1
2015Do banks satisfy the Modigliani-Miller theorem?.(2015) In: Post-Print.
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This paper has another version. Agregated cites: 1
paper
2014Cross-market index with Factor-DCC In: Economic Modelling.
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article2
2014Volatility equicorrelation: A cross-market perspective In: Economics Letters.
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article15
2015Cross-market volatility index with Factor-DCC In: International Review of Financial Analysis.
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article2
2015Cross-market volatility index with Factor-DCC.(2015) In: Post-Print.
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This paper has another version. Agregated cites: 2
paper
2013Leverage vs. feedback: Which Effect drives the oil market? In: Finance Research Letters.
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article26
2012Leverage vs. Feedback: Which Effect Drives the Oil Market?.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 26
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2015A cross-volatility index for hedging the country risk In: Journal of International Financial Markets, Institutions and Money.
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article3
2015Geographical diversification with a World Volatility Index In: Journal of Multinational Financial Management.
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article0
2005French media bias and the vote on the European constitution In: European Journal of Political Economy.
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article2
2014Cross-market spillovers with ‘volatility surprise’ In: Review of Financial Economics.
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article13
2014Cross-Market Spillovers with Volatility Surprise.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 13
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2015Volatility returns with vengeance: Financial markets vs. commodities In: Research in International Business and Finance.
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2016Spikes and crashes in the oil market In: Research in International Business and Finance.
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2016Spikes and crashes in the oil market.(2016) In: Post-Print.
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This paper has another version. Agregated cites: 4
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2017Oil vs. gasoline: The dark side of volatility and taxation In: Research in International Business and Finance.
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article1
2016Oil vs. gasoline: The dark side of volatility and taxation.(2016) In: Post-Print.
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This paper has another version. Agregated cites: 1
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2014When the U.S. Stock Market Becomes Extreme? In: Risks.
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2015Les effets controversés de la régulation des banques dinvestissement et de marchés. In: Post-Print.
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2015Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods? In: Post-Print.
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2015Extreme asymmetric volatility: Stress and aggregate asset prices In: Post-Print.
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2016Does Aggregate Uncertainty Explain Size and Value Anomalies? In: Post-Print.
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2005The French media campaign in favor of the Treaty Establishing a Constitution for Europe In: Post-Print.
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2006Les modèles de volatilité et doptions In: Post-Print.
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2008Systematic Credit Risk: CDX Index Correlation and Extreme Dependence In: Post-Print.
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2008Le Marché dOptions In: Post-Print.
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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.
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This paper has another version. Agregated cites: 0
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2017New Developments on the Modigliani-Miller Theorem In: Post-Print.
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2015Which Effect Drives the Equity Market during Stress Periods? In: Post-Print.
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2015Disentangling Crashes from Tail Events In: Post-Print.
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2010Disentangling crashes from tail events.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 2
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2015Disentangling Crashes from Tail Events.(2015) In: International Journal of Finance & Economics.
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This paper has another version. Agregated cites: 2
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2013An Alternative Model to Basel Regulation In: Working Papers.
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2007Testing the fed and the Graham & Dodd models: asymmetric vs. symmetric adjustment In: Applied Economics Letters.
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2013An equicorrelation measure for equity, bond, foreign exchange and commodity returns In: Applied Economics Letters.
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2015Realized EquiCorrelation: a birds-eye view of financial stress on equity markets In: Applied Economics.
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2016Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion In: Journal of Futures Markets.
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2004GARCH Option Pricing Under Skew In: Finance.
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