Overview
Nour Meddahi is an econometrician at Université de Montréal (Département de sciences économiques, CIRANO, CIREQ) known for work on reduced-form representations of volatility models, temporal aggregation of GARCH processes, and eigenfunction stochastic volatility. His research bridges continuous-time SV theory and discrete-time GARCH models.
Key Contributions / Features
- Meddahi (2002) (CIRANO 2002s-92): Closed-form ARMA(2,2) representation of two-factor SV models; derives MA roots analytically; characterises the weak GARCH(2,2) representation of squared returns at any sampling frequency h; shows GARCH(1,1) emerges at weekly and lower frequencies.
- Meddahi-Renault (2002) (Journal of Econometrics, forthcoming): Temporal aggregation of volatility models; SR-SARV framework; closure under aggregation; used in Meddahi (2002) for the SV application.
- Meddahi (2001) (CIRANO 2001s-70): Eigenfunction Stochastic Volatility (ESV) models — latent factors as eigenfunctions of the infinitesimal generator of the state variable; two-factor ESV gives the structural parameters used in Meddahi (2002).
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