7
H index
5
i10 index
174
Citations
Abderrahim Taamouti : Citation Profile
Durham University | RESEARCH PRODUCTION: 28 Articles 30 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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13 years (2008 - 2021). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Abderrahim Taamouti. | Is cited by:
| Cites to:
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Main data
Where Abderrahim Taamouti has published?
| Journals with more than one article published | # docs |
|---|---|
| Oxford Bulletin of Economics and Statistics | 3 |
| Studies in Nonlinear Dynamics & Econometrics | 2 |
| Journal of Business & Economic Statistics | 2 |
| Computational Statistics & Data Analysis | 2 |
| Journal of Nonparametric Statistics | 2 |
| Journal of Econometrics | 2 |
Recent works citing Abderrahim Taamouti (2022 and 2021)
| Year | Title of citing document |
|---|---|
| 2021 | Pair copula constructions of point-optimal sign-based tests for predictive linear and nonlinear regressions. (2021). Nobari, Kaveh Salehzadeh. In: Papers. RePEc:arx:papers:2111.04919. Full description at Econpapers || Download paper |
| 2021 | Interdependence 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. Full description at Econpapers || Download paper |
| 2021 | Cash flow growth and stock returns. (2021). Jansen, Benjamin A. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:2:p:371-402. Full description at Econpapers || Download paper |
| 2021 | Dynamics of Money Market Interest Rates in Ghana: Time?Frequency Analysis of Volatility Spillovers. (2021). Schaling, Eric ; Alagidede, Imhotep Paul ; Akosah, Nana Kwame. In: South African Journal of Economics. RePEc:bla:sajeco:v:89:y:2021:i:4:p:555-589. Full description at Econpapers || Download paper |
| 2022 | Copula-based estimation of health concentration curves with an application to COVID-19. (2022). Taamouti, Abderrahim ; Doukali, Mohamed ; Bouezmarni, Taoufik. In: CIRANO Working Papers. RePEc:cir:cirwor:2022s-07. Full description at Econpapers || Download paper |
| 2022 | Vine copula Granger causality in mean. (2022). Noh, Hohsuk ; Kim, Jong-Min ; Jang, Hyuna. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s026499932200044x. Full description at Econpapers || Download paper |
| 2021 | Sovereign credit ratings during the COVID-19 pandemic. (2021). Hoang, Tri ; Kraemer, Moritz ; Klusak, Patrycja ; Vu, Huong ; Tran, Yen. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002088. Full description at Econpapers || Download paper |
| 2021 | Granger 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. Full description at Econpapers || Download paper |
| 2021 | Dependency between sovereign credit ratings and economic risk: Insight from Balkan countries. (2021). Kondoz, Mehmet ; Athari, Seyed Alireza ; Kirikkaleli, Dervis. In: Journal of Economics and Business. RePEc:eee:jebusi:v:116:y:2021:i:c:s0148619521000023. Full description at Econpapers || Download paper |
| 2021 | Asymptotic 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. Full description at Econpapers || Download paper |
| 2021 | Cointegration 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. Full description at Econpapers || Download paper |
| 2021 | Financial 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. Full description at Econpapers || Download paper |
| 2021 | Multi-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. Full description at Econpapers || Download paper |
| 2021 | Information Content of Aggregate Implied Volatility Spread. (2021). Li, Gang ; Han, Bing. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:2:p:1249-1269. Full description at Econpapers || Download paper |
| 2022 | Inferring Causal Interactions in Financial Markets Using Conditional Granger Causality Based on Quantile Regression. (2022). Yang, Tinggan ; Wang, Yihong ; Cheng, Hong. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10107-8. Full description at Econpapers || Download paper |
| 2022 | Asymmetric Linkages of Oil Prices, Money Supply, and TASI on Sectoral Stock Prices in Saudi Arabia: A Non-Linear ARDL Approach. (2022). Rehman, Mohd Ziaur ; Bin, Md Fouad. In: SAGE Open. RePEc:sae:sagope:v:12:y:2022:i:1:p:21582440211071110. Full description at Econpapers || Download paper |
| 2022 | Modelling the association in bivariate survival data by using a Bernstein copula. (2022). Braekers, Roel ; Hasan, Mirza Nazmul. In: Computational Statistics. RePEc:spr:compst:v:37:y:2022:i:2:d:10.1007_s00180-021-01154-8. Full description at Econpapers || Download paper |
| 2021 | Government 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. Full description at Econpapers || Download paper |
| 2022 | Financial contagion in real economy: The key role of policy uncertainty. (2022). Umar, Zaghum ; Kampouris, Elias ; Samitas, Aristeidis. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1633-1682. Full description at Econpapers || Download paper |
| 2021 | Granger 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. Full description at Econpapers || Download paper |
| 2021 | VIX 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. Full description at Econpapers || Download paper |
| 2022 | European Sovereign Bond and Stock Market Granger Causality Dynamics. (2022). Kurter, Zeynep O ; Gomes, Pedro ; Morita, Rubens. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1405. Full description at Econpapers || Download paper |
Works by Abderrahim Taamouti:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2015 | Parametric Portfolio Policies with Common Volatility Dynamics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Bernstein Estimator for Unbounded Density Copula In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Bernstein estimator for unbounded density copula.(2011) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2012 | Nonparametric Estimation and Inference for Granger Causality Measures In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Nonparametric estimation and inference for Granger causality measures.(2012) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2013 | Bernstein estimator for unbounded copula densities In: LIDAM Reprints ISBA. [Citation analysis] | paper | 7 |
| 2013 | Bernstein estimator for unbounded copula densities.(2013) In: Statistics & Risk Modeling. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
| 2014 | Nonparametric estimation and inference for conditional density based Granger causality measures In: LIDAM Reprints ISBA. [Citation analysis] | paper | 8 |
