Nour Meddahi : Citation Profile


Are you Nour Meddahi?

Toulouse School of Economics (TSE)

16

H index

19

i10 index

1075

Citations

RESEARCH PRODUCTION:

20

Articles

37

Papers

RESEARCH ACTIVITY:

   19 years (1996 - 2015). See details.
   Cites by year: 56
   Journals where Nour Meddahi has often published
   Relations with other researchers
   Recent citing documents: 57.    Total self citations: 25 (2.27 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pme426
   Updated: 2021-02-20    RAS profile: 2015-11-19    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Nour Meddahi.

Is cited by:

Shephard, Neil (82)

Bollerslev, Tim (65)

Barndorff-Nielsen, Ole (64)

Andersen, Torben (53)

Swanson, Norman (38)

Hansen, Peter (38)

Patton, Andrew (37)

Lunde, Asger (28)

Diebold, Francis (27)

McAleer, Michael (25)

Christoffersen, Peter (25)

Cites to:

Bollerslev, Tim (93)

Shephard, Neil (69)

Andersen, Torben (63)

Barndorff-Nielsen, Ole (48)

Hansen, Lars (42)

Diebold, Francis (41)

Drost, Feike C. (37)

Renault, Eric (31)

Tauchen, George (23)

Lunde, Asger (20)

Ghysels, Eric (20)

Main data


Where Nour Meddahi has published?


Journals with more than one article published# docs
Journal of Econometrics7
Econometrica2

Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada3
Econometric Society 2004 North American Winter Meetings / Econometric Society2
IDEI Working Papers / Institut d'conomie Industrielle (IDEI), Toulouse2

Recent works citing Nour Meddahi (2021 and 2020)


YearTitle of citing document
2020Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Christensen, Kim ; Bolko, Anine E ; Veliyev, Bezirgen ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2020-12.

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2020Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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2021An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413.

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2020Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062.

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2020Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences. (2020). Nwogugu, Michael. In: Papers. RePEc:arx:papers:2005.01709.

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2020Short-Term Investments and Indices of Risk. (2020). Schreiber, Amnon ; Heller, Yuval. In: Papers. RePEc:arx:papers:2005.06576.

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2020Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307.

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2020Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Li, Dong ; Gong, Huan ; Zhu, KE ; Luo, Donghang. In: Papers. RePEc:arx:papers:2008.00747.

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2020Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822.

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2020Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610.

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2021Bootstrapping Non-Stationary Stochastic Volatility. (2021). Georgiev, Iliyan ; Rahbek, Anders ; Cavaliere, Giuseppe ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2101.03562.

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2020Modeling the Variance of Return Intervals Toward Volatility Prediction. (2020). Blackhurst, Isaac ; Loveland, Jennifer ; Lu, Zudi ; Lian, Guanghua ; Sun, Yan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:4:p:492-519.

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2020Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market. (2020). Gil-Alana, Luis ; Martin-Valmayor, Miguel ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8171.

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2020A stochastic distribution system planning method considering regulation services and energy storage degradation. (2020). Oren, Shmuel S ; Sun, Hongbin ; Guo, Qinglai ; Shen, Xinwei ; Zhao, Xinyi. In: Applied Energy. RePEc:eee:appene:v:277:y:2020:i:c:s0306261920310321.

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2020Trading volume and realized higher-order moments in the Australian stock market. (2020). Jeyasreedharan, Nagaratnam ; Ahadzie, Richard Mawulawoe. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303403.

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2020Nonlinear and time-varying risk premia. (2020). Cai, Zongwu ; Mi, Xianhua ; Ma, Chaoqun. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x2030064x.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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2020The distribution of index futures realised volatility under seasonality and microstructure noise. (2020). Salvador, Enrique ; Arago, Vicent ; Alemany, Nuria. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:398-414.

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2021A consumption-based asset pricing model with disappointment aversion and uncertainty shocks. (2021). Guo, Zhaoxuan ; Xia, Bobo ; Li, Kaifeng. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:235-243.

