Details about Abderrahim Taamouti
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Last updated 2024-08-09. Update your information in the RePEc Author Service.
Short-id: pta202
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Working Papers
2023
- Copula-based estimation of health inequality measures with an application to COVID-19
University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK.
- Investigating the impact of consumption distribution on CRRA estimation: QuantileCCAPM-based approach
Working Papers, University of Liverpool, Department of Economics
- Machine Learning Based Portfolio Selection Under Systemic Risk
Working Papers, University of Liverpool, Department of Economics
- Portfolio Selection Under Non-Gaussianity And Systemic Risk: A Machine Learning Based Forecasting Approach
Working Papers, University of Liverpool, Department of Economics
- Testing Granger Non-Causality in Expectiles
University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK.
Also in Working Papers, University of Liverpool, Department of Economics (2022)
See also Journal Article Testing Granger non-causality in expectiles, Econometric Reviews, Taylor & Francis Journals (2024) (2024)
2022
- Copula-based estimation of health concentration curves with an application to COVID-19
CIRANO Working Papers, CIRANO
- Portfolio Selection Under Systemic Risk
Working Papers, University of Liverpool, Department of Economics
- Value-at Risk under Measurement Error
Working Papers, University of Liverpool, Department of Economics
See also Journal Article Value‐at‐Risk under Measurement Error, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2024) (2024)
2020
- Quantile Consumption-Capital Asset Pricing
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica
2019
- Financial Frictions and the Futures Pricing Puzzle
Department of Economics Working Papers, Durham University, Department of Economics View citations (1)
See also Journal Article Financial frictions and the futures pricing puzzle, Economic Modelling, Elsevier (2020) View citations (1) (2020)
2015
- Parametric Portfolio Policies with Common Volatility Dynamics
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
2014
- Nonparametric estimation and inference for conditional density based Granger causality measures
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (10)
See also Journal Article Nonparametric estimation and inference for conditional density based Granger causality measures, Journal of Econometrics, Elsevier (2014) View citations (9) (2014)
- Sovereign credit ratings, market volatility, and financial gains
Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa View citations (25)
Also in Working Paper Series, European Central Bank (2014) View citations (24)
See also Journal Article Sovereign credit ratings, market volatility, and financial gains, Computational Statistics & Data Analysis, Elsevier (2014) View citations (24) (2014)
2013
- Bernstein estimator for unbounded copula densities
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (6)
See also Journal Article Bernstein estimator for unbounded copula densities, Statistics & Risk Modeling, De Gruyter (2013) View citations (5) (2013)
- Did the Euro Change the Effect of Fundamentals on Growth and Uncertainty?
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa View citations (1)
See also Journal Article Did the euro change the effect of fundamentals on growth and uncertainty?, The B.E. Journal of Macroeconomics, De Gruyter (2014) (2014)
2012
- Nonparametric Estimation and Inference for Granger Causality Measures
LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (2)
Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa (2012) View citations (3)
- Nonparametric tests for conditional independence using conditional distributions
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa View citations (1)
See also Journal Article Nonparametric tests for conditional independence using conditional distributions, Journal of Nonparametric Statistics, Taylor & Francis Journals (2014) View citations (4) (2014)
- Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
Staff Working Papers, Bank of Canada View citations (7)
Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa (2011) View citations (1)
See also Journal Article Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty, Review of Finance, European Finance Association (2014) View citations (21) (2014)
2011
- Bernstein Estimator for Unbounded Density Copula
LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa (2011)
- Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
CIRANO Working Papers, CIRANO View citations (4)
See also Journal Article Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility, Journal of Financial Econometrics, Oxford University Press (2009) (2009)
2010
- Asymptotic properties of the Bernstein density copula estimator for alpha-mixing data
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (11)
See also Journal Article Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data, Journal of Multivariate Analysis, Elsevier (2010) View citations (20) (2010)
2009
- A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality
CIRANO Working Papers, CIRANO View citations (4)
Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa (2009) View citations (4) Cahiers de recherche, CIRPEE (2009) View citations (4) LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009) View citations (4)
See also Journal Article Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) View citations (2) (2011)
- What Drives International Equity Correlations? Volatility or Market Direction?
