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Nour Meddahi

Personal Details

First Name:Nour
Middle Name:
Last Name:Meddahi
Suffix:
RePEc Short-ID:pme426
[This author has chosen not to make the email address public]
http://gremaq.univ-tlse1.fr/perso/meddahi/
Terminal Degree:1997 Toulouse School of Economics (TSE) (from RePEc Genealogy)

Affiliation

Groupe de Recherche en Économie Mathématique et Quantitative (GREMAQ)
Toulouse School of Economics (TSE)

Toulouse, France
http://www-gremaq.univ-tlse1.fr/
RePEc:edi:getlsfr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Ulrich Hounyo & Sílvia Goncalves & Nour Meddahi, 2013. "Bootstrapping pre-averaged realized volatility under market microstructure noise," CREATES Research Papers 2013-28, Department of Economics and Business Economics, Aarhus University.
  2. Selma Chaker & Nour Meddahi, 2013. "A Distributional Approach to Realized Volatility," Staff Working Papers 13-49, Bank of Canada.
  3. Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2013. "Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns," CREATES Research Papers 2013-07, Department of Economics and Business Economics, Aarhus University.
  4. Selma Chaker & Nour Meddahi, 2013. "Volatility Forecasting when the Noise Variance Is Time-Varying," Staff Working Papers 13-48, Bank of Canada.
  5. Peter Christoffersen & Bruno Feunou & Kris Jacobs & Nour Meddahi, 2012. "The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation," Staff Working Papers 12-34, Bank of Canada.
  6. Dovonon, Prosper & Goncalves, Silvia & Meddahi, Nour, 2010. "Bootstrapping realized multivariate volatility measures," MPRA Paper 40123, University Library of Munich, Germany.
  7. Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2010. "Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices," TSE Working Papers 10-187, Toulouse School of Economics (TSE).
  8. Nour Meddahi, 2004. "Expected Value Models: A New Approach," Econometric Society 2004 North American Winter Meetings 556, Econometric Society.
  9. N. Meddahi & C. Bontemps, 2004. "Testing Distributional Assumptions: A GMM Approach," Econometric Society 2004 North American Winter Meetings 487, Econometric Society.
  10. Meddahi, N. & Renault, E. & Werker, B.J.M., 2003. "GARCH and Irregularly Spaced Data," Discussion Paper 2003-27, Tilburg University, Center for Economic Research.
  11. BONTEMPS, Christian & MEDDAHI, Nour, 2002. "Testing Normality : A GMM Approach," Cahiers de recherche 2002-14, Universite de Montreal, Departement de sciences economiques.
  12. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities," CIRANO Working Papers 2002s-91, CIRANO.
  13. Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
  14. Nour Meddahi, 2002. "ARMA Representation of Integrated and Realized Variances," CIRANO Working Papers 2002s-93, CIRANO.
  15. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers 2002s-90, CIRANO.
  16. Meddahi, N., 2001. "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche 2001-26, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  17. MEDDAHI, Nour, 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Universite de Montreal, Departement de sciences economiques.
  18. Nour Meddahi, 2000. "Temporal Aggregation of Volatility Models," Econometric Society World Congress 2000 Contributed Papers 1903, Econometric Society.
  19. Nour Meddahi & Eric Renault, 1998. "Quadratic M-Estimators for ARCH-Type Processes," CIRANO Working Papers 98s-29, CIRANO.
  20. Meddahi, N & Renault, E., 1996. "Aggregations and Marginalization of Garch and Stochastic Volatility Models," Papers 96.433, Toulouse - GREMAQ.

