← All authors Abderrahim Taamouti University of Liverpool (per OpenAlex) · ORCID · OpenAlex
42 papers in scope · 41 published · 1 on the econ.EM arXiv · 774 citations · h-index 16 (over the papers listed here)
Papers (1 of 42)
A regularization approach to optimizing large portfolios under asymmetries in returns and risk attitudes
published 2026 · Econometric Reviews
with Mohamed Doukali, N’Golo Kone
working paper 2025 · arXiv
Investigating the Impact of Consumption Distribution on CRRA Estimation: Quantile-CCAPM-Based Approach
published 2024 · Studies in Nonlinear Dynamics and Econometrics
with Sofía B. Ramos, Helena Veiga
Value‐at‐Risk under Measurement Error
published 2023 · Oxford Bulletin of Economics and Statistics
Portfolio selection under non-gaussianity and systemic risk: A machine learning based forecasting approach
published 2023 · International Journal of Forecasting · 14 citations
with Weidong Lin
Testing Granger non-causality in expectiles
published 2023 · Econometric Reviews · 13 citations
with Taoufik Bouezmarni, Mohamed Doukali
The market uncertainty of ethically compliant equity: An integrated screening approach
published 2023 · Journal of International Financial Markets Institutions and Money · 8 citations
with Norhidayah Abu Bakar, Omneya Abdelsalam, Ahmed El-Masry
Portfolio Selection under Systemic Risk
published 2023 · Journal of money credit and banking · 17 citations · first circulated 2020
Testing for Asymmetric Comovements*
published 2022 · Oxford Bulletin of Economics and Statistics · 2 citations
Covid‐19 Control and the Economy: Test, Test, Test*
published 2021 · Oxford Bulletin of Economics and Statistics · 4 citations · first circulated 2020
Testing the eigenvalue structure of spot and integrated covariance
published 2021 · Journal of Econometrics · 2 citations
with Prosper Dovonon, Julian Williams
Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market
published 2021 · Journal of Forecasting · 6 citations
A bargaining model for PLS entrepreneurial financing: A game theoretic model using agent‐based simulation
published 2021 · International Journal of Finance & Economics · 6 citations
with Adil El Fakir, Richard Fairchild, Mohamed Tkiouat
A nonparametric measure of heteroskedasticity
published 2020 · Journal of Statistical Planning and Inference · 2 citations
Measuring Granger Causality in Quantiles
published 2020 · Journal of Business and Economic Statistics · 31 citations
Financial frictions and the futures pricing puzzle
published 2019 · Economic Modelling · 5 citations
with Rhys ap Gwilym, M. Shahid Ebrahim, Abdelkader O. El Alaoui, Hamid Rahman
The information content of forward moments
published 2019 · Journal of Banking & Finance · 4 citations
with Panayiotis C. Andreou, Anastasios Kagkadis, Dennis Philip
A Better Understanding of Granger Causality Analysis: A Big Data Environment
published 2018 · Oxford Bulletin of Economics and Statistics · 22 citations · first circulated 2017
The reaction of stock market returns to unemployment
published 2017 · Studies in Nonlinear Dynamics and Econometrics · 17 citations
Testing independence based on Bernstein empirical copula and copula density
published 2017 · Journal of nonparametric statistics · 34 citations
with Mohamed Belalia, Taoufik Bouezmarni, Félix Camirand Lemyre
Partial Structural Break Identification
published 2017 · Oxford Bulletin of Economics and Statistics · 4 citations
with Chulwoo Han
Do investors price industry risk? Evidence from the cross-section of the oil industry
published 2017 · The Journal of Energy Markets · 12 citations
with Sofía B. Ramos, Helena Veiga, Chih-Wei Wang
Finite-Sample Sign-Based Inference in Linear and Nonlinear Regression Models with Applications in Finance
published 2016 · L Actualité économique
Measuring Nonlinear Granger Causality in Mean
published 2016 · Journal of Business and Economic Statistics · 23 citations
In search of the determinants of European asset market comovements
published 2016 · International Review of Economics & Finance · 18 citations
with Pedro Gomes
Stock market’s reaction to money supply: a nonparametric analysis
published 2014 · Studies in Nonlinear Dynamics and Econometrics · 7 citations
Nonparametric tests for conditional independence using conditional distributions
published 2014 · Journal of nonparametric statistics · 23 citations · first circulated 2012
with Taoufik Bouezmarni
Nonparametric estimation and inference for conditional density based Granger causality measures
published 2014 · Journal of Econometrics · 35 citations
with Taoufik Bouezmarni, Anouar El Ghouch
Did the euro change the effect of fundamentals on growth and uncertainty?
published 2014 · The B E Journal of Macroeconomics · 1 citations · first circulated 2013
with Jaime Luque
Bernstein estimator for unbounded copula densities
published 2013 · Statistics & Risk Modeling · 29 citations · first circulated 2011
with Taoufik Bouezmarni, El Ghouch, Anouar El Ghouch
Sovereign credit ratings, market volatility, and financial gains
published 2013 · Computational Statistics & Data Analysis · 58 citations
with António Afonso, Pedro Gomes
Portfolio selection in a data-rich environment
published 2013 · Journal of Economic Dynamics and Control · 8 citations
with Mohammed Bouaddi
Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
published 2013 · European Finance Review · 46 citations · first circulated 2009
with Bruno Feunou, Jean-Sébastien Fontaine, Roméo Tédongap
Portfolio risk management in a data-rich environment
published 2012 · Financial markets and portfolio management · 2 citations
with Mohammed Bouaddi
Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality
published 2012 · Journal of Business and Economic Statistics · 77 citations · first circulated 2009
Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility
published 2011 · Journal of Financial Econometrics · 16 citations · first circulated 2008
Moments of multivariate regime switching with application to risk-return trade-off
published 2011 · Journal of Empirical Finance · 4 citations
What drives international equity correlations? Volatility or market direction?
published 2011 · Journal of International Money and Finance · 34 citations · first circulated 2009
with Khaled Amira, Georges Tsafack
Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form
published 2009 · Computational Statistics & Data Analysis · 10 citations · first circulated 2008
Short and long run causality measures: Theory and inference
published 2009 · Journal of Econometrics · 124 citations · first circulated 2008
Analytical Value-at-Risk and Expected Shortfall under regime-switching
published 2009 · Finance research letters · 8 citations
Asymptotic properties of the Bernstein density copula estimator for α -mixing data
published 2009 · Journal of Multivariate Analysis · 48 citations
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