Nour Meddahi

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Volatility regressions with fat tails Journal of Econometrics	2021-02-09	Paper
High-dimensional multivariate realized volatility estimation Journal of Econometrics	2019-09-02	Paper
Bootstrapping high-frequency jump tests Journal of the American Statistical Association	2019-08-27	Paper
Bootstrapping pre-averaged realized volatility under market microstructure noise Econometric Theory	2017-09-15	Paper
Bootstrapping realized multivariate volatility measures Journal of Econometrics	2017-05-12	Paper
Bootstrapping realized multivariate volatility measures Journal of Econometrics	2017-05-12	Paper
Realized volatility forecasting and market microstructure noise Journal of Econometrics	2016-08-10	Paper
Box-Cox transforms for realized volatility Journal of Econometrics	2016-08-10	Paper
Testing normality: a GMM approach Journal of Econometrics	2016-03-24	Paper
The long and the short of the risk-return trade-off Journal of Econometrics	2015-06-08	Paper
Temporal aggregation of volatility models Journal of Econometrics	2014-03-07	Paper
GARCH and irregularly spaced data Economics Letters	2013-01-07	Paper
Bootstrapping Realized Volatility Econometrica	2009-05-18	Paper
Edgeworth Corrections for Realized Volatility Econometric Reviews	2008-11-19	Paper
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities Econometrica	2006-10-24	Paper
ARMA representation of integrated and realized variances Econometrics Journal	2004-03-17	Paper

Research outcomes over time

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