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1

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

Song, Xiaojun, Taamouti, Abderrahim

Journal:

Oxford Bulletin of Economics and Statistics

Year:

2018

Language:

english

File:

PDF, 210 KB

english, 2018

2

Portfolio risk management in a data-rich environment

Mohammed Bouaddi, Abderrahim Taamouti

Journal:

Financial Markets and Portfolio Management

Year:

2012

Language:

english

File:

PDF, 888 KB

english, 2012

3

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

Bouezmarni, Taoufik, Rombouts, Jeroen V.K., Taamouti, Abderrahim

Journal:

Journal of Business and Economic Statistics

Year:

2012

Language:

english

File:

PDF, 286 KB

english, 2012

4

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

Taamouti, Abderrahim

Journal:

Studies in Nonlinear Dynamics and Econometrics

Year:

2015

Language:

english

File:

PDF, 1.82 MB

english, 2015

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

6

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

Jean-Marie Dufour, Abderrahim Taamouti

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 946 KB

english, 2010

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

8

Nonparametric estimation and inference for conditional density based Granger causality measures

Taamouti, Abderrahim, Bouezmarni, Taoufik, El Ghouch, Anouar

Journal:

Journal of Econometrics

Year:

2014

Language:

english

File:

PDF, 477 KB

english, 2014

9

Nonparametric tests for conditional independence using conditional distributions

Bouezmarni, Taoufik, Taamouti, Abderrahim

Journal:

Journal of Nonparametric Statistics

Year:

2014

Language:

english

File:

PDF, 275 KB

english, 2014

10

Financial frictions and the futures pricing puzzle

ap Gwilym, Rhys, Ebrahim, M. Shahid, El Alaoui, Abdelkader O., Rahman, Hamid, Taamouti, Abderrahim

Journal:

Economic Modelling

Year:

2019

Language:

english

File:

PDF, 1.32 MB

english, 2019

11

Further results on projection-based inference in IV regressions with weak, collinear or missing instruments

Jean-Marie Dufour, Mohamed Taamouti

Journal:

Journal of Econometrics

Year:

2007

Language:

english

File:

PDF, 291 KB

english, 2007

12

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

Asymptotic properties of the Bernstein density copula estimator for -mixing data

Taoufik Bouezmarni, Jeroen V.K. Rombouts, Abderrahim Taamouti

Journal:

Journal of Multivariate Analysis

Year:

2010

Language:

english

File:

PDF, 964 KB

english, 2010

14

Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments

Jean-Marie Dufour, Mohamed Taamouti

Journal:

Year:

2005

Language:

english

File:

PDF, 125 KB

english, 2005

15

Discussion

Mohamed Taamouti

Journal:

International Statistical Review

Year:

2011

Language:

english

File:

PDF, 64 KB

english, 2011

16

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

17

What drives international equity correlations? Volatility or market direction?

Khaled Amira, Abderrahim Taamouti, Georges Tsafack

Journal:

Journal of International Money and Finance

Year:

2011

Language:

english

File:

PDF, 1.99 MB

english, 2011

18

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

Dufour, J.-M., Garcia, R., Taamouti, A.

Journal:

Journal of Financial Econometrics

Year:

2012

Language:

english

File:

PDF, 905 KB

english, 2012

19

Sovereign credit ratings, market volatility, and financial gains

Afonso, António, Gomes, Pedro, Taamouti, Abderrahim

Journal:

Computational Statistics & Data Analysis

Year:

2014

Language:

english

File:

PDF, 419 KB

english, 2014

20

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

21

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

Feunou, B., Fontaine, J.-S., Taamouti, A., Tedongap, R.

Journal:

Review of Finance

Year:

2014

Language:

english

File:

PDF, 629 KB

english, 2014

22

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

Luque, Jaime, Taamouti, Abderrahim

Journal:

The B E Journal of Macroeconomics

Year:

2014

Language:

english

File:

PDF, 2.06 MB

english, 2014

23

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

24

Labor mobility, economic shocks and jobless growth evidence from panel data in Morocco

Verme, Paolo, Gadiry Barry, Abdoul, Guennouni, Jamal, Taamouti, Mohamed

Journal:

Middle East Development Journal

Year:

2015

Language:

english

File:

PDF, 902 KB

english, 2015

25

In search of the determinants of European asset market comovements

Gomes, Pedro, Taamouti, Abderrahim

Journal:

International Review of Economics & Finance

Year:

2016

Language:

english

File:

PDF, 392 KB

english, 2016

26

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

27

Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments

Jean-Marie Dufour and Mohamed Taamouti

Journal:

Year:

2005

Language:

english

File:

PDF, 1.60 MB

english, 2005

28

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

29

Testing independence based on Bernstein empirical copula and copula density

Belalia, M., Bouezmarni, T., Lemyre, F. C., Taamouti, A.

Journal:

Journal of Nonparametric Statistics

Year:

2017

Language:

english

File:

PDF, 2.84 MB

english, 2017

30

Forward Moments and Risk Premia Predictability

Andreou, Panayiotis C., Kagkadis, Anastasios, Philip, Dennis, Taamouti, Abderrahim

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 405 KB

english, 2018

31

The Information Content of Forward Moments

Andreou, Panayiotis C., Kagkadis, Anastasios, Philip, Dennis, Taamouti, Abderrahim

Journal:

Journal of Banking & Finance

Year:

2019

Language:

english

File:

PDF, 745 KB

english, 2019

32

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

33

A nonparametric measure of heteroskedasticity

Song, Xiaojun, Taamouti, Abderrahim

Journal:

Journal of Statistical Planning and Inference

Year:

2021

File:

PDF, 855 KB

2021

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