People
Prof Abderrahim Taamouti
BSc, MSc, PhD in Economics
Before joining Durham University Business School in 2014, Abderrahim (PhD in Economics, University of Montreal) held the position of Associate Professor of Economics at Universidad Carlos III de Madrid in Spain. His fields of specialization are Econometrics and Finance. He mainly works on Granger causality analysis, hypothesis testing, nonparametric estimation and testing, asset pricing, portfolio selection, and risk management. He published in many international journals as Journal of Econometrics, Review of Finance, Journal of Multivariate Analysis, Journal of Business & Economic Statistics, Journal of Empirical Finance, and Journal of Financial Econometrics.
Biography
Abderrahim Taamouti has a PhD (2007) in Economics from University of Montreal, Canada. Before joining Durham University Business School in 2014, Abderrahim held the position of Associate Professor of Economics at Universidad Carlos III de Madrid in Spain. His fields of specialization are Econometrics and Finance. He mainly works on Granger causality analysis, hypothesis testing, nonparametric estimation and testing, asset pricing, portfolio selection, and risk management.
His research projects have resulted in several publications in internationally renowned journals in Econometrics, Finance and Statistics such as Journal of Econometrics, Review of Finance, Journal of Multivariate Analysis, Journal of Dynamics and Economic Control, Journal of Financial Econometrics, Journal of Business & Economic Statistics, Computational Statistics and Data Analysis, Journal of Empirical Finance, Journal of International Money and Finance, Statistics and Risk Modelling, Finance Research Letters, Financial Markets and Portfolio Management, etc.
Abderrahim taught several graduate (Msc and PhD) and undergraduate courses in Econometrics, Finance and Statistics. He worked closely with students of both graduate and undergraduate levels and he supervised several Master and PhD students, and he was in the thesis committee of many PhD students.
Research Interests
- Asset Pricing
- Asymmetric Volatility and Correlations
- Sovereign Credit Ratings
- Risk Management and Portfolio Optimization
- Causality in Time Series
- Characteristic Function Methods in Time Series
- Exact Sign-Based Inference
- Nonparametic Tests and Measures
Research Groups
Publications
- Song, Xiaojun & Taamouti, Abderrahim (2021). A Nonparametric Measure of Heteroskedasticity. Journal of Statistical Planning and Inference 212: 45-68.
- Song, X & Taamouti, A (2020). Measuring Granger Causality in Quantiles. Journal of Business & Economic Statistics
- Gwilym, R., Ebrahim, M.S., El Alaoui, A.O., Rahman, H. & Taamouti, A. (2020). Financial Frictions and the Futures Pricing Puzzle. Economic Modelling 87: 358-371.
- Song, X. & Taamouti, A. (2019). A better understanding of Granger causality analysis: A big data environment. Oxford Bulletin of Economics and Statistics 81(4): 911-936.
- Andreou, P, Kagkadis, A Philip, D & Taamouti, A (2019). The information content of forward moments.. Journal of Banking and Finance 106: 527-541.
- Song, X. & Taamouti, A. (2018). Measuring Nonlinear Granger Causality in Mean. Journal of Business & Economics Statistics 36(2): 321-333.
- Gonzalo, J. & Taamouti, A. (2017). The Reaction of Stock Market Returns to Unemployment.. Studies in Nonlinear Dynamics & Econometrics 21(4): 20150078.
- Belalia, M., Bouezmarni, T., Lemyre, F.C. & Taamouti, A. (2017). Testing Independence Based on Bernstein Empirical Copula and Copula Density.. Journal of Nonparametric Statistics 29(2): 346-380.
- Han, C. & Taamouti, A. (2017). Partial Structural Break Identi fication.. Oxford Bulletin of Economics and Statistics 79(2): 145-164.
- Ramos, S.B., Taamouti, A., Veiga, H. & Wang, C.-W. (2017). Do investors price industry risk? Evidence from the cross-section of the oil industry.. Journal of Energy Markets 10(1): 79-108.
- Gomes, P. & Taamouti, A. (2016). In search of the determinants of European asset market comovements.. International Review of Economics and Finance 44: 103-117.
- Taamouti, A. (2015). Finite-Sample Sign-Based Inference in Linear and Nonlinear Regression Models with Applications in Finance. L'actualité économique: revue d'analyse économique 91(1-2): 89-113.
