Abderrahim Taamouti : Citation Profile


Are you Abderrahim Taamouti?

University of Liverpool

7

H index

5

i10 index

211

Citations

RESEARCH PRODUCTION:

31

Articles

31

Papers

RESEARCH ACTIVITY:

   14 years (2008 - 2022). See details.
   Cites by year: 15
   Journals where Abderrahim Taamouti has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 23 (9.83 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pta202
   Updated: 2024-01-16    RAS profile: 2023-03-16    
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Relations with other researchers


Works with:

ap Gwilym, Rhys (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Abderrahim Taamouti.

Is cited by:

Yilmaz, Kamil (7)

Al-Sadoon, Majid (6)

Diebold, Francis (6)

Afonso, Antonio (5)

Calvo Pardo, Hector (4)

Olmo, Jose (4)

Dufour, Jean-Marie (3)

Galbraith, John (3)

Levieuge, Grégory (3)

GUPTA, RANGAN (3)

Morita, Rubens (3)

Cites to:

Dufour, Jean-Marie (53)

Campbell, John (34)

Bollerslev, Tim (23)

Startz, Richard (20)

Nelson, Charles (20)

Ng, Serena (16)

Bai, Jushan (14)

Jagannathan, Ravi (13)

French, Kenneth (13)

Bekaert, Geert (13)

Tauchen, George (12)

Main data


Where Abderrahim Taamouti has published?


Journals with more than one article published# docs
Oxford Bulletin of Economics and Statistics4
Journal of Business & Economic Statistics3
Journal of Econometrics3
Journal of Nonparametric Statistics2
Studies in Nonlinear Dynamics & 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
LIDAM Discussion Papers ISBA / Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2
LIDAM Reprints ISBA / Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2

Recent works citing Abderrahim Taamouti (2024 and 2023)


YearTitle of citing document
2023Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms. (2023). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:s:p:70-90.

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2023Moments, shocks and spillovers in Markov-switching VAR models. (2023). Kole, Erik ; van Dijk, Dick. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001902.

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2023Out-of-sample equity premium prediction: The role of option-implied constraints. (2023). Zhou, TI ; Wang, Yunqi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:199-226.

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2023Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle. (2023). Labeaga, Jose ; Martin-Garcia, Rodrigo ; Galan-Gutierrez, Juan Antonio. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723001216.

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2023A finite mixture analysis of structural breaks in the G-7 gross domestic product series. (2023). Maruotti, Antonello ; Cremaschini, Alessandro. In: Research in Economics. RePEc:eee:reecon:v:77:y:2023:i:1:p:76-90.

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2023To what extent do sovereign rating actions affect global equity market sectors?. (2023). Sahibzada, Irfan Ullah. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:240-261.

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2023.

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2023.

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2023On the relationship between Jorda?s IRF local projection and Dufour et al.?s robust (p,h)-autoregression multihorizon causality: a note. (2023). Tessierc, David ; Racicota, Franois-Eric. In: Working Papers. RePEc:ipg:wpaper:2023-001.

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2023The informational content of sovereign credit rating: another look. (2023). Chebbi, Tarek ; Nakai, Fathi. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:5:d:10.1057_s41260-023-00311-6.

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2023Exploring the nexus between price and volume changes in the cryptocurrency market. (2023). Babajide, Bola ; Adediran, Adeyinka ; Osina, Nataliia. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00323-2.

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2023Identification of causal relationships in non-stationary time series with an information measure: Evidence for simulated and financial data. (2023). Diks, Cees ; Kugiumtzis, Dimitris ; Kyrtsou, Catherine ; Papana, Angeliki. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:3:d:10.1007_s00181-022-02275-9.

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2023Bias-Correction in Time Series Quantile Regression Models. (2023). Vavra, Marian. In: Working and Discussion Papers. RePEc:svk:wpaper:1094.

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2023Copula-based estimation of health inequality measures with an application to COVID-19. (2023). Taamouti, Abderrahim ; Doukali, Mohamed ; Bouezmarni, Taoufik. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2023-01.

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2023Testing Granger Non-Causality in Expectiles. (2023). Taamouti, Abderrahim ; Doukali, Mohamed ; Bouezmarni, Taoufik. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2023-02.

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2023Term spreads of implied volatility smirk and variance risk premium. (2023). Zhang, Jin E ; Gehricke, Sebastian A ; Ruan, Xinfeng ; Guo, Wei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:829-857.

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2023Carbon assets and Bitcoin: Hedging roles in global stock markets during the tranquil and turbulent periods?. (2023). Zhang, Yanyu ; Jiang, Wei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1183-1203.

