Abderrahim Taamouti

Universidad Carlos III de Madrid

Assistant Professor

CL. de Madrid 126

Madrid, Madrid 28903

Spain

http://www.eco.uc3m.es/english/index.html

SCHOLARLY PAPERS

5

DOWNLOADS

953

SSRN CITATIONS

1

CROSSREF CITATIONS

6

Scholarly Papers (5)

1.

Risk Premium, Variance Premium and the Maturity Structure of Uncertainty

Review of Finance (2014) 18 (1): 219-269.
Number of pages: 44 Posted: 15 Feb 2011 Last Revised: 17 Dec 2016
Bank of Canada, Bank of Canada, Universidad Carlos III de Madrid and ESSEC Business School
Downloads 311 (120,361)
Citation 3

Abstract:

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Equity Premium, Variance Premium, Risk-neutral Variance, Term Structure of Variance, Long-Run Risk

2.

Asymmetric Effects of Return and Volatility on Correlation between International Equity Markets

Number of pages: 49 Posted: 16 Feb 2009 Last Revised: 08 Apr 2009
Abderrahim Taamouti and Georges Tsafack
Universidad Carlos III de Madrid and Suffolk University
Downloads 304 (123,342)
Citation 2

Abstract:

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International equity markets, asymmetric volatility, asymmetric correlation, vector autoregressive (VAR) model, DCC-GARCH models, news, Generalized impulse response function

3.

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

CIRANO Scientific Publication No. 2011s-27
Posted: 07 Mar 2011
Jean-Marie Dufour, René Garcia and Abderrahim Taamouti
McGill University, Université de Montréal - CIREQ - Département de sciences économiques and Universidad Carlos III de Madrid
Downloads 199 (187,375)

Abstract:

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Volatility asymmetry, leverage effect, volatility feedback effect, risk premium, variance risk premium, multi-horizon causality, causality measure, high-frequency data, realized volatility, bipower variation, implied volatility

4.

Sovereign Credit Ratings, Market Volatility, and Financial Gains

ECB Working Paper No. 1654
Number of pages: 54 Posted: 20 Mar 2014
António Afonso, Pedro Gomes and Abderrahim Taamouti
University of Lisbon - ISEG (School of Economics and Management), University of London - Economics, Mathematics and Statistics and Universidad Carlos III de Madrid
Downloads 71 (395,479)

Abstract:

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sovereign ratings; yields; stock market returns; volatility; EGARCH; optimal portfolio; financial gain; risk management; value-at-risk

5.

Do Investors Price Industry Risk? Evidence from Commodity Dependent Industries

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 30 Posted: 16 Sep 2011 Last Revised: 23 Dec 2014
Sofia Brito Ramos, Abderrahim Taamouti, Helena Veiga and Chih-Wei Wang
ESSEC, Universidad Carlos III de Madrid, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and National Central University - Department of Finance
Downloads 68 (404,730)

Abstract:

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Anomalies; Asset Pricing; Cross Sectional Tests; Growth Options; Oil and Natural Gas Industry; Oil Prices; Time Series Tests