Nour Meddahi

发表

Série Scientifique Scientific Series Temporal Aggregation of Volatility Models

N. Meddahi, Nour Meddahi, Éric Renault, 2022 .

ARMA representation of integrated and realized variances

N. Meddahi, Nour Meddahi, 2003 .

Generalized Affine Models

Bruno Feunou, Nour Meddahi, 2009 .

Aggregations and Marginalization of Garch and Stochastic Volatility Models

É. Renault, Nour Meddahi, 1998 .

Testing Distributional Assumptions: A GMM Approach

C. Bontemps, Nour Meddahi, 2007 .

Quadratic M-Estimators for ARCH-Type Processes

É. Renault, Nour Meddahi, 1998 .

Volatility regressions with fat tails

N. Meddahi, Jihyun Kim, Nour Meddahi, 2020, Journal of Econometrics.

The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

Bruno Feunou, Nour Meddahi, Peter Christoffersen, 2012, Journal of Financial and Quantitative Analysis.

The Economic Value of Realized Volatility

Peter F. Christoffersen, Bruno Feunou, Nour Meddahi, 2010 .

Testing normality: a GMM approach

N. Meddahi, C. Bontemps, Nour Meddahi, 2004 .

GMM estimation of the Long Run Risks model

Jules Tinang, Nour Meddahi, Nour Meddahi, 2016 .

Generalized disappointment aversion, long-run volatility risk, and asset prices

René Garcia, Marco Bonomo, Nour Meddahi, 2011 .

Generalized Disappointment Aversion, Long-Run Volatility Risk and Asset Prices

René Garcia, Marco Bonomo, Roméo Tédongap, 2010 .

Direction-of-Change Forecasting, and Volatility Dynamics

F. Diebold, Peter F. Christoffersen, A. Timmermann, 2003 .

DYNAMIC VALUATION DECOMPOSITION WITHIN STOCHASTIC ECONOMIES BY LARS

L. Hansen, N. Meddahi, Monika Piazzesi, 2012 .

An Analytical Framework for Assessing Asset Pricing Models and Predictability

René Garcia, Roméo Tédongap, Nour Meddahi, 2008 .

Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities

Torben G. Andersen, Tim Bollerslev, Nour Meddahi, 2005 .

An Eigenfunction Approach for Volatility Modeling

N. Meddahi, Nour Meddahi, 2001 .

CAHIER 29-2001

F. Diebold, N. Shephard, L. Hansen, 2002 .

Revisiting Continuous Time Limits of Volatility Processes∗

Jihyun Kim, Nour Meddahi, 2017 .

GARCH and irregularly spaced data

É. Renault, B. Werker, N. Meddahi, 2006 .

Analytical Evaluation of Volatility Forecasts

T. Bollerslev, T. Andersen, N. Meddahi, 2002 .

ARMA Representation of Two-Factor Models

Nour Meddahi, 2002 .

A theoretical comparison between integrated and realized volatility

N. Meddahi, Nour Meddahi, 2002 .

A Theoretical Comparison Between Integrated andRealized Volatilities / A Theoretical Comparison Between Integrated and Realized Volatilities

Nour Meddahi, 2001 .

Diagnostic tests for volatility models

N. Shephard, P. Phillips, J. Davidson, 2008 .

SEMIPARAMETRIC EFFICIENT ESTIMATION IN STRUCTURAL TIME SERIES CROSS

B. Hansen, P. Schmidt, N. Meddahi, 2007 .

Time-Aggregation Effects on Estimating Asset Pricing Models

Nour Meddahi, I. Ghattassi, 2012 .

Série Scientifique Scientific Series Identification, Weak Instruments and Statistical Inference in Econometrics Identification, Weak Instruments and Statistical Inference in Econometrics

Jean-Marie Dufour, Lynda Khalaf, Tarek Jouini, 2022 .

There is a Risk-Return Tradeoff After All ∗

Campbell R. Harvey, N. Shephard, R. Engle, 2022 .

There Is a Risk-return Tradeoff after All * Rossen Valkanov

Campbell R. Harvey, N. Shephard, R. Engle, 2022 .

