5

The reaction of stock market returns to unemployment

Gonzalo, Jesús, Taamouti, Abderrahim
Journal:
Studies in Nonlinear Dynamics and Econometrics
Year:
2017
Language:
english
File:
PDF, 3.05 MB
english, 2017
7

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

Abderrahim Taamouti
Journal:
Finance Research Letters
Year:
2009
Language:
english
File:
PDF, 337 KB
english, 2009
11

Short and long run causality measures: Theory and inference

Jean-Marie Dufour, Abderrahim Taamouti
Journal:
Journal of Econometrics
Year:
2010
Language:
english
File:
PDF, 3.58 MB
english, 2010
13

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

Abderrahim Taamouti
Journal:
Journal of Empirical Finance
Year:
2012
Language:
english
File:
PDF, 713 KB
english, 2012
16

Portfolio selection in a data-rich environment

Bouaddi, Mohammed, Taamouti, Abderrahim
Journal:
Journal of Economic Dynamics and Control
Year:
2013
Language:
english
File:
PDF, 653 KB
english, 2013
18

Bernstein estimator for unbounded copula densities

Bouezmarni, Taoufik, Ghouch, El, Taamouti, Abderrahim
Journal:
Statistics & Risk Modeling
Year:
2013
Language:
english
File:
PDF, 736 KB
english, 2013
20

Measuring Nonlinear Granger Causality in Mean

Song, Xiaojun, Taamouti, Abderrahim
Journal:
Journal of Business and Economic Statistics
Year:
2016
Language:
english
File:
PDF, 422 KB
english, 2016
21

Partial Structural Break Identification

Han, Chulwoo, Taamouti, Abderrahim
Journal:
Oxford Bulletin of Economics and Statistics
Year:
2017
Language:
english
File:
PDF, 114 KB
english, 2017
24

Measuring Granger Causality in Quantiles*

Song, Xiaojun, Taamouti, Abderrahim
Journal:
Journal of Business and Economic Statistics
Year:
2020
Language:
english
File:
PDF, 983 KB
english, 2020