Editorial member Abderrahim Taamouti Durham University Business School, UK

Publications (Powered by Scopus)

Dufour, J. M., & Taamouti, A. (2010). Short and long run causality measures: Theory and inference. Journal of Econometrics, 154(1), 42-58. Bouezmarni, T., Rombouts, J. V., & Taamouti, A. (2010). Asymptotic properties of the Bernstein density copula estimator for α-mixing data. Journal of Multivariate Analysis, 101(1), 1-10. Bouezmarni, T., Rombouts, J. V., & Taamouti, A. (2012). Nonparametric copula-based test for conditional independence with applications to granger causality. Journal of Business & Economic Statistics, 30(2), 275-287. Taamouti, A. (2009). Analytical Value-at-Risk and Expected Shortfall under regime-switching. Finance Research Letters, 6(3), 138-151. 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. 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. Bouezmarni, T., Rombouts, J. V., & Taamouti, A. (2008). Asymptotic properties of the Bernstein density copula for dependent data. Bouezmarni, T., & Taamouti, A. (2012). Nonparametric tests for conditional independence using conditional distributions. 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. Taamouti, A., & Tsafack, G. (2009). Asymmetric effects of return and volatility on correlation between international equity markets. Available at SSRN 1344416. Dufour, J. M., & Taamouti, M. (2005). Projection‐Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments. Econometrica, 73(4), 1351-1365. Taamouti, A., & Bouezmarni, T. A. El Ghouch (2012),” Nonparametric estimation and inference for Granger causality measures,”. Working Paper 12-17, Economic Series, University Carlos III de Madrid. Taamouti, A. (2008). The risk-return trade-off under regime switching. Working Paper, Universidad Carlos III de Madrid. Amira, K., Taamouti, A., & Tsafack, G. (2009). What Drives International Equity Correlations? Volatility or Market Direction?.