2024
Doukali, M., Song, X., & Taamouti, A. (n.d.). Value‐at‐Risk under Measurement Error. Oxford Bulletin of Economics and Statistics. doi:10.1111/obes.12589DOI: 10.1111/obes.12589
Ramos, S. B., Taamouti, A., & Veiga, H. (n.d.). Investigating the Impact of Consumption Distribution on CRRA Estimation: Quantile-CCAPM-Based Approach. Studies in Nonlinear Dynamics & Econometrics, 0(0). doi:10.1515/snde-2023-0005DOI: 10.1515/snde-2023-0005
2023
Taamouti, A., & Lin, W. (2023). Portfolio Selection Under Non-Gaussianity And Systemic Risk: A Machine Learning Based Forecasting Approach. International Journal of Forecasting.
Taamouti, A., Doukali, M., & Taoufik, B. (2023). Testing Granger non-causality in Expectiles. Econometric Reviews.
A bargaining model for PLS entrepreneurial financing: A game theoretic model using agent-based simulation (Journal article)
El Fakir, A., Fairchild, R., Tkiouat, M., & Taamouti, A. (2023). A bargaining model for PLS entrepreneurial financing: A game theoretic model using agent-based simulation. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 28(2), 1228-1241. doi:10.1002/ijfe.2472DOI: 10.1002/ijfe.2472
Abu Bakar, N., Abdelsalam, O., Taamouti, A., & Elmasry, A. (2023). The Market Uncertainty of Ethically Compliant Equity: An Integrated Screening Approach. Journal of International Financial Markets, Institutions and Money, 101759. doi:10.1016/j.intfin.2023.101759DOI: 10.1016/j.intfin.2023.101759
Lin, W., Olmo, J., & Taamouti, A. (2023). Portfolio Selection under Systemic Risk. JOURNAL OF MONEY CREDIT AND BANKING. doi:10.1111/jmcb.13038DOI: 10.1111/jmcb.13038
2022
Chuang, O. -C., Song, X., & Taamouti, A. (2022). Testing for Asymmetric Comovements*. OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 84(5), 1153-1180. doi:10.1111/obes.12485DOI: 10.1111/obes.12485
Dovonon, P., Taamouti, A., & Williams, J. (2022). Testing the eigenvalue structure of spot and integrated covariance?. JOURNAL OF ECONOMETRICS, 229(2), 363-395. doi:10.1016/j.jeconom.2021.02.006DOI: 10.1016/j.jeconom.2021.02.006
Bouezmarni, T., Doukali, M., & Taamouti, A. (n.d.). Copula-based estimation of health concentration curves with an application to COVID-19. CIRANO. doi:10.54932/mtkj3339DOI: 10.54932/mtkj3339
2021
Cointegration, information transmission, and the lead-lag effect between industry portfolios and the stock market (Journal article)
Troster, V., Penalva, J., Taamouti, A., & Wied, D. (2021). Cointegration, information transmission, and the lead-lag effect between industry portfolios and the stock market. JOURNAL OF FORECASTING, 40(7), 1291-1309. doi:10.1002/for.2767DOI: 10.1002/for.2767
Measuring Granger Causality in Quantiles (Journal article)
Song, X., & Taamouti, A. (2021). Measuring Granger Causality in Quantiles. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 39(4), 937-952. doi:10.1080/07350015.2020.1739531DOI: 10.1080/07350015.2020.1739531
Covid-19 Control and the Economy: Test, Test, Test* (Journal article)
Taamouti, A. (2021). Covid-19 Control and the Economy: Test, Test, Test*. OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 83(5), 1011-1028. doi:10.1111/obes.12442DOI: 10.1111/obes.12442
A nonparametric measure of heteroskedasticity (Journal article)
Song, X., & Taamouti, A. (2021). A nonparametric measure of heteroskedasticity. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 212, 45-68. doi:10.1016/j.jspi.2020.08.005DOI: 10.1016/j.jspi.2020.08.005
2020
Financial frictions and the futures pricing puzzle (Journal article)
ap Gwilym, R., Ebrahim, M. S., El Alaoui, A. O., Rahman, H., & Taamouti, A. (2020). Financial frictions and the futures pricing puzzle. ECONOMIC MODELLING, 87, 358-371. doi:10.1016/j.econmod.2019.08.009DOI: 10.1016/j.econmod.2019.08.009
2019
The information content of forward moments (Journal article)
Andreou, P. C., Kagkadis, A., Philip, D., & Taamouti, A. (2019). The information content of forward moments. Journal of Banking and Finance, 106, 527-541. doi:10.1016/j.jbankfin.2019.07.021DOI: 10.1016/j.jbankfin.2019.07.021
