Nour Meddahi : Citation Profile

Are you Nour Meddahi?

Toulouse School of Economics (TSE)

15

H index

19

i10 index

1008

Citations

RESEARCH PRODUCTION:

20

Articles

37

Papers

RESEARCH ACTIVITY:

   19 years (1996 - 2015). See details.
   Cites by year: 53
   Journals where Nour Meddahi has often published
   Relations with other researchers
   Recent citing documents: 127.    Total self citations: 25 (2.42 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pme426
   Updated: 2020-05-16    RAS profile: 2015-11-19    
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Relations with other researchers

Works with:

Goncalves, Silvia (4)

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)

Barndorff-Nielsen, Ole (64)

Bollerslev, Tim (64)

Andersen, Torben (53)

Swanson, Norman (38)

Hansen, Peter (36)

Patton, Andrew (32)

Lunde, Asger (28)

Diebold, Francis (27)

Christoffersen, Peter (25)

McAleer, Michael (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)

Gallant, A. (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
IDEI Working Papers / Institut d'Économie Industrielle (IDEI), Toulouse2
Econometric Society 2004 North American Winter Meetings / Econometric Society2

Recent works citing Nour Meddahi (2018 and 2017)

YearTitle of citing document
2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19.

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2017Inference from the futures: ranking the noise cancelling accuracy of realized measures. (2017). Mirone, Giorgio. In: CREATES Research Papers. RePEc:aah:create:2017-24.

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2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Podolskij, Mark ; Hounyo, Ulrich ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2017-30.

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2018The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2018). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-19.

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2017The Local Fractional Bootstrap. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich. In: Papers. RePEc:arx:papers:1605.00868.

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185.

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2017Estimation 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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2018Measuring Systematic Risk with Neural Network Factor Model. (2018). Huh, Jeonggyu. In: Papers. RePEc:arx:papers:1809.04925.

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2019Forecasting securitys volatility using low-frequency historical data, high-frequency historical data and option-implied volatility. (2019). Cui, Xiangyu ; Zhang, Zhiyuan ; Zhou, Yong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:1907.02666.

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2019A Vine-copula extension for the HAR model. (2019). Magris, Martin. In: Papers. RePEc:arx:papers:1907.08522.

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2019Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures Market Realized Volatility. (2019). Ensor, Katherine B ; Han, YU ; Weylandt, Michael. In: Papers. RePEc:arx:papers:1907.10152.

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2019An 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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2017Good Volatility, Bad Volatility and Option Pricing. (2017). Feunou, Bruno ; Okou, Cedric. In: Staff Working Papers. RePEc:bca:bocawp:17-52.

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2017INTERTEMPORAL SUBSTITUTION IN CONSUMPTION: A LITERATURE REVIEW. (2017). Thimme, Julian. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:1:p:226-257.

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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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2017Normality Tests for Latent Variables. (2017). Sentana, Enrique ; Amengual, Dante ; Almuzara, Tincho. In: Working Papers. RePEc:cmf:wpaper:wp2017_1708.

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2017Testing Distributional Assumptions Using a Continuum of Moments. (2017). Sentana, Enrique ; Amengual, Dante ; Carrasco, Marine. In: Working Papers. RePEc:cmf:wpaper:wp2017_1709.

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2017Normality Tests for Latent Variables. (2017). Sentana, Enrique ; Amengual, Dante ; Almuzara, Tincho. In: Working Papers. RePEc:cmf:wpaper:wp2018_1708.

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2017Testing Distributional Assumptions Using a Continuum of Moments. (2017). Sentana, Enrique ; Carrasco, Marine ; Amengual, Dante . In: Working Papers. RePEc:cmf:wpaper:wp2018_1709.

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2018Risk Everywhere: Modeling and Managing Volatility. (2018). Bollerslev, Tim ; Pedersen, Lasse Heje ; Huss, John ; Hood, Benjamin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12687.

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2017Dynamic conditional score models with time-varying location, scale and shape parameters. (2017). Escribano, Alvaro ; Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:25043.

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2019An analysis of the Eurosystem/ECB projections. (2019). Lambrias, Kyriacos ; Kontogeorgos, Georgios. In: Working Paper Series. RePEc:ecb:ecbwps:20192291.

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2019Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data. (2019). van Eyden, Renee ; Wohar, Mark E ; Gupta, Rangan ; Difeto, Mamothoana. In: Applied Energy. RePEc:eee:appene:v:233-234:y:2019:i::p:612-621.

