Mustafa Karaman

University of Zurich - Swiss Banking Institute (ISB)

Plattenstrasse 32

Zurich, 8032

Switzerland

  • University of Zurich - Swiss Banking Institute (ISB)

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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1.

The Term Structure of Variance Swaps and Risk Premia

Swiss Finance Institute Research Paper No. 18-37
Number of pages: 64 Posted: 27 Aug 2012 Last Revised: 14 May 2018
Yacine Ait-Sahalia, Mustafa Karaman and Loriano Mancini
Princeton University - Department of Economics, University of Zurich - Swiss Banking Institute (ISB) and USI Lugano - Institute of Finance
Downloads 2,395 (5,957)
Citation 33

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Variance Swap, Stochastic Volatility, Likelihood Approximation, Term Structure, Equity Risk Premium, Variance Risk Premium

2.

The Impact of Terrorism on Financial Markets: An Empirical Study

Number of pages: 48 Posted: 28 Mar 2010
Marc Chesney, Mustafa Karaman and Ganna Reshetar
University of Zurich - Department of Banking and Finance, University of Zurich - Swiss Banking Institute (ISB) and Deloitte AG
Downloads 924 (26,705)
Citation 12

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Terrorism, Financial Markets, Event Study, Non-Parametric Methodology, Filtered GARCH-EVT Approach, Portfolio Diversification