Abderrahim Taamouti : Citation Profile


Are you Abderrahim Taamouti?

Durham University

6

H index

4

i10 index

138

Citations

RESEARCH PRODUCTION:

26

Articles

26

Papers

RESEARCH ACTIVITY:

   12 years (2008 - 2020). See details.
   Cites by year: 11
   Journals where Abderrahim Taamouti has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 19 (12.1 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pta202
   Updated: 2021-10-16    RAS profile: 2021-05-21    
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Relations with other researchers


Works with:

ap Gwilym, Rhys (2)

Gonzalo, Jesus (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Abderrahim Taamouti.

Is cited by:

Diebold, Francis (6)

Yilmaz, Kamil (6)

Al-Sadoon, Majid (6)

Olmo, Jose (4)

Calvo Pardo, Hector (4)

Galbraith, John (3)

Levieuge, Grégory (3)

Joëts, Marc (3)

GUPTA, RANGAN (3)

Dufour, Jean-Marie (3)

Feunou, Bruno (2)

Cites to:

Dufour, Jean-Marie (42)

Campbell, John (23)

Startz, Richard (20)

Nelson, Charles (20)

Bollerslev, Tim (18)

Bekaert, Geert (13)

Bai, Jushan (11)

Schwert, G. (11)

Ng, Serena (11)

Tauchen, George (10)

Engle, Robert (10)

Main data


Where Abderrahim Taamouti has published?


Journals with more than one article published# docs
Journal of Econometrics2
Journal of Business & Economic Statistics2
Journal of Nonparametric Statistics2
Oxford Bulletin of Economics and Statistics2
Computational Statistics & Data Analysis2
Studies in Nonlinear Dynamics & Econometrics2

Working Papers Series with more than one paper published# docs
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía14

Recent works citing Abderrahim Taamouti (2021 and 2020)


YearTitle of citing document
2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2021Interdependence among West African stock markets: A dimension of regional financial integration. (2021). Kalu O., Emenike. In: African Development Review. RePEc:bla:afrdev:v:33:y:2021:i:2:p:288-299.

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2020Root cause analysis and diagnosis of solid oxide fuel cell system oscillations based on data and topology-based model. (2020). Xu, Yuanwu ; Zhong, Xiaobo ; Li, XI ; Fu, Xiaowei ; Deng, Zhonghua ; Jiang, Jianhua ; Zheng, YI ; Zhao, Dongqi ; Wu, Xiaolong ; Liu, Yanlin. In: Applied Energy. RePEc:eee:appene:v:267:y:2020:i:c:s0306261920304803.

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2020Monetary policy and systemic risk-taking in the euro area banking sector. (2020). Kabundi, Alain ; de Simone, Francisco Nadal . In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:736-758.

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2020Variance swap payoffs, risk premia and extreme market conditions. (2020). Violante, Francesco ; Stentoft, Lars. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:106-124.

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2020Dynamic complexity and causality of crude oil and major stock markets. (2020). Wang, Jun ; Xiao, DI. In: Energy. RePEc:eee:energy:v:193:y:2020:i:c:s0360544219324867.

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2020Predicting the equity premium with the implied volatility spread. (2020). Simin, Timothy ; Cao, Charles ; Xiao, Han. In: Journal of Financial Markets. RePEc:eee:finmar:v:51:y:2020:i:c:s1386418119303611.

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2020Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis. (2020). de Simone, Francisco Nadal ; Jin, Xisong. In: Journal of Financial Stability. RePEc:eee:finsta:v:49:y:2020:i:c:s1572308920300486.

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2021Granger causality detection in high-dimensional systems using feedforward neural networks. (2021). Olmo, Jose ; Mancini, Tullio ; Calvo-Pardo, Hector . In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:920-940.

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2020Coups d’état and the cost of debt. (2020). BALIMA, HIPPOLYTE. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:48:y:2020:i:3:p:509-528.

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2021Dependency between sovereign credit ratings and economic risk: Insight from Balkan countries. (2021). Kirikkaleli, Dervis ; Kondoz, Mehmet ; Athari, Seyed Alireza. In: Journal of Economics and Business. RePEc:eee:jebusi:v:116:y:2021:i:c:s0148619521000023.

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2021Asymptotic properties of Bernstein estimators on the simplex. (2021). Ouimet, Frederic. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:185:y:2021:i:c:s0047259x21000622.

