8
H index
6
i10 index
248
Citations
Abderrahim Taamouti : Citation Profile
University of Liverpool | RESEARCH PRODUCTION: 34 Articles 39 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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16 years (2008 - 2024). 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 | 5 |
| Journal of Business & Economic Statistics | 3 |
| Journal of Econometrics | 3 |
| Computational Statistics & Data Analysis | 2 |
| Journal of Nonparametric Statistics | 2 |
| Studies in Nonlinear Dynamics & Econometrics | 2 |
Recent works citing Abderrahim Taamouti (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Investigating commodity price interdependence with grancer causality networks. (2025). Esposti, Roberto. In: Working Papers. RePEc:anc:wpaper:498. Full description at Econpapers || Download paper |
| 2025 | A Dynamic Stochastic Block Model for Multi-Layer Networks. (2022). Casarin, Roberto ; L'Opez, Ovielt Baltodano. In: Papers. RePEc:arx:papers:2209.09354. Full description at Econpapers || Download paper |
| 2025 | Distance and Kernel-Based Measures for Global and Local Two-Sample Conditional Distribution Testing. (2025). Yan, Jian ; Li, Zhuoxi ; Zhang, Xianyang. In: Papers. RePEc:arx:papers:2210.08149. Full description at Econpapers || Download paper |
| 2024 | Vector AutoRegressive Moving Average Models: A Review. (2024). Wilms, Ines ; Tsay, Ruey S ; Duker, Marie-Christine ; Matteson, David S. In: Papers. RePEc:arx:papers:2406.19702. Full description at Econpapers || Download paper |
| 2024 | Simple robust two-stage estimation and inference for generalized impulse responses and multi-horizon causality. (2024). Dufour, Jean-Marie ; Wang, Endong. In: Papers. RePEc:arx:papers:2409.10820. Full description at Econpapers || Download paper |
| 2025 | Non-linear dependence and Granger causality: A vine copula approach. (2024). Rungi, Armando ; Crimaldi, Irene ; Fuentes, Roberto. In: Papers. RePEc:arx:papers:2409.15070. Full description at Econpapers || Download paper |
| 2025 | Causal mechanism and mediation analysis for macroeconomics dynamics: a bridge of Granger and Sims causality. (2025). Wang, Endong ; Dufour, Jean-Marie. In: Papers. RePEc:arx:papers:2509.05284. Full description at Econpapers || Download paper |
| 2024 | Nowcasting Inflation at Quantiles: Causality from Commodities. (2024). Caporin, Massimiliano ; Boni, Sara ; Ravazzolo, Francesco. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps102. Full description at Econpapers || Download paper |
| 2024 | Fast procedure to compute empirical and Bernstein copulas. (2024). Hernandez-Maldonado, Victor Miguel ; Diaz-Viera, Martin ; Rios, Leonardo ; Erdely, Arturo. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:477:y:2024:i:c:s0096300324002881. Full description at Econpapers || Download paper |
| 2024 | Elman neural network considering dynamic time delay estimation for short-term forecasting of offshore wind power. (2024). Qin, Rui ; Huang, Jing. In: Applied Energy. RePEc:eee:appene:v:358:y:2024:i:c:s0306261924000540. Full description at Econpapers || Download paper |
| 2024 | Inference for high-dimensional linear expectile regression with de-biasing method. (2024). Li, Yu-Ning ; Zhang, Li-Xin ; Zhao, Jun. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:198:y:2024:i:c:s0167947324000811. Full description at Econpapers || Download paper |
| 2025 | Resilience of energy market under geopolitical risks: What’s the policy implications?. (2025). Chang, Chun-Ping ; Li, Jing ; Yin, Zhujia ; Zhu, Yingxin ; Cao, Jie. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:86:y:2025:i:c:p:1706-1724. Full description at Econpapers || Download paper |
| 2024 | Financial, institutional, and macroeconomic determinants of cross-country portfolio equity flows: The case of developed countries. (2024). Alves, José ; Afonso, Antonio ; Jackson, Karen ; Beck, Krzysztof. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002591. Full description at Econpapers || Download paper |
| 2024 | The spillover and contagion effects of sovereign risk on stock markets. (2024). Simo-Kengne, Beatrice Desiree ; Gnagne, Pascal Xavier ; Manguzvane, Mathias Mandla. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002785. Full description at Econpapers || Download paper |
| 2025 | Quantile Granger causality in the presence of instability. (2025). Wied, Dominik ; Troster, Victor ; Mayer, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000466. Full description at Econpapers || Download paper |
| 2025 | Spillover effects between energy uncertainty and financial risk in the Eurozone banking sector. (2025). di Tommaso, Caterina ; Pacelli, Vincenzo ; Povia, Maria Melania ; Foglia, Matteo. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007916. Full description at Econpapers || Download paper |
| 2025 | The global supply pressure and oil supply–demand shocks: A time-scale and quantile analysis. (2025). Wu, Bangzheng. In: Energy Economics. RePEc:eee:eneeco:v:147:y:2025:i:c:s0140988325003792. Full description at Econpapers || Download paper |
