Abderrahim Taamouti's Outputs (4)

Bernstein estimator for unbounded copula densities (2013)
Journal Article
Bouezmarni, T., El Gouch, A., & Taamouti, A. (2013). Bernstein estimator for unbounded copula densities. Statistics & Risk Modeling, 30(4), 343-360. https://doi.org/10.1524/strm.2013.2003

Copulas are widely used for modeling the dependence structure of multivariate data. Many methods for estimating the copula density functions are investigated. In this paper, we study the asymptotic properties of the Bernstein estimator for unbounded... Read More about Bernstein estimator for unbounded copula densities.

Portfolio Selection in a Data-Rich Environment (2013)
Journal Article
Bouaddi, M., & Taamouti, A. (2013). Portfolio Selection in a Data-Rich Environment. Journal of Economic Dynamics and Control, 37(12), 2943-2962. https://doi.org/10.1016/j.jedc.2013.08.010

We model portfolio weights as a function of latent factors that summarize the information in a large number of economic variables. This approach (hereafter diffusion index approach) offers the opportunity to exploit a much richer information base to... Read More about Portfolio Selection in a Data-Rich Environment.

Sovereign Credit Ratings, Market Volatility, and Financial Gains (2013)
Journal Article
Afonso, A., Gomes, P., & Taamouti, A. (2014). Sovereign Credit Ratings, Market Volatility, and Financial Gains. Computational Statistics & Data Analysis, 76, 20-33. https://doi.org/10.1016/j.csda.2013.09.028

The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are defined u... Read More about Sovereign Credit Ratings, Market Volatility, and Financial Gains.

Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty (2013)
Journal Article
Feunou, B., Fontaine, J., Taamouti, A., & Tédongap, R. (2014). Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty. Review of Finance, 18(1), 219-269. https://doi.org/10.1093/rof/rft004

Structural or no-arbitrage asset-pricing models emphasize risk factors that cannot be observed directly. We show that the term structure of risk implicit in option prices can reveal these risk factors. Empirically, the variance term structure reveals... Read More about Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty.