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Causality effects in return volatility measures with random times
Renault, Eric; Werker, Bas J. M. - In: Journal of econometrics 160 (2011) 1, pp. 272-279
Persistent link: https://www.econbiz.de/10009242519
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Realized volatility forecasting and market microstructure noise
Andersen, Torben; Bollerslev, Tim; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 220-234
Persistent link: https://www.econbiz.de/10009242523
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Box-Cox transforms for realized volatility
Gonçalves, Sílvia; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 129-144
Persistent link: https://www.econbiz.de/10009242530
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Estimation of objective and risk-neutral distributions based on moments of integrated volatility
Garcia, René; Lewis, Marc-André; Pastorello, Sergio; … - In: Journal of econometrics 160 (2011) 1, pp. 22-32
Persistent link: https://www.econbiz.de/10009242563
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Realized volatility
Meddahi, Nour; Mykland, Per A.; Shephard, Neil G. - In: Journal of econometrics 160 (2011) 1, pp. 1
Persistent link: https://www.econbiz.de/10009242567
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Realized volatility : [most of the papers ... were presented at the CIRANO/CIREQ Conference on "Realized volatility", April 2006]
Meddahi, Nour (contributor); Mykland, Per A. (contributor);  … - 2010
Persistent link: https://www.econbiz.de/10009244600
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Bootstrapping realized multivariate volatility measures
Dovonon, Prosper; Gonçalves, Sílvia; Meddahi, Nour - In: Journal of econometrics 172 (2013) 1, pp. 49-65
Persistent link: https://www.econbiz.de/10009702319
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Temporal aggregation of volatility models
Meddahi, Nour; Renault, Eric - In: Journal of econometrics 119 (2004) 2, pp. 355-379
Persistent link: https://www.econbiz.de/10001956326
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The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin; Khrapov, Stanislav; Renault, Eric - In: Journal of econometrics 217 (2020) 2, pp. 230-258
Persistent link: https://www.econbiz.de/10012482760
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Volatility regressions with fat tails
Kim, Jihyun; Meddahi, Nour - In: Journal of econometrics 218 (2020) 2, pp. 690-713
Persistent link: https://www.econbiz.de/10012483177