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Research

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Prof Abderrahim Taamouti, BSc, MSc, PhD in Economics

Professor in Economics, MSc Economics & Finance Deputy Programme Director in the Business School
Telephone: +44 (0) 191 33 45423
Fax: +44 (0) 191 33 45201
Room number: MHL 340

Contact Prof Abderrahim Taamouti (email at abderrahim.taamouti@durham.ac.uk)

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.

Mini Biography

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.

Research Groups

Business School

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

Publications

Journal Article

Supervises