Details about Nour Meddahi

Access statistics for papers by Nour Meddahi.

Last updated 2015-11-19. Update your information in the RePEc Author Service.

Short-id: pme426

Working Papers

2013

1. A Distributional Approach to Realized Volatility
   Staff Working Papers, Bank of Canada
2. Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   See also Journal Article Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns, Journal of Financial Econometrics, Oxford University Press (2014) View citations (5) (2014)
3. Bootstrapping pre-averaged realized volatility under market microstructure noise
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
4. Volatility Forecasting when the Noise Variance Is Time-Varying
   Staff Working Papers, Bank of Canada View citations (2)

2012

5. The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
   Staff Working Papers, Bank of Canada View citations (9)
   See also Journal Article The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation, Journal of Financial and Quantitative Analysis, Cambridge University Press (2014) View citations (71) (2014)

2010

6. Bootstrapping realized multivariate volatility measures
   MPRA Paper, University Library of Munich, Germany View citations (10)
   See also Journal Article Bootstrapping realized multivariate volatility measures, Journal of Econometrics, Elsevier (2013) View citations (23) (2013)
7. Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices
   IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations (4)
   Also in TSE Working Papers, Toulouse School of Economics (TSE) (2010) View citations (4)
   See also Journal Article Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices, The Review of Financial Studies, Society for Financial Studies (2011) View citations (37) (2011)

2007

8. Testing Distributional Assumptions: A GMM Approach
   IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse
   Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) View citations (1)
   See also Journal Article Testing distributional assumptions: A GMM aproach, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2012) View citations (31) (2012)

2004

9. Expected Value Models: A New Approach
   Econometric Society 2004 North American Winter Meetings, Econometric Society

2003

10. GARCH and Irregularly Spaced Data
    Discussion Paper, Tilburg University, Center for Economic Research View citations (4)
    See also Journal Article GARCH and irregularly spaced data, Economics Letters, Elsevier (2006) View citations (15) (2006)

2002

11. ARMA REPRESENTATION OF INTEGRATED AND REALIZED VARIANCES
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) View citations (3)
    CIRANO Working Papers, CIRANO (2002) View citations (3)
    See also Journal Article ARMA representation of integrated and realized variances, Econometrics Journal, Royal Economic Society (2003) View citations (42) (2003)
12. ARMA Representation of Two-Factor Models
    CIRANO Working Papers, CIRANO View citations (4)
13. Analytic Evaluation of Volatility Forecasts
    CIRANO Working Papers, CIRANO View citations (14)
    See also Journal Article ANALYTICAL EVALUATION OF VOLATILITY FORECASTS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2004) View citations (118) (2004)
14. CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (6)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) View citations (15)
    CIRANO Working Papers, CIRANO (2002) View citations (7)
15. TESTING NORMALITY: A GMM APPROACH
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (5)
    Also in CIRANO Working Papers, CIRANO (2002) View citations (14)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) View citations (5)
    See also Journal Article Testing normality: a GMM approach, Journal of Econometrics, Elsevier (2005) View citations (74) (2005)

2001

16. A Theoretical Comparison Between Integrated and Realized Volatilies
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (4)
    Also in CIRANO Working Papers, CIRANO (2001) View citations (10)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001) View citations (4)
    See also Journal Article A theoretical comparison between integrated and realized volatility, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2002) View citations (170) (2002)
17. An Eigenfunction Approach for Volatility Modeling
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (76)
    Also in CIRANO Working Papers, CIRANO (2001) View citations (73)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001) View citations (73)

2000

18. Temporal Aggregation of Volatility Models
    CIRANO Working Papers, CIRANO View citations (35)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (19)
    See also Journal Article Temporal aggregation of volatility models, Journal of Econometrics, Elsevier (2004) View citations (83) (2004)

1998

19. Aggregations and Marginalization of GARCH and Stochastic Volatility Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (3)
    Also in Working Papers, Toulouse - GREMAQ (1996) View citations (28)
20. Quadratic M-Estimators for ARCH-Type Processes
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (6)
    Also in CIRANO Working Papers, CIRANO (1998) View citations (3)