A Better Understanding of Granger Causality Analysis: A Big Data Environment (Journal article)
Song, X., & Taamouti, A. (2019). A Better Understanding of Granger Causality Analysis: A Big Data Environment. OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 81(4), 911-936. doi:10.1111/obes.12288DOI: 10.1111/obes.12288
2018
Measuring Nonlinear Granger Causality in Mean (Journal article)
Song, X., & Taamouti, A. (2018). Measuring Nonlinear Granger Causality in Mean. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 36(2), 321-333. doi:10.1080/07350015.2016.1166118DOI: 10.1080/07350015.2016.1166118
2017
Testing independence based on Bernstein empirical copula and copula density (Journal article)
Belalia, M., Bouezmarni, T., Lemyre, F. C., & Taamouti, A. (2017). Testing independence based on Bernstein empirical copula and copula density. JOURNAL OF NONPARAMETRIC STATISTICS, 29(2), 346-380. doi:10.1080/10485252.2017.1303063DOI: 10.1080/10485252.2017.1303063
Partial Structural Break Identification (Journal article)
Han, C., & Taamouti, A. (2017). Partial Structural Break Identification. OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 79(2), 145-164. doi:10.1111/obes.12153DOI: 10.1111/obes.12153
Do investors price industry risk? Evidence from the cross-section of the oil industry (Journal article)
Ramos, S. B., Taamouti, A., Veiga, H., & Wang, C. -W. (2017). Do investors price industry risk? Evidence from the cross-section of the oil industry. JOURNAL OF ENERGY MARKETS, 10(1), 79-108. doi:10.21314/JEM.2017.156DOI: 10.21314/JEM.2017.156
The reaction of stock market returns to unemployment (Journal article)
Gonzalo, J., & Taamouti, A. (2017). The reaction of stock market returns to unemployment. STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 21(4). doi:10.1515/snde-2015-0078DOI: 10.1515/snde-2015-0078
2016
In search of the determinants of European asset market comovements (Journal article)
Gomes, P., & Taamouti, A. (2016). In search of the determinants of European asset market comovements. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 44, 103-117. doi:10.1016/j.iref.2016.03.005DOI: 10.1016/j.iref.2016.03.005
Finite-Sample Sign-Based Inference in Linear and Nonlinear Regression Models with Applications in Finance (Journal article)
Taamouti, A. (n.d.). Finite-Sample Sign-Based Inference in Linear and Nonlinear Regression Models with Applications in Finance. Articles, 91(1-2), 89-113. doi:10.7202/1036915arDOI: 10.7202/1036915ar
2015
Stock market's reaction to money supply: a nonparametric analysis (Journal article)
Taamouti, A. (2015). Stock market's reaction to money supply: a nonparametric analysis. STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 19(5), 669-689. doi:10.1515/snde-2013-0059DOI: 10.1515/snde-2013-0059
2014
Nonparametric tests for conditional independence using conditional distributions (Journal article)
Bouezmarni, T., & Taamouti, A. (2014). Nonparametric tests for conditional independence using conditional distributions. JOURNAL OF NONPARAMETRIC STATISTICS, 26(4), 697-719. doi:10.1080/10485252.2014.945447DOI: 10.1080/10485252.2014.945447
Did the euro change the effect of fundamentals on growth and uncertainty? (Journal article)
Luque, J., & Taamouti, A. (2014). Did the euro change the effect of fundamentals on growth and uncertainty?. B E JOURNAL OF MACROECONOMICS, 14(1), 625-660. doi:10.1515/bejm-2013-0133DOI: 10.1515/bejm-2013-0133
Nonparanietric estimation and inference for conditional density based Granger causality measures (Journal article)
Taamouti, A., Bouezmarni, T., & El Ghouch, A. (2014). Nonparanietric estimation and inference for conditional density based Granger causality measures. JOURNAL OF ECONOMETRICS, 180(2), 251-264. doi:10.1016/j.jeconom.2014.03.001DOI: 10.1016/j.jeconom.2014.03.001
Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty* (Journal article)
