Abderrahim Taamouti's Outputs (35)

Covid-19 Control and the Economy: Test, Test, Test (2021)
Journal Article
Taamouti, A. (2021). Covid-19 Control and the Economy: Test, Test, Test. Oxford Bulletin of Economics and Statistics, 83(5), 1011-1028. https://doi.org/10.1111/obes.12442

Hard lockdowns have left policymakers to face the ethical dilemma of choosing between saving lives and saving the economy. However, massive testing could have helped to respond more effectively to Covid-19 crisis. In this paper, we study the trade-o§... Read More about Covid-19 Control and the Economy: Test, Test, Test.

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.

Cointegration, Information Transmission, and the Lead-Lag Effect between Industry Portfolios and the Stock Market (2021)
Journal Article
Troster, V., Penalva, J., Taamouti, A., & Wied, D. (2021). Cointegration, Information Transmission, and the Lead-Lag Effect between Industry Portfolios and the Stock Market. Journal of Forecasting, 40(7), 1291-1309. https://doi.org/10.1002/for.2767

This paper shows that lagged information transmission between industry portfolio and market prices entails cointegration. We analyze monthly industry portfolios in the US market for the period 1963-2015. We find cointegration between six industry por... Read More about Cointegration, Information Transmission, and the Lead-Lag Effect between Industry Portfolios and the Stock Market.

A bargaining model for PLS entrepreneurial financing: A game theoretic model using agent-based simulation (2021)
Journal Article
El Fakir, A., Fairchild, R., Tkiouat, M., & Taamouti, A. (2023). A bargaining model for PLS entrepreneurial financing: A game theoretic model using agent-based simulation. International Journal of Finance and Economics, 28(2), 1228-1241. https://doi.org/10.1002/ijfe.2472

This article aims to use a bargaining power model to reduce moral hazard—in the form of entrepreneurial effort shirking—and derive an optimum sharing ratio of a Profit and Loss Sharing (PLS) contract that involves a Venture Capitalist and an Entrepre... Read More about A bargaining model for PLS entrepreneurial financing: A game theoretic model using agent-based simulation.

A Nonparametric Measure of Heteroskedasticity (2020)
Journal Article
Song, X., & Taamouti, A. (2021). A Nonparametric Measure of Heteroskedasticity. Journal of Statistical Planning and Inference, 212, 45-68. https://doi.org/10.1016/j.jspi.2020.08.005

We introduce a nonparametric measure to quantify the degree of heteroskedasticity at a fixed quantile of the conditional distribution of a random variable. Our measure of heteroskedasticity is based on nonparametric quantile regressions and is expres... Read More about A Nonparametric Measure of Heteroskedasticity.

Measuring Granger Causality in Quantiles (2020)
Journal Article
Song, X., & Taamouti, A. (2021). Measuring Granger Causality in Quantiles. Journal of Business & Economic Statistics, 39(4), 937-952. https://doi.org/10.1080/07350015.2020.1739531

We consider measures of Granger causality in quantiles, which detect and quantify both linear and nonlinear causal effects between random variables. The measures are based on nonparametric quantile regressions and defined as logarithmic functions of... Read More about Measuring Granger Causality in Quantiles.

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.

A better understanding of Granger causality analysis: A big data environment (2018)
Journal Article
Song, X., & Taamouti, A. (2019). A better understanding of Granger causality analysis: A big data environment. Oxford Bulletin of Economics and Statistics, 81(4), 911-936. https://doi.org/10.1111/obes.12288

This paper aims to provide a better understanding of the causal structure in a multivariate time series by introducing several statistical procedures for testing indirect and spurious causal effects. In practice, detecting these effects is a complica... Read More about A better understanding of Granger causality analysis: A big data environment.

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.

In search of the determinants of European asset market comovements (2016)
Journal Article
Gomes, P., & Taamouti, A. (2016). In search of the determinants of European asset market comovements. International Review of Economics and Finance, 44, 103-117. https://doi.org/10.1016/j.iref.2016.03.005

We show, in a broad class of affine general equilibrium models with long-run risk, that the covariances between asset returns are linear functions of risk factors. We use a dynamic conditional correlation model to measure the covariances of stock and... Read More about In search of the determinants of European asset market comovements.

Finite-Sample Sign-Based Inference in Linear and Nonlinear Regression Models with Applications in Finance (2015)
Journal Article
Taamouti, A. (2015). Finite-Sample Sign-Based Inference in Linear and Nonlinear Regression Models with Applications in Finance. L'actualité économique (En ligne), 91(1-2), 89-113

We review several exact sign-based tests that have been recently proposed for testing orthogonality between random variables in the context of linear and nonlinear regression models. The sign tests are very useful when the data at the hands contain f... Read More about Finite-Sample Sign-Based Inference in Linear and Nonlinear Regression Models with Applications in Finance.

Stock Market's Reaction to Money Supply: A Nonparametric Analysis (2014)
Journal Article
Taamouti, A. (2015). Stock Market's Reaction to Money Supply: A Nonparametric Analysis. Studies in Nonlinear Dynamics & Econometrics, 19(5), 669-689. https://doi.org/10.1515/snde-2013-0059

We empirically investigate the link between monetary policy measures and stock market prices. We document the following stylized facts about stock market’s reaction to money supply and examine the effect across the entire distribution of stock return... Read More about Stock Market's Reaction to Money Supply: A Nonparametric Analysis.

Did the euro change the effect of fundamentals on growth and uncertainty? (2014)
Journal Article
Luque, J., & Taamouti, A. (2014). Did the euro change the effect of fundamentals on growth and uncertainty?. BE Journal of Macroeconomics, 14(1), 625-660. https://doi.org/10.1515/bejm-2013-0133

We present empirical evidence on whether the introduction of the euro has changed the effect of economic fundamentals on the growth rates of euro countries’ GDPpc and GDPpc volatility. We find that there is a statistically significant structural brea... Read More about Did the euro change the effect of fundamentals on growth and uncertainty?.

Nonparametric tests for conditional independence using conditional distributions (2014)
Journal Article
Bouezmarni, T., & Taamouti, A. (2014). Nonparametric tests for conditional independence using conditional distributions. Journal of Nonparametric Statistics, 26(4), 697-719. https://doi.org/10.1080/10485252.2014.945447

The concept of causality is naturally defined in terms of conditional distribution, however almost all the empirical works focus on causality in mean. This paper aims to propose a nonparametric statistic to test the conditional independence and Grang... Read More about Nonparametric tests for conditional independence using conditional distributions.

Nonparametric estimation and inference for conditional density based Granger causality measures (2014)
Journal Article
Taamouti, A., Bouezmarni, T., & El Gouch, A. (2014). Nonparametric estimation and inference for conditional density based Granger causality measures. Journal of Econometrics, 180(2), 251-264. https://doi.org/10.1016/j.jeconom.2014.03.001

We propose a nonparametric estimation and inference for conditional density based Granger causality measures that quantify linear and nonlinear Granger causalities. We first show how to write the causality measures in terms of copula densities. There... Read More about Nonparametric estimation and inference for conditional density based Granger causality measures.