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Volatility
Causality analysis
21
Kausalanalyse
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Volatilität
19
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17
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Kapitaleinkommen
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Risikomaß
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Risikoprämie
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Risk measure
6
Risk premium
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Taamouti, Abderrahim
20
Afonso, António
4
Gomes, Pedro
4
Bouezmarni, Taoufik
3
Dufour, Jean-Marie
3
Garcia, René
3
Amira, Khaled
2
Rombouts, Jeroen V. K.
2
Tsafack, Georges
2
Abd-Elsalam, Omneya H.
1
Andreou, Panayiotis C.
1
El Ghouch, Anouar
1
El-Masry, Ahmed A.
1
Ergemen, Yunus Emre
1
Kagkadis, Anastasios
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Luque, Jaime
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Norhidayah Abu Bakar
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Philip, Dennis
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Working paper / Department of Economics, Universidad Carlos III de Madrid
4
Working papers / Department of Economics, Universidad Carlos III de Madrid
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Journal of international financial markets, institutions & money
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ECONIS (ZBW)
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Analytical Value-at-Risk and Expected Shortfall under regime-switching
Taamouti, Abderrahim
- In:
Finance research letters
6
(
2009
)
3
,
pp. 138-151
Persistent link: https://www.econbiz.de/10003888009
Saved in:
2
Analytical value-at-risk and expected shortfall under regime switching
Taamouti, Abderrahim
-
2009
Persistent link: https://www.econbiz.de/10003972447
Saved in:
3
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
Saved in:
4
Measuring causality between volatility and returns with high-frequency data
Dufour, Jean-Marie
(
contributor
);
Garcia, René
(
contributor
)
-
2008
Persistent link: https://www.econbiz.de/10003774245
Saved in:
5
What drives international equity correlations? : volatility or market direction?
Amira, Khaled
;
Taamouti, Abderrahim
;
Tsafack, Georges
-
2009
Persistent link: https://www.econbiz.de/10003971756
Saved in:
6
A nonparametric copula based test for conditional independence with applications to granger causality
Bouezmarni, Taoufik
;
Rombouts, Jeroen V. K.
;
Taamouti, …
-
2009
Persistent link: https://www.econbiz.de/10003971763
Saved in:
7
A nonparametric copula based test for conditional independence with applications to Granger causality
Bouezmarni, Taoufik
;
Rombouts, Jeroen V. K.
;
Taamouti, …
-
2009
Persistent link: https://www.econbiz.de/10003964473
Saved in:
8
What drives international equity correlations? : volatility or market direction?
Amira, Khaled
;
Taamouti, Abderrahim
;
Tsafack, Georges
- In:
Journal of international money and finance
30
(
2011
)
6
,
pp. 1234-1263
Persistent link: https://www.econbiz.de/10009373944
Saved in:
9
Parametric portfolio policies with common volatility dynamics
Ergemen, Yunus Emre
;
Taamouti, Abderrahim
-
2015
Persistent link: https://www.econbiz.de/10011327704
Saved in:
10
Sovereign credit ratings, market volatility, and financial gains
Afonso, António
;
Gomes, Pedro
;
Taamouti, Abderrahim
-
2014
Persistent link: https://www.econbiz.de/10010380053
Saved in:
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