← All authors Nour Meddahi Toulouse School of Economics (from arXiv:2604.14394, 2026) · OpenAlex
30 papers in scope · 29 published · 1 on the econ.EM arXiv · 2,681 citations · h-index 17 (over the papers listed here)
Papers (1 of 30)
working paper 2026 · arXiv
Towards Identification of Shocks in Linear State‐Space Models: Application to Stochastic Volatility Model
published 2025 · Journal of Time Series Analysis
with Stéphane Gregoir
Functional ecological inference
published 2024 · Journal of Econometrics · 1 citations
How the COVID-19 Crisis is Impacting Postal Markets? A New Assessment One Year Later
published 2023 · Topics in Regulatory Economics and Policy · 1 citations
Volatility regressions with fat tails
published 2020 · Journal of Econometrics · 10 citations
Prime de risque et prix du risque sur les actions
published 2019 · Revue d économie financière
with René García
High-dimensional multivariate realized volatility estimation
published 2019 · Journal of Econometrics · 38 citations
with Tim Bollerslev, Serge Nyawa
Bootstrapping High-Frequency Jump Tests
published 2018 · Journal of the American Statistical Association · 26 citations
BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE
published 2016 · Econometric Theory · 20 citations · first circulated 2013
The long and the short of the risk-return trade-off
published 2015 · Journal of Econometrics · 18 citations
with Marco Bonomo, René García, Roméo Tédongap
Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns
published 2014 · Journal of Financial Econometrics · 11 citations · first circulated 2013
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
published 2014 · Journal of Financial and Quantitative Analysis · 34 citations · first circulated 2012
with Peter Christoffersen, Bruno Feunou, Kris Jacobs
Testing distributional assumptions: A GMM aproach
published 2011 · Journal of Applied Econometrics · 58 citations
with Christian Bontemps
Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices
published 2010 · Review of Financial Studies · 124 citations · first circulated 2009
with Marco Bonomo, René García, Roméo Tédongap
Realized Volatility
published 2010 · Journal of Econometrics · 10 citations
Box–Cox transforms for realized volatility
published 2010 · Journal of Econometrics · 59 citations
Realized volatility forecasting and market microstructure noise
published 2010 · Journal of Econometrics · 262 citations
Bootstrapping Realized Multivariate Volatility Measures
published 2009 · Journal of Econometrics · 11 citations
Bootstrapping Realized Volatility
published 2008 · Econometrica · 163 citations
Edgeworth Corrections for Realized Volatility
published 2008 · Econometric Reviews · 15 citations
Comment
published 2006 · Journal of Business and Economic Statistics · 4 citations
with René García
GARCH and irregularly spaced data
published 2005 · Economics Letters · 41 citations · first circulated 2003
Jean-Jacques Laffont et l'économie appliquée
published 2005 · Revue d économie politique
with Farid Gasmi, Quang Vuong
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
published 2004 · Econometrica · 339 citations
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS*
published 2004 · International Economic Review · 226 citations
Testing normality: a GMM approach
published 2004 · Journal of Econometrics · 177 citations
with Christian Bontemps
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
published 2004 · Journal of Econometrics · 645 citations · first circulated 2002
ARMA representation of integrated and realized variances
published 2003 · Econometrics Journal · 82 citations · first circulated 2002
Temporal aggregation of volatility models
published 2003 · Journal of Econometrics · 14 citations
with Éric Renault
A theoretical comparison between integrated and realized volatility
published 2002 · Journal of Applied Econometrics · 292 citations · first circulated 2001
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