Nour MEDDAHI
2006-: On leave from the University of Montreal. Now at the Tanaka
Business School, Imperial College London. Email:
n.meddahi@imperial.ac.uk
Professeur agrégé / Associate Professor,
Département de
sciences économiques, Université de Montréal,
Chercheur / Research Fellow, CIREQ, CIRANO
Ph.D.: Toulouse University, 1997.
Université de Montréal
Département de sciences économiques
Postal address: C.P. 6128, succursale Centre-ville, Montréal
(Québec) H3C 3J7
Physical address : 3150, rue Jean-Brillant, bureau C-6025,
Montréal (Québec), H3T 1N8
Phone : (514) 343-2399
Fax : (514) 343-5831 (CIREQ) / 343-7221 (Département)
Nour.Meddahi@UMontreal.CA
Last update: September 1, 2006.
Published Papers
``GARCH and Irregularly Spaced Data''
(with
E. Renault and B. Werker), Economics Letters, 2006, 90, 200-2004. pdf, 1998 version.
"Correcting
the Errors: Volatility
Forecast
Evaluation Using High-Frequency Data and Realized Volatilities"
(with T. G. Andersen and T. Bollerslev), Econometrica, 2005, 73,
279-296. pdf.
2003-version.
"Testing
Normality: A GMM Approach"
(with C. Bontemps), Journal of Econometrics, 2005, 124,
149-186. pdf,
ps.
"Analytic
Evaluation of Volatility Forecasts"
(with T. G. Andersen and T. Bollerslev), International Economic
Review, 2004, 45, 1079-1110. pdf. 2002_version.
"Temporal Aggregation of Volatility Models"
(with E. Renault), Journal of Econometrics, 2004, 119, 355-379. pdf
"ARMA Representation of Integrated and
Realized Variances", The Econometrics Journal, 2003, 6, 334-355. pdf, ps.
"A Theoretical Comparison Between
Integrated and Realized Volatility", Journal of Applied
Econometrics, 2002, 17, 475-508. pdf
Working Papers
``Market
Microstructure Noise and Realized Volatility Forecasting'' (with T.
Andersen and T. Bollerslev), August 2006, pdf.
``Edgeworth Corrections for Realized
Volatility" (with S. Goncalves), July 2006, pdf.
``Box-Cox Transforms for Realized Volatility''
(with S. Goncalves), July 2006, pdf.
``Testing Distributional Assumptions: A GMM
Approach'' (with C. Bontemps), May 2006, pdf.
``An Analytical Framework for Assessing Asset
Pricing Models and Predictability'' (with R. Garcia and R.
Tedongap), May 2006, pdf.
"Bootstrapping Realized Volatility" (with
S. Goncalves), July 2005. pdf.
"ARMA Representation of Two-Factor Models",
October 2002. pdf, ps.
"Moments of Continuous Time Stochastic Volatility
Models", May 2002. pdf, ps.
"An Eigenfunction Approach for Volatility
Modeling", October 2001. pdf,ps
"Quadratic M-estimators for ARCH-Type Processes"
(with E. Renault), 1997. ps - pdf
"Aggregations and Marginalization of GARCH and
Stochastic Volatility Models" (with E. Renault) 1996. - ps - pdf