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~person:"Aboura, Sofiane"
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Asset management
11
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8
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7
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6
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6
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6
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5
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5
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Aboura, Sofiane
Chevallier, Julien
23
Prorokowski, Lukasz
4
Schillinger, Moritz
4
Weigt, Hannes
4
Majewska, Elżbieta
3
Mishra, Tapas
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Narayan, Paresh Kumar
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Olbryś, Joanna
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Robe, Michel A.
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Ielpo, Florian
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Jaffry, Shabbar
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Jin, Chenglu
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King, Maxwell L.
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Kobayashi, Masahito
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Li, Fuchun
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Lin, Ping
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1
Cross-Market
Spillovers with ‘Volatility Surprise’
Chevallier, Julien
;
Aboura, Sofiane
-
EconomiX, Université Paris Ouest-Nanterre la Défense …
-
2014
updating the concept of ‘volatility surprise’ to capture
cross-market
relationships. Current methods for measuring spillovers …
Persistent link: https://www.econbiz.de/10010928985
Saved in:
2
Cross-Market
Spillovers with 'Volatility Surprise'
Aboura, Sofiane
;
Chevallier, Julien
-
HAL
-
2014
updating the concept of 'volatility surprise' to capture
cross-market
relationships. Current methods for measuring spillovers …
Persistent link: https://www.econbiz.de/10010821166
Saved in:
3
Cross-Market
Spillovers with Volatility Surprise
Aboura, Sofiane
;
Chevallier, Julien
-
Institut de Préparation à l'Administration et à la …
-
2014
updating the concept of ‘volatility surprise’ to capture
cross-market
relationships. Current methods for measuring spillovers …
Persistent link: https://www.econbiz.de/10010891079
Saved in:
4
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
Saved in:
5
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
Saved in:
6
Cross-market
index with Factor-DCC
Aboura, Sofiane
;
Chevallier, Julien
- In:
Economic modelling
40
(
2014
),
pp. 158-166
Persistent link: https://www.econbiz.de/10010425706
Saved in:
7
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
Saved in:
8
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
Saved in:
9
Volatility equicorrelation: A
cross-market
perspective
Chevallier, Julien
;
Aboura, Sofiane
-
Université Paris-Dauphine (Paris IX)
-
2014
This paper contains the first empirical application of the Dynamic Equicorrelation (DECO) model to a
cross-market
…
Persistent link: https://www.econbiz.de/10010735785
Saved in:
10
Volatility equicorrelation: A
cross-market
perspective
Aboura, Sofiane
;
Chevallier, Julien
- In:
Economics Letters
122
(
2014
)
2
,
pp. 289-295
This paper contains the first empirical application of the Dynamic Equicorrelation (DECO) model to a
cross-market
…
Persistent link: https://www.econbiz.de/10010743746
Saved in:
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