Nour Meddahi

University of Toulouse 1 - Toulouse School of Economics (TSE)

Place Anatole-France

Toulouse Cedex, F-31042

France

http://gremaq.univ-tlse1.fr/perso/meddahi/

SCHOLARLY PAPERS

3

DOWNLOADS

1,384

SSRN CITATIONS
Rank 38,964

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Top 38,964

in Total Papers Citations

16

CROSSREF CITATIONS

9

Scholarly Papers (3)

1.

The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

AFA 2013 San Diego Meetings Paper
Number of pages: 51 Posted: 18 Mar 2010 Last Revised: 08 Dec 2012
University of Toronto - Rotman School of Management, Bank of Canada, University of Houston - C.T. Bauer College of Business and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 901 (50,240)
Citation 21

Abstract:

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Realized volatility, index options, risk premium, heteroskedasticity

2.

Generalized Affine Models

Number of pages: 62 Posted: 23 Mar 2009 Last Revised: 16 Dec 2009
Bruno Feunou and Nour Meddahi
Bank of Canada and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 402 (138,625)
Citation 6

Abstract:

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Affine models, cumulant function, option pricing, term structure of interest rates

3.

Bootstrapping Realized Multivariate Volatility Measures

Number of pages: 34 Posted: 05 Nov 2009
Barclays Wealth, University of Montreal - Department of Economics and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 81 (562,491)
Citation 21

Abstract:

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Realized regression, realized beta, realized correlation, bootstrap, Edgeworth expansions