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Details about Abderrahim Taamouti

Homepage:https://sites.google.com/view/ataamouti
Postal address:Liverpool Management School, Starting from January 2022 Chatham Street, Liverpool, L69 7ZH, UK
Workplace:Management School, University of Liverpool, (more information at EDIRC)

Access statistics for papers by Abderrahim Taamouti.

Last updated 2024-08-09. Update your information in the RePEc Author Service.

Short-id: pta202


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Working Papers

2023

  1. 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. Downloads
  2. Investigating the impact of consumption distribution on CRRA estimation: QuantileCCAPM-based approach
    Working Papers, University of Liverpool, Department of Economics Downloads
  3. Machine Learning Based Portfolio Selection Under Systemic Risk
    Working Papers, University of Liverpool, Department of Economics Downloads
  4. Portfolio Selection Under Non-Gaussianity And Systemic Risk: A Machine Learning Based Forecasting Approach
    Working Papers, University of Liverpool, Department of Economics Downloads
  5. 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. Downloads
    Also in Working Papers, University of Liverpool, Department of Economics (2022) Downloads

    See also Journal Article Testing Granger non-causality in expectiles, Econometric Reviews, Taylor & Francis Journals (2024) Downloads (2024)

2022

  1. Copula-based estimation of health concentration curves with an application to COVID-19
    CIRANO Working Papers, CIRANO Downloads
  2. Portfolio Selection Under Systemic Risk
    Working Papers, University of Liverpool, Department of Economics Downloads
  3. Value-at Risk under Measurement Error
    Working Papers, University of Liverpool, Department of Economics Downloads
    See also Journal Article Value‐at‐Risk under Measurement Error, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2024) Downloads (2024)

2020

  1. Quantile Consumption-Capital Asset Pricing
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads

2019

  1. Financial Frictions and the Futures Pricing Puzzle
    Department of Economics Working Papers, Durham University, Department of Economics Downloads View citations (1)
    See also Journal Article Financial frictions and the futures pricing puzzle, Economic Modelling, Elsevier (2020) Downloads View citations (1) (2020)

2015

  1. Parametric Portfolio Policies with Common Volatility Dynamics
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2014

  1. 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) Downloads View citations (9) (2014)
  2. 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 Downloads View citations (25)
    Also in Working Paper Series, European Central Bank (2014) Downloads View citations (24)

    See also Journal Article Sovereign credit ratings, market volatility, and financial gains, Computational Statistics & Data Analysis, Elsevier (2014) Downloads View citations (24) (2014)

2013

  1. 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) Downloads View citations (5) (2013)
  2. Did the Euro Change the Effect of Fundamentals on Growth and Uncertainty?
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads 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) Downloads (2014)

2012

  1. Nonparametric Estimation and Inference for Granger Causality Measures
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) Downloads View citations (2)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2012) Downloads View citations (3)
  2. Nonparametric tests for conditional independence using conditional distributions
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (1)
    See also Journal Article Nonparametric tests for conditional independence using conditional distributions, Journal of Nonparametric Statistics, Taylor & Francis Journals (2014) Downloads View citations (4) (2014)
  3. Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
    Staff Working Papers, Bank of Canada Downloads View citations (7)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2011) Downloads View citations (1)

    See also Journal Article Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty, Review of Finance, European Finance Association (2014) Downloads View citations (21) (2014)

2011

  1. Bernstein Estimator for Unbounded Density Copula
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) Downloads
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2011) Downloads
  2. Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
    CIRANO Working Papers, CIRANO Downloads 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) Downloads (2009)

2010

  1. 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) Downloads View citations (20) (2010)

2009

  1. A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality
    CIRANO Working Papers, CIRANO Downloads View citations (4)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009) Downloads View citations (4)
    Cahiers de recherche, CIRPEE (2009) Downloads View citations (4)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009) Downloads 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) Downloads View citations (2) (2011)
  2. What Drives International Equity Correlations? Volatility or Market Direction?
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
    See also Journal Article What drives international equity correlations? Volatility or market direction?, Journal of International Money and Finance, Elsevier (2011) Downloads View citations (22) (2011)

2008

  1. Asymptotic properties of the Bernstein density copula for dependent data
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (1)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2008) Downloads View citations (1)
  2. 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 Economía Downloads
  3. Measuring causality between volatility and returns with high-frequency data
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (6)
  4. Short and long run causality measures: theory and inference
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (1)
    See also Journal Article Short and long run causality measures: Theory and inference, Journal of Econometrics, Elsevier (2010) Downloads View citations (60) (2010)

Journal Articles

2024

  1. Testing Granger non-causality in expectiles
    Econometric Reviews, 2024, 43, (1), 30-51 Downloads
    See also Working Paper Testing Granger Non-Causality in Expectiles, University of East Anglia School of Economics Working Paper Series (2023) Downloads (2023)
  2. Value‐at‐Risk under Measurement Error
    Oxford Bulletin of Economics and Statistics, 2024, 86, (3), 690-713 Downloads
    See also Working Paper Value-at Risk under Measurement Error, Working Papers (2022) Downloads (2022)

2023

  1. 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 Downloads

2022

  1. Testing for Asymmetric Comovements
    Oxford Bulletin of Economics and Statistics, 2022, 84, (5), 1153-1180 Downloads View citations (1)
  2. Testing the eigenvalue structure of spot and integrated covariance
    Journal of Econometrics, 2022, 229, (2), 363-395 Downloads