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2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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2019Are financial returns really predictable out-of-sample?: Evidence from a new bootstrap test. (2019). Pan, Zhiyuan ; Bu, Ruijun ; Liu, LI ; Xu, Yuhua. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:124-135.

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2017Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420.

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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2019Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon. (2019). Garcia, Rene ; Campani, Carlos Heitor. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:364-384.

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2017Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:130-152.

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2017Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:245-272.

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2017A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation. (2017). Hounyo, Ulrich ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:10-28.

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2017On high frequency estimation of the frictionless price: The use of observed liquidity variables. (2017). Chaker, Selma . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:127-143.

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2017Mixed-scale jump regressions with bootstrap inference. (2017). Tauchen, George ; Li, Jia ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:417-432.

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2018Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity. (2018). Hwang, Eunju ; Shin, Dong Wan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:178-195.

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2018Asymptotic inference about predictive accuracy using high frequency data. (2018). Li, Jia ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:223-240.

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2018Estimating the integrated volatility using high-frequency data with zero durations. (2018). Liu, Zhi ; Jing, Bing-Yi ; Kong, Xin-Bing. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:18-32.

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Clinet, Simon ; Potiron, Yoann. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:103-142.

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2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:71-91.

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2019The scale of predictability. (2019). Bandi, F M ; Tebaldi, C ; Tamoni, A ; Perron, B. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:120-140.

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2019Alternative tests for correct specification of conditional predictive densities. (2019). Sekhposyan, Tatevik ; Rossi, Barbara. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:638-657.

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2019Combining statistical intervals and market prices: The worst case state price distribution. (2019). Mykland, Per Aslak . In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:272-285.

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2019The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2019). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:556-583.

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2019Consistent non-Gaussian pseudo maximum likelihood estimators. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:321-358.

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2019Mixed interval realized variance: A robust estimator of stock price volatility. (2019). Vasnev, Andrey ; Sutton, Maxwell ; Gerlach, Richard. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:43-62.

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2017A distance test of normality for a wide class of stationary processes. (2017). Vavra, Marian ; Psaradakis, Zacharias. In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:50-60.

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2018Forecasting global stock market implied volatility indices. (2018). Filis, George ; Degiannakis, Stavros ; Hassani, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:111-129.

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2017Forecasting the good and bad uncertainties of crude oil prices using a HAR framework. (2017). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:315-327.

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2018High-frequency volatility connectedness between the US crude oil market and Chinas agricultural commodity markets. (2018). Luo, Jiawen ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:424-438.

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2019Futures-based forecasts: How useful are they for oil price volatility forecasting?. (2019). Filis, George ; Degiannakis, Stavros ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:639-649.

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2019Analyzing the economic sources of oil price volatility: An out-of-sample perspective. (2019). Liu, LI ; Meng, Fanyi . In: Energy. RePEc:eee:energy:v:177:y:2019:i:c:p:476-486.

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2018Time varying volatility indices and their determinants: Evidence from developed and emerging stock markets. (2018). Prasad, Nalin ; Kim, Suk-Joong ; Grant, Andrew. In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:115-126.

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2018Forecasting realized volatility based on the truncated two-scales realized volatility estimator (TTSRV): Evidence from Chinas stock market. (2018). Ping, Yuan ; Li, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:222-229.

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2017Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). BenSaïda, Ahmed ; Slim, Skander ; Bensaida, Ahmed ; Koubaa, Yosra. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:30-53.

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2019Sovereign bond return prediction with realized higher moments. (2019). Papavassiliou, Vassilios ; Kinateder, Harald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:53-73.

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2017Realised variance forecasting under Box-Cox transformations. (2017). Taylor, Nick. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:770-785.

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2018An approximate long-memory range-based approach for value at risk estimation. (2018). Meng, Xiaochun ; Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:377-388.

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2019Forecasting Bitcoin risk measures: A robust approach. (2019). Trucíos, Carlos ; Trucios, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:836-847.

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2018Oil volatility risk and expected stock returns. (2018). Christoffersen, Peter ; Pan, Xuhui . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:5-26.

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2019The asymmetric effect of equity volatility on credit default swap spreads. (2019). Lee, Hwang Hee ; Hyun, Jung-Soon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:125-136.

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2018Interest rate volatility, the yield curve, and the macroeconomy. (2018). Joslin, Scott ; Konchitchki, Yaniv. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:2:p:344-362.

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2018Asset pricing with beliefs-dependent risk aversion and learning. (2018). Berrada, Tony ; Rindisbacher, Marcel ; Detemple, Jerome ; De Temple, Jerome. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:3:p:504-534.

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2018Downside risks and the cross-section of asset returns. (2018). Farago, Adam ; Tedongap, Romeo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:69-86.

