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Measuring financial contagion : dealing with the volatility Bias in the correlation dynamics

Starkey, Christopher Michael; Tsafack, Georges - In: International review of financial analysis 90 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014469938

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

Taamouti, Abderrahim - In: Journal of empirical finance 19 (2012) 2, pp. 292-308

Persistent link: https://www.econbiz.de/10009615702

Portfolio risk management in a data-rich environment

Bouaddi, Mohammed; Taamouti, Abderrahim - In: Financial markets and portfolio management 26 (2012) 4, pp. 469-494

Persistent link: https://www.econbiz.de/10009667499

The reaction of stock market returns to anticipated unemployment

Gonzalo, Jesús; Taamouti, Abderrahim - 2011

Persistent link: https://www.econbiz.de/10009704718

Portfolio selection in a data-rich environment

Bouaddi, Mohammed; Taamouti, Abderrahim - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2943-2962

Persistent link: https://www.econbiz.de/10010348093

The reaction of stock market returns to anticipated unemployment

Gonzalo, Jesús; Taamouti, Abderrahim - 2012

Persistent link: https://www.econbiz.de/10010475009

Nonparametric estimation and inference for conditional density based Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264

Persistent link: https://www.econbiz.de/10010433362

Measuring high-frequency causality between returns, realized volatility, and implied volatility

Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - In: Journal of financial econometrics : official journal of … 10 (2012) 1, pp. 124-163

Persistent link: https://www.econbiz.de/10009519709

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

Dufour, Jean-Marie - 2011

In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

Persistent link: https://www.econbiz.de/10013128856

Measuring granger causality in quantiles

Song, Xiaojun; Taamouti, Abderrahim - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 937-952

Persistent link: https://www.econbiz.de/10012653205