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Nour Meddahi
Nour Meddahi
Professor of Economics, Toulouse School of Economics
Verified email at tse-fr.eu
Title
Cited by
Cited by
Year
Correcting the errors: Volatility forecast evaluation using high‐frequency data and realized volatilities
TG Andersen, T Bollerslev, N Meddahi
Econometrica 73 (1), 279-296, 2005
4142005
A theoretical comparison between integrated and realized volatility
N Meddahi
Journal of Applied Econometrics 17 (5), 479-508, 2002
3692002
Analytical evaluation of volatility forecasts
TG Andersen, T Bollerslev, N Meddahi
International Economic Review 45 (4), 1079-1110, 2004
3082004
Realized volatility forecasting and market microstructure noise
TG Andersen, T Bollerslev, N Meddahi
Journal of Econometrics 160 (1), 220-234, 2011
3072011
Temporal aggregation of volatility models
N Meddahi, E Renault
Journal of Econometrics 119 (2), 355-379, 2004
2822004
Testing normality: a GMM approach
C Bontemps, N Meddahi
Journal of Econometrics 124 (1), 149-186, 2005
2102005
Bootstrapping realized volatility
S Gonçalves, N Meddahi
Econometrica 77 (1), 283-306, 2009
2072009
The economic value of realized volatility: Using high-frequency returns for option valuation
P Christoffersen, B Feunou, K Jacobs, N Meddahi
Journal of Financial and Quantitative Analysis 49 (3), 663-697, 2014
1622014
An eigenfunction approach for volatility modeling
N Meddahi
Cahier de recherche, 2001
1582001
Generalized disappointment aversion, long-run volatility risk, and asset prices
M Bonomo, R Garcia, N Meddahi, R Tédongap
The Review of Financial Studies 24 (1), 82-122, 2011
1332011
Testing distributional assumptions: A GMM aproach
C Bontemps, N Meddahi
Journal of Applied Econometrics 27 (6), 978-1012, 2012
982012
ARMA representation of integrated and realized variances
N Meddahi
The Econometrics Journal 6 (2), 335-356, 2003
972003
Box–Cox transforms for realized volatility
S Gonçalves, N Meddahi
Journal of Econometrics 160 (1), 129-144, 2011
822011
Bootstrapping realized multivariate volatility measures
P Dovonon, S Gonçalves, N Meddahi
Journal of Econometrics 172 (1), 49-65, 2013
692013
Aggregations and marginalization of GARCH and stochastic volatility models
N Meddahi, E Renault
Cahier de recherche, 1998
591998
GARCH and irregularly spaced data
N Meddahi, E Renault, B Werker
Economics Letters 90 (2), 200-204, 2006
512006
Market microstructure noise and realized volatility forecasting
TG Andersen, T Bollerslev, N Meddahi
Unpublished paper: Department of Economics, Duke University, 2006
362006
High-dimensional multivariate realized volatility estimation
T Bollerslev, N Meddahi, S Nyawa
Journal of Econometrics 212 (1), 116-136, 2019
352019
Moments of continuous time stochastic volatility models
N Meddahi
Unpublished paper: University of Montreal 65, 2002
342002
Bootstrapping high-frequency jump tests
P Dovonon, S Gonçalves, U Hounyo, N Meddahi
Journal of the American Statistical Association 114 (526), 793-803, 2019
332019
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Articles 1–20