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
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Working Papers
2013
- A Distributional Approach to Realized Volatility
Staff Working Papers, Bank of Canada
- 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 in The Journal of Financial Econometrics (2014)
- Bootstrapping pre-averaged realized volatility under market microstructure noise
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
- Volatility Forecasting when the Noise Variance Is Time-Varying
Staff Working Papers, Bank of Canada View citations (2)
2012
- 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 in Journal of Financial and Quantitative Analysis (2014)
2010
- Bootstrapping realized multivariate volatility measures
MPRA Paper, University Library of Munich, Germany View citations (10)
See also Journal Article in Journal of Econometrics (2013)
- Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices
IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations (3)
Also in TSE Working Papers, Toulouse School of Economics (TSE) (2010) View citations (3)
See also Journal Article in Review of Financial Studies (2011)
2007
- 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 in Journal of Applied Econometrics (2012)
2004
- Expected Value Models: A New Approach
Econometric Society 2004 North American Winter Meetings, Econometric Society
2003
- GARCH and Irregularly Spaced Data
Discussion Paper, Tilburg University, Center for Economic Research View citations (3)
See also Journal Article in Economics Letters (2006)
2002
- ARMA REPRESENTATION OF INTEGRATED AND REALIZED VARIANCES
Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
Also in CIRANO Working Papers, CIRANO (2002) View citations (3) Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) View citations (3)
See also Journal Article in Econometrics Journal (2003)
- ARMA Representation of Two-Factor Models
CIRANO Working Papers, CIRANO View citations (4)
- Analytic Evaluation of Volatility Forecasts
CIRANO Working Papers, CIRANO View citations (14)
See also Journal Article in International Economic Review (2004)
- 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 CIRANO Working Papers, CIRANO (2002) View citations (7) Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) View citations (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 in Journal of Econometrics (2005)
2001
- A Theoretical Comparison Between Integrated and Realized Volatilies
Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (4)
Also in CIRANO Working Papers, CIRANO (2001) View citations (10) Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2001) View citations (4)
See also Journal Article in Journal of Applied Econometrics (2002)
- An Eigenfunction Approach for Volatility Modeling
Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (74)
Also in CIRANO Working Papers, CIRANO (2001) View citations (71) Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001) View citations (71)
2000
- Temporal Aggregation of Volatility Models
Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (19)
Also in CIRANO Working Papers, CIRANO (2000) View citations (35)
See also Journal Article in Journal of Econometrics (2004)
1998
- 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)
- 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
- The long and the short of the risk-return trade-off
Journal of Econometrics, 2015, 187, (2), 580-592 View citations (12)
2014
- Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns
The Journal of Financial Econometrics, 2014, 12, (4), 679-707 View citations (5)
See also Working Paper (2013)
- 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 (55)
See also Working Paper (2012)
2013
- Bootstrapping realized multivariate volatility measures
Journal of Econometrics, 2013, 172, (1), 49-65 View citations (23)
See also Working Paper (2010)
2012
- Testing distributional assumptions: A GMM aproach
Journal of Applied Econometrics, 2012, 27, (6), 978-1012 View citations (27)
See also Working Paper (2007)
2011
- Box-Cox transforms for realized volatility
Journal of Econometrics, 2011, 160, (1), 129-144 View citations (17)
- Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices
Review of Financial Studies, 2011, 24, (1), 82-122 View citations (34)
See also Working Paper (2010)
- Realized Volatility
Journal of Econometrics, 2011, 160, (1), 1-1 View citations (52)
- Realized volatility forecasting and market microstructure noise
Journal of Econometrics, 2011, 160, (1), 220-234 View citations (97)
2009
- Bootstrapping Realized Volatility
Econometrica, 2009, 77, (1), 283-306 View citations (77)
2008
- Edgeworth Corrections for Realized Volatility
Econometric Reviews, 2008, 27, (1-3), 139-162 View citations (6)
2006
- Comment
Journal of Business & Economic Statistics, 2006, 24, 184-192
- GARCH and irregularly spaced data
Economics Letters, 2006, 90, (2), 200-204 View citations (14)
See also Working Paper (2003)
2005
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
Econometrica, 2005, 73, (1), 279-296 View citations (172)
- Jean-Jacques Laffont et l'économie appliquée
Revue d'économie politique, 2005, 115, (3), 309-336
- Testing normality: a GMM approach
Journal of Econometrics, 2005, 124, (1), 149-186 View citations (72)
See also Working Paper (2002)
2004
- ANALYTICAL EVALUATION OF VOLATILITY FORECASTS
International Economic Review, 2004, 45, (4), 1079-1110 View citations (112)
See also Working Paper (2002)
- Temporal aggregation of volatility models
Journal of Econometrics, 2004, 119, (2), 355-379 View citations (80)
See also Working Paper (2000)
2003
- ARMA representation of integrated and realized variances
Econometrics Journal, 2003, 6, (2), 335-356 View citations (38)
See also Working Paper (2002)
2002
- A theoretical comparison between integrated and realized volatility
Journal of Applied Econometrics, 2002, 17, (5), 479-508 View citations (165)
See also Working Paper (2001)
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