Articles

  1. Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2015. "The long and the short of the risk-return trade-off," Journal of Econometrics, Elsevier, vol. 187(2), pages 580-592.
  2. Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2014. "Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns," Journal of Financial Econometrics, Oxford University Press, vol. 12(4), pages 679-707.
  3. Christoffersen, Peter & Feunou, Bruno & Jacobs, Kris & Meddahi, Nour, 2014. "The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 663-697, June.
  4. Dovonon, Prosper & Gonçalves, Sílvia & Meddahi, Nour, 2013. "Bootstrapping realized multivariate volatility measures," Journal of Econometrics, Elsevier, vol. 172(1), pages 49-65.
  5. Christian Bontemps & Nour Meddahi, 2012. "Testing distributional assumptions: A GMM aproach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 978-1012, September.
  6. Meddahi, Nour & Mykland, Per & Shephard, Neil, 2011. "Realized Volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 1-1, January.
  7. Andersen, Torben G. & Bollerslev, Tim & Meddahi, Nour, 2011. "Realized volatility forecasting and market microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 220-234, January.
  8. Marco Bonomo & René Garcia & Nour Meddahi & Roméo Tédongap, 2011. "Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 24(1), pages 82-122.
  9. Gonçalves, Sílvia & Meddahi, Nour, 2011. "Box-Cox transforms for realized volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 129-144, January.
  10. Sílvia Gonçalves & Nour Meddahi, 2009. "Bootstrapping Realized Volatility," Econometrica, Econometric Society, vol. 77(1), pages 283-306, January.
  11. Silvia Goncalves & Nour Meddahi, 2008. "Edgeworth Corrections for Realized Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 139-162.
  12. Garcia, Rene & Meddahi, Nour, 2006. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 184-192, April.
  13. Meddahi, Nour & Renault, Eric & Werker, Bas, 2006. "GARCH and irregularly spaced data," Economics Letters, Elsevier, vol. 90(2), pages 200-204, February.
  14. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2005. "Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities," Econometrica, Econometric Society, vol. 73(1), pages 279-296, January.
  15. Bontemps, Christian & Meddahi, Nour, 2005. "Testing normality: a GMM approach," Journal of Econometrics, Elsevier, vol. 124(1), pages 149-186, January.
  16. Farid Gasmi & Nour Meddahi & Quang H. Vuong, 2005. "Jean-Jacques Laffont et l'économie appliquée," Revue d'économie politique, Dalloz, vol. 115(3), pages 309-336.
  17. Meddahi, Nour & Renault, Eric, 2004. "Temporal aggregation of volatility models," Journal of Econometrics, Elsevier, vol. 119(2), pages 355-379, April.
  18. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004. "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 1079-1110, November.
  19. Nour Meddahi, 2003. "ARMA representation of integrated and realized variances," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 335-356, December.
  20. Nour Meddahi, 2002. "A theoretical comparison between integrated and realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 479-508.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Citations, Weighted by Simple Impact Factor
  2. Number of Citations, Weighted by Recursive Impact Factor
  3. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  4. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  5. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Journal Pages, Weighted by Simple Impact Factor
  7. Number of Journal Pages, Weighted by Recursive Impact Factor
  8. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  9. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  10. Wu-Index
  11. Record of graduates

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 16 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (11) 2002-03-27 2003-05-12 2003-05-12 2003-05-12 2003-05-12 2003-06-09 2003-10-12 2003-10-12 2007-11-17 2013-03-23 2013-09-24. Author is listed
  2. NEP-ETS: Econometric Time Series (7) 2003-04-27 2003-04-27 2003-04-27 2003-04-27 2003-06-04 2003-10-12 2003-10-12. Author is listed
  3. NEP-FMK: Financial Markets (5) 2000-08-07 2002-03-14 2002-03-14 2003-04-27 2003-04-27. Author is listed
  4. NEP-RMG: Risk Management (5) 2003-04-27 2003-04-27 2003-04-27 2003-10-12 2003-10-12. Author is listed
  5. NEP-FIN: Finance (3) 2003-04-27 2003-04-27 2003-10-12
  6. NEP-MST: Market Microstructure (3) 2012-10-13 2013-03-23 2013-09-24
  7. NEP-ORE: Operations Research (2) 2013-03-23 2013-09-24
  8. NEP-BEC: Business Economics (1) 2010-10-02
  9. NEP-CFN: Corporate Finance (1) 2003-04-27
  10. NEP-FOR: Forecasting (1) 2012-10-13
  11. NEP-MAC: Macroeconomics (1) 2003-04-27
  12. NEP-UPT: Utility Models and Prospect Theory (1) 2010-10-02

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