Abderrahim Taamouti

Durham University Business School

Mill Hill Lane

Durham, DH1 3LB

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS

369

SSRN CITATIONS

0

CROSSREF CITATIONS

5

Scholarly Papers (7)

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 Business School
Downloads 149 (213,385)
Citation 1

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

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

Oxford Bulletin of Economics and Statistics, Vol. 81, Issue 4, pp. 911-936, 2019
Number of pages: 26 Posted: 02 Jun 2020
Xiaojun Song and Abderrahim Taamouti
Peking University - Guanghua School of Management and Durham University Business School
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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 Business School
Downloads 129 (238,768)
Citation 1

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

3.

Portfolio Selection Under Systemic Risk

Number of pages: 46 Posted: 01 Apr 2020 Last Revised: 13 May 2020
Weidong Lin, Jose Olmo and Abderrahim Taamouti
Durham University, Universidad de Zaragoza and Durham University Business School
Downloads 67 (363,904)

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Conditional Volatility Models, Portfolio Allocation, Sharpe Ratio, Systemic Risk, Conditional Tail Risk

4.

Financial Frictions and the Futures Pricing Puzzle

Economic Modelling, Forthcoming
Number of pages: 36 Posted: 19 Sep 2019
Bangor University - Bangor University, Durham Business School, affiliation not provided to SSRN, Alliant International University and Durham University Business School
Downloads 20 (562,467)

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5.

COVID-19 Control and the Economy: Test, Test, Test

Number of pages: 32 Posted: 29 Jun 2020
Abderrahim Taamouti
Durham University Business School
Downloads 2 (688,771)

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SIR model, COVID-19 infection, Testing capacity, Lockdown

6.

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 Business School
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7.

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 Business School, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and National Sun Yat-sen University
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anomalies, asset pricing, cross-sectional tests, oil industry, oil prices, time series tests