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Lutz Kilian, Sílvia Gonçalves, L. Kilian, 2002, SSRN Electronic Journal.

Bootstrapping High-Frequency Jump Tests

Ulrich Hounyo, P. Dovonon, Nour Meddahi, 2018, Journal of the American Statistical Association.

Série Scientifique Scientific Series There Is a Risk-return Tradeoff after All There Is a Risk-return Tradeoff after All*

Amit Goyal, T. Bollerslev, F. Longstaff, 2022 .

Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint

Yoshua Bengio, R. Gencay, René Garcia, 2000 .

BOOTSTRAPPING REALIZED VOLATILITY

Nour Meddahi, Sílvia Gonçalves, N. Meddahi, 2009 .

Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities

T. Bollerslev, T. Andersen, Nour Meddahi, 2005 .

Bootstrapping Realized Multivariate Volatility Measures

Nour Meddahi, Sílvia Gonçalves, Prosper Dovonon, 2009 .

Série Scientifique Scientific Series the Midas Touch: Mixed Data Sampling Regression Models the Midas Touch: Mixed Data Sampling Regression Models*

Eric Ghysels, Pedro Santa-Clara, Rossen I. Valkanov, 2022 .

High-dimensional multivariate realized volatility estimation

T. Bollerslev, Serge Nyawa, Nour Meddahi, 2019, Journal of Econometrics.

Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns

Ulrich Hounyo, Nour Meddahi, Sílvia Gonçalves, 2014 .

ARMA representation of integrated and realized variances

Nour Meddahi, M. Eddahi, 2003 .

Backtesting Value-at-Risk : A Duration-Based Approach 1

Nour Meddahi, Matt Pritsker, Rob Engle, 2003 .

Backtesting Value-at-Risk : A Duration-Based Approach 1

Nour Meddahi, Matt Pritsker, Rob Engle, 2003 .

Série Scientifique Scientific Series Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint

Yoshua Bengio, R. Gencay, René Garcia, 2022 .

BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE

Nour Meddahi, Sílvia Gonçalves, Ulrich Hounyo, 2016, Econometric Theory.

Edgeworth Corrections for Realized Volatility

N. Meddahi, Sı́lvia Gonçalves, Nour Meddahi, 2008 .

Box–Cox transforms for realized volatility

Nour Meddahi, Sílvia Gonçalves, Nour Meddahi, 2011 .

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form *

Nour Meddahi, Résumé Abstract, L. Kilian, 2003 .

Série Scientifique Scientific Series Option Valuation with Conditional Skewness Option Valuation with Conditional Skewness

Peter Christoffersen, Kris Jacobs, Peter F. Christoffersen, 2022 .

Série Scientifique Scientific Series the Importance of the Loss Function in Option Valuation the Importance of the Loss Function in Option Valuation

Peter Christoffersen, Kris Jacobs, J. Detemple, 2022 .

Série Scientifique Scientific Series the Importance of the Loss Function in Option Pricing the Importance of the Loss Function in Option Pricing

J. Detemple, Peter F. Christoffersen, Kris Jacobs, 2022 .

Volatility Regressions with Fat Tails ∗

Jihyun Kim, Nour Meddahi, 2020 .

Série Scientifique Scientific Series Projection-based Statistical Inference in Linear Structural Models with Possibly Weak Instruments Projection-based Statistical Inference in Linear Structural Models with Possibly Weak Instruments

J. Florens, Jean-Marie Dufour, J. Jasiak, 2022 .

Realized volatility forecasting and market microstructure noise

T. Bollerslev, T. Andersen, N. Meddahi, 2011 .

The Scientific Series fulfils one of the missions of CIRANO : to develop the scientific analysis of organizations and strategic behaviour

Nour Meddahi, Éric Renault, 1998 .

Australia Department of Econometrics and Business Statistics a Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options a Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options

Nour Meddahi, Neil Shephard, Michael Mcaleer, 2022 .

Série Scientifique Scientific Series Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models

Jean-Marie Dufour, Nour Meddahi, T. Abdelkhalek, 2022 .

ARMA Representation of Two-Factor Models

Nour Meddahi, 2002 .