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Nour Meddahi

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Personal Details

First Name: Nour
Middle Name:
Last Name: Meddahi
Suffix:

RePEc Short-ID: pme426

Email: [This author has chosen not to make the email address public]
Homepage: http://gremaq.univ-tlse1.fr/perso/meddahi/
Postal Address:
Phone:

Affiliation

Groupe de Recherche en Économie Mathématique et Quantitative (GREMAQ)
Toulouse School of Economics (TSE)
Location: Toulouse, France
Homepage: http://www-gremaq.univ-tlse1.fr/
Email:
Phone: 05.61.62.85.56
Fax: 05 61 22 55 63
Postal: Manufacture des Tabacs - Bâtiment F, 21 Alléee de Brienne, 31000 TOULOUSE
Handle: RePEc:edi:getlsfr (more details at EDIRC)

Works

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Working papers

  1. Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2010. "Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices," TSE Working Papers 10-187, Toulouse School of Economics (TSE).
  2. N. Meddahi & C. Bontemps, 2004. "Testing Distributional Assumptions: A GMM Approach," Econometric Society 2004 North American Winter Meetings 487, Econometric Society.
  3. Nour Meddahi, 2004. "Expected Value Models: A New Approach," Econometric Society 2004 North American Winter Meetings 556, Econometric Society.
  4. Meddahi, N. & Renault, E. & Werker, B.J.M., 2003. "GARCH and Irregularly Spaced Data," Discussion Paper 2003-27, Tilburg University, Center for Economic Research.
  5. BONTEMPS, Christian & MEDDAHI, Nour, 2002. "Testing Normality : A GMM Approach," Cahiers de recherche 2002-14, Universite de Montreal, Departement de sciences economiques.
  6. Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
  7. Nour Meddahi, 2002. "ARMA Representation of Integrated and Realized Variances," CIRANO Working Papers 2002s-93, CIRANO.
  8. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities," CIRANO Working Papers 2002s-91, CIRANO.
  9. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers 2002s-90, CIRANO.
  10. MEDDAHI, Nour, 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Universite de Montreal, Departement de sciences economiques.
  11. Nour Meddahi, 2001. "A Theoretical Comparison Between Integrated andRealized Volatilities / A Theoretical Comparison Between Integrated and Realized Volatilities," CIRANO Working Papers 2001s-71, CIRANO.
  12. Meddahi, N., 2001. "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche 2001-26, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  13. Nour Meddahi, 2000. "Temporal Aggregation of Volatility Models," Econometric Society World Congress 2000 Contributed Papers 1903, Econometric Society.
  14. Nour Meddahi & Éric Renault, 1998. "Quadratic M-Estimators for ARCH-Type Processes," CIRANO Working Papers 98s-29, CIRANO.
  15. Meddahi, N & Renault, E., 1996. "Aggregations and Marginalization of Garch and Stochastic Volatility Models," Papers 96.433, Toulouse - GREMAQ.

Articles

  1. Meddahi, Nour & Mykland, Per & Shephard, Neil, 2011. "Realized Volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 1-1, January.
  2. Marco Bonomo & René Garcia & Nour Meddahi & Roméo Tédongap, 2011. "Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices," Review of Financial Studies, Society for Financial Studies, vol. 24(1), pages 82-122.
  3. Gonçalves, Sílvia & Meddahi, Nour, 2011. "Box-Cox transforms for realized volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 129-144, January.
  4. Andersen, Torben G. & Bollerslev, Tim & Meddahi, Nour, 2011. "Realized volatility forecasting and market microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 220-234, January.
  5. Sílvia Gonçalves & Nour Meddahi, 2009. "Bootstrapping Realized Volatility," Econometrica, Econometric Society, vol. 77(1), pages 283-306, 01.
  6. Silvia Goncalves & Nour Meddahi, 2008. "Edgeworth Corrections for Realized Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 139-162.
  7. Meddahi, Nour & Renault, Eric & Werker, Bas, 2006. "GARCH and irregularly spaced data," Economics Letters, Elsevier, vol. 90(2), pages 200-204, February.
  8. Garcia, Rene & Meddahi, Nour, 2006. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 184-192, April.
  9. Farid Gasmi & Nour Meddahi & Quang H. Vuong, 2005. "Jean-Jacques Laffont et l'économie appliquée," Revue d'économie politique, Dalloz, vol. 0(3), pages 309-336.
  10. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2005. "Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities," Econometrica, Econometric Society, vol. 73(1), pages 279-296, 01.
  11. Bontemps, Christian & Meddahi, Nour, 2005. "Testing normality: a GMM approach," Journal of Econometrics, Elsevier, vol. 124(1), pages 149-186, January.
  12. Meddahi, Nour & Renault, Eric, 2004. "Temporal aggregation of volatility models," Journal of Econometrics, Elsevier, vol. 119(2), pages 355-379, April.
  13. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004. "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 1079-1110, November.
  14. Nour Meddahi, 2003. "ARMA representation of integrated and realized variances," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 335-356, December.
  15. Nour Meddahi, 2002. "A theoretical comparison between integrated and realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 479-508.

NEP Fields

11 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2010-10-02
  2. NEP-CFN: Corporate Finance (1) 2003-04-27
  3. NEP-ECM: Econometrics (9) 2003-04-13 2003-05-12 2003-05-12 2003-05-12 2003-05-12 2003-06-09 2003-10-12 2003-10-12 2007-11-17. Author is listed
  4. NEP-ETS: Econometric Time Series (8) 2003-04-13 2003-04-27 2003-04-27 2003-04-27 2003-04-27 2003-06-04 2003-10-12 2003-10-12. Author is listed
  5. NEP-FIN: Finance (3) 2003-04-27 2003-04-27 2003-10-12. Author is listed
  6. NEP-FMK: Financial Markets (2) 2003-04-27 2003-04-27
  7. NEP-GEO: Economic Geography (1) 2003-04-13
  8. NEP-MAC: Macroeconomics (1) 2003-04-27
  9. NEP-RMG: Risk Management (6) 2003-04-13 2003-04-27 2003-04-27 2003-04-27 2003-10-12 2003-10-12. Author is listed
  10. NEP-UPT: Utility Models & Prospect Theory (1) 2010-10-02

Statistics

This author is among the top 5% authors according to these criteria:
  1. Number of Citations, Weighted by Simple Impact Factor
  2. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  3. Number of Citations, Weighted by Recursive Impact Factor
  4. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  5. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  6. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  7. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  8. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  9. Number of Journal Pages, Weighted by Simple Impact Factor
  10. Number of Journal Pages, Weighted by Recursive Impact Factor
  11. Wu-Index
  12. Strength of students

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