| 2025 | Multivariate range-based EGARCH models. (2025). Lambercy, Lyudmyla ; Kellard, Neil M ; Yan, Lili. In: International Review of Financial Analysis. RePEc:eee:finana:v:100:y:2025:i:c:s1057521925000705. Full description at Econpapers || Download paper |
| 2025 | Asian geopolitical risks: A key driver behind WTI-Brent spread market volatility. (2025). Han, Wei ; Wu, Shaojiang. In: Finance Research Letters. RePEc:eee:finlet:v:77:y:2025:i:c:s1544612325003538. Full description at Econpapers || Download paper |
| 2024 | Temporal networks and financial contagion. (2024). Nocciola, Luca ; Franch, Fabio ; Vouldis, Angelos. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000093. Full description at Econpapers || Download paper |
| 2025 | Systemic risk and oil price volatility shocks. (2025). Filis, George ; Filippidis, Michail ; Colak, Gonul ; Chatziantoniou, Ioannis ; Tzouvanas, Panagiotis. In: Journal of Financial Stability. RePEc:eee:finsta:v:79:y:2025:i:c:s1572308925000610. Full description at Econpapers || Download paper |
| 2024 | Global power and Stock market co-movements: A study of G20 markets. (2024). Gupta, Rakesh ; Selvanathan, E A ; Haddad, Sama. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324001005. Full description at Econpapers || Download paper |
| 2024 | Portfolio selection under non-gaussianity and systemic risk: A machine learning based forecasting approach. (2024). Lin, Weidong ; Taamouti, Abderrahim. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:1179-1188. Full description at Econpapers || Download paper |
| 2025 | SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1093-1111. Full description at Econpapers || Download paper |
| 2025 | Conditional generalized quantiles as systemic risk measures: Properties, estimation, and application. (2025). Syuhada, Khreshna ; Salman, A. N. M., ; Hakim, Arief. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:235:y:2025:i:c:p:60-84. Full description at Econpapers || Download paper |
| 2024 | US inflation and global commodity prices: Asymmetric interdependence. (2024). Wang, Zhufeng ; Bai, Zhihong ; Pan, Zhigang ; Xing, Xiaochao. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000370. Full description at Econpapers || Download paper |
| 2024 | The 1992-93 EMS Crisis and the South: Lessons from the Franc Zone System and the 1994 CFA Franc Devaluation. (2024). Dossou-Cadja, Rodrigue. In: Working Papers. RePEc:hes:wpaper:0246. Full description at Econpapers || Download paper |
| 2025 | Dynamic linkages and determinants of sovereign CDS and exchange rates: evidence from G7 and BRICS. (2025). Su, Min ; Ren, Yixuan ; Niu, Yifang ; Wang, Zhen. In: Palgrave Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-04985-8. Full description at Econpapers || Download paper |
| 2024 | Trade liberalization and total factor productivity in Brazil: A vecm modeling. (2024). Barbosa, William ; de Freitas, Clailton Ataides ; Cateia, Julio Vicente ; de Almeida, Edivo Oliveira. In: PLOS ONE. RePEc:plo:pone00:0312599. Full description at Econpapers || Download paper |
| 2024 | Time-varying Connectedness Between ESG Stocks and BRVM Traditional Stocks. (2024). Owusu Junior, Peterson ; Barson, Zynobia ; Ofori, Kwame Simpe ; Boakye, Kwabena G ; Appiagyei, George Oppong. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:23:y:2024:i:3:p:306-335. Full description at Econpapers || Download paper |
| 2025 | Sovereign bonds risk‐based heterogeneity. (2025). Migiakis, Petros ; Georgoutsos, Dimitris A. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:2108-2129. 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 | 1 |
| 2011 | Bernstein estimator for unbounded density copula.(2011) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2012 | Nonparametric Estimation and Inference for Granger Causality Measures In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 3 |
| 2012 | Nonparametric estimation and inference for Granger causality measures.(2012) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | 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 nother version. Agregated cites: 7 | article | |
| 2014 | Nonparametric estimation and inference for conditional density based Granger causality measures In: LIDAM Reprints ISBA. [Citation analysis] | paper | 11 |
| 2014 | Nonparametric estimation and inference for conditional density based Granger causality measures.(2014) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2012 | Risk Premium, Variance Premium and the Maturity Structure of Uncertainty In: Staff Working Papers. [Full Text][Citation analysis] | paper | 26 |
| 2011 | Risk premium, variance premium and the maturity structure of uncertainty.(2011) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2014 | Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty.(2014) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | article | |
| 2017 | Partial Structural Break Identification In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 1 |
| 2019 | A Better Understanding of Granger Causality Analysis: A Big Data Environment In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 7 |
