Outputs (4)

Testing the Eigenvalue Structure of Spot and Integrated Covariance (2021)
Journal Article
Dovonon, P., Taamouti, A., & Williams, J. (2022). Testing the Eigenvalue Structure of Spot and Integrated Covariance. Journal of Econometrics, 229(2), 363-395. https://doi.org/10.1016/j.jeconom.2021.02.006

For vector Itˆo semimartingale dynamics, we derive the asymptotic distributions of likelihoodratio-type test statistics for the purpose of identifying the eigenvalue structure of both integrated and spot covariance matrices estimated using high-frequ... Read More about Testing the Eigenvalue Structure of Spot and Integrated Covariance.

Financial Frictions and the Futures Pricing Puzzle (2019)
Journal Article
Gwilym, R., Ebrahim, M., El Alaoui, A., Rahman, H., & Taamouti, A. (2020). Financial Frictions and the Futures Pricing Puzzle. Economic Modelling, 87, 358-371. https://doi.org/10.1016/j.econmod.2019.08.009

In perfect capital markets, the futures price of an asset should be an unbiased forecast of its realized spot price when the contract matures. In reality, futures prices are often higher for some assets and lower for others. However, there is no stab... Read More about Financial Frictions and the Futures Pricing Puzzle.

The information content of forward moments (2019)
Journal Article
Andreou, P., Kagkadis, A., Philip, D., & Taamouti, A. (2019). The information content of forward moments. Journal of Banking and Finance, 106, 527-541. https://doi.org/10.1016/j.jbankfin.2019.07.021

We estimate the term structures of risk-neutral forward variance and skewness, and examine their predictive power for equity market excess returns and variance. We use Partial Least Squares to extract a single predictive factor from each term structu... Read More about The information content of forward moments.

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.