Details about Bruno Feunou

Access statistics for papers by Bruno Feunou.

Last updated 2023-03-17. Update your information in the RePEc Author Service.

Short-id: pfe411

Working Papers

2025

1. Estimating the inflation risk premium
   Staff Analytical Notes, Bank of Canada

2024

2. Deriving Longer-Term Inflation Expectations and Inflation Risk Premium Measures for Canada
   Discussion Papers, Bank of Canada
3. The Neutral Interest Rate: Past, Present and Future
   Discussion Papers, Bank of Canada
4. U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields
   Staff Working Papers, Bank of Canada

2023

5. Finding the balance—measuring risks to inflation and to GDP growth
   Staff Analytical Notes, Bank of Canada
6. Forecasting Risks to the Canadian Economic Outlook at a Daily Frequency
   Discussion Papers, Bank of Canada
7. Generalized Autoregressive Gamma Processes
   Staff Working Papers, Bank of Canada

2022

8. Real Exchange Rate Decompositions
   Discussion Papers, Bank of Canada

2021

9. Debt-Secular Economic Changes and Bond Yields
   Staff Working Papers, Bank of Canada View citations (1)

2020

10. The Term Structures of Loss and Gain Uncertainty
    Staff Working Papers, Bank of Canada

2019

11. The Secular Decline of Forecasted Interest Rates
    Staff Analytical Notes, Bank of Canada

2018

12. Does US or Canadian Macro News Drive Canadian Bond Yields?
    Staff Analytical Notes, Bank of Canada
13. Markets Look Beyond the Headline
    Staff Analytical Notes, Bank of Canada

2017

14. Good Volatility, Bad Volatility and Option Pricing
    Staff Working Papers, Bank of Canada
    See also Journal Article Good Volatility, Bad Volatility, and Option Pricing, Journal of Financial and Quantitative Analysis, Cambridge University Press (2019) View citations (26) (2019)
15. Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models
    Staff Working Papers, Bank of Canada
    See also Journal Article Risk‐neutral moment‐based estimation of affine option pricing models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (4) (2018)
16. The Impacts of Monetary Policy Statements
    Staff Analytical Notes, Bank of Canada View citations (1)
17. Variance Premium, Downside Risk and Expected Stock Returns
    Staff Working Papers, Bank of Canada View citations (8)

2016

18. Time-Varying Crash Risk: The Role of Stock Market Liquidity
    Staff Working Papers, Bank of Canada View citations (4)

2015

19. Downside Variance Risk Premium
    Staff Working Papers, Bank of Canada View citations (26)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2015) View citations (11)
    See also Journal Article Downside Variance Risk Premium, Journal of Financial Econometrics, Oxford University Press (2018) View citations (28) (2018)
20. Foreign Flows and Their Effects on Government of Canada Yields
    Staff Analytical Notes, Bank of Canada
21. Fourier Inversion Formulas for Multiple-Asset Option Pricing
    Staff Working Papers, Bank of Canada View citations (3)
    See also Journal Article Fourier inversion formulas for multiple-asset option pricing, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2015) View citations (2) (2015)
22. Option Valuation with Observable Volatility and Jump Dynamics
    Staff Working Papers, Bank of Canada View citations (24)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014)
    See also Journal Article Option valuation with observable volatility and jump dynamics, Journal of Banking & Finance, Elsevier (2015) View citations (21) (2015)
23. Tractable Term Structure Models
    Staff Working Papers, Bank of Canada View citations (7)
    See also Journal Article Tractable Term Structure Models, Management Science, INFORMS (2022) View citations (1) (2022)

2014

24. Bond Risk Premia and Gaussian Term Structure Models
    Staff Working Papers, Bank of Canada View citations (3)

2013

25. Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility
    Staff Working Papers, Bank of Canada View citations (19)
26. Which Parametric Model for Conditional Skewness?
    Staff Working Papers, Bank of Canada View citations (3)
    See also Journal Article Which parametric model for conditional skewness?, The European Journal of Finance, Taylor & Francis Journals (2016) View citations (20) (2016)