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2020VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective. (2020). Li, Weiping ; Yang, Jiyu ; Qiao, Gaoxiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300838.

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2020Inference for local distributions at high sampling frequencies: A bootstrap approach. (2020). Varneskov, Rasmus T ; Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:1-34.

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2020The leverage effect puzzle revisited: Identification in discrete time. (2020). Khrapov, Stanislav ; Han, Hyojin ; Renault, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:230-258.

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2020Volatility estimation and jump detection for drift–diffusion processes. (2020). Shi, Shuping ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:259-290.

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2020Dynamics of variance risk premia: A new model for disentangling the price of risk. (2020). Violante, Francesco ; Stentoft, Lars. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:312-334.

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2020Testing distributional assumptions using a continuum of moments. (2020). Sentana, Enrique ; Carrasco, Marine ; Amengual, Dante. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:655-689.

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2020Volatility regressions with fat tails. (2020). Kim, Jihyun ; Meddahi, Nour. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:690-713.

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2020Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62.

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2020Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection. (2020). Lee, Tae Hwy ; Su, Zhi ; Fang, Tong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:36-49.

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2020Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. (2020). Di Iorio, Francesca ; Tamvakis, Michael ; Kyriakou, Ioannis ; Marchese, Malvina. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300967.

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2020Examining the predictive information of CBOE OVX on China’s oil futures volatility: Evidence from MS-MIDAS models. (2020). Wang, Jianqiong ; Ma, Feng ; Lu, Xinjie. In: Energy. RePEc:eee:energy:v:212:y:2020:i:c:s0360544220318508.

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2020Can CBOE gold and silver implied volatility help to forecast gold futures volatility in China? Evidence based on HAR and Ridge regression models. (2020). Liang, Chao ; Wei, YU ; Zhang, Xunhui. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319305793.

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2020The impact of sentiment and attention measures on stock market volatility. (2020). Audrino, Francesco ; Ballinari, Daniele ; Sigrist, Fabio. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:334-357.

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2020Forecasting value at risk with intra-day return curves. (2020). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1023-1038.

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2020Realized volatility forecast with the Bayesian random compressed multivariate HAR model. (2020). Chen, Langnan ; Luo, Jiawen. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:781-799.

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2020A Model Confidence Set approach to the combination of multivariate volatility forecasts. (2020). Amendola, Alessandra ; Storti, Giuseppe ; Candila, Vincenzo ; Braione, Manuela. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:873-891.

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2020VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump. (2020). Wang, Zerong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301114.

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2020Measuring systematic risk with neural network factor model. (2020). Huh, Jeonggyu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s037843711931893x.

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2020Edgeworth corrections for spot volatility estimator. (2020). Liu, Zhi ; He, Lidan. In: Statistics & Probability Letters. RePEc:eee:stapro:v:164:y:2020:i:c:s0167715220301127.

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2020Comparison of selected tests for univariate normality based on measures of moments. (2020). Szczepocki, Piotr ; Domaski, Czesaw. In: Statistics in Transition New Series. RePEc:exl:29stat:v:21:y:2020:i:5:p:151-178.

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2020The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2019). Tsionas, Mike ; Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: Working Papers. RePEc:fip:feddwp:1902.

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2020The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas. (2020). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:6:p:2474-2494.

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2020Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging. (2020). Mi, Xianhua ; Ma, Chaoqun ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202016.

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2020A re-examination of growth and growth uncertainty relationship in a stochastic volatility in the mean model with time-varying parameters. (2020). Ozdemir, Zeynel ; Balcilar, Mehmet. In: Empirica. RePEc:kap:empiri:v:47:y:2020:i:3:d:10.1007_s10663-019-09445-6.

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2020Identification of Volatility Proxies as Expectations of Squared Financial Return. (2020). Sucarrat, Genaro. In: MPRA Paper. RePEc:pra:mprapa:101953.

