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Mixed exponential power asymmetric conditional heteroskedasticity

Rombouts, Jeroen V. K.; Bouaddi, Mohammed - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10009513576

Mixed exponential power asymmetric conditional heteroskedasticity

Bouaddi, Mohammed (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003646288

Mixed exponential power asymmetric conditional heteroskedasticity

Bouaddi, Mohammed (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003628635

Short and long run causality measures : theory and inference

Dufour, Jean-Marie; Taamouti, Abderrahim - In: Journal of econometrics 154 (2010) 1, pp. 42-58

Persistent link: https://www.econbiz.de/10003931784

Nonparametric estimation and inference for conditional density based Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264

Persistent link: https://www.econbiz.de/10010433362

Measuring high-frequency causality between returns, realized volatility, and implied volatility

Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - In: Journal of financial econometrics : official journal of … 10 (2012) 1, pp. 124-163

Persistent link: https://www.econbiz.de/10009519709

Nonparametric estimation and inference for Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - 2012

Persistent link: https://www.econbiz.de/10010473723

Short and long run causality measures : theory and inference

Dufour, Jean-Marie (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003774254

Measuring nonlinear Granger causality in mean

Song, Xiaojun; Taamouti, Abderrahim - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 321-333

Persistent link: https://www.econbiz.de/10011895015

Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie - 2011

In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

Persistent link: https://www.econbiz.de/10013128856