Abderrahim Taamouti
Abderrahim Taamouti
Professor of Economics and Finance at Durham Business School
Verified email at durham.ac.uk - Homepage
Title
Cited by
Cited by
Year
Short and long run causality measures: Theory and inference
JM Dufour, A Taamouti
Journal of Econometrics 154 (1), 42-58, 2010
882010
Sovereign credit ratings, market volatility, and financial gains
A Afonso, P Gomes, A Taamouti
Computational Statistics & Data Analysis 76, 20-33, 2014
712014
Nonparametric copula-based test for conditional independence with applications to Granger causality
T Bouezmarni, JVK Rombouts, A Taamouti
Journal of Business & Economic Statistics 30 (2), 275-287, 2012
672012
Asymptotic properties of the Bernstein density copula estimator for α-mixing data
T Bouezmarni, JVK Rombouts, A Taamouti
Journal of Multivariate Analysis 101 (1), 1-10, 2010
422010
Risk premium, variance premium, and the maturity structure of uncertainty
B Feunou, JS Fontaine, A Taamouti, R Tédongap
Review of Finance 18 (1), 219-269, 2014
402014
Measuring high-frequency causality between returns, realized volatility, and implied volatility
JM Dufour, R Garcia, A Taamouti
Journal of Financial Econometrics 10 (1), 124-163, 2012
362012
What drives international equity correlations? Volatility or market direction?
K Amira, A Taamouti, G Tsafack
Journal of International Money and Finance 30 (6), 1234-1263, 2011
332011
Nonparametric estimation and inference for conditional density based Granger causality measures
A Taamouti, T Bouezmarni, A El Ghouch
Journal of Econometrics 180 (2), 251-264, 2014
242014
In search of the determinants of European asset market comovements
P Gomes, A Taamouti
International Review of Economics & Finance 44, 103-117, 2016
192016
Nonparametric tests for conditional independence using conditional distributions
T Bouezmarni, A Taamouti
Journal of Nonparametric Statistics 26 (4), 697-719, 2014
182014
A nonparametric copula based test for conditional independence with applications to Granger causality
T Bouezmarni, JVK Rombouts, A Taamouti
182009
Bernstein estimator for unbounded copula densities.
T Bouezmarni, A El Gouch, A Taamouti
Statistics & risk modeling. 30 (4), 343-360, 2013
172013
Measuring nonlinear granger causality in mean
X Song, A Taamouti
Journal of Business & Economic Statistics 36 (2), 321-333, 2018
142018
Testing independence based on Bernstein empirical copula and copula density
M Belalia, T Bouezmarni, FC Lemyre, A Taamouti
Journal of Nonparametric Statistics 29 (2), 346-380, 2017
142017
Analytical Value-at-Risk and Expected Shortfall under regime-switching
A Taamouti
Finance Research Letters 6 (3), 138-151, 2009
142009
Measuring causality between volatility and returns with high-frequency data
JM Dufour, R Garcia, A Taamouti
122008
Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form
JM Dufour, A Taamouti
Computational statistics & data analysis 54 (11), 2532-2553, 2010
102010
Do investors price industry risk? Evidence from the cross-section of the oil industry
SB Ramos, A Taamouti, H Veiga, CW Wang
Journal of Energy Markets, Forthcoming, 2017
92017
The reaction of stock market returns to anticipated unemployment
J Gonzalo, A Taamouti
92012
Portfolio selection in a data-rich environment
M Bouaddi, A Taamouti
Journal of Economic Dynamics and Control 37 (12), 2943-2962, 2013
82013
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Articles 1–20