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2017Violations of uncovered interest rate parity and international exchange rate dependences. (2017). Ames, Matthew ; Peters, Gareth W ; Bagnarosa, Guillaume. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pa:p:162-187.

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2017Forecasting oil price realized volatility using information channels from other asset classes. (2017). Filis, George ; Degiannakis, Stavros. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:76:y:2017:i:c:p:28-49.

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2017Volatility forecasting using high frequency data: The role of after-hours information and leverage effects. (2017). Zhu, Xuehong ; Zhong, Meirui ; Zhang, Hongwei. In: Resources Policy. RePEc:eee:jrpoli:v:54:y:2017:i:c:p:58-70.

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2019Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect. (2019). Gong, XU ; Yang, Cai ; Zhang, Hongwei. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:548-563.

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2019The nexus between the oil price and its volatility risk in a stochastic volatility in the mean model with time-varying parameters. (2019). Balcilar, Mehmet ; Ozdemir, Zeynel Abidin. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:572-584.

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2018Global price discovery in the Australian dollar market and its determinants. (2018). Su, Fei ; Zhang, Jingjing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:48:y:2018:i:c:p:35-55.

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2019Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146.

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2019A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio. (2019). Belkacem, Lotfi ; Boubaker, Heni ; Karmous, Aida. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119312695.

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2019The volatility effect on precious metals price returns in a stochastic volatility in mean model with time-varying parameters. (2019). Ozdemir, Zeynel ; Balcilar, Mehmet. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119313445.

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2017Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?. (2017). Liu, Xiaochun. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:275-293.

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2017Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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2017Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH. (2017). Vortelinos, Dimitrios I. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:824-839.

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2019The signal and the noise volatilities. (2019). Chaker, Selma. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:79-105.

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2017Edgeworth expansion for the pre-averaging estimator. (2017). Veliyev, Bezirgen ; Yoshida, Nakahiro ; Podolskij, Mark. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3558-3595.

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2017Estimation of the realized (co-)volatility vector: Large deviations approach. (2017). Djellout, Hacene ; Samoura, Yacouba ; Guillin, Arnaud . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:9:p:2926-2960.

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2019Empirical likelihood for high frequency data. (2019). Otsu, Taisuke ; Matsushita, Yukitoshi ; Camponovo, Lorenzo. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:100320.

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2018The scale of predictability. (2018). Tebaldi, C ; Tamoni, Andrea ; Perron, B ; Bandi, F M. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85646.

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2017The nexus between the oil price and its volatility in a stochastic volatility in mean model with time-varying parameters. (2017). Ozdemir, Zeynel ; Balcilar, Mehmet. In: Working Papers. RePEc:emu:wpaper:15-33.pdf.

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2018The volatility effect on precious metals prices in a stochastic volatility in mean model with time-varying parameters. (2018). Ozdemir, Zeynel ; Balcilar, Mehmet. In: Working Papers. RePEc:emu:wpaper:15-34.pdf.

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2019The 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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2019New testing approaches for mean-variance predictability. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_01.

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2017Time-Varying Window Length for Correlation Forecasts. (2017). McCurdy, Tom ; Jeon, Yoontae . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:54-:d:122391.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618.

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2017LARGE DEVIATIONS OF THE REALIZED (CO-)VOLATILITY VECTOR. (2017). Samoura, Yacouba ; Guillin, Arnaud ; Djellout, Hacene . In: Post-Print. RePEc:hal:journl:hal-01082903.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Post-Print. RePEc:hal:journl:halshs-01442618.

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2018Volatility Estimation and Jump Detection for drift-diffusion Processes. (2018). Shi, Shuping ; Laurent, Sébastien. In: Working Papers. RePEc:hal:wpaper:halshs-01944449.

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2017Bootstrapping high-frequency jump tests. (2017). Goncalves, Silvia ; Dovonon, Prosper ; Meddahi, Nour ; Hounyo, Ulrich. In: IDEI Working Papers. RePEc:ide:wpaper:31735.

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2019Estimation with Mixed Data Frequencies: A Bias-Correction Approach. (2019). Linton, Oliver ; Ghosh, Anisha. In: CeMMAP working papers. RePEc:ifs:cemmap:65/19.

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2018Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments. (2018). Purwono, Yogo ; Husodo, Zaafri Ananto ; Ekaputra, Irwan Adi . In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:2:d:10.1007_s10614-017-9692-6.

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2019Do High-frequency-based Measures Improve Conditional Covariance Forecasts?. (2019). Dumitrescu, Elena Ivona ; Banulescu-Radu, Denisa. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2709.

