7
H index
6
i10 index
181
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 (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | How EPU, VIX, and GPR interact with the dynamic connectedness among commodity and financial markets: Evidence from wavelet analysis. (2024). Yao, Yinhong ; Chen, Xiuwen ; Huang, Shenwei ; Wang, Lin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001426. Full description at Econpapers || Download paper |
| 2024 | Extreme events, economic uncertainty and speculation on occurrences of price bubbles in crude oil futures. (2024). Chang, Chiu-Lan. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000264. Full description at Econpapers || Download paper |
| 2024 | Stock market bubbles and the realized volatility of oil price returns. (2024). Pierdzioch, Christian ; GUPTA, RANGAN ; Nielsen, Joshua. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001403. Full description at Econpapers || Download paper |
| 2024 | Extant linkages between Shanghai crude oil and US energy futures: Insights from spillovers of higher-order moments. (2024). Sensoy, Ahmet ; Goodell, John W ; Dionisio, Andreia ; Banerjee, Ameet Kumar. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324003918. Full description at Econpapers || Download paper |
| 2025 | Forecasting gasoline prices using oil prices: New evidence based on the rocket and feather hypothesis. (2025). Wang, Yudong ; Wen, Danyan ; Zhang, Yaojie ; He, Mengxi. In: Energy. RePEc:eee:energy:v:335:y:2025:i:c:s0360544225037570. Full description at Econpapers || Download paper |
| 2024 | Commodity connectedness of the petrochemical industrial chain: A novel perspective of “good” and “bad” volatility surprises. (2024). Feng, Yun ; Yang, Jie. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009243. Full description at Econpapers || Download paper |
| 2025 | Shortages and machine-learning forecasting of oil returns volatility: 1900–2024. (2025). GUPTA, RANGAN ; Karmakar, Sayar ; Somani, Dhanashree ; Polat, Onur. In: Finance Research Letters. RePEc:eee:finlet:v:79:y:2025:i:c:s1544612325005975. Full description at Econpapers || Download paper |
| 2024 | Diversifying crude oil price risk with crude oil volatility index: The role of volatility-of-volatility. (2024). Li, Leon ; Miu, Peter. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000448. Full description at Econpapers || Download paper |
| 2024 | Business and financial cycle across regimes: Does financial stress matter?. (2024). Cucculelli, Marco ; Sullo, Valerio ; Giampaoli, Noemi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006373. Full description at Econpapers || Download paper |
| 2025 | Estimating Skewness and Kurtosis for Asymmetric Heavy-Tailed Data: A Regression Approach. (2025). Kim, Heejin. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:16:p:2694-:d:1729540. Full description at Econpapers || Download paper |
| 2025 | Multifractal relationship between decomposed oil price shocks and trading volume. (2025). Apergis, Nicholas ; Yan, Huanhuan ; He, Pengchao ; Lu, Xunfa. In: Humanities and Social Sciences Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-05227-7. Full description at Econpapers || Download paper |
| 2025 | Regime-Specific Spillover Effects Between Financial Stress, GCC Stock Markets, Brent Crude Oil, and the Gold Market. (2025). Abbes, Mouna Boujelbne ; Soltani, Hayet. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:16:y:2025:i:2:d:10.1007_s13132-024-02209-z. Full description at Econpapers || Download paper |
| 2024 | Role of Crude Oil in Determining the Price of Corn in the United States: A Non-parametric Approach. (2024). Mitra, Subrata K ; Pal, Debdatta. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:22:y:2024:i:2:d:10.1007_s40953-024-00382-1. Full description at Econpapers || Download paper |
| 2024 | Option‐Implied Ambiguity and Equity Return Predictability. (2024). Chen, Yiyao ; Liu, Yanchu ; Sun, Xianming. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:9:p:1556-1577. 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 | 31 |
| 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: 31 | 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 | 4 |
| 2014 | Volatility equicorrelation: A cross-market perspective In: Economics Letters. [Full Text][Citation analysis] | article | 17 |
| 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 | 41 |
| 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: 41 | 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 | 3 |
| 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 | 26 |
| 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 | 2 |
| 2016 | Oil vs. gasoline: The dark side of volatility and taxation.(2016) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | 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 | Leverage vs. Feedback: 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 | 10 |
| 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. Last updated December, 22 2025. Contact: CitEc Team