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Publications

11 results

CS

Bootstrapping pre-averaged realized volatility under market microstructure noise

Silvia Gonçalves, Ulrich Hounyo and Nour Meddahi

CS

Bootstrapping high-frequency jump tests

Prosper Dovonon, Silvia Gonçalves, Ulrich Hounyo and Nour Meddahi

CS

Analytic Evaluation of Volatility Forecasts

Torben G. Andersen, Tim Bollerslev and Nour Meddahi

Simulation
CS
CS

ARMA Representation of Two-Factor Models

Nour Meddahi

Simulation
CS

ARMA Representation of Integrated and Realized Variances

Nour Meddahi

Simulation
CS

Testing Normality: A GMM Approach

Christian Bontemps and Nour Meddahi

CS
CS

An Eigenfunction Approach for Volatility Modeling

Nour Meddahi

Simulation
CS

Temporal Aggregation of Volatility Models

Nour Meddahi and Éric Renault

Simulation
CS

Quadratic M-Estimators for ARCH-Type Processes

Nour Meddahi and Éric Renault

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