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Wavelet multiscale and spillover analyses of volatility and correlation

Aboura, Sofiane - In: The journal of derivatives : JOD 29 (2022) 5, pp. 20-39

Persistent link: https://www.econbiz.de/10014231071

The effect of asymmetric information and transaction costs on asset pricing : theory and tests

Bellalah, Makram; Aboura, Sofiane - In: International journal of business 11 (2006) 2, pp. 219-236

Persistent link: https://www.econbiz.de/10003342057

Testing the fed and the Graham & Dodd models : asymmetric vs. symmetric adjustment

Boucher, Christophe; Aboura, Sofiane - In: Applied economics letters 15 (2008) 1/3, pp. 91-94

Persistent link: https://www.econbiz.de/10003724966

Does Aggregate Uncertainty Explain Size and Value Anomalies?

Aboura, Sofiane - 2019

Following seminal works of Knight (1921) and Ellsberg (1961), we distinguish uncertainty from risk and examine the impact of aggregate uncertainty on return dynamics of size and book-to-market ratio sorted portfolios. Using VVIX as a proxy for aggregate uncertainty and controlling for market...

Persistent link: https://www.econbiz.de/10012904720

Option pricing under skewness and kurtois using a Cornish-Fisher expansion

Aboura, Sofiane; Maillard, Didier - In: The journal of futures markets 36 (2016) 12, pp. 1194-1209

Persistent link: https://www.econbiz.de/10011665615

Spikes and crashes in the oil market

Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 36 (2016), pp. 615-623

Persistent link: https://www.econbiz.de/10011594637

Tail risk and the return-volatility relation

Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 46 (2018), pp. 16-29

Persistent link: https://www.econbiz.de/10011983542

Oil vs. gasoline : the dark side of volatility and taxation

Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 39 (2017), pp. 976-989

Persistent link: https://www.econbiz.de/10011912421

Does aggregate uncertainty explain size and value anomalies?

Aboura, Sofiane; Arisoy, Yakup Eser - In: Applied economics 49 (2017) 31/33, pp. 3214-3230

Persistent link: https://www.econbiz.de/10011774674

Risk premium spillovers among stock markets : evidence from higher-order moments

Finta, Marinela Adriana; Aboura, Sofiane - In: Journal of financial markets 49 (2020), pp. 1-27

Persistent link: https://www.econbiz.de/10013531210