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Abderrahim Taamouti

Professor Abderrahim Taamouti
PhD

Professor and Chair in Applied Econometrics, Fellow of the Econometric Society
Economics

Publications

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2024

The Impact of the COVID-19 Pandemic on Sustainable European Companies: A Network Approach

DOI
10.2139/ssrn.4812261
Preprint

2023

A bargaining model for PLS entrepreneurial financing: A game theoretic model using agent-based simulation

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.2472

DOI
10.1002/ijfe.2472
Journal article

2022

2021

Measuring Granger Causality in Quantiles

Song, X., & Taamouti, A. (2021). Measuring Granger Causality in Quantiles. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 39(4), 937-952. doi:10.1080/07350015.2020.1739531

DOI
10.1080/07350015.2020.1739531
Journal article

A nonparametric measure of heteroskedasticity

Song, X., & Taamouti, A. (2021). A nonparametric measure of heteroskedasticity. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 212, 45-68. doi:10.1016/j.jspi.2020.08.005

DOI
10.1016/j.jspi.2020.08.005
Journal article

2020

Financial frictions and the futures pricing puzzle

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.2019.08.009

DOI
10.1016/j.econmod.2019.08.009
Journal article

2019

The information content of forward moments

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.2019.07.021

DOI
10.1016/j.jbankfin.2019.07.021
Journal article

A Better Understanding of Granger Causality Analysis: A Big Data Environment

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.12288

DOI
10.1111/obes.12288
Journal article

2018

Measuring Nonlinear Granger Causality in Mean

Song, X., & Taamouti, A. (2018). Measuring Nonlinear Granger Causality in Mean. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 36(2), 321-333. doi:10.1080/07350015.2016.1166118

DOI
10.1080/07350015.2016.1166118
Journal article

2017

Testing independence based on Bernstein empirical copula and copula density

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:10.1080/10485252.2017.1303063

DOI
10.1080/10485252.2017.1303063
Journal article

Partial Structural Break Identification

Han, C., & Taamouti, A. (2017). Partial Structural Break Identification. OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 79(2), 145-164. doi:10.1111/obes.12153

DOI
10.1111/obes.12153
Journal article

Do investors price industry risk? Evidence from the cross-section of the oil industry

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.2017.156

DOI
10.21314/JEM.2017.156
Journal article

The reaction of stock market returns to unemployment

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-2015-0078

DOI
10.1515/snde-2015-0078
Journal article

2016

In search of the determinants of European asset market comovements

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.2016.03.005

DOI
10.1016/j.iref.2016.03.005
Journal article

Finite-Sample Sign-Based Inference in Linear and Nonlinear Regression Models with Applications in Finance

Taamouti, A. (n.d.). Finite-Sample Sign-Based Inference in Linear and Nonlinear Regression Models with Applications in Finance. L'Actualité économique, 91(1-2), 89-113. doi:10.7202/1036915ar

DOI
10.7202/1036915ar
Journal article

2015

Stock market's reaction to money supply: a nonparametric analysis

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-2013-0059

DOI
10.1515/snde-2013-0059
Journal article

2014

Nonparametric tests for conditional independence using conditional distributions

Bouezmarni, T., & Taamouti, A. (2014). Nonparametric tests for conditional independence using conditional distributions. JOURNAL OF NONPARAMETRIC STATISTICS, 26(4), 697-719. doi:10.1080/10485252.2014.945447

DOI
10.1080/10485252.2014.945447
Journal article

Did the euro change the effect of fundamentals on growth and uncertainty?

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-2013-0133

DOI
10.1515/bejm-2013-0133
Journal article

Nonparanietric estimation and inference for conditional density based Granger causality measures

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.2014.03.001

DOI
10.1016/j.jeconom.2014.03.001
Journal article

Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty*

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/rft004

DOI
10.1093/rof/rft004
Journal article

Sovereign credit ratings, market volatility, and financial gains

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.2013.09.028

DOI
10.1016/j.csda.2013.09.028
Journal article

2013

Bernstein estimator for unbounded copula densities

Bouezmarni, T., Ghouch, E., & Taamouti, A. (2013). Bernstein estimator for unbounded copula densities. Statistics & Risk Modeling, 30(4), 343-360. doi:10.1524/strm.2013.2003

DOI
10.1524/strm.2013.2003
Journal article

Portfolio selection in a data-rich environment

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.2013.08.010

DOI
10.1016/j.jedc.2013.08.010
Journal article

2012

Portfolio risk management in a data-rich environment

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/s11408-012-0199-9

DOI
10.1007/s11408-012-0199-9
Journal article

Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality

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:10.1080/07350015.2011.638831

DOI
10.1080/07350015.2011.638831
Journal article

Moments of multivariate regime switching with application to risk-return trade-off

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.2011.12.001

DOI
10.1016/j.jempfin.2011.12.001
Journal article

Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility

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/nbr007

DOI
10.1093/jjfinec/nbr007
Journal article

2011

What drives international equity correlations? Volatility or market direction?

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.2011.06.009

DOI
10.1016/j.jimonfin.2011.06.009
Journal article

2010

Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form

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.2009.10.001

DOI
10.1016/j.csda.2009.10.001
Journal article

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

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.2009.02.014

DOI
10.1016/j.jmva.2009.02.014
Journal article

Short and long run causality measures: Theory and inference

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.2009.06.008

DOI
10.1016/j.jeconom.2009.06.008
Journal article

2009

Analytical Value-at-Risk and Expected Shortfall under regime-switching

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.2009.03.004

DOI
10.1016/j.frl.2009.03.004
Journal article