Bruno Feunou

Bank of Canada

234 Wellington Street

Ottawa, Ontario K1A 0G9

Canada

http://sites.google.com/view/bruno-feunou/home

  • Bank of Canada

    • Email
    • Tel: 613-782-8302
SCHOLARLY PAPERS

25

DOWNLOADS
Rank 7,752

SSRN RANKINGS

Top 7,752

in Total Papers Downloads

8,210

SSRN CITATIONS
Rank 8,295

SSRN RANKINGS

Top 8,295

in Total Papers Citations

120

CROSSREF CITATIONS

35

Scholarly Papers (25)

Actions:
Email selected abstracts
1.

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Downloads 1,236 ( 23,110)
Citation 6

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Number of pages: 50 Posted: 08 Feb 2007 Last Revised: 13 Aug 2009
Peter Christoffersen, Redouane Elkamhi, Bruno Feunou and Kris Jacobs
University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, Bank of Canada and University of Houston - C.T. Bauer College of Business
Downloads 802 (42,076)
Citation 3

Abstract:

Loading...

GARCH, risk-neutral valuation, no-arbitrage, non-normal innovations

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Number of pages: 52 Posted: 13 Aug 2009
Peter Christoffersen, Redouane Elkamhi, Bruno Feunou and Kris Jacobs
University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, Bank of Canada and University of Houston - C.T. Bauer College of Business
Downloads 434 (91,918)
Citation 6

Abstract:

Loading...

GARCH, risk-neutral valuation, no-arbitrage, non-normal innovations

2.

Downside Variance Risk Premium

Downloads 1,008 ( 31,038)
Citation 27

Downside Variance Risk Premium

Forthcoming in the Journal of Financial Econometrics.
Number of pages: 53 Posted: 07 Feb 2015 Last Revised: 23 May 2017
Bruno Feunou, Mohammad R. Jahan-Parvar and Cedric Okou
Bank of Canada, Board of Governors of the Federal Reserve System and University of Quebec at Montreal (UQAM)
Downloads 799 (42,283)
Citation 3

Abstract:

Loading...

Risk-neutral volatility, Realized volatility, Downside and upside variance risk premium, Skewness risk premium

Downside Variance Risk Premium

FEDS Working Paper No. 2015-020, http://dx.doi.org/10.17016/FEDS.2015.020
Number of pages: 66 Posted: 26 Apr 2015
Bruno Feunou, Mohammad R. Jahan-Parvar and Cedric Okou
Bank of Canada, Board of Governors of the Federal Reserve System and University of Quebec at Montreal (UQAM)
Downloads 209 (198,692)
Citation 22

Abstract:

Loading...

Downside variance risk premium,Realized volatility,Risk-neutral volatility,Skewness risk premium,upside variance risk premium

3.

The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

AFA 2013 San Diego Meetings Paper
Number of pages: 51 Posted: 18 Mar 2010 Last Revised: 08 Dec 2012
Peter Christoffersen, Bruno Feunou, Kris Jacobs and Nour Meddahi
University of Toronto - Rotman School of Management, Bank of Canada, University of Houston - C.T. Bauer College of Business and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 805 (42,458)
Citation 9

Abstract:

Loading...

Realized volatility, index options, risk premium, heteroskedasticity

4.

Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity

Rotman School of Management Working Paper No. 2797308
Number of pages: 71 Posted: 20 Jun 2016 Last Revised: 02 Dec 2020
Peter Christoffersen, Bruno Feunou, Yoontae Jeon and Chayawat Ornthanalai
University of Toronto - Rotman School of Management, Bank of Canada, Ryerson University - Ted Rogers School of Management and University of Toronto - Rotman School of Management
Downloads 659 (55,374)
Citation 3

Abstract:

Loading...

Market liquidity, Crash risk, Jump intensity, Options, Filtering

5.

Good Volatility, Bad Volatility and Option Pricing

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 44 Posted: 04 Mar 2016 Last Revised: 30 Nov 2017
Bruno Feunou and Cedric Okou
Bank of Canada and University of Quebec at Montreal (UQAM)
Downloads 450 (88,860)
Citation 5

Abstract:

Loading...

Dynamic Upside Volatility, Dynamic Downside Volatility, Dynamic Skewness, Realized Downside Volatility, Realized Upside Volatility

6.

Modeling Market Downside Volatility

Review of Finance (2013), 17(1), 443-481, doi: 10.1093/rof/rfr024
Number of pages: 52 Posted: 09 Mar 2010 Last Revised: 07 Jan 2013
Bruno Feunou, Mohammad R. Jahan-Parvar and Roméo Tédongap
Bank of Canada, Board of Governors of the Federal Reserve System and ESSEC Business School
Downloads 391 (104,572)
Citation 21

Abstract:

Loading...