- Taamouti, A. (2015). Stock Market's Reaction to Money Supply: Nonparametric Analysis.. Studies in Nonlinear Dynamics and Econometrics 19(5): 669-689.
- Luque, J. & Taamouti, A. (2014). Did the Euro Change the Effect of Fundamentals on Economic Uncertainty?. The B.E. Journal of Macroeconomics 14(1): 625-660.
- Feunou, B., Fontaine, J.S., Taamouti, A. & Tédongap, R. (2014). Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty. Review of Finance 18(1): 219-269.
- Afonso, A., Gomes, P. & Taamouti, A. (2014). Sovereign Credit Ratings, Market Volatility, and Financial Gains.. Computational Statistics and Data Analysis 76: 20-33.
- Bouezmarni, T. & Taamouti, A. (2014). Nonparametric Tests for Conditional Independence Using Conditional Distribution. . Journal of Nonparametric Statistics 26(4): 697-719.
- Taamouti, A., Bouezmarni, T. & El Gouch, A. (2014). Nonparametric estimation and inference for conditional density based Granger causality measures.. Journal of Econometrics 180(2): 251-264.
- Bouaddi, M. & Taamouti, A. (2013). Portfolio Selection in a Data-Rich Environment.. Journal of Economic Dynamics and Control 37(12): 2943-2962.
- Bouezmarni, T., El Gouch, A. & Taamouti, A. (2013). Bernstein estimator for unbounded copula densities.. Statistics & Risk Modeling 30(4): 343-360.
- Taamouti, A., Dufour, J-M. & Garcia, R. (2012). Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility. Journal of Financial Econometrics 10(1): 124-163.
- Taamouti, A. (2012). Moments of Multivariate Regime Switching with Application to Risk-Return Trade-Off. Journal of Empirical Finance 19(2): 292-308.
- Taamouti, A. & Bouaddi, M. (2012). Portfolio Risk Management in a Data-Rich Environment. Financial Markets and Portfolio Management 26(4): 469-494.
- Bouezmarni, T., Rombouts, J.V.K. & Taamouti, A. (2012). A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality. Journal of Business & Economic Statistics 30(2): 275-287.
- Taamouti, A., Tsafack, G. & Amira, K. (2011). What Drives International Equity Correlations? Volatility or Market Direction? Journal of International Money and Finance 30(6): 1234-1263.
- Taamouti, A. & Dufour, J-M. (2010). Short and Long Run Causality Measures: Theory and Inference. Journal of Econometrics 154(1): 42-58.
- Bouezmarn, T., Rombouts, Jeroen V.K. & Taamouti, A. (2010). Asymptotic properties of the Bernstein density copula estimator for α-mixing data. Journal of Multivariate Analysis 101(1): 1-10.
- Taamouti, A. & Dufour, J-M. (2010). Exact Optimal and Adaptive Inference in Linear and Nonlinear Models under Heteroskedasticity and Non-Normality of Unknown Forms. Journal of Computational Statistics and Data Analysis 54(11): 2532-2553.
- Taamouti, A. , Roy, R. & Bouezmarni, T. (2010). Asymptotic and Small Sample Properties of Conditional-Distribution-based Tests for Conditional. Proceedings of the Business and Economic Statistics Section of the American Statistical Association 1436-1447.
- Taamouti, A. (2009). Analytical Value-at-Risk and Expected Shortfall under Regime Switching. Finance Research Letters 6(3): 138-151.
- Taamouti, A. & Dufour, J-M. (2006). Nonparametric Short and Long Run Causality Measures. Proceedings of the Business and Economic Statistics Section of the American Statistical Association 3986-3992.
- Troster, Victor Penalva, Jose Taamouti, Abderrahim & Wied, Dominik (Accepted). Cointegration, Information Transmission, and the Lead-Lag Effect between Industry Portfolios and the Stock Market. Journal of Forecasting
- El Fakir, Adil, Fairchild, Richard Tkiouat, Mohamed & Taamouti, Abderrahim (Accepted). A Bargaining Model for PLS Entrepreneurial Financing: A Game Theoretic Model using Agent Based Simulation. International Journal of Finance and Economics