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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
2011Bernstein Estimator for Unbounded Density Copula In: LIDAM Discussion Papers ISBA.
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paper0
2011Bernstein estimator for unbounded density copula.(2011) In: UC3M Working papers. Economics.
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This paper has nother version. Agregated cites: 0
paper
2012Nonparametric Estimation and Inference for Granger Causality Measures In: LIDAM Discussion Papers ISBA.
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paper3
2012Nonparametric estimation and inference for Granger causality measures.(2012) In: UC3M Working papers. Economics.
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This paper has nother version. Agregated cites: 3
paper
2013Bernstein estimator for unbounded copula densities In: LIDAM Reprints ISBA.
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paper7
2013Bernstein estimator for unbounded copula densities.(2013) In: Statistics & Risk Modeling.
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This paper has nother version. Agregated cites: 7
article
2014Nonparametric estimation and inference for conditional density based Granger causality measures In: LIDAM Reprints ISBA.
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paper9
2014Nonparametric estimation and inference for conditional density based Granger causality measures.(2014) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 9
article
2012Risk Premium, Variance Premium and the Maturity Structure of Uncertainty In: Staff Working Papers.
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paper25
2011Risk premium, variance premium and the maturity structure of uncertainty.(2011) In: UC3M Working papers. Economics.
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This paper has nother version. Agregated cites: 25
paper
2014Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty.(2014) In: Review of Finance.
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This paper has nother version. Agregated cites: 25
article
2017Partial Structural Break Identification In: Oxford Bulletin of Economics and Statistics.
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article1
2019A Better Understanding of Granger Causality Analysis: A Big Data Environment In: Oxford Bulletin of Economics and Statistics.
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article6
2021Covid?19 Control and the Economy: Test, Test, Test In: Oxford Bulletin of Economics and Statistics.
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article0
2022Testing for Asymmetric Comovements 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 nother 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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article1
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 nother version. Agregated cites: 0
paper
2009A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality In: CIRANO Working Papers.
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paper4
2009A nonparametric copula based test for conditional independence with applications to Granger causality.(2009) In: LIDAM Discussion Papers CORE.
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This paper has nother version. Agregated cites: 4
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 nother version. Agregated cites: 4
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 nother version. Agregated cites: 4
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 nother version. Agregated cites: 4
article
2011Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility In: CIRANO Working Papers.
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paper4
2009Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility.(2009) In: The Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 4
article
2022Copula-based estimation of health concentration curves with an application to COVID-19 In: CIRANO Working Papers.
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paper0
2008Asymptotic properties of the Bernstein density copula for dependent data In: LIDAM Discussion Papers CORE.
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paper1
2008Asymptotic properties of the Bernstein density copula for dependent data.(2008) In: UC3M Working papers. Economics.
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This paper has nother version. Agregated cites: 1
paper
2010Asymptotic properties of the Bernstein density copula estimator for alpha-mixing data In: LIDAM Reprints CORE.
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paper10
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 nother version. Agregated cites: 10
article
2008Short and long run causality measures: theory and inference In: UC3M Working papers. Economics.
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paper51
2010Short and long run causality measures: Theory and inference.(2010) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 51
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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paper20
2011What drives international equity correlations? Volatility or market direction?.(2011) In: Journal of International Money and Finance.
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This paper has nother version. Agregated cites: 20
article
2011The reaction of stock market returns to anticipated unemployment In: UC3M Working papers. Economics.
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paper2
2012The reaction of stock market returns to anticipated unemployment.(2012) In: UC3M Working papers. Economics.
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This paper has nother version. Agregated cites: 2
paper
2012Nonparametric tests for conditional independence using conditional distributions In: UC3M Working papers. Economics.
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paper2
2014Nonparametric tests for conditional independence using conditional distributions.(2014) In: Journal of Nonparametric Statistics.
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This paper has nother version. Agregated cites: 2
article
2020Quantile Consumption-Capital Asset Pricing In: DES - Working Papers. Statistics and Econometrics. WS.
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paper0
2019Financial Frictions and the Futures Pricing Puzzle In: Working Papers.
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paper2
2020Financial frictions and the futures pricing puzzle.(2020) In: Economic Modelling.
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This paper has nother version. Agregated cites: 2
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2014Sovereign credit ratings, market volatility, and financial gains In: Working Paper Series.
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paper24
2014Sovereign credit ratings, market volatility, and financial gains.(2014) In: Computational Statistics & Data Analysis.
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This paper has nother version. Agregated cites: 24
article
2014Sovereign credit ratings, market volatility, and financial gains.(2014) In: Working Papers Department of Economics.
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This paper has nother version. Agregated cites: 24
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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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article4
2013Portfolio selection in a data-rich environment In: Journal of Economic Dynamics and Control.
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article2
2022Testing the eigenvalue structure of spot and integrated covariance In: Journal of Econometrics.
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article0
2012Moments of multivariate regime switching with application to risk-return trade-off In: Journal of Empirical Finance.
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article4
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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article2
2016In search of the determinants of European asset market comovements In: International Review of Economics & Finance.
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article9
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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article2
2017Testing independence based on Bernstein empirical copula and copula density In: Journal of Nonparametric Statistics.
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article5
2018Measuring Nonlinear Granger Causality in Mean In: Journal of Business & Economic Statistics.
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article5
2021Measuring Granger Causality in Quantiles In: Journal of Business & Economic Statistics.
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article3
2021Cointegration, information transmission, and the lead?lag effect between industry portfolios and the stock market In: Journal of Forecasting.
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