Nour MEDDAHI
Professor in Economics
Toulouse School of Economics
Last
update: April, 2018.
Address:
Toulouse
School of Economics
21 allée de Brienne - Manufacture des Tabacs-
31015, Toulouse, France
Email: nour.meddahi@tse-fr.eu
Tel:
+33(0)5 61 12 85 63
Fax:
+33(0)5 61 12 86 37
Published
and Forthcoming Papers
"Bootstrapping High Frequency Jump Tests" (with P. Dovonon, S. Gonçalves, and U. Hounyo), Journal of The American Statistical Association, forthcoming, 2017. Online Appendix
“Bootstrapping
Pre-Averaged Realized Volatility under Market Microstructure
Noise” (with
U. Hounyo and S. Gonçalves), Econometric
Theory, 2017, 33, 791-838.
“The
Long and the
Short of the Risk-Return Trade-Off” (with Marco Bonomo,
René Garcia, and Roméo Tédongap),
Journal of Econometrics, 2015, 187, 580-592. Online Appendix.
“Bootstrap
Inference
for Pre-Averaged Realized Volatility based on Non-Overlapping
Returns”
(with S. Gonçalves and
U. Hounyo), Journal of Financial
Econometrics, 2014, 12, 679-707.
``The
Economic
Value of Realized Volatility: Using High-Frequency Returns for Option
Valuation’’ (with P. Christoffersen,
B. Feunou, and K. Jacobs), Journal of
Financial and
Quantitative Analysis, 2014, 49, 663-697.
``Bootsrapping
Realized Multivariate Volatility Measures” (with P. Dovonon
and S. Goncalves), Journal of
Econometrics, 2013,
172, 49-65.
``Testing
Distributional Assumptions: A GMM Approach'' (with C.
Bontemps), Journal of Applied Econometrics, 2012, 978-1012.
``Generalized
Disappointment Aversion, Long-Run Volatility Risk and Asset
Prices’’ (with
M. Bonomo, R. Garcia, and R. Tedongap),
Review of Financial Studies, 2011, 24, 82-122. Technical
Appendix.
``Market
Microstructure Noise and Realized Volatility Forecasting’’
(with T.
Andersen and T. Bollerslev), Journal of
Econometrics,
2011, 160, 220-234.
``Box-Cox
Transforms
for Realized Volatility'' (with S. Goncalves),
Journal of Econometrics, 2011, 160, 129-144.
``Bootstrapping
Realized Volatility'' (with
``Edgeworth
Corrections for
Realized Volatility'' (with
``GARCH and
Irregularly Spaced Data'' (with E. Renault and B. Werker),
Economics Letters, 2006, 90, 200-2004.
1998 version.
"Correcting
the Errors: Volatility Forecast Evaluation Using High-Frequency Data
and
Realized Volatilities" (with T. G. Andersen and T. Bollerslev), Econometrica,
2005,
73, 279-296. 2003-version.
"Testing
Normality: A GMM Approach" (with C. Bontemps), Journal of
Econometrics,
2005, 124, 149-186.
"Analytic Evaluation of Volatility Forecasts" (with T. G. Andersen and T. Bollerslev),
International Economic Review, 2004, 45, 1079-1110.
2002_version.
"Temporal
Aggregation of Volatility Models" (with E. Renault), Journal of
Econometrics, 2004, 119, 355-379.
"ARMA
Representation of Integrated and Realized Variances", The
Econometrics
Journal, 2003, 6, 334-355.
"A
Theoretical Comparison Between Integrated
and Realized
Volatility", Journal of Applied Econometrics, 2002, 17,
475-508.
Working Papers
“Revisiting
Continuous Time Limits of Volatility Processes” (with J.
Kim), August 2017.
“Volatility
Regressions with Fat Tails” (with J.
Kim), April 2017.
``Generalized
Affine
Models” (with B. Feunou),
November 2007.
"ARMA
Representation of
Two-Factor Models", October 2002.
"Moments of
Continuous Time Stochastic Volatility Models", May 2002.
"An Eigenfunction Approach for Volatility Modeling",
October 2001.
"Quadratic
M-estimators for ARCH-Type Processes"
(with
E. Renault), 1997.