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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
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Analytical value-at-risk and expected shortfall under regime switching
Taamouti, Abderrahim - 2009
Persistent link: https://www.econbiz.de/10003972447
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Stock market's reaction to money supply : a nonparametric analysis
Taamouti, Abderrahim - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 5, pp. 669-689
Persistent link: https://www.econbiz.de/10011431062
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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
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Finite-sample sign-based inference in linear and nonlinear regression models with applications in finance
Taamouti, Abderrahim - In: L' Actualité économique : revue trimest. 91 (2015) 1/2, pp. 89-113
Persistent link: https://www.econbiz.de/10011775781
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Sovereign credit ratings, market volatility, and financial gains
Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - 2014
The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are filtered using EGARCH specifications. The...
Persistent link: https://www.econbiz.de/10011605699
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A Better Understanding of Granger Causality Analysis: A Big Data Environment
Song, Xiaojun; Taamouti, Abderrahim - In: Oxford Bulletin of Economics and Statistics 81 (2018) 4, pp. 911-936
Persistent link: https://www.econbiz.de/10012095490
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Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market
Troster, Victor; Penalva, José; Taamouti, Abderrahim; … - In: Journal of Forecasting 40 (2021) 7, pp. 1291-1309
Persistent link: https://www.econbiz.de/10012535169
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A bargaining model for PLS entrepreneurial financing : A game theoretic model using agent‐based simulation
El Fakir, Adil; Fairchild, Richard; Tkiouat, Mohamed; … - In: International Journal of Finance & Economics (2021)
Persistent link: https://www.econbiz.de/10012535389
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Bernstein estimator for unbounded copula densities
Bouezmarni, Taoufik; Ghouch, El; Taamouti, Abderrahim - In: Statistics & Risk Modeling 30 (2013) 4, pp. 343-360
Abstract Copulas are widely used for modeling the dependence structure of multivariate data. Many methods for estimating the copula density functions are investigated. In this paper, we study the asymptotic properties of the Bernstein estimator for unbounded copula density functions. We show...
Persistent link: https://www.econbiz.de/10014622243