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2020Ordinal-response models for irregularly spaced transactions: A forecasting exercise. (2020). Aknouche, Abdelhakim ; Tsionas, Mike G ; Dimitrakopoulos, Stefanos. In: MPRA Paper. RePEc:pra:mprapa:103250.

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2020The South African – United States Sovereign Bond Spread and its Association with Macroeconomic Fundamentals. (2020). Fedderke, Johannes W. In: Working Papers. RePEc:rbz:wpaper:10142.

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2020Spillovers beyond the variance: exploring the natural gas and oil higher order risk linkages with the global financial markets. (2020). Uribe, Jorge ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose. In: Working papers. RePEc:rie:riecdt:46.

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2020The efficiency of risk sharing between UK and US: Robust estimation and calibration under market incompleteness. (2020). Vieira, Jose Gil ; Fernandes, Marcelo. In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:39:y:2020:i:2:a:79007.

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2020Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model. (2020). MacIel, Leandro . In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1603-8.

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2020Realized volatility, jump and beta: evidence from Canadian stock market. (2020). Chowdhury, Biplob ; Gajurel, Dinesh. In: Working Papers. RePEc:tas:wpaper:35107.

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2020Volatility Regressions with Fat Tails. (2020). Meddahi, Nour ; Kim, Jihyun. In: TSE Working Papers. RePEc:tse:wpaper:124237.

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2020Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection. (2020). Lee, Tae Hwy ; Su, Zhi ; Fang, Tong. In: Working Papers. RePEc:ucr:wpaper:202009.

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2020Realized Semicovariances. (2020). Quaedvlieg, Rogier ; Bollerslev, Tim ; Patton, Andrew J. In: Econometrica. RePEc:wly:emetrp:v:88:y:2020:i:4:p:1515-1551.

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2020Shift‐contagion in energy markets and global crisis. (2020). Mili, Mehdi ; Teulon, Frederic ; Sahut, Jeanmichel. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:5:p:725-736.

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2020A comparison of conditional predictive ability of implied volatility and realized measures in forecasting volatility. (2020). Ai, Chunrong ; Shi, Yanlong ; Ying, Tingting. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:7:p:1025-1034.

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2020Volatility and jump risk in option returns. (2020). Lin, Hai ; Guo, Biao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1767-1792.

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2020Volatility forecasts embedded in the prices of crude‐oil options. (2020). Tsiaras, Leonidas ; Gilder, Dudley . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1127-1159.

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Works by Nour Meddahi:


YearTitleTypeCited
2013Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns In: CREATES Research Papers.
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paper4
2014Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns.(2014) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 4
article
2013Bootstrapping pre-averaged realized volatility under market microstructure noise In: CREATES Research Papers.
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paper8
2012The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation In: Staff Working Papers.
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paper39
2014The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation.(2014) In: Journal of Financial and Quantitative Analysis.
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This paper has another version. Agregated cites: 39
article
2013Volatility Forecasting when the Noise Variance Is Time-Varying In: Staff Working Papers.
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paper2
2013A Distributional Approach to Realized Volatility In: Staff Working Papers.
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paper0
2006Comment In: Journal of Business & Economic Statistics.
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article0
2005Jean-Jacques Laffont et léconomie appliquée In: Revue d'économie politique.
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article0
2000Temporal Aggregation of Volatility Models In: CIRANO Working Papers.
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paper90
2000Temporal Aggregation of Volatility Models.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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This paper has another version. Agregated cites: 90
paper
2004Temporal aggregation of volatility models.(2004) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 90
article
2001An Eigenfunction Approach for Volatility Modeling In: CIRANO Working Papers.
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paper51
2001An Eigenfunction Approach for Volatility Modeling..(2001) In: Cahiers de recherche.
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2001An Eigenfunction Approach for Volatility Modeling..(2001) In: Cahiers de recherche.
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2001A Theoretical Comparison Between Integrated and Realized Volatilities In: CIRANO Working Papers.
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2001A Theoretical Comparison Between Integrated and Realized Volatilies.(2001) In: Cahiers de recherche.
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2001A Theoretical Comparison Between Integrated and Realized Volatilies..(2001) In: Cahiers de recherche.
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paper
2002Testing Normality: A GMM Approach In: CIRANO Working Papers.
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paper74
2005Testing normality: a GMM approach.(2005) In: Journal of Econometrics.
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2002Testing Normality : A GMM Approach.(2002) In: Cahiers de recherche.
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2002TESTING NORMALITY : A GMM APPROACH.(2002) In: Cahiers de recherche.
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2002Analytic Evaluation of Volatility Forecasts In: CIRANO Working Papers.
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paper104
2004ANALYTICAL EVALUATION OF VOLATILITY FORECASTS.(2004) In: International Economic Review.
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2002Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities In: CIRANO Working Papers.
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2002Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities.(2002) In: Cahiers de recherche.
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2002CORRECTING THE ERRORS : A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES.(2002) In: Cahiers de recherche.
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2002ARMA Representation of Two-Factor Models In: CIRANO Working Papers.
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2002ARMA Representation of Integrated and Realized Variances In: CIRANO Working Papers.
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paper36
2003ARMA representation of integrated and realized variances.(2003) In: Econometrics Journal.
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2002ARMA Representation of Integrated and Realized Variances.(2002) In: Cahiers de recherche.
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2002ARMA REPRESENTATION OF INTEGRATED AND REALIZED VARIANCES.(2002) In: Cahiers de recherche.
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1998Quadratic M-Estimators for ARCH-Type Processes In: CIRANO Working Papers.
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1998Quadratic M-Estimators for ARCH-Type Processes.(1998) In: Cahiers de recherche.
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2005Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities In: Econometrica.
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article144
2009Bootstrapping Realized Volatility In: Econometrica.
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article69
2004Testing Distributional Assumptions: A GMM Approach In: Econometric Society 2004 North American Winter Meetings.
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2007Testing Distributional Assumptions: A GMM Approach.(2007) In: IDEI Working Papers.
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2012Testing distributional assumptions: A GMM aproach.(2012) In: Journal of Applied Econometrics.
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2004Expected Value Models: A New Approach In: Econometric Society 2004 North American Winter Meetings.
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2006GARCH and irregularly spaced data In: Economics Letters.
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2003GARCH and Irregularly Spaced Data.(2003) In: Discussion Paper.
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2011Realized Volatility In: Journal of Econometrics.
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article57
2011Box-Cox transforms for realized volatility In: Journal of Econometrics.
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article16
2011Realized volatility forecasting and market microstructure noise In: Journal of Econometrics.
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2013Bootstrapping realized multivariate volatility measures In: Journal of Econometrics.
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2010Bootstrapping realized multivariate volatility measures.(2010) In: MPRA Paper.
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2015The long and the short of the risk-return trade-off In: Journal of Econometrics.
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1996Aggregations and Marginalization of Garch and Stochastic Volatility Models. In: Toulouse - GREMAQ.
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1998Aggregations and Marginalization of GARCH and Stochastic Volatility Models.(1998) In: Cahiers de recherche.
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2010Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices In: IDEI Working Papers.
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2011Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices.(2011) In: Review of Financial Studies.
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2010Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices.(2010) In: TSE Working Papers.
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2002A theoretical comparison between integrated and realized volatility In: Journal of Applied Econometrics.
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article151
2001A Theoretical Comparison Between Integrated and Realized Volatilies.(2001) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 151
paper
2001A Theoretical Comparison Between Integrated and Realized Volatilies..(2001) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 151
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2008Edgeworth Corrections for Realized Volatility In: Econometric Reviews.
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article5

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