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: 2018-10-13    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)

Skiadopoulos, George (2)

Kakeu, Johnson (2)

ap Gwilym, Owain (2)

Feunou, Bruno (2)

Heinemann, Alexander (2)

Liu, Xiaochun (2)

Jahan-Parvar, Mohammad (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)

Santa-Clara, Pedro (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). ap Gwilym, Owain ; Alsakka, Rasha ; Abad, Pilar. 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). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian . 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
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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paper
2011Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality.(2011) In: Journal of Business & Economic Statistics.
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article
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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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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2014Sovereign credit ratings, market volatility, and financial gains In: Working Paper Series.
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paper7
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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