| 2014 | Nonparametric estimation and inference for conditional density based Granger causality measures.(2014) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
| 2012 | Risk Premium, Variance Premium and the Maturity Structure of Uncertainty In: Staff Working Papers. [Full Text][Citation analysis] | paper | 21 |
| 2011 | Risk premium, variance premium and the maturity structure of uncertainty.(2011) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
| 2014 | Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty.(2014) In: Review of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | article | |
| 2017 | Partial Structural Break Identification In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2019 | A Better Understanding of Granger Causality Analysis: A Big Data Environment In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 4 |
| 2021 | Covid?19 Control and the Economy: Test, Test, Test In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2014 | Did the euro change the effect of fundamentals on growth and uncertainty? In: The B.E. Journal of Macroeconomics. [Full Text][Citation analysis] | article | 1 |
| 2013 | Did the Euro Change the Effect of Fundamentals on Growth and Uncertainty?.(2013) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2015 | Stock market’s reaction to money supply: a nonparametric analysis In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2017 | The reaction of stock market returns to unemployment In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2017 | The Reaction of Stock Market Returns to Unemployment.(2017) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2009 | A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2009 | A nonparametric copula based test for conditional independence with applications to Granger causality.(2009) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2009 | A nonparametric copula based test for conditional independence with applications to granger causality.(2009) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2009 | A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality.(2009) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2011 | Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2011 | Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2009 | Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility.(2009) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2008 | Asymptotic properties of the Bernstein density copula for dependent data In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
| 2008 | Asymptotic properties of the Bernstein density copula for dependent data.(2008) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2010 | Asymptotic properties of the Bernstein density copula estimator for alpha-mixing data In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 10 |
| 2010 | Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data.(2010) In: Journal of Multivariate Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
| 2008 | Short and long run causality measures: theory and inference In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 45 |
| 2010 | Short and long run causality measures: Theory and inference.(2010) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | article | |
| 2008 | Measuring causality between volatility and returns with high-frequency data In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
| 2009 | What Drives International Equity Correlations? Volatility or Market Direction? In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 16 |
| 2011 | What drives international equity correlations? Volatility or market direction?.(2011) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | article | |
| 2011 | The reaction of stock market returns to anticipated unemployment In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 2 |
| 2012 | The reaction of stock market returns to anticipated unemployment.(2012) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2012 | Nonparametric tests for conditional independence using conditional distributions In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Nonparametric tests for conditional independence using conditional distributions.(2014) In: Journal of Nonparametric Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2020 | Quantile Consumption-Capital Asset Pricing In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Financial Frictions and the Futures Pricing Puzzle In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2020 | Financial frictions and the futures pricing puzzle.(2020) In: Economic Modelling. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2014 | Sovereign credit ratings, market volatility, and financial gains In: Working Paper Series. [Full Text][Citation analysis] | paper | 18 |
| 2014 | Sovereign credit ratings, market volatility, and financial gains.(2014) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | article | |
| 2014 | Sovereign credit ratings, market volatility, and financial gains.(2014) In: Working Papers Department of Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2010 | Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 4 |
| 2013 | Portfolio selection in a data-rich environment In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
| 2012 | Moments of multivariate regime switching with application to risk-return trade-off In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 2 |
| 2009 | Analytical Value-at-Risk and Expected Shortfall under regime-switching In: Finance Research Letters. [Full Text][Citation analysis] | article | 1 |
| 2019 | The information content of forward moments In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
| 2016 | In search of the determinants of European asset market comovements In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 8 |
| 2012 | Portfolio risk management in a data-rich environment In: Financial Markets and Portfolio Management. [Full Text][Citation analysis] | article | 1 |
| 2015 | FINITE-SAMPLE SIGN-BASED INFERENCE IN LINEAR AND NONLINEAR REGRESSION MODELS WITH APPLICATIONS IN FINANCE In: L'Actualité Economique. [Full Text][Citation analysis] | article | 2 |
| 2017 | Testing independence based on Bernstein empirical copula and copula density In: Journal of Nonparametric Statistics. [Full Text][Citation analysis] | article | 4 |
| 2018 | Measuring Nonlinear Granger Causality in Mean In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 3 |
| 2021 | Cointegration, information transmission, and the lead?lag effect between industry portfolios and the stock market In: Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 1st 2022. Contact: CitEc Team