| Short and long run causality measures: Theory and inference JM Dufour, A Taamouti Journal of Econometrics 154 (1), 42-58, 2010 | 136 | 2010 |
| Sovereign credit ratings, market volatility, and financial gains A Afonso, P Gomes, A Taamouti Computational Statistics & Data Analysis 76, 20-33, 2014 | 115 | 2014 |
| Nonparametric copula-based test for conditional independence with applications to Granger causality T Bouezmarni, JVK Rombouts, A Taamouti Journal of Business & Economic Statistics 30 (2), 275-287, 2012 | 93 | 2012 |
| Asymptotic properties of the Bernstein density copula estimator for α-mixing data T Bouezmarni, JVK Rombouts, A Taamouti Journal of Multivariate Analysis 101 (1), 1-10, 2010 | 56 | 2010 |
| Risk premium, variance premium, and the maturity structure of uncertainty B Feunou, JS Fontaine, A Taamouti, R Tédongap Review of Finance 18 (1), 219-269, 2014 | 53 | 2014 |
| Measuring high-frequency causality between returns, realized volatility, and implied volatility JM Dufour, R Garcia, A Taamouti Journal of Financial Econometrics 10 (1), 124-163, 2012 | 46 | 2012 |
| Nonparametric estimation and inference for conditional density based Granger causality measures A Taamouti, T Bouezmarni, A El Ghouch Journal of Econometrics 180 (2), 251-264, 2014 | 43 | 2014 |
| The reaction of stock market returns to unemployment J Gonzalo, A Taamouti Studies in Nonlinear Dynamics & Econometrics 21 (4), 20150078, 2017 | 40 | 2017 |
| What drives international equity correlations? Volatility or market direction? K Amira, A Taamouti, G Tsafack Journal of International Money and Finance 30 (6), 1234-1263, 2011 | 38 | 2011 |
| Testing independence based on Bernstein empirical copula and copula density M Belalia, T Bouezmarni, FC Lemyre, A Taamouti Journal of Nonparametric Statistics 29 (2), 346-380, 2017 | 36 | 2017 |
| A better understanding of granger causality analysis: A big data environment X Song, A Taamouti Oxford Bulletin of Economics and Statistics 81 (4), 911-936, 2019 | 32 | 2019 |
| Bernstein estimator for unbounded copula densities T Bouezmarni, E Ghouch, A Taamouti Statistics & risk modeling 30 (4), 343-360, 2013 | 32 | 2013 |
| In search of the determinants of European asset market comovements P Gomes, A Taamouti International Review of Economics & Finance 44, 103-117, 2016 | 31 | 2016 |
| Measuring nonlinear granger causality in mean X Song, A Taamouti Journal of Business & Economic Statistics 36 (2), 321-333, 2018 | 28 | 2018 |
| Measuring Granger causality in quantiles X Song, A Taamouti Journal of Business & Economic Statistics 39 (4), 937-952, 2021 | 26 | 2021 |
| Do investors price industry risk? Evidence from the cross-section of the oil industry SB Ramos, A Taamouti, H Veiga, CW Wang Do investors price industry risk? Evidence from the cross-section of the oil …, 2017 | 24 | 2017 |
| Nonparametric tests for conditional independence using conditional distributions T Bouezmarni, A Taamouti Journal of Nonparametric Statistics 26 (4), 697-719, 2014 | 23 | 2014 |
| A nonparametric copula based test for conditional independence with applications to granger causality T Bouezmarni, JVK Rombouts, A Taamouti | 22 | 2009 |
| Stock market’s reaction to money supply: A nonparametric analysis A Taamouti Studies in Nonlinear Dynamics & Econometrics 19 (5), 669-689, 2015 | 18 | 2015 |
| Analytical Value-at-Risk and Expected Shortfall under regime-switching A Taamouti Finance Research Letters 6 (3), 138-151, 2009 | 18 | 2009 |
Jeroen VK RomboutsESSEC Business SchoolVerified email at essec.edu