Journal Articles

2015

1. The long and the short of the risk-return trade-off
   Journal of Econometrics, 2015, 187, (2), 580-592 View citations (13)

2014

2. Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns
   Journal of Financial Econometrics, 2014, 12, (4), 679-707 View citations (5)
   See also Working Paper Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns, CREATES Research Papers (2013) View citations (1) (2013)
3. The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
   Journal of Financial and Quantitative Analysis, 2014, 49, (3), 663-697 View citations (71)
   See also Working Paper The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation, Staff Working Papers (2012) View citations (9) (2012)

2013

4. Bootstrapping realized multivariate volatility measures
   Journal of Econometrics, 2013, 172, (1), 49-65 View citations (23)
   See also Working Paper Bootstrapping realized multivariate volatility measures, MPRA Paper (2010) View citations (10) (2010)

2012

5. Testing distributional assumptions: A GMM aproach
   Journal of Applied Econometrics, 2012, 27, (6), 978-1012 View citations (31)
   See also Working Paper Testing Distributional Assumptions: A GMM Approach, IDEI Working Papers (2007) (2007)

2011

6. Box-Cox transforms for realized volatility
   Journal of Econometrics, 2011, 160, (1), 129-144 View citations (17)
7. Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices
   The Review of Financial Studies, 2011, 24, (1), 82-122 View citations (37)
   See also Working Paper Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices, IDEI Working Papers (2010) View citations (4) (2010)
8. Realized Volatility
   Journal of Econometrics, 2011, 160, (1), 1-1 View citations (52)
9. Realized volatility forecasting and market microstructure noise
   Journal of Econometrics, 2011, 160, (1), 220-234 View citations (119)

2009

10. Bootstrapping Realized Volatility
    Econometrica, 2009, 77, (1), 283-306 View citations (84)

2008

11. Edgeworth Corrections for Realized Volatility
    Econometric Reviews, 2008, 27, (1-3), 139-162 View citations (7)

2006

12. Comment
    Journal of Business & Economic Statistics, 2006, 24, 184-192
13. GARCH and irregularly spaced data
    Economics Letters, 2006, 90, (2), 200-204 View citations (15)
    See also Working Paper GARCH and Irregularly Spaced Data, Discussion Paper (2003) View citations (4) (2003)

2005

14. Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
    Econometrica, 2005, 73, (1), 279-296 View citations (182)
15. Jean-Jacques Laffont et l'économie appliquée
    Revue d'économie politique, 2005, 115, (3), 309-336
16. Testing normality: a GMM approach
    Journal of Econometrics, 2005, 124, (1), 149-186 View citations (74)
    See also Working Paper TESTING NORMALITY: A GMM APPROACH, Cahiers de recherche (2002) View citations (5) (2002)

2004

17. ANALYTICAL EVALUATION OF VOLATILITY FORECASTS
    International Economic Review, 2004, 45, (4), 1079-1110 View citations (118)
    See also Working Paper Analytic Evaluation of Volatility Forecasts, CIRANO Working Papers (2002) View citations (14) (2002)
18. Temporal aggregation of volatility models
    Journal of Econometrics, 2004, 119, (2), 355-379 View citations (83)
    See also Working Paper Temporal Aggregation of Volatility Models, CIRANO Working Papers (2000) View citations (35) (2000)

2003

19. ARMA representation of integrated and realized variances
    Econometrics Journal, 2003, 6, (2), 335-356 View citations (42)
    See also Working Paper ARMA REPRESENTATION OF INTEGRATED AND REALIZED VARIANCES, Cahiers de recherche (2002) View citations (1) (2002)

2002

20. A theoretical comparison between integrated and realized volatility
    Journal of Applied Econometrics, 2002, 17, (5), 479-508 View citations (170)
    See also Working Paper A Theoretical Comparison Between Integrated and Realized Volatilies, Cahiers de recherche (2001) View citations (4) (2001)