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa
See also Journal Article What drives international equity correlations? Volatility or market direction?, Journal of International Money and Finance, Elsevier (2011) View citations (22) (2011)
2008
- Asymptotic properties of the Bernstein density copula for dependent data
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa View citations (1)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2008) View citations (1)
- Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa
- Measuring causality between volatility and returns with high-frequency data
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa View citations (6)
- Short and long run causality measures: theory and inference
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa View citations (1)
See also Journal Article Short and long run causality measures: Theory and inference, Journal of Econometrics, Elsevier (2010) View citations (60) (2010)
Journal Articles
2024
- Testing Granger non-causality in expectiles
Econometric Reviews, 2024, 43, (1), 30-51
See also Working Paper Testing Granger Non-Causality in Expectiles, University of East Anglia School of Economics Working Paper Series (2023) (2023)
- Value‐at‐Risk under Measurement Error
Oxford Bulletin of Economics and Statistics, 2024, 86, (3), 690-713
See also Working Paper Value-at Risk under Measurement Error, Working Papers (2022) (2022)
2023
- A bargaining model for PLS entrepreneurial financing: A game theoretic model using agent‐based simulation
International Journal of Finance & Economics, 2023, 28, (2), 1228-1241
2022
- Testing for Asymmetric Comovements
Oxford Bulletin of Economics and Statistics, 2022, 84, (5), 1153-1180 View citations (1)
- Testing the eigenvalue structure of spot and integrated covariance
Journal of Econometrics, 2022, 229, (2), 363-395
2021
- Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market
Journal of Forecasting, 2021, 40, (7), 1291-1309
- Covid‐19 Control and the Economy: Test, Test, Test
Oxford Bulletin of Economics and Statistics, 2021, 83, (5), 1011-1028
- Measuring Granger Causality in Quantiles
Journal of Business & Economic Statistics, 2021, 39, (4), 937-952 View citations (7)
2020
- Financial frictions and the futures pricing puzzle
Economic Modelling, 2020, 87, (C), 358-371 View citations (1)
See also Working Paper Financial Frictions and the Futures Pricing Puzzle, Department of Economics Working Papers (2019) View citations (1) (2019)
2019
- A Better Understanding of Granger Causality Analysis: A Big Data Environment
Oxford Bulletin of Economics and Statistics, 2019, 81, (4), 911-936 View citations (6)
- The information content of forward moments
Journal of Banking & Finance, 2019, 106, (C), 527-541 View citations (2)
2018
- Measuring Nonlinear Granger Causality in Mean
Journal of Business & Economic Statistics, 2018, 36, (2), 321-333 View citations (6)
2017
- Partial Structural Break Identification
Oxford Bulletin of Economics and Statistics, 2017, 79, (2), 145-164 View citations (1)
- Testing independence based on Bernstein empirical copula and copula density
Journal of Nonparametric Statistics, 2017, 29, (2), 346-380 View citations (5)
- The reaction of stock market returns to unemployment
Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (4), 20
2016
- In search of the determinants of European asset market comovements
International Review of Economics & Finance, 2016, 44, (C), 103-117 View citations (9)
2015
- FINITE-SAMPLE SIGN-BASED INFERENCE IN LINEAR AND NONLINEAR REGRESSION MODELS WITH APPLICATIONS IN FINANCE
L'Actualité Economique, 2015, 91, (1-2), 89-113 View citations (2)
- Stock market’s reaction to money supply: a nonparametric analysis
Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (5), 669-689 View citations (1)
2014
- Did the euro change the effect of fundamentals on growth and uncertainty?
The B.E. Journal of Macroeconomics, 2014, 14, (1), 625-660
See also Working Paper Did the Euro Change the Effect of Fundamentals on Growth and Uncertainty?, UC3M Working papers. Economics (2013) View citations (1) (2013)
- Nonparametric estimation and inference for conditional density based Granger causality measures
Journal of Econometrics, 2014, 180, (2), 251-264 View citations (9)
See also Working Paper Nonparametric estimation and inference for conditional density based Granger causality measures, LIDAM Reprints ISBA (2014) View citations (10) (2014)
- Nonparametric tests for conditional independence using conditional distributions
Journal of Nonparametric Statistics, 2014, 26, (4), 697-719 View citations (4)
See also Working Paper Nonparametric tests for conditional independence using conditional distributions, UC3M Working papers. Economics (2012) View citations (1) (2012)
- Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
Review of Finance, 2014, 18, (1), 219-269 View citations (21)
See also Working Paper Risk Premium, Variance Premium and the Maturity Structure of Uncertainty, Staff Working Papers (2012) View citations (7) (2012)
- Sovereign credit ratings, market volatility, and financial gains
Computational Statistics & Data Analysis, 2014, 76, (C), 20-33 View citations (24)
See also Working Paper Sovereign credit ratings, market volatility, and financial gains, Working Papers Department of Economics (2014) View citations (25) (2014)
2013
- Bernstein estimator for unbounded copula densities
Statistics & Risk Modeling, 2013, 30, (4), 343-360 View citations (5)
See also Working Paper Bernstein estimator for unbounded copula densities, LIDAM Reprints ISBA (2013) View citations (6) (2013)
- Portfolio selection in a data-rich environment
Journal of Economic Dynamics and Control, 2013, 37, (12), 2943-2962 View citations (5)
2012
- Moments of multivariate regime switching with application to risk-return trade-off
Journal of Empirical Finance, 2012, 19, (2), 292-308 View citations (4)
- Portfolio risk management in a data-rich environment
Financial Markets and Portfolio Management, 2012, 26, (4), 469-494 View citations (1)
2011
- Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality
Journal of Business & Economic Statistics, 2011, 30, (2), 275-287 View citations (2)
See also Working Paper A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality, CIRANO Working Papers (2009) View citations (4) (2009)
- What drives international equity correlations? Volatility or market direction?
Journal of International Money and Finance, 2011, 30, (6), 1234-1263 View citations (22)
See also Working Paper What Drives International Equity Correlations? Volatility or Market Direction?, UC3M Working papers. Economics (2009) (2009)
2010
- Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data
Journal of Multivariate Analysis, 2010, 101, (1), 1-10 View citations (20)
See also Working Paper Asymptotic properties of the Bernstein density copula estimator for alpha-mixing data, LIDAM Reprints CORE (2010) View citations (11) (2010)
- Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form
Computational Statistics & Data Analysis, 2010, 54, (11), 2532-2553 View citations (4)
- Short and long run causality measures: Theory and inference
Journal of Econometrics, 2010, 154, (1), 42-58 View citations (60)
See also Working Paper Short and long run causality measures: theory and inference, UC3M Working papers. Economics (2008) View citations (1) (2008)
2009
- Analytical Value-at-Risk and Expected Shortfall under regime-switching
Finance Research Letters, 2009, 6, (3), 138-151 View citations (3)
- Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility
Journal of Financial Econometrics, 2009, 10, (1), 124-163
See also Working Paper Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility, CIRANO Working Papers (2011) View citations (4) (2011)
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