16
H index
19
i10 index
1075
Citations
Toulouse School of Economics (TSE) | 16 H index 19 i10 index 1075 Citations RESEARCH PRODUCTION: 20 Articles 37 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 7 |
Econometrica | 2 |
Working Papers Series with more than one paper published | # docs |
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Staff Working Papers / Bank of Canada | 3 |
Econometric Society 2004 North American Winter Meetings / Econometric Society | 2 |
IDEI Working Papers / Institut d'conomie Industrielle (IDEI), Toulouse | 2 |
Year | Title of citing document |
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2020 | Roughness 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. Full description at Econpapers || Download paper |
2020 | Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479. Full description at Econpapers || Download paper |
2021 | An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413. Full description at Econpapers || Download paper |
2020 | Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062. Full description at Econpapers || Download paper |
2020 | Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences. (2020). Nwogugu, Michael. In: Papers. RePEc:arx:papers:2005.01709. Full description at Econpapers || Download paper |
2020 | Short-Term Investments and Indices of Risk. (2020). Schreiber, Amnon ; Heller, Yuval. In: Papers. RePEc:arx:papers:2005.06576. Full description at Econpapers || Download paper |
2020 | Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307. Full description at Econpapers || Download paper |
2020 | Testing 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. Full description at Econpapers || Download paper |
2020 | Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822. Full description at Econpapers || Download paper |
2020 | Roughness 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. Full description at Econpapers || Download paper |
2021 | Bootstrapping Non-Stationary Stochastic Volatility. (2021). Georgiev, Iliyan ; Rahbek, Anders ; Cavaliere, Giuseppe ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2101.03562. Full description at Econpapers || Download paper |
2020 | Modeling 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. Full description at Econpapers || Download paper |
2020 | Persistence 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. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2020 | Trading 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. Full description at Econpapers || Download paper |
2020 | Nonlinear 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2020 | VIX 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. Full description at Econpapers || Download paper |
2020 | Inference 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2020 | Volatility 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. Full description at Econpapers || Download paper |
2020 | Dynamics 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. Full description at Econpapers || Download paper |
2020 | Testing 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. Full description at Econpapers || Download paper |
2020 | Volatility 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. Full description at Econpapers || Download paper |
2020 | Statistical 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. Full description at Econpapers || Download paper |
2020 | Predicting 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. Full description at Econpapers || Download paper |
2020 | Forecasting 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. Full description at Econpapers || Download paper |
2020 | Examining 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. Full description at Econpapers || Download paper |
2020 | Can 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2020 | Forecasting 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. Full description at Econpapers || Download paper |
2020 | Realized 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. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2020 | VIX 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. Full description at Econpapers || Download paper |
2020 | Measuring 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. Full description at Econpapers || Download paper |
2020 | Edgeworth corrections for spot volatility estimator. (2020). Liu, Zhi ; He, Lidan. In: Statistics & Probability Letters. RePEc:eee:stapro:v:164:y:2020:i:c:s0167715220301127. Full description at Econpapers || Download paper |
2020 | Comparison 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2020 | Realized 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. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2020 | Identification of Volatility Proxies as Expectations of Squared Financial Return. (2020). Sucarrat, Genaro. In: MPRA Paper. RePEc:pra:mprapa:101953. Full description at Econpapers || Download paper |
2020 | Ordinal-response models for irregularly spaced transactions: A forecasting exercise. (2020). Aknouche, Abdelhakim ; Tsionas, Mike G ; Dimitrakopoulos, Stefanos. In: MPRA Paper. RePEc:pra:mprapa:103250. Full description at Econpapers || Download paper |
2020 | The South African – United States Sovereign Bond Spread and its Association with Macroeconomic Fundamentals. (2020). Fedderke, Johannes W. In: Working Papers. RePEc:rbz:wpaper:10142. Full description at Econpapers || Download paper |
2020 | Spillovers 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2020 | Technical 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. Full description at Econpapers || Download paper |
2020 | Realized volatility, jump and beta: evidence from Canadian stock market. (2020). Chowdhury, Biplob ; Gajurel, Dinesh. In: Working Papers. RePEc:tas:wpaper:35107. Full description at Econpapers || Download paper |
2020 | Volatility Regressions with Fat Tails. (2020). Meddahi, Nour ; Kim, Jihyun. In: TSE Working Papers. RePEc:tse:wpaper:124237. Full description at Econpapers || Download paper |
2020 | Predicting 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. Full description at Econpapers || Download paper |
2020 | Realized Semicovariances. (2020). Quaedvlieg, Rogier ; Bollerslev, Tim ; Patton, Andrew J. In: Econometrica. RePEc:wly:emetrp:v:88:y:2020:i:4:p:1515-1551. Full description at Econpapers || Download paper |
2020 | Shiftâ€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. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2020 | Volatility 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. Full description at Econpapers || Download paper |
2020 | Volatility forecasts embedded in the prices of crudeâ€oil options. (2020). Tsiaras, Leonidas ; Gilder, Dudley . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1127-1159. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2013 | Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
