Nour Meddahi - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T11:55:40+00:00A Distributional Approach to Realized Volatility
https://www.bankofcanada.ca/2013/12/working-paper-2013-49/
This paper proposes new measures of the integrated variance, measures which use high-frequency bid-ask spreads and quoted depths. The traditional approach assumes that the mid-quote is a good measure of frictionless price.2013-12-20T10:14:03+00:00enA Distributional Approach to Realized Volatility2013-12-20Econometric and statistical methodsFinancial marketsWorking Paper 2013-49https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-49.pdfA Distributional Approach to Realized VolatilitySelma ChakerNour MeddahiDecember 2013CC1C14C5C51C58Volatility Forecasting when the Noise Variance Is Time-Varying
https://www.bankofcanada.ca/2013/12/working-paper-2013-48/
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 noise variance is related to the true return volatility.2013-12-20T10:13:05+00:00enVolatility Forecasting when the Noise Variance Is Time-Varying2013-12-20Econometric and statistical methodsFinancial marketsWorking Paper 2013-48https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-48.pdfVolatility Forecasting when the Noise Variance Is Time-VaryingSelma ChakerNour MeddahiDecember 2013CC1C14C5C51C58The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
https://www.bankofcanada.ca/2012/10/working-paper-2012-34/
Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added.2012-10-03T11:54:33+00:00enThe Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation2012-10-03Asset pricingEconometric and statistical methodsWorking Paper 2012-34https://www.bankofcanada.ca/wp-content/uploads/2012/10/wp2012-34.pdfThe Economic Value of Realized Volatility: Using High-Frequency Returns for Option ValuationPeter ChristoffersenBruno FeunouKris JacobsNour MeddahiOctober 2012GG1G13