Outputs (5)

The Reaction of Stock Market Returns to Unemployment (2017)
Journal Article
Gonzalo, J., & Taamouti, A. (2017). The Reaction of Stock Market Returns to Unemployment. Studies in Nonlinear Dynamics & Econometrics, 21(4), Article 20150078. https://doi.org/10.1515/snde-2015-0078

We empirically investigate the short-run impact of anticipated and unanticipated unemployment rates on stock prices. We particularly examine the nonlinearity in the stock market’s reaction to the unemployment rate and study the effect at each individ... Read More about The Reaction of Stock Market Returns to Unemployment.

Measuring Nonlinear Granger Causality in Mean (2017)
Journal Article
Song, X., & Taamouti, A. (2018). Measuring Nonlinear Granger Causality in Mean. Journal of Business & Economic Statistics, 36(2), 321-333. https://doi.org/10.1080/07350015.2016.1166118

We propose model-free measures for Granger causality in mean between random variables. Unlike the existing measures, ours are able to detect and quantify nonlinear causal effects. The new measures are based on nonparametric regressions and defined as... Read More about Measuring Nonlinear Granger Causality in Mean.

Testing Independence Based on Bernstein Empirical Copula and Copula Density (2017)
Journal Article
Belalia, M., Bouezmarni, T., Lemyre, F., & Taamouti, A. (2017). Testing Independence Based on Bernstein Empirical Copula and Copula Density. Journal of Nonparametric Statistics, 29(2), 346-380. https://doi.org/10.1080/10485252.2017.1303063

In this paper we provide three nonparametric tests of independence between continuous random variables based on the Bernstein copula distribution function and the Bernstein copula density function. The first test is constructed based on a Cramér-von... Read More about Testing Independence Based on Bernstein Empirical Copula and Copula Density.

Partial Structural Break Identi fication (2017)
Journal Article
Han, C., & Taamouti, A. (2017). Partial Structural Break Identi fication. Oxford Bulletin of Economics and Statistics, 79(2), 145-164. https://doi.org/10.1111/obes.12153

We propose an extension of the existing information criterion-based structural break identification approaches. The extended approach helps identify both pure structural change (break) and partial structural change (break). A pure structural change r... Read More about Partial Structural Break Identi fication.

Do investors price industry risk? Evidence from the cross-section of the oil industry (2017)
Journal Article
Ramos, S., Taamouti, A., Veiga, H., & Wang, C. (2017). Do investors price industry risk? Evidence from the cross-section of the oil industry. Journal of Energy Markets, 10(1), 79-108. https://doi.org/10.21314/jem.2017.156

Recent research identifies several industry-related patterns that standard asset pricing models cannot explain effectively. This paper investigates what explains the cross-section of returns of firms in the oil industry and, in particular, how well a... Read More about Do investors price industry risk? Evidence from the cross-section of the oil industry.