Staff profile

Abderrahim Taamouti has a PhD (2007) in Economics from University of Montreal, Canada. Before joining Durham University Business School in 2014, Abderrahim held the position of Associate Professor of Economics at Universidad Carlos III de Madrid in Spain. His fields of specialization are Econometrics and Finance. He mainly works on Granger causality analysis, hypothesis testing, nonparametric estimation and testing, asset pricing, portfolio selection, and risk management.

His research projects have resulted in several publications in internationally renowned journals in Econometrics, Finance and Statistics such as Journal of Econometrics, Review of Finance, Journal of Multivariate Analysis, Journal of Dynamics and Economic Control, Journal of Financial Econometrics, Journal of Business & Economic Statistics, Computational Statistics and Data Analysis, Journal of Empirical Finance, Journal of International Money and Finance, Statistics and Risk Modelling, Finance Research Letters, Financial Markets and Portfolio Management, etc.

Abderrahim taught several graduate (Msc and PhD) and undergraduate courses in Econometrics, Finance and Statistics. He worked closely with students of both graduate and undergraduate levels and he supervised several Master and PhD students, and he was in the thesis committee of many PhD students.

Mini Biography

Before joining Durham University Business School in 2014, Abderrahim (PhD in Economics, University of Montreal) held the position of Associate Professor of Economics at Universidad Carlos III de Madrid in Spain. His fields of specialization are Econometrics and Finance. He mainly works on Granger causality analysis, hypothesis testing, nonparametric estimation and testing, asset pricing, portfolio selection, and risk management. He published in many international journals as Journal of Econometrics, Review of Finance, Journal of Multivariate Analysis, Journal of Business & Economic Statistics, Journal of Empirical Finance, and Journal of Financial Econometrics.

• Asset Pricing
• Asymmetric Volatility and Correlations
• Sovereign Credit Ratings
• Risk Management and Portfolio Optimization
• Causality in Time Series
• Characteristic Function Methods in Time Series
• Exact Sign-Based Inference
• Nonparametic Tests and Measures

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
• 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
• 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
• 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
• 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
• 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
• 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
• 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
• 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
• 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
• 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
• 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
• 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
• 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
• 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
• 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
• 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
• 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
• 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
• 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
• 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
• 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
• 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
• 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
• Bouezmarni, T., Rombouts, J., & Taamouti, A. (2012). A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality. Journal of Business & Economic Statistics, 30(2), 275-287. https://doi.org/10.1080/07350015.2011.638831
• Taamouti, A., Dufour, J., & Garcia, R. (2012). Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility. Journal of Financial Econometrics, 10(1), 124-163
• Taamouti, A., & Bouaddi, M. (2012). Portfolio Risk Management in a Data-Rich Environment
• Taamouti, A. (2012). Moments of Multivariate Regime Switching with Application to Risk-Return Trade-Off. Journal of Empirical Finance, 19(2), 292-308
• Taamouti, A., Tsafack, G., & Amira, K. (2011). What Drives International Equity Correlations? Volatility or Market Direction?. Journal of International Money and Finance, 30(6), 1234-1263
• Bouezmarn, T., Rombouts, J. V., & Taamouti, A. (2010). Asymptotic properties of the Bernstein density copula estimator for α-mixing data. Journal of Multivariate Analysis, 101(1), 1-10. https://doi.org/10.1016/j.jmva.2009.02.014
• Taamouti, A., & Dufour, J. (2010). Short and Long Run Causality Measures: Theory and Inference. Journal of Econometrics, 154(1), 42-58
• Taamouti, A., Roy, R., & Bouezmarni, T. (2010). Asymptotic and Small Sample Properties of Conditional-Distribution-based Tests for Conditional
• Taamouti, A., & Dufour, J. (2010). Exact Optimal and Adaptive Inference in Linear and Nonlinear Models under Heteroskedasticity and Non-Normality of Unknown Forms
• Taamouti, A. (2009). Analytical Value-at-Risk and Expected Shortfall under Regime Switching. Finance Research Letters, 6(3), 138-151
• Taamouti, A., & Dufour, J. (2006). Nonparametric Short and Long Run Causality Measures