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Volatility returns with vengeance : financial markets vs. commodities

Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 33 (2015), pp. 334-354

Persistent link: https://www.econbiz.de/10011325853

The cross-market indes for volatility surprise

Aboura, Sofiane; Chevallier, Julien - In: The journal of asset management 15 (2014) 1, pp. 7-23

Persistent link: https://www.econbiz.de/10010370072

Geographical diversification with a World Volatility Index

Aboura, Sofiane; Chevallier, Julien - In: Journal of multinational financial management 30 (2015), pp. 62-82

Persistent link: https://www.econbiz.de/10011539534

Volatility equicorrelation : a cross-market perspective

Aboura, Sofiane; Chevallier, Julien - In: Economics letters 122 (2014) 2, pp. 289-295

Persistent link: https://www.econbiz.de/10010395117

Leverage vs. feedback : which Effect drives the oil market?

Aboura, Sofiane; Chevallier, Julien - In: Finance research letters 10 (2013) 3, pp. 131-141

Persistent link: https://www.econbiz.de/10010222896

Cross-market spillovers with "volatility surprise"

Aboura, Sofiane; Chevallier, Julien - In: Review of financial economics : RFE 23 (2014) 4, pp. 194-207

Persistent link: https://www.econbiz.de/10010442564

Cross-Market Spillovers with ‘Volatility Surprise’

Aboura, Sofiane - 2015

This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise' to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...

Persistent link: https://www.econbiz.de/10013033099

Cross-market volatility index with Factor-DCC

Aboura, Sofiane; Chevallier, Julien - In: International review of financial analysis 42 (2015), pp. 132-140

Persistent link: https://www.econbiz.de/10011573356

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