| 2021 | Covid‐19 Control and the Economy: Test, Test, Test In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2022 | Testing for Asymmetric Comovements In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 1 |
| 2024 | Value‐at‐Risk under Measurement Error In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2022 | Value-at Risk under Measurement Error.(2022) In: Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 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 nother 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 | 2 |
| 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 nother 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 nother 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 nother 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 nother 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 nother 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 nother version. Agregated cites: 4 | article | |
| 2022 | Copula-based estimation of health concentration curves with an application to COVID-19 In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 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 nother version. Agregated cites: 1 | paper | |
| 2010 | Asymptotic properties of the Bernstein density copula estimator for alpha-mixing data In: LIDAM Reprints CORE. [Citation analysis] | paper | 9 |
| 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 nother version. Agregated cites: 9 | article | |
| 2008 | Short and long run causality measures: theory and inference In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 58 |
| 2010 | Short and long run causality measures: Theory and inference.(2010) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 58 | 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 | 21 |
| 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 nother version. Agregated cites: 21 | 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 nother 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 nother 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: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Financial frictions and the futures pricing puzzle.(2020) In: Economic Modelling. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2014 | Sovereign credit ratings, market volatility, and financial gains In: Working Paper Series. [Full Text][Citation analysis] | paper | 30 |
| 2014 | Sovereign credit ratings, market volatility, and financial gains.(2014) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
| 2014 | Sovereign credit ratings, market volatility, and financial gains.(2014) In: Working Papers Department of Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | 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 | 4 |
| 2022 | Testing the eigenvalue structure of spot and integrated covariance In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2012 | Moments of multivariate regime switching with application to risk-return trade-off In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 4 |
| 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 | 2 |
| 2016 | In search of the determinants of European asset market comovements In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 9 |
| 2012 | Portfolio risk management in a data-rich environment In: Financial Markets and Portfolio Management. [Full Text][Citation analysis] | article | 1 |
| 2022 | Testing Granger Non-Causality in Expectiles In: Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2024 | Testing Granger non-causality in expectiles.(2024) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2023 | Testing Granger Non-Causality in Expectiles.(2023) In: University of East Anglia School of Economics Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2022 | Portfolio Selection Under Systemic Risk In: Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Investigating the impact of consumption distribution on CRRA estimation: QuantileCCAPM-based approach. In: Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Portfolio Selection Under Non-Gaussianity And Systemic Risk: A Machine Learning Based Forecasting Approach. In: Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2023 | Machine Learning Based Portfolio Selection Under Systemic Risk. In: Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 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 | 6 |
| 2018 | Measuring Nonlinear Granger Causality in Mean In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 6 |
| 2021 | Measuring Granger Causality in Quantiles In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 11 |
| 2023 | Copula-based estimation of health inequality measures with an application to COVID-19 In: University of East Anglia School of Economics Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2023 | A bargaining model for PLS entrepreneurial financing: A game theoretic model using agent‐based simulation In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 0 |
| 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 |
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