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What drives international equity correlations? : volatility or market direction?

Amira, Khaled; Taamouti, Abderrahim; Tsafack, Georges - 2009

Persistent link: https://www.econbiz.de/10003971756

Earnings announcement premium and return volatility : is it consistent with risk-return trade-off?

Tsafack, Georges; Becker, Ying; Han, Ki C. - In: Pacific-Basin finance journal 79 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014463244

Measuring financial contagion : dealing with the volatility Bias in the correlation dynamics

Starkey, Christopher Michael; Tsafack, Georges - In: International review of financial analysis 90 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014469938

Analytical value-at-risk and expected shortfall under regime switching

Taamouti, Abderrahim - 2009

Persistent link: https://www.econbiz.de/10003972447

Moments of multivariate regime switching with application to risk-return trade-off

Taamouti, Abderrahim - In: Journal of empirical finance 19 (2012) 2, pp. 292-308

Persistent link: https://www.econbiz.de/10009615702

Analytical Value-at-Risk and Expected Shortfall under regime-switching

Taamouti, Abderrahim - In: Finance research letters 6 (2009) 3, pp. 138-151

Persistent link: https://www.econbiz.de/10003888009

Sovereign credit ratings, market volatility, and financial gains

Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 20-33

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 using EGARCH specifications. The estimation...

Persistent link: https://www.econbiz.de/10011056573

The market uncertainty of ethically compliant equity : an integrated screening approach

Norhidayah Abu Bakar; Abd-Elsalam, Omneya H.; Taamouti, … - In: Journal of international financial markets, … 86 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014433331

Sovereign credit ratings, market volatility, and financial gains : N°1654, March 2014

Afonso, António (contributor); Gomes, Pedro (contributor); … - European Central Bank - 2014

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 filtered using EGARCH specifications. The estimation...

Persistent link: https://www.econbiz.de/10015301794

A nonparametric copula based test for conditional independence with applications to Granger causality

Bouezmarni, Taoufik; Rombouts, Jeroen V. K.; Taamouti, … - 2009

Persistent link: https://www.econbiz.de/10003964473