Karim Mimouni

McGill University - Desautels Faculty of Management

1001 Sherbrooke St. West

Montreal, Quebec H3A1G5 H3A 2M1

Canada

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 12,217

SSRN RANKINGS

Top 12,217

in Total Papers Downloads

3,015

CITATIONS
Rank 9,016

SSRN RANKINGS

Top 9,016

in Total Papers Citations

49

Scholarly Papers (4)

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 (4,708)
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
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 (50,482)
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 (60,099)
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 (237,086)

Abstract:

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