Binormal distribution, Downside risk, Intertemporal CAPM, GARCH, Relative downside volatility, Risk-return trade-off, Upside uncertainty.

7.

The Equity Premium and The Volatility Spread: The Role of Risk-Neutral Skewness

Review of Derivatives Research, Forthcoming, EFA 2009 Bergen Meetings Paper
Number of pages: 54 Posted: 17 Nov 2008 Last Revised: 17 Dec 2016
Bruno Feunou, Jean-Sebastien Fontaine and Roméo Tédongap
Bank of Canada, Bank of Canada and ESSEC Business School
Downloads 375 (109,658)
Citation 1

Abstract:

Loading...

Option Prices, Skewness, Volatility Spread, Risk Premium

8.

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns

Downloads 345 (120,204)
Citation 7

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns

Number of pages: 50 Posted: 06 Nov 2017 Last Revised: 04 Nov 2019
Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tédongap and Lai Xu
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 279 (149,719)

Abstract:

Loading...

Cross-section of stocks, out-of-the-money options, variance risk premium

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns

Number of pages: 50 Posted: 04 Jun 2018 Last Revised: 28 Oct 2019
Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tédongap and Lai Xu
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 66 (458,207)
Citation 10

Abstract:

Loading...

Cross-section of stocks, out-of-the-money options, variance risk premium

9.

Generalized Affine Models

Number of pages: 62 Posted: 23 Mar 2009 Last Revised: 16 Dec 2009
Bruno Feunou and Nour Meddahi
Bank of Canada and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 320 (130,388)
Citation 6

Abstract:

Loading...

Affine models, cumulant function, option pricing, term structure of interest rates

10.

Risk Premium, Variance Premium and the Maturity Structure of Uncertainty

Review of Finance (2014) 18 (1): 219-269.
Number of pages: 44 Posted: 15 Feb 2011 Last Revised: 17 Dec 2016
Bruno Feunou, Jean-Sebastien Fontaine, Abderrahim Taamouti and Roméo Tédongap
Bank of Canada, Bank of Canada, Universidad Carlos III de Madrid and ESSEC Business School
Downloads 316 (131,981)
Citation 3

Abstract:

Loading...

Equity Premium, Variance Premium, Risk-neutral Variance, Term Structure of Variance, Long-Run Risk

11.

Option Valuation with Observable Volatility and Jump Dynamics

Rotman School of Management Working Paper No. 2494379
Number of pages: 53 Posted: 12 Sep 2014 Last Revised: 20 May 2016
Peter Christoffersen, Bruno Feunou and Yoontae Jeon
University of Toronto - Rotman School of Management, Bank of Canada and Ryerson University - Ted Rogers School of Management
Downloads 308 (135,706)
Citation 2

Abstract:

Loading...

Dynamic volatility, dynamic jumps, realized volatility, realized jumps

12.

Tractable Term-Structure Models

Number of pages: 53 Posted: 22 Nov 2015 Last Revised: 29 Apr 2021
Bruno Feunou, Jean-Sebastien Fontaine, Anh Le and Christian T. Lundblad
Bank of Canada, Bank of Canada, Penn State University Smeal College of Business and University of North Carolina Kenan-Flagler Business School
Downloads 300 (139,573)
Citation 1

Abstract:

Loading...

Term-Structure, Lower Bound, No-Arbitrage, No-Dominance

13.

Which Parametric Model for Conditional Skewness?

European Journal of Finance, Forthcoming
Number of pages: 41 Posted: 09 Mar 2007 Last Revised: 11 Dec 2013
Bruno Feunou, Mohammad R. Jahan-Parvar and Roméo Tédongap
Bank of Canada, Board of Governors of the Federal Reserve System and ESSEC Business School
Downloads 252 (166,584)
Citation 9

Abstract:

Loading...

Conditional skewness, Downside risk, Mincer-Zarnowitz regression, Realized skewness

14.

Bond Risk Premia and Gaussian Term Structure Models

Management Science, 2018, 64(3), 1413-1439.
Number of pages: 63 Posted: 04 Sep 2013 Last Revised: 01 Jul 2018
Bruno Feunou and Jean-Sebastien Fontaine
Bank of Canada and Bank of Canada
Downloads 250 (167,870)
Citation 3

Abstract:

Loading...

term structure models, bond risk premia, Markovian dynamics, Kalman filter

15.

