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Karim Mimouni

McGill University - Desautels Faculty of Management

1001 Sherbrooke St. West

Montreal, Quebec H3A1G5 H3A 2M1

Canada

  • McGill University - Desautels Faculty of Management

SCHOLARLY PAPERS

4

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Top 12,540

in Total Papers Downloads

3,043

CITATIONS
Rank 9,054

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Top 9,054

in Total Papers Citations

49

Scholarly Papers (4)

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1.

Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns and Option Prices

EFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper
Number of pages: 49 Posted: 24 Aug 2006 Last Revised: 25 Sep 2009
Peter Christoffersen, Kris Jacobs and Karim Mimouni
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 2,008 (4,887)
Citation 23

Abstract:

Stochastic volatility, option valuation, particle filtering, skewness, kurtosis, mean reversion

2.

Nonlinear Filtering in Affine Term Structure Models: Evidence from the Term Structure of Swap Rates

Number of pages: 56 Posted: 18 Jun 2008 Last Revised: 01 Aug 2009
Peter Christoffersen, Kris Jacobs, Lotfi Karoui and Karim Mimouni
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, Goldman, Sachs & Co and McGill University - Desautels Faculty of Management
Downloads 429 (51,768)
Citation 3

Abstract:

term structure models, Kalman filtering, nonlinearity, swaps

3.

Models for S&P 500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices

CREATES Research Paper No. 2007-37
Number of pages: 39 Posted: 24 Jun 2008
Peter Christoffersen, Kris Jacobs and Karim Mimouni
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 307 (60,272)
Citation 23

Abstract:

Stochastic volatility, option valuation, particle filtering, skewness, kurtosis, mean

4.

Foreign Exchange Risk in Microfinance: An Empirical Evidence

Number of pages: 18 Posted: 17 Jun 2014
Moh'd Al Azzam, Karim Mimouni and Sudipta Sarangi
University of Sharjah, McGill University - Desautels Faculty of Management and Virginia Polytechnic Institute & State University
Downloads 66 (243,171)

Abstract:

microfinance, interest rate, economic development, exchange risk, financial intermediation

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