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halshs-01052488v1 Pré-publication, Document de travail
Sofiane Aboura, Julien Chevallier. Cross-Market Spillovers with 'Volatility Surprise
2014

halshs-01348702v1 Article dans une revue
Sofiane Aboura, Julien Chevallier, Jammazi Rania, Aviral Kumar Tiwari. The place of gold in the cross-market dependencies
Studies in Nonlinear Dynamics and Econometrics, MIT Press, 2016, <http://www.degruyter.com/abstract/j/snde.ahead-of-print/snde-2015-0017/snde-2015-0017.xml>. <10.1515/snde-2015-0017>

halshs-00153119v1 Article dans une revue
Sofiane Aboura. GARCH option pricing under skew
International Journal of Applied Economics, 2005, 4 (6), pp.78-86

halshs-00153113v1 Article dans une revue
Sofiane Aboura. Le comportement des indices de volatilité implicite internationaux
La Revue Bancaire et Financière, 2005, 7 (8), pp.457-60

halshs-00638072v1 Pré-publication, Document de travail
Sofiane Aboura. Disentangling crashes from tail events
2010

halshs-01348711v1 Article dans une revue
Sofiane Aboura, Julien Chevallier. Spikes and crashes in the oil market
Research in International Business and Finance, Elsevier, 2016, 36, pp.615-623. <10.1016/j.ribaf.2015.07.002>

halshs-01348705v1 Article dans une revue
Sofiane Aboura, Julien Chevallier. Oil vs. gasoline: The dark side of volatility and taxation
Research in International Business and Finance, Elsevier, 2016, <10.1016/j.ribaf.2016.02.005>

halshs-01348693v1 Article dans une revue
Sofiane Aboura. New Developments on the Modigliani-Miller Theorem
Theory of Probability and Its Applications c/c of Teoriia Veroiatnostei i Ee Primenenie, Society for Industrial and Applied Mathematics, 2017, 61 (1), pp. 114-128. <http://epubs.siam.org/journal/tprbau>

halshs-00638075v1 Article dans une revue
Sofiane Aboura. The extreme downside risk of the S&P 500 stock index
Journal of Financial Transformation, 2009, 26 (26), pp.104-107

halshs-00337509v1 Ouvrage (y compris édition critique et traduction)
Sofiane Aboura. Le Marché d'Options
ECONOMICA, 2008

halshs-00161679v1 Article dans une revue
Sofiane Aboura. Pricing CAC 40 Index Options under Asymmetry of Information
Risk letters, 2005, pp.55-62

halshs-00161680v1 Ouvrage (y compris édition critique et traduction)
Sofiane Aboura. Les modèles de volatilité et d'options
publibook. publibook, pp.100, 2006

halshs-00172513v1 Chapitre d'ouvrage
Sofiane Aboura. Systematic Credit Risk: CDX Index Correlation and Extreme Dependence
Chapman & Hall/CRC, Boca Raton, London, New York. Credit-Risk Models, Derivatives and Management, Chapman & Hall, New York, pp.1, 2008, Financial Mathematics Series, Volume 6

halshs-00720156v1 Pré-publication, Document de travail
Sofiane Aboura, Julien Chevallier. Leverage vs. Feedback: Which Effect Drives the Oil Market?
2012

hal-01526393v1 Pré-publication, Document de travail
Sofiane Aboura, Björn Van Roye. Financial stress and economic dynamics: An application to France
2017

hal-01526063v1 Communication dans un congrès
Sofiane Aboura, Emmanuel Lépinette-Denis. An Alternative Model to Basel Regulation
31st International French Finance Association Conference (AFFI 2014), May 2014, Aix-en-Provence, France. 2014

halshs-01348718v1 Article dans une revue
Sofiane Aboura. Which Effect Drives the Equity Market during Stress Periods?
Annals of Economics and Statistics, CNGP-INSEE, 2015, 119, pp.269-288. <10.15609/annaeconstat2009.119-120.269>

hal-00267993v1 Article dans une revue
Christophe Boucher, Sofiane Aboura. Testing the fed and the Graham & Dodd models: asymmetric vs. symmetric adjustment
Applied Economics Letters, Taylor & Francis (Routledge): SSH Titles, 2008, 15 (2), pp.91-94. <10.1080/13504850600706693>

halshs-00154378v1 Article dans une revue
Sofiane Aboura. Testing the Fed and the Graham and Dodd Models : Asymmetric vs Symmetric Adjustment
Applied Economics Letters, Taylor & Francis (Routledge): SSH Titles, 2007, pp.ND

hal-01561169v1 Pré-publication, Document de travail
Sofiane Aboura. Pricing CAC 40 Index Options with Stochastic Volatility
2017

halshs-01348729v1 Article dans une revue
Sofiane Aboura, Julien Chevallier. Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets
Applied Economics, Taylor & Francis (Routledge), 2015, 47 (5013-5033), <10.1080/00036846.2015.1042139>

hal-01562011v1 Pré-publication, Document de travail
Sofiane Aboura. Pricing CAC 40 Index Options with Stochastic Volatility
2017

halshs-00153114v1 Article dans une revue
Sofiane Aboura. The French media campaign in favor of the Treaty Establishing a Constitution for Europe
European Journal of Political Economy, Elsevier, 2005, 21 (4), pp.1093-1098

halshs-00153116v1 Article dans une revue
Sofiane Aboura. PRICING CAC 40 INDEX OPTIONS WITH STOCHASTIC VOLATILITY
Journal of Derivatives Accounting, World Scientific Publishing, 2005, 2 (1), pp.1-10

halshs-00153129v1 Article dans une revue
Sofiane Aboura. L'analyse de la performance des fonds obligataires Français
La Revue des Sciences de Gestion, Revue des Sciences de Gestion, 2005, pp.111-121

halshs-01348723v1 Article dans une revue
Sofiane Aboura, Julien Chevallier. Cross-market volatility index with Factor-DCC
International Review of Financial Analysis, Elsevier, 2015, 42 (132–140), <10.1016/j.irfa.2014.06.003>

halshs-01348725v1 Article dans une revue
Sofiane Aboura. Disentangling Crashes from Tail Events
International Journal of Finance and Economics, Wiley, 2015, 20, pp.206-219. <10.1002/ijfe.1510>

halshs-01348689v1 Article dans une revue
Sofiane Aboura. Individual investors and stock returns
Journal of Asset Management, Palgrave Macmillan, 2016, <10.1057/jam.2016.19>

halshs-01348685v1 Article dans une revue
Sofiane Aboura, Didier Maillard. Option Pricing Under Skewness and Kurtosis Using a Cornish-Fisher Expansion
Journal of Futures Markets, Wiley, 2016, <10.1002/fut.21787>

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