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Details about Nour Meddahi

Homepage:http://gremaq.univ-tlse1.fr/perso/meddahi/
Workplace:Groupe de Recherche en Économie Mathématique et Quantitative (GREMAQ) (Research Group in Mathematical and Quantitative Economics), Toulouse School of Economics (TSE), (more information at EDIRC)

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

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

2012

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

2010

  1. Bootstrapping realized multivariate volatility measures
    MPRA Paper, University Library of Munich, Germany Downloads View citations (10)
    See also Journal Article in Journal of Econometrics (2013)
  2. Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices
    TSE Working Papers, Toulouse School of Economics (TSE) Downloads View citations (1)
    Also in IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2010) Downloads View citations (1)

    See also Journal Article in Review of Financial Studies (2011)

2007

  1. Testing Distributional Assumptions: A GMM Approach
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse Downloads
    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

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

2003

  1. GARCH and Irregularly Spaced Data
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    See also Journal Article in Economics Letters (2006)

2002

  1. ARMA REPRESENTATION OF INTEGRATED AND REALIZED VARIANCES
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads
    Also in CIRANO Working Papers, CIRANO (2002) Downloads View citations (2)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) Downloads View citations (2)

    See also Journal Article in Econometrics Journal (2003)
  2. ARMA Representation of Two-Factor Models
    CIRANO Working Papers, CIRANO Downloads View citations (2)
  3. Analytic Evaluation of Volatility Forecasts
    CIRANO Working Papers, CIRANO Downloads View citations (13)
    See also Journal Article in International Economic Review (2004)
  4. 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 Downloads
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) Downloads View citations (13)
    CIRANO Working Papers, CIRANO (2002) Downloads View citations (4)
  5. TESTING NORMALITY: A GMM APPROACH
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads
    Also in CIRANO Working Papers, CIRANO (2002) Downloads View citations (14)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) Downloads View citations (5)

    See also Journal Article in Journal of Econometrics (2005)

2001

  1. A Theoretical Comparison Between Integrated and Realized Volatilies
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (4)
    Also in CIRANO Working Papers, CIRANO (2001) Downloads View citations (2)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001) View citations (4)

    See also Journal Article in Journal of Applied Econometrics (2002)
  2. An Eigenfunction Approach for Volatility Modeling
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (61)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001) View citations (54)
    CIRANO Working Papers, CIRANO (2001) Downloads View citations (54)

2000

  1. Temporal Aggregation of Volatility Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (15)
    Also in CIRANO Working Papers, CIRANO (2000) Downloads View citations (32)

    See also Journal Article in Journal of Econometrics (2004)

1998

  1. Aggregations and Marginalization of GARCH and Stochastic Volatility Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads
    Also in Working Papers, Toulouse - GREMAQ (1996) View citations (27)
  2. Quadratic M-Estimators for ARCH-Type Processes
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (6)
    Also in CIRANO Working Papers, CIRANO (1998) Downloads View citations (2)

Journal Articles

2015

  1. The long and the short of the risk-return trade-off
    Journal of Econometrics, 2015, 187, (2), 580-592 Downloads View citations (10)

2014

  1. Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns
    Journal of Financial Econometrics, 2014, 12, (4), 679-707 Downloads View citations (4)
    See also Working Paper (2013)
  2. The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
    Journal of Financial and Quantitative Analysis, 2014, 49, (3), 663-697 Downloads View citations (31)
    See also Working Paper (2012)

2013

  1. Bootstrapping realized multivariate volatility measures
    Journal of Econometrics, 2013, 172, (1), 49-65 Downloads View citations (20)
    See also Working Paper (2010)

2012

  1. Testing distributional assumptions: A GMM aproach
    Journal of Applied Econometrics, 2012, 27, (6), 978-1012 View citations (21)
    See also Working Paper (2007)

2011

  1. Box-Cox transforms for realized volatility
    Journal of Econometrics, 2011, 160, (1), 129-144 Downloads View citations (14)
  2. Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices
    Review of Financial Studies, 2011, 24, (1), 82-122 Downloads View citations (21)
    See also Working Paper (2010)
  3. Realized Volatility
    Journal of Econometrics, 2011, 160, (1), 1-1 Downloads View citations (50)
  4. Realized volatility forecasting and market microstructure noise
    Journal of Econometrics, 2011, 160, (1), 220-234 Downloads View citations (75)

2009

  1. Bootstrapping Realized Volatility
    Econometrica, 2009, 77, (1), 283-306 Downloads View citations (71)

2008

  1. Edgeworth Corrections for Realized Volatility
    Econometric Reviews, 2008, 27, (1-3), 139-162 Downloads View citations (5)

2006

  1. Comment
    Journal of Business & Economic Statistics, 2006, 24, 184-192 Downloads
  2. GARCH and irregularly spaced data
    Economics Letters, 2006, 90, (2), 200-204 Downloads View citations (11)
    See also Working Paper (2003)

2005

  1. Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
    Econometrica, 2005, 73, (1), 279-296 Downloads View citations (140)
  2. Jean-Jacques Laffont et l'économie appliquée
    Revue d'économie politique, 2005, 115, (3), 309-336 Downloads
  3. Testing normality: a GMM approach
    Journal of Econometrics, 2005, 124, (1), 149-186 Downloads View citations (62)
    See also Working Paper (2002)

2004

  1. ANALYTICAL EVALUATION OF VOLATILITY FORECASTS
    International Economic Review, 2004, 45, (4), 1079-1110 Downloads View citations (94)
    See also Working Paper (2002)
  2. Temporal aggregation of volatility models
    Journal of Econometrics, 2004, 119, (2), 355-379 Downloads View citations (64)
    See also Working Paper (2000)

2003

  1. ARMA representation of integrated and realized variances
    Econometrics Journal, 2003, 6, (2), 335-356 Downloads View citations (34)
    See also Working Paper (2002)

2002

  1. A theoretical comparison between integrated and realized volatility
    Journal of Applied Econometrics, 2002, 17, (5), 479-508 Downloads View citations (144)
    See also Working Paper (2001)
 
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