7
H index
5
i10 index
163
Citations
Sofiane Aboura : Citation Profile
| RESEARCH PRODUCTION: 23 Articles 22 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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13 years (2004 - 2017). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Sofiane Aboura. | Is cited by:
| Cites to:
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Main data
Where Sofiane Aboura has published?
| Journals with more than one article published | # docs |
|---|---|
| Research in International Business and Finance | 3 |
| Applied Economics Letters | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Post-Print / HAL | 16 |
| Working Papers / HAL | 4 |
Recent works citing Sofiane Aboura (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | How are policy uncertainty, real economy, and financial sector connected?. (2023). Tah, Kenneth A ; Ngene, Geoffrey M. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323001037. Full description at Econpapers || Download paper |
| 2023 | Speculation or actual demand? The return spillover effect between stock and commodity markets. (2023). Gao, Tianshu ; Zhou, Baicheng ; Wang, Shu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000654. Full description at Econpapers || Download paper |
| 2023 | Can 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. Full description at Econpapers || Download paper |
| 2023 | Macroeconomic and Uncertainty Shocks’ Effects on Energy Prices: A Comprehensive Literature Review. (2023). Spyromitros, Eleftherios ; Panagiotidis, Minas ; Oikonomou, Georgios ; Dokas, Ioannis. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1491-:d:1055891. Full description at Econpapers || Download paper |
| 2023 | Markov-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. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Macro-financial implications of public debt in South Africa: The role of financial regimes. (2023). Kisten, Theshne. In: WIDER Working Paper Series. RePEc:unu:wpaper:wp-2023-76. Full description at Econpapers || Download paper |
Works by Sofiane Aboura:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2013 | The Reactive Volatility Model In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2013 | The reactive volatility model.(2013) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2016 | The place of gold in the cross-market dependencies In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2017 | Financial stress and economic dynamics: The case of France In: International Economics. [Full Text][Citation analysis] | article | 29 |
| 2017 | Financial stress and economic dynamics: The case of France.(2017) In: International Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | article | |
| 2015 | Do banks satisfy the Modigliani-Miller theorem? In: Economics Bulletin. [Full Text][Citation analysis] | article | 1 |
| 2015 | Do banks satisfy the Modigliani-Miller theorem?.(2015) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2014 | Cross-market index with Factor-DCC In: Economic Modelling. [Full Text][Citation analysis] | article | 3 |
| 2014 | Volatility equicorrelation: A cross-market perspective In: Economics Letters. [Full Text][Citation analysis] | article | 16 |
| 2015 | Cross-market volatility index with Factor-DCC In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 2 |
| 2015 | Cross-market volatility index with Factor-DCC.(2015) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2013 | Leverage vs. feedback: Which Effect drives the oil market? In: Finance Research Letters. [Full Text][Citation analysis] | article | 34 |
| 2012 | Leverage vs. Feedback: Which Effect Drives the Oil Market?.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
| 2015 | A cross-volatility index for hedging the country risk In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 4 |
| 2015 | Geographical diversification with a World Volatility Index In: Journal of Multinational Financial Management. [Full Text][Citation analysis] | article | 0 |
| 2005 | French media bias and the vote on the European constitution In: European Journal of Political Economy. [Full Text][Citation analysis] | article | 2 |
| 2014 | Cross-market spillovers with ‘volatility surprise’ In: Review of Financial Economics. [Full Text][Citation analysis] | article | 15 |
| 2014 | Cross-Market Spillovers with Volatility Surprise.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2015 | Volatility returns with vengeance: Financial markets vs. commodities In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 24 |
| 2016 | Spikes and crashes in the oil market In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 4 |
| 2016 | Spikes and crashes in the oil market.(2016) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2017 | Oil vs. gasoline: The dark side of volatility and taxation In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 1 |
| 2016 | Oil vs. gasoline: The dark side of volatility and taxation.(2016) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2014 | When the U.S. Stock Market Becomes Extreme? In: Risks. [Full Text][Citation analysis] | article | 2 |
| 2015 | Les effets controversés de la régulation des banques dinvestissement et de marchés. In: Post-Print. [Citation analysis] | paper | 0 |
| 2015 | Leverage vs. Feedback: Which Effect Drives the Equity Market during Stress Periods? In: Post-Print. [Citation analysis] | paper | 0 |
| 2015 | Extreme asymmetric volatility: Stress and aggregate asset prices In: Post-Print. [Citation analysis] | paper | 9 |
| 2016 | Does Aggregate Uncertainty Explain Size and Value Anomalies? In: Post-Print. [Citation analysis] | paper | 2 |
| 2005 | The French media campaign in favor of the Treaty Establishing a Constitution for Europe In: Post-Print. [Citation analysis] | paper | 0 |
| 2006 | Les modèles de volatilité et doptions In: Post-Print. [Citation analysis] | paper | 0 |
| 2008 | Systematic Credit Risk: CDX Index Correlation and Extreme Dependence In: Post-Print. [Citation analysis] | paper | 0 |
| 2008 | Le Marché dOptions In: Post-Print. [Citation analysis] | paper | 0 |
| 2009 | The extreme downside risk of the S&P 500 stock index In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2009 | The extreme downside risk of the S&P 500 stock index.(2009) In: Journal of Financial Transformation. [Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2017 | New Developments on the Modigliani-Miller Theorem In: Post-Print. [Citation analysis] | paper | 0 |
| 2015 | Which Effect Drives the Equity Market during Stress Periods? In: Post-Print. [Citation analysis] | paper | 0 |
| 2015 | Disentangling Crashes from Tail Events In: Post-Print. [Citation analysis] | paper | 2 |
| 2010 | Disentangling crashes from tail events.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2015 | Disentangling Crashes from Tail Events.(2015) In: International Journal of Finance & Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2013 | An Alternative Model to Basel Regulation In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Testing the fed and the Graham & Dodd models: asymmetric vs. symmetric adjustment In: Applied Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2013 | An equicorrelation measure for equity, bond, foreign exchange and commodity returns In: Applied Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2015 | Realized EquiCorrelation: a birds-eye view of financial stress on equity markets In: Applied Economics. [Full Text][Citation analysis] | article | 0 |
| 2016 | Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 7 |
| 2004 | GARCH Option Pricing Under Skew In: Finance. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2024. Contact: CitEc Team