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Details about Abderrahim Taamouti

E-mail:
Homepage:https://www.dur.ac.uk/business/research/economics/qrfe/profile/?mode=staff&id=12888
Postal address:Department of Economics and Finance Durham University Business School Mill Hill Lane Durham DH1 3LB, UK
Workplace:Department of Economics and Finance, Business School, Durham University, (more information at EDIRC)

Access statistics for papers by Abderrahim Taamouti.

Last updated 2019-01-06. Update your information in the RePEc Author Service.

Short-id: pta202


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Working Papers

2017

  1. The Reaction of Stock Market Returns to Unemployment
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2017)

2015

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

2014

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

    See also Journal Article in Computational Statistics & Data Analysis (2014)

2013

  1. 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 in The B.E. Journal of Macroeconomics (2014)

2012

  1. Nonparametric estimation and inference for Granger causality measures
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
  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 in Journal of Nonparametric Statistics (2014)
  3. Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
    Staff Working Papers, Bank of Canada Downloads View citations (4)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2011) Downloads

    See also Journal Article in Review of Finance (2014)
  4. The reaction of stock market returns to anticipated unemployment
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (1)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2011) Downloads

2011

  1. Bernstein estimator for unbounded density copula
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
  2. Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
    CIRANO Working Papers, CIRANO Downloads View citations (3)
    See also Journal Article in Journal of Financial Econometrics (2009)

2010

  1. Asymptotic properties of the Bernstein density copula estimator for alpha-mixing data
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
    See also Journal Article in Journal of Multivariate Analysis (2010)

2009

  1. A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality
    CIRANO Working Papers, CIRANO Downloads View citations (2)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009) Downloads View citations (1)
    Cahiers de recherche, CIRPEE (2009) Downloads View citations (1)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009) Downloads View citations (1)

    See also Journal Article in Journal of Business & Economic Statistics (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 in Journal of International Money and Finance (2011)

2008

  1. Asymptotic properties of the Bernstein density copula for dependent data
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2008) Downloads
  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
    See also Journal Article in Journal of Econometrics (2010)

Journal Articles

2018

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

2017

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

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 (4)

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 (1)
  2. Stock market’s reaction to money supply: a nonparametric analysis
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (5), 669-689 Downloads

2014

  1. Did the euro change the effect of fundamentals on growth and uncertainty?
    The B.E. Journal of Macroeconomics, 2014, 14, (1), 36 Downloads
    See also Working Paper (2013)
  2. Nonparametric estimation and inference for conditional density based Granger causality measures
    Journal of Econometrics, 2014, 180, (2), 251-264 Downloads View citations (5)
  3. Nonparametric tests for conditional independence using conditional distributions
    Journal of Nonparametric Statistics, 2014, 26, (4), 697-719 Downloads View citations (1)
    See also Working Paper (2012)
  4. Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
    Review of Finance, 2014, 18, (1), 219-269 Downloads View citations (8)
    See also Working Paper (2012)
  5. Sovereign credit ratings, market volatility, and financial gains
    Computational Statistics & Data Analysis, 2014, 76, (C), 20-33 Downloads View citations (9)
    See also Working Paper (2014)

2013

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

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 (1)
  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
    See also Working Paper (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 (14)
    See also Working Paper (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 (10)
    See also Working Paper (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 (2)
  3. Short and long run causality measures: Theory and inference
    Journal of Econometrics, 2010, 154, (1), 42-58 Downloads View citations (37)
    See also Working Paper (2008)

2009

  1. Analytical Value-at-Risk and Expected Shortfall under regime-switching
    Finance Research Letters, 2009, 6, (3), 138-151 Downloads View citations (2)
  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 (2011)
 
Page updated 2019-08-23