8
H index
4
i10 index
221
Citations
Abderrahim Taamouti : Citation Profile
University of Liverpool | RESEARCH PRODUCTION: 30 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 |
|---|---|
| Journal of Econometrics | 3 |
| Oxford Bulletin of Economics and Statistics | 3 |
| Journal of Business & Economic Statistics | 3 |
| Studies in Nonlinear Dynamics & Econometrics | 2 |
| Journal of Nonparametric Statistics | 2 |
| Computational Statistics & Data Analysis | 2 |
Recent works citing Abderrahim Taamouti (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 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 |
| 2023 | Reprint 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. Full description at Econpapers || Download paper |
| 2023 | Moments, 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. Full description at Econpapers || Download paper |
| 2023 | Out-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. Full description at Econpapers || Download paper |
| 2023 | Can precious metals hedge the risks of Sino–US political relation?–Evidence from Toda–Yamamoto causality test in quantiles. (2023). Xiang, Feiyun ; Chang, Hao-Wen ; Cai, Yifei. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006992. Full description at Econpapers || Download paper |
| 2023 | The international integration of the term structure of expected market risk premia. (2023). Vaello-Sebastia, Antoni ; Serrano, Pedro ; Rubio, Gonzalo. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323010504. Full description at Econpapers || Download paper |
| 2024 | Temporal networks and financial contagion. (2024). Nocciola, Luca ; Vouldis, Angelos ; Franch, Fabio. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000093. Full description at Econpapers || Download paper |
| 2023 | Information effect of credit rating announcements in transition economies. (2023). Zabolotnyuk, Yuriy ; Afik, Zvika. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001464. Full description at Econpapers || Download paper |
| 2023 | Cointegration 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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | To 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. Full description at Econpapers || Download paper |
| 2024 | US inflation and global commodity prices: Asymmetric interdependence. (2024). Wang, Zhufeng ; Xing, Xiaochao ; Bai, Zhihong ; Pan, Zhigang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000370. Full description at Econpapers || Download paper |
| 2023 | On Asymmetric Correlations and Their Applications in Financial Markets. (2023). Liu, Conan ; Ma, Tiefeng ; Sun, Ruili ; Cao, Linyu. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:3:p:187-:d:1092699. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | On 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. Full description at Econpapers || Download paper |
| 2023 | Sampling distribution for single-regression Granger causality estimators. (2023). Barnett, L ; Gutknecht, A J. In: Biometrika. RePEc:oup:biomet:v:110:y:2023:i:4:p:933-952.. Full description at Econpapers || Download paper |
| 2023 | The 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. Full description at Econpapers || Download paper |
| 2023 | Exploring 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. Full description at Econpapers || Download paper |
| 2023 | Identification 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. Full description at Econpapers || Download paper |
| 2023 | Bias-Correction in Time Series Quantile Regression Models. (2023). Vavra, Marian. In: Working and Discussion Papers. RePEc:svk:wpaper:1094. Full description at Econpapers || Download paper |
| 2023 | Term 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. Full description at Econpapers || Download paper |
| 2023 | Carbon 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. 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 nother version. Agregated cites: 0 | 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 | 9 |
| 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: 9 | 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 | 6 |
| 2022 | Testing for Asymmetric Comovements In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 1 |
| 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 | 1 |
| 2017 | The reaction of stock market returns to unemployment In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 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 | |
| 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 | 54 |
| 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: 54 | 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 | 20 |
| 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: 20 | article | |
| 2011 | The reaction of stock market returns to anticipated unemployment In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 1 |
| 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 | |
| 2012 | The reaction of stock market returns to anticipated unemployment In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 1 |
| 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 | 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 | 25 |
| 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: 25 | 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: 25 | 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 | 3 |
| 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 | 0 |
| 2024 | Testing Granger non-causality in expectiles.(2024) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | 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: 0 | paper | |
| 2022 | Portfolio Selection Under Systemic Risk In: Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Value-at Risk under Measurement Error 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 | 0 |
| 2023 | Machine Learning Based Portfolio Selection Under Systemic Risk. In: Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 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 | 5 |
| 2018 | Measuring Nonlinear Granger Causality in Mean In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 5 |
| 2021 | Measuring Granger Causality in Quantiles In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 8 |
| 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 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team