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2020Does the Euro–Mediterranean Partnership contribute to regional integration?. (2020). Boubaker, Sabri ; ben Slimane, Faten ; Jouini, Jamel. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:42:y:2020:i:2:p:328-348.

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2021Cointegration between the structure of copper futures prices and Brexit. (2021). Martin-Garcia, Rodrigo ; Galan-Gutierrez, Juan Antonio. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420721000155.

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2020The asymmetric relationship between the oil price and the US-Canada exchange rate. (2020). McFarlane, Adian ; Das, Anupam ; Jung, Young Cheol. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:198-206.

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2020A sentiment index to measure sovereign risk using Google data. (2020). Gonzalez-Velasco, Carmen ; Gonzalez-Fernandez, Marcos. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:406-418.

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2021Financial Spillover and Contagion Risks in the Euro Area in 2007-2019. (2021). Vogel, Lukas ; Vašíček, Bořek ; Vaiek, Boek ; Perticari, Francesco ; Monteiro, Daniel ; Lorenzani, Dimitri ; Garcia, Roman. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:137.

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2020Source Diagnosis of Solid Oxide Fuel Cell System Oscillation Based on Data Driven. (2020). Li, XI ; Liu, Yanlin ; Fu, Xiaowei. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:16:p:4069-:d:395281.

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2021Multi-Horizon Financial and Housing Wealth Effects across the U.S. States. (2021). Wohar, Mark E ; Gupta, Rangan ; Bouras, Christos ; Coskun, Yener. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:3:p:1341-:d:488356.

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2020The Determinants of Economic Competitiveness. (2020). Lappoehn, Sarah ; Kluge, Jan ; Plank, Kerstin. In: IHS Working Paper Series. RePEc:ihs:ihswps:24.

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2020Cash Flow Growth and Stock Return. (2020). Jansen, Benjamin A. In: Working Papers. RePEc:mts:wpaper:202004.

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2020Nonparametric estimation of the cross ratio function. (2020). Abrams, Steven ; Veraverbeke, Noel ; Swanepoel, Jan ; Janssen, Paul. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:3:d:10.1007_s10463-019-00709-3.

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2021Government Spending, GDP and Exchange Rate in Zero Lower Bound: Measuring Causality at Multiple Horizons. (2021). MAO TAKONGMO, Charles Olivier ; Lebihan, Laetitia. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:19:y:2021:i:1:d:10.1007_s40953-020-00213-z.

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2020Economic policy and confidence of economic agents – a causal relationship?. (2020). Silvo, Dajman. In: Review of Economic Perspectives. RePEc:vrs:reoecp:v:20:y:2020:i:4:p:471-484:n:4.

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2021Granger causality of bivariate stationary curve time series. (2021). Beyaztas, Ufuk ; Ji, Kaiying ; Shang, Han Lin. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:4:p:626-635.

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2021VIX term structure: The role of jump propagation risks. (2021). Chen, JI ; Yang, Xinglin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:785-810.

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Works by Abderrahim Taamouti:


