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Measuring causality between volatility and returns with high-frequency data. (2008). Taamouti, Abderrahim ; Garcia, René ; Dufour, Jean-Marie.
In: UC3M Working papers. Economics.
RePEc:cte:werepe:we084422.

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  1. Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality. (2011). Taamouti, Abderrahim ; Bouezmarni, Taoufik ; Jeroen V. K. Rombouts, .
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:30:y:2011:i:2:p:275-287.

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  2. What drives international equity correlations? Volatility or market direction?. (2011). Taamouti, Abderrahim ; Amira, Khaled ; Tsafack, Georges .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:30:y:2011:i:6:p:1234-1263.

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  3. A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality. (2009). Taamouti, Abderrahim ; Rombouts, Jeroen ; Bouezmarni, Taoufik ; Jeroen V. K. Rombouts, .
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:0927.

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  4. What Drives International Equity Correlations? Volatility or Market Direction?. (2009). Taamouti, Abderrahim ; Amira, Khaled ; Tsafack, Georges .
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:we094122.

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  5. A nonparametric copula based test for conditional independence with applications to granger causality. (2009). Taamouti, Abderrahim ; Rombouts, Jeroen ; Bouezmarni, Taoufik ; Jeroen V. K. Rombouts, .
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:we093419.

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  6. A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality. (2009). Taamouti, Abderrahim ; Rombouts, Jeroen ; Bouezmarni, Taoufik.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-28.

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    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-059.

    Full description at Econpapers || Download paper

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