Feunou, B., Fontaine, J. -S., Taamouti, A., & Tedongap, R. (2014). Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty*. REVIEW OF FINANCE, 18(1), 219-269. doi:10.1093/rof/rft004DOI: 10.1093/rof/rft004
Sovereign credit ratings, market volatility, and financial gains (Journal article)
Afonso, A., Gomes, P., & Taamouti, A. (2014). Sovereign credit ratings, market volatility, and financial gains. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 76, 20-33. doi:10.1016/j.csda.2013.09.028DOI: 10.1016/j.csda.2013.09.028
2013
Bernstein estimator for unbounded copula densities (Journal article)
Bouezmarni, T., Ghouch, E., & Taamouti, A. (2013). Bernstein estimator for unbounded copula densities. Statistics & Risk Modeling, 30(4), 343-360. doi:10.1524/strm.2013.2003DOI: 10.1524/strm.2013.2003
Portfolio selection in a data-rich environment (Journal article)
Bouaddi, M., & Taamouti, A. (2013). Portfolio selection in a data-rich environment. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 37(12), 2943-2962. doi:10.1016/j.jedc.2013.08.010DOI: 10.1016/j.jedc.2013.08.010
2012
Portfolio risk management in a data-rich environment (Journal article)
Bouaddi, M., & Taamouti, A. (2012). Portfolio risk management in a data-rich environment. Financial Markets and Portfolio Management, 26(4), 469-494. doi:10.1007/s11408-012-0199-9DOI: 10.1007/s11408-012-0199-9
Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality (Journal article)
Bouezmarni, T., Rombouts, J. V. K., & Taamouti, A. (2012). Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 30(2), 275-287. doi:10.1080/07350015.2011.638831DOI: 10.1080/07350015.2011.638831
Moments of multivariate regime switching with application to risk-return trade-off (Journal article)
Taamouti, A. (2012). Moments of multivariate regime switching with application to risk-return trade-off. JOURNAL OF EMPIRICAL FINANCE, 19(2), 292-308. doi:10.1016/j.jempfin.2011.12.001DOI: 10.1016/j.jempfin.2011.12.001
Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility (Journal article)
Dufour, J. -M., Garcia, R., & Taamouti, A. (2012). Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility. JOURNAL OF FINANCIAL ECONOMETRICS, 10(1), 124-163. doi:10.1093/jjfinec/nbr007DOI: 10.1093/jjfinec/nbr007
2011
What drives international equity correlations? Volatility or market direction? (Journal article)
Amira, K., Taamouti, A., & Tsafack, G. (2011). What drives international equity correlations? Volatility or market direction?. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 30(6), 1234-1263. doi:10.1016/j.jimonfin.2011.06.009DOI: 10.1016/j.jimonfin.2011.06.009
2010
Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form (Journal article)
Dufour, J. -M., & Taamouti, A. (2010). Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 54(11), 2532-2553. doi:10.1016/j.csda.2009.10.001DOI: 10.1016/j.csda.2009.10.001
Asymptotic properties of the Bernstein density copula estimator for <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si1.gif" display="inline" overflow="scroll"><mml:mi>α</mml:mi></mml:math>-mixing data (Journal article)
Bouezmarni, T., Rombouts, J. V. K., & Taamouti, A. (2010). Asymptotic properties of the Bernstein density copula estimator for <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si1.gif" display="inline" overflow="scroll"><mml:mi>α</mml:mi></mml:math>-mixing data. Journal of Multivariate Analysis, 101(1), 1-10. doi:10.1016/j.jmva.2009.02.014DOI: 10.1016/j.jmva.2009.02.014
Short and long run causality measures: Theory and inference (Journal article)
Dufour, J. -M., & Taamouti, A. (2010). Short and long run causality measures: Theory and inference. JOURNAL OF ECONOMETRICS, 154(1), 42-58. doi:10.1016/j.jeconom.2009.06.008DOI: 10.1016/j.jeconom.2009.06.008
2009
Analytical Value-at-Risk and Expected Shortfall under regime-switching (Journal article)
Taamouti, A. (2009). Analytical Value-at-Risk and Expected Shortfall under regime-switching. FINANCE RESEARCH LETTERS, 6(3), 138-151. doi:10.1016/j.frl.2009.03.004DOI: 10.1016/j.frl.2009.03.004
