Abderrahim Taamouti : Citation Profile


Are you Abderrahim Taamouti?

Durham University

4

H index

2

i10 index

81

Citations

RESEARCH PRODUCTION:

19

Articles

24

Papers

RESEARCH ACTIVITY:

   9 years (2008 - 2017). See details.
   Cites by year: 9
   Journals where Abderrahim Taamouti has often published
   Relations with other researchers
   Recent citing documents: 23.    Total self citations: 17 (17.35 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta202
   Updated: 2018-08-11    RAS profile: 2017-06-08    
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Relations with other researchers


Works with:

Gomes, Pedro (4)

Afonso, Antonio (3)

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 (5)

Dufour, Jean-Marie (3)

Galbraith, John (2)

Jahan-Parvar, Mohammad (2)

Smeekes, Stephan (2)

Joëts, Marc (2)

Skiadopoulos, George (2)

Liu, Xiaochun (2)

Kakeu, Johnson (2)

Cites to:

Dufour, Jean-Marie (43)

Nelson, Charles (20)

Startz, Richard (20)

Campbell, John (19)

Bollerslev, Tim (16)

Schwert, G. (14)

Ng, Serena (11)

Engle, Robert (10)

Timmermann, Allan (9)

Tauchen, George (9)

Diebold, Francis (8)

Main data


Where Abderrahim Taamouti has published?


Journals with more than one article published# docs
Journal of Econometrics2
Computational Statistics & Data Analysis2

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 (2018 and 2017)


YearTitle of citing document
2017A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

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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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2017Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets. (2017). Kilic, Erdem. In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:51-67.

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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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2017Empirical evidence of news about future prospects in the risk-pricing of oil assets. (2017). Kakeu, Johnson ; Bouaddi, Mohammed . In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:458-468.

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2017Modeling and predicting oil VIX: Internet search volume versus traditional mariables. (2017). Campos, I ; Reyes, T ; Cortazar, G. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:194-204.

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2018Index futures volatility and trading activity: Measuring causality at a multiple horizon. (2018). Shahbaz, Muhammad ; Roubaud, David ; Tiwari, Aviral Kumar ; 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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2018Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?. (2018). Aristeidis, Samitas ; Elias, Kampouris. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:263-286.

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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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2018The influence of rating levels and rating convergence on the spillover effects of sovereign credit actions. (2018). Abad, Pilar ; ap Gwilym, Owain ; Alsakka, Rasha. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:85:y:2018:i:c:p:40-57.

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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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2017Cross-correlations between the US monetary policy, US dollar index and crude oil market. (2017). Li, Jianfeng ; Sun, Xinxin ; Yue, Gongzheng ; Lu, Xinsheng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:467:y:2017:i:c:p:326-344.

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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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2018Co-movement between equity and bond markets. (2018). Sakemoto, Ryuta. In: International Review of Economics & Finance. RePEc:eee:reveco:v:53:y:2018:i:c:p:25-38.

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2017Asset pricing with investor sentiment: On the use of investor group behavior to forecast ASEAN markets. (2017). French, Jordan . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:124-148.

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2017On copula-based conditional quantile estimators. (2017). Remillard, Bruno ; Bouezmarni, Taoufik ; Nasri, Bouchra . In: Statistics & Probability Letters. RePEc:eee:stapro:v:128:y:2017:i:c:p:14-20.

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2017Econometric modeling of systemic risk: going beyond pairwise comparison and allowing for nonlinearity. (2017). Etesami, Jalal ; Kiyavash, Negar ; Habibnia, Ali . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:70769.

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

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2017Government spending, GDP and exchange rate in Zero Lower Bound: measuring causality at multiple horizons. (2017). MAO TAKONGMO, Charles Olivier. In: MPRA Paper. RePEc:pra:mprapa:79703.

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2017Information Flow Between Prediction Markets, Polls and Media: Evidence from the 2008 Presidential Primaries. (2017). Lieli, Robert ; Khan, Urmee. In: Working Papers. RePEc:ucr:wpaper:201711.

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2017A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Research Memorandum. RePEc:unm:umagsb:2017023.

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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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paper9
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
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
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
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
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
2009A nonparametric copula based test for conditional independence with applications to Granger causality.(2009) In: CORE Discussion Papers.
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paper
2011Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility In: CIRANO Working Papers.
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paper2
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: 2
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
2017The Reaction of Stock Market Returns to Unemployment 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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paper32
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: 32
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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paper11
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: 11
article
2011Bernstein estimator for unbounded density copula In: UC3M Working papers. Economics.
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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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2014Sovereign credit ratings, market volatility, and financial gains In: Working Paper Series.
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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: 7
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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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article1
2014Nonparametric estimation and inference for conditional density based Granger causality measures In: Journal of Econometrics.
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article3
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
2016In search of the determinants of European asset market comovements In: International Review of Economics & Finance.
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article2
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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article0

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