A Stochastic Volatility Model with Conditional Skewness

Journal of Business & Economic Statistics, 30:4, 576-591.
Number of pages: 36 Posted: 19 Mar 2008 Last Revised: 29 Oct 2012
Bruno Feunou and Roméo Tédongap
Bank of Canada and ESSEC Business School
Downloads 206 (201,625)
Citation 6

Abstract:

Loading...

Discrete Time, Affine Model, Conditional Skewness, GMM, Option Pricing

16.

Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models

Number of pages: 57 Posted: 16 Aug 2015 Last Revised: 31 Mar 2018
Bruno Feunou and Cedric Okou
Bank of Canada and University of Quebec at Montreal (UQAM)
Downloads 190 (216,903)
Citation 4

Abstract:

Loading...

Risk-neutral moments, Affine models, Stochastic volatility, Latent factors

17.

Non-Markov Gaussian Term Structure Models: The Case of Inflation

Forthcoming in the Review of Finance
Number of pages: 56 Posted: 16 Oct 2012 Last Revised: 03 Apr 2014
Bruno Feunou and Jean-Sebastien Fontaine
Bank of Canada and Bank of Canada
Downloads 178 (229,458)
Citation 3

Abstract:

Loading...

Markov, Term Structure, Inflation Risk Premium, Real Yields, Inflation Forecasts, Survey of Professional Forecasters

18.

What do Bond Investors Learn from Macroeconomic News?

Number of pages: 61 Posted: 11 Nov 2019 Last Revised: 21 Dec 2021
Bruno Feunou, Jean-Sebastien Fontaine and Guillaume Roussellet
Bank of Canada, Bank of Canada and McGill University - Desautels Faculty of Management
Downloads 142 (276,460)

Abstract:

Loading...

Term Structure, Macro-Finance, Variance Decomposition

19.

Fourier Inversion Formulas for Multiple-Asset Option Pricing

Studies in Nonlinear Dynamics and Econometrics, Forthcoming
Number of pages: 43 Posted: 09 Aug 2010 Last Revised: 22 Feb 2015
Bruno Feunou and Ernest Tafolong
Bank of Canada and Desjardins Group
Downloads 142 (276,460)

Abstract:

Loading...

Derivatives pricing, multiple triggers payoff, Fourier-Stieltjes transform

20.

Secular Economic Changes and Bond Yields

Review of Economics and Statistics, Forthcoming
Number of pages: 62 Posted: 10 Jan 2020 Last Revised: 14 Sep 2021
Bruno Feunou and Jean-Sebastien Fontaine
Bank of Canada and Bank of Canada
Downloads 126 (302,793)

Abstract:

Loading...

Term Structure, Macro-Finance, Secular Changes

21.

Which Model to Forecast the Target Rate?

Number of pages: 40 Posted: 02 Mar 2011 Last Revised: 16 Dec 2017
Bruno Feunou, Jean-Sebastien Fontaine and Jianjian Jin
Bank of Canada, Bank of Canada and Government of Canada - Bank of Canada
Downloads 89 (382,323)
Citation 1

Abstract:

Loading...

Monetary policy, Zero Lower Bound, Non-linear dynamics

22.

The Term Structures of Expected Loss and Gain Uncertainty

Number of pages: 76 Posted: 30 Aug 2019 Last Revised: 24 Mar 2020
Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tédongap and Lai Xu
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 48 (523,379)

Abstract:

Loading...

Quadratic payoff, quadratic loss, quadratic gain, quadratic risk premium, options

23.

US Macro News and Low-Frequency Changes in Small Open Economies Bond Yields

Number of pages: 41 Posted: 06 Feb 2022
Bruno Feunou, Morvan Nongni Donfack and Rodrigo Sekkel
Bank of Canada, Laval University, Department of Economics and Government of Canada - Canadian Economic Analysis Department
Downloads 31 (610,979)

Abstract:

Loading...

Macroeconomic news, bond yields, small open economies

24.

Generalized Autoregressive Gamma Processes

Number of pages: 76 Posted: 06 Feb 2022 Last Revised: 21 Mar 2022
Bruno Feunou
Bank of Canada
Downloads 25 (649,945)

Abstract:

Loading...

Autoregressive gamma, affine model, cumulant generating function, option pricing

25.

A Cross-Sectional Analysis of Individual Goods Inflation Rates

Number of pages: 100 Posted: 10 May 2022 Last Revised: 13 May 2022
Bingxin Xing, Bruno Feunou and Roméo Tédongap
ESSEC Business School, Bank of Canada and ESSEC Business School
Downloads 18 (701,792)

Abstract:

Loading...