Abderrahim Taamouti : Citation Profile


Are you Abderrahim Taamouti?

Durham University

5

H index

3

i10 index

101

Citations

RESEARCH PRODUCTION:

26

Articles

25

Papers

RESEARCH ACTIVITY:

   11 years (2008 - 2019). See details.
   Cites by year: 9
   Journals where Abderrahim Taamouti has often published
   Relations with other researchers
   Recent citing documents: 24.    Total self citations: 18 (15.13 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pta202
   Updated: 2020-06-20    RAS profile: 2020-05-25    
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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)

Dufour, Jean-Marie (3)

Joëts, Marc (3)

Skiadopoulos, George (2)

Heinemann, Alexander (2)

Kakeu, Johnson (2)

Feunou, Bruno (2)

Alsakka, Rasha (2)

Lieli, Robert (2)

Cites to:

Dufour, Jean-Marie (42)

Campbell, John (23)

Nelson, Charles (20)

Startz, Richard (20)

Bollerslev, Tim (18)

Bekaert, Geert (13)

Schwert, G. (11)

Bai, Jushan (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
Oxford Bulletin of Economics and Statistics2
Computational Statistics & Data Analysis2
Studies in Nonlinear Dynamics & Econometrics2
Journal of Business & Economic Statistics2
Journal of Nonparametric Statistics2

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 (2020 and 2019)


YearTitle of citing document
2019A Justification of Conditional Confidence Intervals. (2019). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

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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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2018Monetary Policy and Long-Run Systemic Risk-Taking. (2018). Popescu, Alexandra ; Levieuge, Gregory ; Colletaz, Gilbert. In: Working papers. RePEc:bfr:banfra:694.

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2019The information content of the implied volatility term structure on future returns. (2019). Yen, Kuangchieh ; Wang, Yawhuei. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:2:p:380-406.

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2019Predictive Regressions. (2019). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:28554.

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2018Monetary policy and long-run systemic risk-taking. (2018). LEVIEUGE, Gregory ; Popescu, Alexandra ; Colletaz, Gilbert. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:165-184.

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2018Multi-horizon wealth effects across the G7 economies. (2018). Apergis, Nicholas ; Hassapis, Christis ; Christou, Christina ; Bouras, Christos. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:165-176.

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2019Sovereign bond markets when auctions take place: Evidence from Italy. (2019). Cafiso, Gianluca. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:406-430.

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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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2019Testing subspace Granger causality. (2019). Al-Sadoon, Majid M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:42-61.

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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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2018Index futures volatility and trading activity: Measuring causality at a multiple horizon. (2018). Tiwari, Aviral ; Shahbaz, Muhammad ; Roubaud, David ; Jena, Sangram Keshari. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:247-255.

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2018Performance ranking (dis)similarities in commodity markets. (2018). Zhang, Hanxiong ; Vortelinos, Dimitrios I ; Auer, Benjamin R. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:115-137.

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2017Unfolded risk-return trade-offs and links to Macroeconomic Dynamics. (2017). Liu, Xiaochun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:1-19.

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2017The market price of risk of the variance term structure. (2017). Dotsis, George. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:41-52.

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2019An anatomy of the market return. (2019). Schneider, Paul. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:2:p:325-350.

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2018Weak convergence of the weighted empirical beta copula process. (2018). Berghaus, Betina ; Segers, Johan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:166:y:2018:i:c:p:266-281.

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

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2019Are cross-correlations between Turkish Stock Exchange and three major country indices multifractal or monofractal?. (2019). Gultekin, Havva ; Canolu-Eki, Ayegul. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:978-990.

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2017Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?. (2017). Liu, Xiaochun. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:275-293.

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2018Tail risk and the return-volatility relation. (2018). Chevallier, Julien ; Aboura, Sofiane. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:16-29.

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2017The Term Structure of Systematic and Idiosyncratic Risk. (2017). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-618.

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2019Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis. (2019). Yunus, Nafeesa. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:58:y:2019:i:2:d:10.1007_s11146-017-9639-7.

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2019Multi-Horizon Financial and Housing Wealth Effects across the U.S. States. (2019). Wohar, Mark ; GUPTA, RANGAN ; coskun, yener ; Bouras, Christos. In: Working Papers. RePEc:pre:wpaper:201958.

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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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paper12
2011Risk premium, variance premium and the maturity structure of uncertainty.(2011) In: UC3M Working papers. Economics.
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This paper has another version. Agregated cites: 12
paper
2014Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty.(2014) In: Review of Finance.
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This paper has another version. Agregated cites: 12
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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article0
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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article2
2009A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality In: CIRANO Working Papers.
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paper1
2009A nonparametric copula based test for conditional independence with applications to Granger causality.(2009) In: CORE Discussion Papers.
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This paper has another version. Agregated cites: 1
paper
2009A nonparametric copula based test for conditional independence with applications to granger causality.(2009) In: UC3M Working papers. Economics.
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This paper has another version. Agregated cites: 1
paper
2009A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality.(2009) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 1
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: 1
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: CORE Discussion Papers.
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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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This paper has another version. Agregated cites: 0
paper
2010Asymptotic properties of the Bernstein density copula estimator for alpha-mixing data In: CORE Discussion Papers RP.
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paper3
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: 3
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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paper36
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: 36
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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paper14
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: 14
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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paper1
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: 1
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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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This paper has another version. Agregated cites: 1
article
2019Financial Frictions and the Futures Pricing Puzzle In: Working Papers.
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2020Financial frictions and the futures pricing puzzle.(2020) In: Economic Modelling.
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This paper has another version. Agregated cites: 0
article
2014Sovereign credit ratings, market volatility, and financial gains In: Working Paper Series.
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paper9
2014Sovereign credit ratings, market volatility, and financial gains.(2014) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 9
article
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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article5
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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2016In search of the determinants of European asset market comovements In: International Review of Economics & Finance.
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article4
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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article1
2017Testing independence based on Bernstein empirical copula and copula density In: Journal of Nonparametric Statistics.
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article1
2018Measuring Nonlinear Granger Causality in Mean In: Journal of Business & Economic Statistics.
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