Nour Meddahi

Jihyun Kim, and Nour Meddahi, “Volatility Regressions with Fat Tails”, Journal of Econometrics, vol. 218, n. 2, October 2020, pp. 690–713.

Tim Bollerslev, Nour Meddahi, and Serge Nyawa, “High-dimensional multivariate realized volatility estimation”, Journal of Econometrics, vol. 212, n. 1, September 2019, pp. 116–136.

René Garcia, and Nour Meddahi, “Prime de risque et prix du risque sur les actions”, Revue d'économie financière, n. 133, March 2019, pp. 199–210.

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

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

Marco Bonomo, René Garcia, Nour Meddahi, and Roméo Tédongap, “The long and the short of the risk-return trade-off?”, Journal of Econometrics, vol. 187, n. 2, August 2015, pp. 580–592.

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

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

Prosper Donovon, Silvia Goncalves, and Nour Meddahi, “Bootstrapping Realized Multivariate Volatility Measures”, Journal of Econometrics, vol. 172, n. 1, January 2013, pp. 49–65.

Christian Bontemps, and Nour Meddahi, “Testing Distributional Assumptions: A GMM Approach”, Journal of Applied Econometrics, vol. 27, n. 6, September 2012, pp. 978–1012.

Marco Bonomo, René Garcia, Nour Meddahi, and Roméo Tédongap, “Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices”, The Review of Financial Studies, vol. 24, n. 1, 2011, pp. 82–122.

Torben G. Andersen, Tim Bollerslev, and Nour Meddahi, “Realized Volatility Forecasting and Market Microstructure Noise”, Journal of Econometrics, vol. 160, n. 1, January 2011, pp. 220–234.

Silvia Goncalves, and Nour Meddahi, “Box–Cox Transforms for Realized Volatility”, Journal of Econometrics, vol. 160, n. 1, January 2011, pp. 129–144.

Silvia Goncalves, and Nour Meddahi, “Bootstrapping Realized Volatility”, Econometrica, vol. 77, n. 1, January 2009, pp. 283–306.

Silvia Goncalves, and Nour Meddahi, “Edgeworth Corrections for Realized Volatility”, Econometric Reviews, vol. 27, n. 1, January 2008, pp. 139–162.

Nour Meddahi, Eric Renault, and Bas Werker, “GARCH and Irregularly Spaced Data”, Economics Letters, Elsevier, vol. 90, n. 2, February 2006, pp. 200–204.

Farid Gasmi, Nour Meddahi, and Quang Vuong, “Jean-Jacques Laffont et l'économie appliquée”, Revue d'Économie Politique, n. 3, Hommage à  Jean-Jacques Laffont, mai-juin 2005, pp. 309–336.

Christian Bontemps, and Nour Meddahi, “Testing Normality: a GMM Approach”, Journal of Econometrics, vol. 124, n. 1, 2005, pp. 149–186.

Torben G. Andersen, Tim Bollerslev, and Nour Meddahi, “Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities ”, Econometrica, vol. 73, n. 1, January 2005, pp. 279–296.

Torben G. Andersen, Tim Bollerslev, and Nour Meddahi, “Analytic Evaluation of Volatility Forecasts”, International Economic Review, vol. 45, n. 4, November 2004, pp. 1079–1110.