Article

Kim, Jihyun and Meddahi, Nour (2020) Volatility regressions with fat tails. Journal of Econometrics, vol. 218 (n° 2). pp. 690-713.

Bollerslev, Tim, Meddahi, Nour and Nyawa Womo, Serge Luther (2019) High-dimensional multivariate realized volatility estimation. Journal of Econometrics, vol. 212 (n° 1). pp. 116-136.

Garcia, René and Meddahi, Nour (2019) Prime de risque et prix du risque sur les actions. Revue d'économie financière (n° 133). pp. 199-211.

Dovonon, Prosper, Goncalves, Silvia, Hounyo, Ulrich and Meddahi, Nour (2019) Bootstrapping high-frequency jump tests. Journal of the American Statistical Association, 114 (526). pp. 793-803.

Goncalves, Silvia, Hounyo, Ulrich and Meddahi, Nour (2017) Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise. Econometric Theory, vol. 33 (n° 4). pp. 791-838.

Bonomo, Marco, Garcia, René, Meddahi, Nour and Tédongap, Roméo (2015) The long and the short of the risk-return trade-off? Journal of Econometrics, 187 (n°2). pp. 580-592.

Christoffersen, Peter, Fenou, Bruno, Jacobs, Kris and Meddahi, Nour (2014) The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation. Journal of Financial and Quantitative Analysis, 49 (3). pp. 663-697.

Goncalves, Silvia, Hounyo, Ulrich and Meddahi, Nour (2014) Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns. Journal of financial econometrics, 12 (4). pp. 679-707.

Donovon, Prosper, Goncalves, Silvia and Meddahi, Nour (2013) Bootstrapping Realized Multivariate Volatility Measures. Journal of Econometrics, 172 (1). pp. 49-65.

Bontemps, Christian and Meddahi, Nour (2012) Testing Distributional Assumptions: A GMM Approach. Journal of Applied Econometrics, vol. 27 (n° 6). pp. 978-1012.

Goncalves, Silvia and Meddahi, Nour (2011) Box–Cox Transforms for Realized Volatility. Journal of Econometrics, 160 (1). pp. 129-144.

Andersen, Torben G., Bollerslev, Tim and Meddahi, Nour (2011) Realized Volatility Forecasting and Market Microstructure Noise. Journal of Econometrics, vol. 160 (n° 1). pp. 220-234.

Bonomo, Marco, Garcia, René, Meddahi, Nour and Tédongap, Roméo (2011) Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices. Review of Financial Studies, 24 (1). pp. 82-122.

Goncalves, Silvia and Meddahi, Nour (2009) Bootstrapping Realized Volatility. Econometrica, 77 (1). pp. 283-306.

Goncalves, Silvia and Meddahi, Nour (2008) Edgeworth Corrections for Realized Volatility. Econometric Reviews, 27 (1). pp. 139-162.

Meddahi, Nour, Renault, Eric and Werker, Bas (2006) GARCH and Irregularly Spaced Data. Economics Letters, 90 (2). pp. 200-204.

Gasmi, Farid, Meddahi, Nour and Vuong, Quang H. (2005) Jean-Jacques Laffont et l'économie appliquée. Revue d'Economie Politique (3, Hommage). pp. 309-336.

Andersen, Torben G., Bollerslev, Tim and Meddahi, Nour (2005) Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities. Econometrica, 73 (1). pp. 279-296.

Bontemps, Christian and Meddahi, Nour (2005) Testing Normality: a GMM Approach. Journal of Econometrics, 124 (1). pp. 149-186.

Andersen, Torben G., Bollerslev, Tim and Meddahi, Nour (2004) Analytic Evaluation of Volatility Forecasts. International Economic Review, 45 (4). pp. 1079-1110.

Meddahi, Nour and Renault, Eric (2004) Temporal Aggregation of Volatility Models. Journal of Econometrics, 119 (2). pp. 355-379.

Meddahi, Nour (2003) ARMA Representation of Integrated and Realized Variances. Econometrics Journal, 6 (2). pp. 334-355.

Meddahi, Nour (2002) A Theoretical Comparison Between Integrated and Realized Volatility. Journal of Applied Econometrics, 17 (5). pp. 479-508.

Monograph

Kim, Jihyun and Meddahi, Nour (2020) Volatility Regressions with Fat Tails. TSE Working Paper, n. 20-1097, Toulouse

Dovonon, Prosper, Goncalves, Silvia, Hounyo, Ulrich and Meddahi, Nour (2017) Bootstrapping high-frequency jump tests. TSE Working Paper, n. 17-810, Toulouse

Ghattassi, Imen and Meddahi, Nour (2012) Time-Aggregation Effects on Estimating Asset Pricing Models.

Bonomo, Marco, Garcia, René, Meddahi, Nour and Tédongap, Roméo (2010) Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices. TSE Working Paper, n. 10-187