YearTitleTypeCited
2015Parametric Portfolio Policies with Common Volatility Dynamics In: CREATES Research Papers.
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paper0
2012Risk Premium, Variance Premium and the Maturity Structure of Uncertainty In: Staff Working Papers.
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paper18
2011Risk premium, variance premium and the maturity structure of uncertainty.(2011) In: UC3M Working papers. Economics.
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paper
2014Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty.(2014) In: Review of Finance.
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article
2017Partial Structural Break Identification In: Oxford Bulletin of Economics and Statistics.
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article0
2019A Better Understanding of Granger Causality Analysis: A Big Data Environment In: Oxford Bulletin of Economics and Statistics.
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article4
2014Did the euro change the effect of fundamentals on growth and uncertainty? In: The B.E. Journal of Macroeconomics.
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article1
2013Did the Euro Change the Effect of Fundamentals on Growth and Uncertainty?.(2013) In: UC3M Working papers. Economics.
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This paper has another version. Agregated cites: 1
paper
2015Stock market’s reaction to money supply: a nonparametric analysis In: Studies in Nonlinear Dynamics & Econometrics.
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article0
2017The reaction of stock market returns to unemployment In: Studies in Nonlinear Dynamics & Econometrics.
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article0
2017The Reaction of Stock Market Returns to Unemployment.(2017) In: UC3M Working papers. Economics.
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This paper has another version. Agregated cites: 0
paper
2013Bernstein estimator for unbounded copula densities In: Statistics & Risk Modeling.
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article4
2009A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality In: CIRANO Working Papers.
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paper2
2009A nonparametric copula based test for conditional independence with applications to Granger causality.(2009) In: LIDAM Discussion Papers CORE.
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paper
2009A nonparametric copula based test for conditional independence with applications to granger causality.(2009) In: UC3M Working papers. Economics.
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paper
2009A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality.(2009) In: Cahiers de recherche.
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paper
2011Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality.(2011) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 2
article
2011Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility In: CIRANO Working Papers.
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paper3
2009Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility.(2009) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 3
article
2008Asymptotic properties of the Bernstein density copula for dependent data In: LIDAM Discussion Papers CORE.
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paper0
2008Asymptotic properties of the Bernstein density copula for dependent data.(2008) In: UC3M Working papers. Economics.
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paper
2010Asymptotic properties of the Bernstein density copula estimator for alpha-mixing data In: LIDAM Reprints CORE.
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paper7
2010Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data.(2010) In: Journal of Multivariate Analysis.
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This paper has another version. Agregated cites: 7
article
2012Nonparametric estimation and inference for Granger causality measures In: UC3M Working papers. Economics.
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paper0
2008Short and long run causality measures: theory and inference In: UC3M Working papers. Economics.
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paper42
2010Short and long run causality measures: Theory and inference.(2010) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 42
article
2008Measuring causality between volatility and returns with high-frequency data In: UC3M Working papers. Economics.
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paper0
2008Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms In: UC3M Working papers. Economics.
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paper0
2009What Drives International Equity Correlations? Volatility or Market Direction? In: UC3M Working papers. Economics.
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paper15
2011What drives international equity correlations? Volatility or market direction?.(2011) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 15
article
2011Bernstein estimator for unbounded density copula In: UC3M Working papers. Economics.
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paper0
2011The reaction of stock market returns to anticipated unemployment In: UC3M Working papers. Economics.
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2012The reaction of stock market returns to anticipated unemployment.(2012) In: UC3M Working papers. Economics.
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This paper has another version. Agregated cites: 2
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2012Nonparametric tests for conditional independence using conditional distributions In: UC3M Working papers. Economics.
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paper1
2014Nonparametric tests for conditional independence using conditional distributions.(2014) In: Journal of Nonparametric Statistics.
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article
2020Quantile Consumption-Capital Asset Pricing In: DES - Working Papers. Statistics and Econometrics. WS.
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paper0
2019Financial Frictions and the Futures Pricing Puzzle In: Working Papers.
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paper1
2020Financial frictions and the futures pricing puzzle.(2020) In: Economic Modelling.
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article
2014Sovereign credit ratings, market volatility, and financial gains In: Working Paper Series.
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paper13
2014Sovereign credit ratings, market volatility, and financial gains.(2014) In: Computational Statistics & Data Analysis.
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2014Sovereign credit ratings, market volatility, and financial gains.(2014) In: Working Papers Department of Economics.
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2010Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form In: Computational Statistics & Data Analysis.
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article2
2013Portfolio selection in a data-rich environment In: Journal of Economic Dynamics and Control.
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article2
2014Nonparametric estimation and inference for conditional density based Granger causality measures In: Journal of Econometrics.
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article8
2012Moments of multivariate regime switching with application to risk-return trade-off In: Journal of Empirical Finance.
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article1
2009Analytical Value-at-Risk and Expected Shortfall under regime-switching In: Finance Research Letters.
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article1
2019The information content of forward moments In: Journal of Banking & Finance.
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article0
2016In search of the determinants of European asset market comovements In: International Review of Economics & Finance.
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2012Portfolio risk management in a data-rich environment In: Financial Markets and Portfolio Management.
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article1
2015FINITE-SAMPLE SIGN-BASED INFERENCE IN LINEAR AND NONLINEAR REGRESSION MODELS WITH APPLICATIONS IN FINANCE In: L'Actualité Economique.
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2017Testing independence based on Bernstein empirical copula and copula density In: Journal of Nonparametric Statistics.
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article2
2018Measuring Nonlinear Granger Causality in Mean In: Journal of Business & Economic Statistics.
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