2021

  1. Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market
    Journal of Forecasting, 2021, 40, (7), 1291-1309 Downloads
  2. Covid‐19 Control and the Economy: Test, Test, Test
    Oxford Bulletin of Economics and Statistics, 2021, 83, (5), 1011-1028 Downloads
  3. Measuring Granger Causality in Quantiles
    Journal of Business & Economic Statistics, 2021, 39, (4), 937-952 Downloads View citations (7)

2020

  1. Financial frictions and the futures pricing puzzle
    Economic Modelling, 2020, 87, (C), 358-371 Downloads View citations (1)
    See also Working Paper Financial Frictions and the Futures Pricing Puzzle, Department of Economics Working Papers (2019) Downloads View citations (1) (2019)

2019

  1. A Better Understanding of Granger Causality Analysis: A Big Data Environment
    Oxford Bulletin of Economics and Statistics, 2019, 81, (4), 911-936 Downloads View citations (6)
  2. The information content of forward moments
    Journal of Banking & Finance, 2019, 106, (C), 527-541 Downloads View citations (2)

2018

  1. Measuring Nonlinear Granger Causality in Mean
    Journal of Business & Economic Statistics, 2018, 36, (2), 321-333 Downloads View citations (6)

2017

  1. Partial Structural Break Identification
    Oxford Bulletin of Economics and Statistics, 2017, 79, (2), 145-164 Downloads View citations (1)
  2. Testing independence based on Bernstein empirical copula and copula density
    Journal of Nonparametric Statistics, 2017, 29, (2), 346-380 Downloads View citations (5)
  3. The reaction of stock market returns to unemployment
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (4), 20 Downloads

2016

  1. In search of the determinants of European asset market comovements
    International Review of Economics & Finance, 2016, 44, (C), 103-117 Downloads View citations (9)

2015

  1. FINITE-SAMPLE SIGN-BASED INFERENCE IN LINEAR AND NONLINEAR REGRESSION MODELS WITH APPLICATIONS IN FINANCE
    L'Actualité Economique, 2015, 91, (1-2), 89-113 Downloads View citations (2)
  2. Stock market’s reaction to money supply: a nonparametric analysis
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (5), 669-689 Downloads View citations (1)

2014

  1. Did the euro change the effect of fundamentals on growth and uncertainty?
    The B.E. Journal of Macroeconomics, 2014, 14, (1), 625-660 Downloads
    See also Working Paper Did the Euro Change the Effect of Fundamentals on Growth and Uncertainty?, UC3M Working papers. Economics (2013) Downloads View citations (1) (2013)
  2. Nonparametric estimation and inference for conditional density based Granger causality measures
    Journal of Econometrics, 2014, 180, (2), 251-264 Downloads 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)
  3. Nonparametric tests for conditional independence using conditional distributions
    Journal of Nonparametric Statistics, 2014, 26, (4), 697-719 Downloads View citations (4)
    See also Working Paper Nonparametric tests for conditional independence using conditional distributions, UC3M Working papers. Economics (2012) Downloads View citations (1) (2012)
  4. Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
    Review of Finance, 2014, 18, (1), 219-269 Downloads View citations (21)
    See also Working Paper Risk Premium, Variance Premium and the Maturity Structure of Uncertainty, Staff Working Papers (2012) Downloads View citations (7) (2012)
  5. Sovereign credit ratings, market volatility, and financial gains
    Computational Statistics & Data Analysis, 2014, 76, (C), 20-33 Downloads View citations (24)
    See also Working Paper Sovereign credit ratings, market volatility, and financial gains, Working Papers Department of Economics (2014) Downloads View citations (25) (2014)

2013

  1. Bernstein estimator for unbounded copula densities
    Statistics & Risk Modeling, 2013, 30, (4), 343-360 Downloads View citations (5)
    See also Working Paper Bernstein estimator for unbounded copula densities, LIDAM Reprints ISBA (2013) View citations (6) (2013)
  2. Portfolio selection in a data-rich environment
    Journal of Economic Dynamics and Control, 2013, 37, (12), 2943-2962 Downloads View citations (5)

2012

  1. Moments of multivariate regime switching with application to risk-return trade-off
    Journal of Empirical Finance, 2012, 19, (2), 292-308 Downloads View citations (4)
  2. Portfolio risk management in a data-rich environment
    Financial Markets and Portfolio Management, 2012, 26, (4), 469-494 Downloads View citations (1)

2011

  1. Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality
    Journal of Business & Economic Statistics, 2011, 30, (2), 275-287 Downloads View citations (2)
    See also Working Paper A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality, CIRANO Working Papers (2009) Downloads View citations (4) (2009)
  2. What drives international equity correlations? Volatility or market direction?
    Journal of International Money and Finance, 2011, 30, (6), 1234-1263 Downloads View citations (22)
    See also Working Paper What Drives International Equity Correlations? Volatility or Market Direction?, UC3M Working papers. Economics (2009) Downloads (2009)

2010

  1. Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data
    Journal of Multivariate Analysis, 2010, 101, (1), 1-10 Downloads 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)
  2. Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form
    Computational Statistics & Data Analysis, 2010, 54, (11), 2532-2553 Downloads View citations (4)
  3. Short and long run causality measures: Theory and inference
    Journal of Econometrics, 2010, 154, (1), 42-58 Downloads View citations (60)
    See also Working Paper Short and long run causality measures: theory and inference, UC3M Working papers. Economics (2008) Downloads View citations (1) (2008)

2009

  1. Analytical Value-at-Risk and Expected Shortfall under regime-switching
    Finance Research Letters, 2009, 6, (3), 138-151 Downloads View citations (3)
  2. Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility
    Journal of Financial Econometrics, 2009, 10, (1), 124-163 Downloads
    See also Working Paper Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility, CIRANO Working Papers (2011) Downloads View citations (4) (2011)
 
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