Abderrahim Taamouti

Durham University

Old Elvet

Mill Hill Lane

Durham, Durham DH1 3HP

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

284

SSRN CITATIONS

0

CROSSREF CITATIONS

4

Scholarly Papers (5)

1.

A Better Understanding of Granger Causality Analysis: A Big Data Environment

Number of pages: 51 Posted: 11 Feb 2017
Xiaojun Song and Abderrahim Taamouti
Peking University - Guanghua School of Management and Durham University
Downloads 142 (210,723)
Citation 1

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Indirect causality, spurious causality, big data analysis, auxiliary variable(s)

2.

The Information Content of Forward Moments

Journal of Banking and Finance, Forthcoming
Number of pages: 56 Posted: 06 Mar 2017 Last Revised: 04 Aug 2019
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Durham University - Department of Economics and Finance and Durham University
Downloads 120 (240,093)
Citation 1

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Forward Moments; Implied Volatility Surface; Partial Least Squares; Predictability of Stock Returns; Equity Premium; Variance Premium

3.

Financial Frictions and the Futures Pricing Puzzle

Economic Modelling, Forthcoming
Number of pages: 36 Posted: 19 Sep 2019
Bangor University, Durham Business School, affiliation not provided to SSRN, Alliant International University and Durham University
Downloads 20 (537,399)

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4.

Partial Structural Break Identification

Oxford Bulletin of Economics and Statistics, Vol. 79, Issue 2, pp. 145-164, 2017
Number of pages: 20 Posted: 09 Mar 2017
Chulwoo Han and Abderrahim Taamouti
Durham University and Durham University
Downloads 1 (670,083)
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5.

Do Investors Price Industry Risk? Evidence from the Cross-Section of the Oil Industry

Journal of Energy Markets, Forthcoming
Number of pages: 29 Posted: 19 Jan 2017
Sofia Brito Ramos, Abderrahim Taamouti, Helena Veiga and Chih-Wei Wang
ESSEC, Durham University, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and National Sun Yat-sen University
Downloads 1 (670,083)
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anomalies, asset pricing, cross-sectional tests, oil industry, oil prices, time series tests