1

Realized volatility forecasting and market microstructure noise

Torben G. Andersen, Tim Bollerslev, Nour Meddahi
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 363 KB
english, 2011
4

High-dimensional multivariate realizedvolatility estimation

Bollerslev, Tim, Meddahi, Nour, Nyawa, Serge
Journal:
Journal of Econometrics
Year:
2019
Language:
english
File:
PDF, 1.98 MB
english, 2019
5

Bootstrapping realized multivariate volatility measures

Prosper Dovonon, Sílvia Gonçalves, Nour Meddahi
Journal:
Journal of Econometrics
Year:
2013
Language:
english
File:
PDF, 427 KB
english, 2013
6

[Realized Variance and Market Microstructure Noise]: Comment

René Garcia and Nour Meddahi
Journal:
Journal of Business and Economic Statistics
Year:
2006
Language:
english
File:
PDF, 1.35 MB
english, 2006
7

Comment

Garcia, René, Meddahi, Nour
Journal:
Journal of Business and Economic Statistics
Year:
2006
Language:
english
File:
PDF, 271 KB
english, 2006
9

Bootstrapping Realized Volatility

Sílvia Gonçalves and Nour Meddahi
Journal:
Econometrica
Year:
2009
Language:
english
File:
PDF, 2.29 MB
english, 2009
11

Bootstrapping Realized Multivariate Volatility Measures

Dovonon, Prosper, Goncalves, Silvia, Meddahi, Nour
Journal:
SSRN Electronic Journal
Year:
2009
Language:
english
File:
PDF, 335 KB
english, 2009
12

A theoretical comparison between integrated and realized volatility

Nour Meddahi
Journal:
Journal of Applied Econometrics
Year:
2002
Language:
english
File:
PDF, 220 KB
english, 2002
13

Testing normality: a GMM approach

Christian Bontemps, Nour Meddahi
Journal:
Journal of Econometrics
Year:
2005
Language:
english
File:
PDF, 453 KB
english, 2005
14

Box–Cox transforms for realized volatility

Sílvia Gonçalves, Nour Meddahi
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 2.52 MB
english, 2011
15

Realized Volatility

Nour Meddahi, Per Mykland, Neil Shephard
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 129 KB
english, 2011
16

Temporal aggregation of volatility models

Nour Meddahi, Eric Renault
Journal:
Journal of Econometrics
Year:
2004
Language:
english
File:
PDF, 398 KB
english, 2004
17

ARMA representation of integrated and realized variances

Nour Meddahi
Journal:
The Econometrics Journal
Year:
2003
Language:
english
File:
PDF, 118 KB
english, 2003
18

ANALYTICAL EVALUATION OF VOLATILITY FORECASTS

Torben G. Andersen, Tim Bollerslev, Nour Meddahi
Journal:
International Economic Review
Year:
2004
Language:
english
File:
PDF, 192 KB
english, 2004
19

Bootstrapping Realized Volatility

Sílvia Gonçalves, Nour Meddahi
Journal:
Econometrica
Year:
2009
Language:
english
File:
PDF, 264 KB
english, 2009
20

Testing distributional assumptions: A GMM aproach

Christian Bontemps, Nour Meddahi
Journal:
Journal of Applied Econometrics
Year:
2012
Language:
english
File:
PDF, 288 KB
english, 2012
21

GARCH and irregularly spaced data

Nour Meddahi, Eric Renault, Bas Werker
Journal:
Economics Letters
Year:
2006
Language:
english
File:
PDF, 106 KB
english, 2006
22

Edgeworth Corrections for Realized Volatility

Gonçalves, Sílvia, Meddahi, Nour
Journal:
Econometric Reviews
Year:
2008
Language:
english
File:
PDF, 194 KB
english, 2008
23

The long and the short of the risk-return trade-off

Bonomo, Marco, Garcia, René, Meddahi, Nour, Tédongap, Roméo
Journal:
Journal of Econometrics
Year:
2015
Language:
english
File:
PDF, 467 KB
english, 2015
27

ARMA representation of integrated and realized variances

Nour Meddahi
Journal:
The Econometrics Journal
Year:
2003
Language:
english
File:
PDF, 1.78 MB
english, 2003
28

Analytical Evaluation of Volatility Forecasts

Torben G. Andersen, Tim Bollerslev and Nour Meddahi
Journal:
International Economic Review
Year:
2004
Language:
english
File:
PDF, 3.20 MB
english, 2004
33

Volatility regressions with fat tails

Kim, Jihyun, Meddahi, Nour
Journal:
Journal of Econometrics
Year:
2020
File:
PDF, 1.03 MB
2020