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Correcting the errors : volatility forecast evaluation using high-frequency data and realized volatilities

Andersen, Torben; Bollerslev, Tim; Meddahi, Nour - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 1, pp. 279-296

Persistent link: https://www.econbiz.de/10002568170

Analytical evaluation of volatility forecasts

Andersen, Torben; Bollerslev, Tim; Meddahi, Nour - In: International economic review 45 (2004) 4, pp. 1079-1110

Persistent link: https://www.econbiz.de/10002427616

Correcting the errors : a note on volatility forecast evaluation based on high-frequency data and realized volatilities

Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001947554

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

Volatility forecasting when the noise variance Is time-varying

Chaker, Selma; Meddahi, Nour - 2013

This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the...

Persistent link: https://www.econbiz.de/10010225492

Generalized disappointment aversion, long-run volatility risk and asset prices

Bonomo, Marco Antonio; Garcia, René; Meddahi, Nour; … - 2010

Persistent link: https://www.econbiz.de/10008749056

Generalized disappointment aversion, long-run volatility risk, and asset prices

Bonomo, Marco Antonio; Garcia, René; Meddahi, Nour; … - In: The review of financial studies 24 (2011) 1, pp. 82-122

Persistent link: https://www.econbiz.de/10008909444