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Volatility of aggregate volatility and hedge fund returns

Agarwal, Vikas; Arisoy, Yakup Eser; Naik, Narayan Y. - In: Journal of financial economics 125 (2017) 3, pp. 491-510

Persistent link: https://www.econbiz.de/10011751857

Disentangling crashes from tail events

Aboura, Sofiane - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 206-219

Persistent link: https://www.econbiz.de/10011348417

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

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

Is There Any Black Swan Hidden in the Oil Markets?

Aboura, Sofiane - 2015

Since the last three decades, advanced economies have been facing a substantial rise not only in the crude oil price but also in the oil price volatility. Quantifying the tail risk has become a prominent issue for investment decisions and risk management. This article reveals the existence of a...

Persistent link: https://www.econbiz.de/10013036389

The place of gold in the cross-market dependencies

Aboura, Sofiane; Chevallier, Julien; Jammazi, Rania; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 5, pp. 567-586

Persistent link: https://www.econbiz.de/10011649166

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

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