Sofiane Aboura : Citation Profile


Are you Sofiane Aboura?

5

H index

3

i10 index

91

Citations

RESEARCH PRODUCTION:

23

Articles

30

Papers

RESEARCH ACTIVITY:

   13 years (2004 - 2017). See details.
   Cites by year: 7
   Journals where Sofiane Aboura has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 3 (3.19 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pab28
   Updated: 2020-04-04    RAS profile: 2017-05-14    
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Relations with other researchers


Works with:

Chevallier, Julien (19)

Lépinette, Emmanuel (4)

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)

Zhang, Yue-Jun (5)

Chevallier, Julien (5)

Baruník, Jozef (4)

Ji, Qiang (3)

Herrera, Rodrigo (3)

Guesmi, Khaled (3)

Clements, Adam (3)

Barthélémy, Fabrice (3)

Lyócsa, Štefan (3)

Vacha, Lukas (3)

Cites to:

Engle, Robert (23)

Bollerslev, Tim (13)

Hallin, Marc (12)

Forni, Mario (12)

Lippi, Marco (12)

Bai, Jushan (12)

Watson, Mark (10)

Managi, Shunsuke (9)

Campbell, John (9)

Mensi, walid (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 / HAL23
Working Papers / HAL4
Papers / arXiv.org2

Recent works citing Sofiane Aboura (2018 and 2017)


YearTitle of citing document
2019Total, asymmetric and frequency connectedness between oil and forex markets. (2019). Kocenda, Evzen ; Baruník, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980.

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

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2019THE REACTIVE BETA MODEL. (2019). Grebenkov, Denis ; Aboura, Sofiane ; Valeyre, Sebastien. In: Journal of Financial Research. RePEc:bla:jfnres:v:42:y:2019:i:1:p:71-113.

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2019Tail risk interdependence. (2019). Chiu, Ching-Wai ; Stoja, Evarist ; Polanski, Arnold. In: Bank of England working papers. RePEc:boe:boeewp:0815.

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2017Networks of Volatility Spillovers among Stock Markets. (2017). Výrost, Tomáš ; Lyócsa, Štefan ; Kocenda, Evzen ; Baumohl, Eduard ; Vyrost, Tomas ; Lyocsa, Stefan . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6476.

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2018New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries. (2018). Tsuji, Chikashi. In: Applied Energy. RePEc:eee:appene:v:229:y:2018:i:c:p:1202-1217.

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2017Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets. (2017). Kilic, Erdem. In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:51-67.

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2018Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes. (2018). Alexakis, Christos ; Pappas, Vasileios. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:222-239.

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2018Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses. (2018). Tsuji, Chikashi. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:167-185.

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2019The role of geopolitical risks on the Turkish economy opportunity or threat. (2019). Zeaiter, Hussein ; Mansour-Ichrakieh, Layal. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819301445.

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2018Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Wu, Shuai. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:98-113.

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2017Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. (2017). Yoon, Seong-Min ; McIver, Ron ; Kang, Sang Hoon. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:19-32.

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2017The dependence structure across oil, wheat, and corn: A wavelet-based copula approach using implied volatility indexes. (2017). Tiwari, Aviral ; Roubaud, David ; Mensi, walid ; Bouri, Elie ; Al-Yahyaee, Khamis. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:122-139.

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2017Modeling and predicting oil VIX: Internet search volume versus traditional mariables. (2017). Campos, I ; Reyes, T ; Cortazar, G. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:194-204.

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2017Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis. (2017). Andriosopoulos, Kostas ; Spyrou, Spyros ; Galariotis, Emilios. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:217-227.

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2017Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications. (2017). Sensoy, Ahmet ; Mensi, walid ; Hammoudeh, Shawkat ; Kang, Sang Hoon ; Wanas, Idries Mohammad. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:454-475.

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2017“De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets. (2017). Chevallier, Julien ; Guesmi, Khaled ; Zhang, Yue-Jun. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:228-239.

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2017Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model. (2017). Ji, Qiang ; Liu, Bing-Yue ; Fan, Ying. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:53-65.

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2018The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386.

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2018Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach. (2018). Ji, Qiang ; Uddin, Gazi Salah ; Nehler, Henrik ; Liu, Bing-Yue. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:115-126.

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2019Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models. (2019). Wang, Jin-Li ; Zhang, Yue-Jun. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:192-201.

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2017Can environmental innovation facilitate carbon emissions reduction? Evidence from China. (2017). Zhang, Yue-Jun ; Ma, Chao-Qun ; Peng, Yu-Lu ; Shen, BO. In: Energy Policy. RePEc:eee:enepol:v:100:y:2017:i:c:p:18-28.

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2017A new weighting-scheme for equity indexes. (2017). Chevallier, Julien ; Aboura, Sofiane. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:159-175.

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2017Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index. (2017). Luo, Xingguo ; Qin, Shihua . In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:29-34.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2018On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting. (2018). Goutte, Stéphane ; DHAOUI, Abderrazak ; Abid, Ilyes ; Guesmi, Khaled. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:233-254.

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2018Point process models for extreme returns: Harnessing implied volatility. (2018). Herrera, Rodrigo ; Clements, Adam. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:161-175.

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2017Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even ; Barunik, Jozef. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:39-56.

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2017Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices. (2017). Roubaud, David ; Bouri, Elie ; Biswal, P C ; Jain, Anshul . In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:201-206.

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2019Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model. (2019). Civcir, İrfan ; Akkoc, Ugur. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:231-239.

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2018Modeling extreme risks in commodities and commodity currencies. (2018). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:51:y:2018:i:c:p:108-120.

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2018Networks of volatility spillovers among stock markets. (2018). Výrost, Tomáš ; Lyócsa, Štefan ; Kočenda, Evžen ; Baumohl, Eduard ; Vrost, Toma ; Koenda, Even ; Lyocsa, Tefan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1555-1574.