2014 | Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns.(2014) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2013 | Bootstrapping pre-averaged realized volatility under market microstructure noise In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 8 |
2012 | The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation In: Staff Working Papers. [Full Text][Citation analysis] | paper | 39 |
2014 | The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation.(2014) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | article | |
2013 | Volatility Forecasting when the Noise Variance Is Time-Varying In: Staff Working Papers. [Full Text][Citation analysis] | paper | 2 |
2013 | A Distributional Approach to Realized Volatility In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
2006 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2005 | Jean-Jacques Laffont et léconomie appliquée In: Revue d'économie politique. [Full Text][Citation analysis] | article | 0 |
2000 | Temporal Aggregation of Volatility Models In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 90 |
2000 | Temporal Aggregation of Volatility Models.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 90 | paper | |
2004 | Temporal aggregation of volatility models.(2004) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 90 | article | |
2001 | An Eigenfunction Approach for Volatility Modeling In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 51 |
2001 | An Eigenfunction Approach for Volatility Modeling..(2001) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | paper | |
2001 | An Eigenfunction Approach for Volatility Modeling..(2001) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 51 | paper | |
2001 | A Theoretical Comparison Between Integrated and Realized Volatilities In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 5 |
2001 | A Theoretical Comparison Between Integrated and Realized Volatilies.(2001) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2001 | A Theoretical Comparison Between Integrated and Realized Volatilies..(2001) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2002 | Testing Normality: A GMM Approach In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 74 |
2005 | Testing normality: a GMM approach.(2005) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 74 | article | |
2002 | Testing Normality : A GMM Approach.(2002) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 74 | paper | |
2002 | TESTING NORMALITY : A GMM APPROACH.(2002) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 74 | paper | |
2002 | Analytic Evaluation of Volatility Forecasts In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 104 |
2004 | ANALYTICAL EVALUATION OF VOLATILITY FORECASTS.(2004) In: International Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 104 | article | |
2002 | Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 14 |
2002 | Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities.(2002) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2002 | CORRECTING THE ERRORS : A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES.(2002) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2002 | ARMA Representation of Two-Factor Models In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 0 |
2002 | ARMA Representation of Integrated and Realized Variances In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 36 |
2003 | ARMA representation of integrated and realized variances.(2003) In: Econometrics Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | article | |
2002 | ARMA Representation of Integrated and Realized Variances.(2002) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
2002 | ARMA REPRESENTATION OF INTEGRATED AND REALIZED VARIANCES.(2002) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
1998 | Quadratic M-Estimators for ARCH-Type Processes In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 6 |
1998 | Quadratic M-Estimators for ARCH-Type Processes.(1998) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2005 | Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities In: Econometrica. [Full Text][Citation analysis] | article | 144 |
2009 | Bootstrapping Realized Volatility In: Econometrica. [Full Text][Citation analysis] | article | 69 |
2004 | Testing Distributional Assumptions: A GMM Approach In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] | paper | 24 |
2007 | Testing Distributional Assumptions: A GMM Approach.(2007) In: IDEI Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2012 | Testing distributional assumptions: A GMM aproach.(2012) In: Journal of Applied Econometrics. [Citation analysis] This paper has another version. Agregated cites: 24 | article | |
2004 | Expected Value Models: A New Approach In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] | paper | 0 |
2006 | GARCH and irregularly spaced data In: Economics Letters. [Full Text][Citation analysis] | article | 13 |
2003 | GARCH and Irregularly Spaced Data.(2003) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2011 | Realized Volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 57 |
2011 | Box-Cox transforms for realized volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 16 |
2011 | Realized volatility forecasting and market microstructure noise In: Journal of Econometrics. [Full Text][Citation analysis] | article | 79 |
2013 | Bootstrapping realized multivariate volatility measures In: Journal of Econometrics. [Full Text][Citation analysis] | article | 30 |
2010 | Bootstrapping realized multivariate volatility measures.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | paper | |
2015 | The long and the short of the risk-return trade-off In: Journal of Econometrics. [Full Text][Citation analysis] | article | 11 |
1996 | Aggregations and Marginalization of Garch and Stochastic Volatility Models. In: Toulouse - GREMAQ. [Citation analysis] | paper | 20 |
1998 | Aggregations and Marginalization of GARCH and Stochastic Volatility Models.(1998) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
2010 | Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices In: IDEI Working Papers. [Full Text][Citation analysis] | paper | 23 |
2011 | Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices.(2011) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | article | |
2010 | Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices.(2010) In: TSE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2002 | A theoretical comparison between integrated and realized volatility In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 151 |
2001 | A Theoretical Comparison Between Integrated and Realized Volatilies.(2001) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 151 | paper | |
2001 | A Theoretical Comparison Between Integrated and Realized Volatilies..(2001) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 151 | paper | |
2008 | Edgeworth Corrections for Realized Volatility In: Econometric Reviews. [Full Text][Citation analysis] | article | 5 |
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