Concepedia

Nour Meddahi

NM

Statistics

Publications

32

Citations

2.2K

H-Index

19

Active since

1996

Affiliations

Toulouse School of Economics(Current)

Université de Montréal

Center for Interuniversity Research and Analysis on Organizations

Duke University

Aarhus University

Nour Meddahi is an author at Toulouse School of Economics specializing in statistics, volatility modeling, and engineering.

Top concepts

StatisticsVolatility ModelingBusinessEngineeringMultivariate Stochastic VolatilityFinanceAsset PricingFinancial EconomicsEconomicsStatistical Inference

Publications per year

1996–2020

32

Publications

32

Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities

Torben G. Andersen, Tim Bollerslev, Nour Meddahi · Econometrica · 2004 · 336 citations

A theoretical comparison between integrated and realized volatility

Nour Meddahi · Journal of Applied Econometrics · 2002 · 292 citations

Empirical Finance, Volatility Modeling, Theoretical Comparison +16

Realized volatility forecasting and market microstructure noise

Torben G. Andersen, Tim Bollerslev, Nour Meddahi · Journal of Econometrics · 2010 · 258 citations

Volatility Modeling, Market Microstructure Noise, Financial Economics +4

ANALYTICAL EVALUATION OF VOLATILITY FORECASTS*

Torben G. Andersen, Tim Bollerslev, Nour Meddahi · International Economic Review · 2004 · 226 citations

Forecasting Methodology, Volatility Modeling, Engineering +19

Testing normality: a GMM approach

Christian Bontemps, Nour Meddahi · Journal of Econometrics · 2004 · 175 citations · Full text

Testing Technique, Test Derivation, Testability +2

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