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2019The stability of Chinese stock network and its mechanism. (2019). Zhang, Weiping ; Zhuang, Xintian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:748-761.

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2019The switching impact of financial stability and economic growth in Qatar: Evidence from an oil-rich country. (2019). Barkat, Karim ; Jarallah, Shaif ; Mrabet, Zouhair ; Alsamara, Mouyad ; Al Samara, Mouyad . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:73:y:2019:i:c:p:205-216.

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2019Energy price implications for emerging market bond returns. (2019). Morrison, Eleanor J. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:398-415.

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2017Computation of the Corrected Cornish-Fisher Expansion using the Response Surface Methodology: Application to V aR and CV aR. (2017). Barthélémy, Fabrice ; Maillard, Didier ; Amedee-Manesme, Charles-Olivier. In: THEMA Working Papers. RePEc:ema:worpap:2017-21.

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2019The Relations of Oil Price Change with Fear Gauges in Global Political and Economic Environment. (2019). Tsai, Wei ; Lin, Jeng-Bau. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:15:p:2982-:d:254115.

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2018Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study. (2018). Sun, Yiguo ; Wu, Ximing. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:29-:d:151386.

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2019Forecasting Oil Price Volatility in the Era of Big Data: A Text Mining for VaR Approach. (2019). He, Ling-Yun ; Wang, Zi-Jie ; Liu, Li-Na ; Zhao, Lu-Tao. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:14:p:3892-:d:249220.

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2019Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information. (2019). Tsai, Wei ; Liang, Chin-Chia ; Lin, Jeng-Bau. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:14:p:3906-:d:249371.

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2019A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings. (2019). Gherghina, Ştefan ; PANAIT, Iulian ; Armeanu, Daniel Tefan ; Badea, Leonardo . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:5:p:1325-:d:210534.

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2018Oil prices implied volatility or direction: Which matters more to financial markets?. (2018). Dupoyet, Brice V ; Shank, Corey A. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:32:y:2018:i:3:d:10.1007_s11408-018-0314-7.

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2017Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kocenda, Evzen ; Baruník, Jozef. In: KIER Working Papers. RePEc:kyo:wpaper:956.

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2018Does Economic Policy Uncertainty Lead Systemic Risk? A Comparative Analysis of Selected European Countries. (2018). Karminsky, Alexandr ; Shchepeleva, Maria ; Stolbov, Mikhail. In: Comparative Economic Studies. RePEc:pal:compes:v:60:y:2018:i:3:d:10.1057_s41294-018-0065-5.

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2019Australian Money Market Divergence: Arbitrage Opportunity or Illusion?. (2019). Printant, Sebastien ; Cheung, Belinda . In: RBA Research Discussion Papers. RePEc:rba:rbardp:rdp2019-09.

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2019Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR. (2019). Maillard, Didier ; Barthelemy, Fabrice ; Amedee-Manesme, Charles-Olivier. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2792-4.

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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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2016Should employers pay their employees better? An asset pricing approach In: Papers.
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2016The place of gold in the cross-market dependencies In: Studies in Nonlinear Dynamics & Econometrics.
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2017Financial stress and economic dynamics: The case of France In: International Economics.
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2017Financial stress and economic dynamics: The case of France.(2017) In: International Economics.
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2015Do banks satisfy the Modigliani-Miller theorem? In: Economics Bulletin.
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2014Cross-market index with Factor-DCC In: Economic Modelling.
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2014Volatility equicorrelation: A cross-market perspective In: Economics Letters.
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2015Cross-market volatility index with Factor-DCC In: International Review of Financial Analysis.
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2013Leverage vs. feedback: Which Effect drives the oil market? In: Finance Research Letters.
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2012Leverage vs. Feedback: Which Effect Drives the Oil Market?.(2012) In: Working Papers.
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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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2015Geographical diversification with a World Volatility Index In: Journal of Multinational Financial Management.
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2005French media bias and the vote on the European constitution In: European Journal of Political Economy.
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2014Cross-market spillovers with ‘volatility surprise’ In: Review of Financial Economics.
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2014Cross-Market Spillovers with Volatility Surprise.(2014) In: Working Papers.
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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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2017Oil vs. gasoline: The dark side of volatility and taxation In: Research in International Business and Finance.
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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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2015Do banks satisfy the Modigliani-Miller theorem? 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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2005Le comportement des indices de volatilité implicite internationaux 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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2005PRICING CAC 40 INDEX OPTIONS WITH STOCHASTIC VOLATILITY In: Post-Print.
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2005Pricing CAC 40 Index Options under Asymmetry of Information 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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2016Option Pricing Under Skewness and Kurtosis Using a Cornish-Fisher Expansion In: Post-Print.
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2016Individual investors and stock returns In: Post-Print.
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2017New Developments on the Modigliani-Miller Theorem In: Post-Print.
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2016The place of gold in the cross-market dependencies In: Post-Print.
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paper1
2016Oil vs. gasoline: The dark side of volatility and taxation In: Post-Print.
[Citation analysis]
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2016Spikes and crashes in the oil market In: Post-Print.
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paper2
2015Which Effect Drives the Equity Market during Stress Periods? In: Post-Print.
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2015Cross-market volatility index with Factor-DCC In: Post-Print.
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2015Disentangling Crashes from Tail Events In: Post-Print.
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2015Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets In: Post-Print.
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2013An Alternative Model to Basel Regulation In: Working Papers.
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2010Disentangling crashes from tail events In: Working Papers.
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2015Disentangling Crashes from Tail Events.(2015) In: International Journal of Finance & Economics.
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2009The extreme downside risk of the S&P 500 stock index In: Journal of Financial Transformation.
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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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