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2019Prévoir la volatilité d’un actif financier à l’aide d’un modèle à mélange de fréquences. (2019). Ferrara, Laurent ; Marsilli, Clement ; Banulescu-Radu, Denisa. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2710.

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2019Robust measures of skewness and kurtosis for macroeconomic and financial time series. (2019). Bastianin, Andrea ; Andrea, Bastianin. In: Working Papers. RePEc:mib:wpaper:408.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17006.

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2019Nonparametric conditional density specification testing and quantile estimation; with application to S&P500 returns. (2019). Marsh, Patrick. In: Discussion Papers. RePEc:not:notgts:19/02.

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2017Real-Time GARCH. (2017). Smetanina, Ekaterina . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:4:p:561-601..

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2018Risk Everywhere: Modeling and Managing Volatility. (2018). Bollerslev, Tim ; Pedersen, Lasse Heje ; Huss, John ; Hood, Benjamin. In: Review of Financial Studies. RePEc:oup:rfinst:v:31:y:2018:i:7:p:2729-2773..

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2017Forecasting realized volatility: a review. (2017). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:83232.

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More than 100 citations found, this list is not complete...

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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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.
[Full Text][Citation analysis]		paper7
2012The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation In: Staff Working Papers.
[Full Text][Citation analysis]		paper32
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: 32		article
2013Volatility Forecasting when the Noise Variance Is Time-Varying In: Staff Working Papers.
[Full Text][Citation analysis]		paper2
2013A Distributional Approach to Realized Volatility In: Staff Working Papers.
[Full Text][Citation analysis]		paper0
2006Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2005Jean-Jacques Laffont et léconomie appliquée In: Revue d'économie politique.
[Full Text][Citation analysis]		article0
2000Temporal Aggregation of Volatility Models In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper83
2000Temporal Aggregation of Volatility Models.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2004Temporal aggregation of volatility models.(2004) In: Journal of Econometrics.
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2001An Eigenfunction Approach for Volatility Modeling In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper48
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.
[Citation analysis]
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2001A Theoretical Comparison Between Integrated and Realized Volatilities In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper4
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.
[Citation analysis]
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2002Testing Normality: A GMM Approach In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper70
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.
[Full Text][Citation analysis]		paper102
2004ANALYTICAL EVALUATION OF VOLATILITY FORECASTS.(2004) In: International Economic Review.
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This paper has another version. Agregated cites: 102		article
2002Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper14
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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This paper has another version. Agregated cites: 14		paper
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.
[Full Text][Citation analysis]		paper0
2002ARMA Representation of Integrated and Realized Variances In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper35
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.
[Full Text][Citation analysis]		paper6
1998Quadratic M-Estimators for ARCH-Type Processes.(1998) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 6		paper
2005Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities In: Econometrica.
[Full Text][Citation analysis]		article137
2009Bootstrapping Realized Volatility In: Econometrica.
[Full Text][Citation analysis]		article65
2004Testing Distributional Assumptions: A GMM Approach In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]		paper22
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.
[Citation analysis]
This paper has another version. Agregated cites: 22		article
2004Expected Value Models: A New Approach In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]		paper0
2006GARCH and irregularly spaced data In: Economics Letters.
[Full Text][Citation analysis]		article12
2003GARCH and Irregularly Spaced Data.(2003) In: Discussion Paper.
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This paper has another version. Agregated cites: 12		paper
2011Realized Volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article56
2011Box-Cox transforms for realized volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article14
2011Realized volatility forecasting and market microstructure noise In: Journal of Econometrics.
[Full Text][Citation analysis]		article71
2013Bootstrapping realized multivariate volatility measures In: Journal of Econometrics.
[Full Text][Citation analysis]		article28
2010Bootstrapping realized multivariate volatility measures.(2010) In: MPRA Paper.
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This paper has another version. Agregated cites: 28		paper
2015The long and the short of the risk-return trade-off In: Journal of Econometrics.
[Full Text][Citation analysis]		article10
1996Aggregations and Marginalization of Garch and Stochastic Volatility Models. In: Toulouse - GREMAQ.
[Citation analysis]		paper20
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.
[Full Text][Citation analysis]		paper20
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.
[Full Text][Citation analysis]		article142
2001A Theoretical Comparison Between Integrated and Realized Volatilies.(2001) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 142		paper
2001A Theoretical Comparison Between Integrated and Realized Volatilies..(2001) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 142		paper
2008Edgeworth Corrections for Realized Volatility In: Econometric Reviews.
[Full Text][Citation analysis]		article4

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