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Abderrahim Taamouti

Institution: University of Liverpool

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://sites.google.com/view/ataamouti

First Publication: 2010

Most Recent: 2024

RePEc ID: pta202 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total Percentile
Last 5 Years 0.00 3.36 3.36 0.00 6.73 89%
Last 10 Years 0.00 5.38 5.89 0.20 11.47 91%
All Time 0.00 10.09 8.07 0.20 18.37 93%

Publication Statistics

Raw Publications 16
Coauthorship-Adjusted Count 13.53

Publications (16)

Year Article Journal Tier Authors
2024 Value‐at‐Risk under Measurement Error Oxford Bulletin of Economics and Statistics B 3
2022 Testing for Asymmetric Comovements Oxford Bulletin of Economics and Statistics B 3
2022 Testing the eigenvalue structure of spot and integrated covariance Journal of Econometrics A 3
2021 Covid‐19 Control and the Economy: Test, Test, Test Oxford Bulletin of Economics and Statistics B 1
2021 Measuring Granger Causality in Quantiles Journal of Business & Economic Statistics A 2
2020 Financial frictions and the futures pricing puzzle Economic Modeling C 5
2019 A Better Understanding of Granger Causality Analysis: A Big Data Environment Oxford Bulletin of Economics and Statistics B 2
2019 The information content of forward moments Journal of Banking & Finance B 4
2018 Measuring Nonlinear Granger Causality in Mean Journal of Business & Economic Statistics A 2
2017 Partial Structural Break Identification Oxford Bulletin of Economics and Statistics B 2
2014 Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty Review of Finance B 4
2014 Nonparametric estimation and inference for conditional density based Granger causality measures Journal of Econometrics A 3
2013 Portfolio selection in a data-rich environment Journal of Economic Dynamics and Control B 2
2011 What drives international equity correlations? Volatility or market direction? Journal of International Money and Finance B 3
2011 Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality Journal of Business & Economic Statistics A 3
2010 Short and long run causality measures: Theory and inference Journal of Econometrics A 2