4
H index
2
i10 index
79
Citations
Abderrahim Taamouti : Citation Profile
Durham University | RESEARCH PRODUCTION: 19 Articles 24 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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9 years (2008 - 2017). 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:
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Main data
Where Abderrahim Taamouti has published?
| Journals with more than one article published | # docs |
|---|---|
| Computational Statistics & Data Analysis | 2 |
| Journal of Econometrics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía | 14 |
Recent works citing Abderrahim Taamouti (2018 and 2017)
| Year | Title of citing document |
|---|---|
| 2017 | A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643. Full description at Econpapers || Download paper |
| 2018 | Monetary policy and long-run systemic risk-taking. (2018). LEVIEUGE, Gregory ; Colletaz, Gilbert ; Popescu, Alexandra . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:165-184. Full description at Econpapers || Download paper |
| 2017 | Contagion 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. Full description at Econpapers || Download paper |
| 2017 | Empirical 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. Full description at Econpapers || Download paper |
| 2017 | Modeling 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. Full description at Econpapers || Download paper |
| 2018 | Index 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. Full description at Econpapers || Download paper |
| 2018 | Performance 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. Full description at Econpapers || Download paper |
| 2018 | Empirical 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. Full description at Econpapers || Download paper |
| 2017 | Unfolded 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. Full description at Econpapers || Download paper |
| 2017 | The 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. Full description at Econpapers || Download paper |
| 2018 | The 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. Full description at Econpapers || Download paper |
| 2017 | Cross-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. Full description at Econpapers || Download paper |
| 2017 | Can 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. Full description at Econpapers || Download paper |
| 2018 | Co-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. Full description at Econpapers || Download paper |
| 2017 | Asset 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. Full description at Econpapers || Download paper |
| 2017 | On 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. Full description at Econpapers || Download paper |
| 2017 | Econometric 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. Full description at Econpapers || Download paper |
| 2017 | The 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. Full description at Econpapers || Download paper |
| 2017 | Government 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. Full description at Econpapers || Download paper |
| 2017 | Information 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. Full description at Econpapers || Download paper |
| 2017 | A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Research Memorandum. RePEc:unm:umagsb:2017023. 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 |
| 2012 | Risk Premium, Variance Premium and the Maturity Structure of Uncertainty In: Staff Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 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: 9 | 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: 9 | article | |
| 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 | 0 |
| 2013 | Bernstein estimator for unbounded copula densities In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 2 |
| 2009 | A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2009 | A nonparametric copula based test for conditional independence with applications to Granger causality.(2009) In: CORE Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | 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: 1 | 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: 1 | 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: 1 | article | |
| 2011 | Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 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: 2 | article | |
| 2008 | Asymptotic properties of the Bernstein density copula for dependent data In: CORE Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 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: 0 | paper | |
| 2010 | Asymptotic properties of the Bernstein density copula estimator for alpha-mixing data In: CORE Discussion Papers RP. [Full Text][Citation analysis] | paper | 2 |
| 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: 2 | article | |
| 2012 | Nonparametric estimation and inference for Granger causality measures In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
| 2017 | The Reaction of Stock Market Returns to Unemployment In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Short and long run causality measures: theory and inference In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 31 |
| 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: 31 | 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 | 11 |
| 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: 11 | article | |
| 2011 | Bernstein estimator for unbounded density copula In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
| 2011 | The reaction of stock market returns to anticipated unemployment In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 1 |
| 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: 1 | 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 | |
| 2014 | Sovereign credit ratings, market volatility, and financial gains In: Working Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 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: 7 | 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: 7 | 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 | 2 |
| 2013 | Portfolio selection in a data-rich environment In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 1 |
| 2014 | Nonparametric estimation and inference for conditional density based Granger causality measures In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2012 | Moments of multivariate regime switching with application to risk-return trade-off In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 1 |
| 2009 | Analytical Value-at-Risk and Expected Shortfall under regime-switching In: Finance Research Letters. [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 | 2 |
| 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 | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 2th 2018. Contact: CitEc Team