2012

27. Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
    Staff Working Papers, Bank of Canada View citations (3)
28. Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
    Staff Working Papers, Bank of Canada View citations (7)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2011) View citations (1)
    See also Journal Article Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty, Review of Finance, European Finance Association (2014) View citations (21) (2014)
29. The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
    Staff Working Papers, Bank of Canada View citations (9)
    See also Journal Article The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation, Journal of Financial and Quantitative Analysis, Cambridge University Press (2014) View citations (71) (2014)

2011

30. A Stochastic Volatility Model with Conditional Skewness
    Staff Working Papers, Bank of Canada
    See also Journal Article A Stochastic Volatility Model With Conditional Skewness*, Journal of Business & Economic Statistics, Taylor & Francis Journals (2012) View citations (24) (2012)

2009

31. Option Valuation with Conditional Heteroskedasticity and Non-Normality
    CIRANO Working Papers, CIRANO View citations (16)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (24)
    See also Journal Article Option Valuation with Conditional Heteroskedasticity and Nonnormality, The Review of Financial Studies, Society for Financial Studies (2010) View citations (56) (2010)
32. Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
    Staff Working Papers, Bank of Canada

Journal Articles

2024

1. Generalized Autoregressive Positive-valued Processes
   Journal of Business & Economic Statistics, 2024, 42, (2), 786-800
2. U.S. macroeconomic news and low-frequency changes in bond yields in Canada, Sweden and the U.K
   Journal of Banking & Finance, 2024, 168, (C)

2023

3. Secular Economic Changes and Bond Yields
   The Review of Economics and Statistics, 2023, 105, (2), 408-424 View citations (1)

2022

4. Tractable Term Structure Models
   Management Science, 2022, 68, (11), 8411-8429 View citations (1)
   See also Working Paper Tractable Term Structure Models, Staff Working Papers (2015) View citations (7) (2015)

2021

5. Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity*
   (Does realized skewness predict the cross-section of equity returns?)
   Review of Finance, 2021, 25, (4), 1261-1298 View citations (2)
6. What model for the target rate
   Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (1), 23

2020

7. The Term Structures of Expected Loss and Gain Uncertainty*
   Journal of Financial Econometrics, 2020, 18, (3), 473-501
   Also in Journal of Financial Econometrics, 18, (3), 473-501

2019

8. Good Volatility, Bad Volatility, and Option Pricing
   Journal of Financial and Quantitative Analysis, 2019, 54, (2), 695-727 View citations (26)
   See also Working Paper Good Volatility, Bad Volatility and Option Pricing, Staff Working Papers (2017) (2017)

2018

9. Downside Variance Risk Premium
   Journal of Financial Econometrics, 2018, 16, (3), 341-383 View citations (28)
   See also Working Paper Downside Variance Risk Premium, Staff Working Papers (2015) View citations (26) (2015)
10. Risk‐neutral moment‐based estimation of affine option pricing models
    Journal of Applied Econometrics, 2018, 33, (7), 1007-1025 View citations (4)
    See also Working Paper Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models, Staff Working Papers (2017) (2017)

2017

11. Implied volatility and skewness surface
    Review of Derivatives Research, 2017, 20, (2), 167-202 View citations (1)

2016

12. Which parametric model for conditional skewness?
    The European Journal of Finance, 2016, 22, (13), 1237-1271 View citations (20)
    See also Working Paper Which Parametric Model for Conditional Skewness?, Staff Working Papers (2013) View citations (3) (2013)

2015

13. Fourier inversion formulas for multiple-asset option pricing
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (5), 531-559 View citations (2)
    See also Working Paper Fourier Inversion Formulas for Multiple-Asset Option Pricing, Staff Working Papers (2015) View citations (3) (2015)
14. Option valuation with observable volatility and jump dynamics
    Journal of Banking & Finance, 2015, 61, (S2), S101-S120 View citations (21)
    See also Working Paper Option Valuation with Observable Volatility and Jump Dynamics, Staff Working Papers (2015) View citations (24) (2015)

2014

15. Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility
    Bank of Canada Review, 2014, 2014, (Spring), 32-41 View citations (7)
16. Non-Markov Gaussian Term Structure Models: The Case of Inflation
    Review of Finance, 2014, 18, (5), 1953-2001 View citations (7)
17. Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
    Review of Finance, 2014, 18, (1), 219-269 View citations (21)
    See also Working Paper Risk Premium, Variance Premium and the Maturity Structure of Uncertainty, Staff Working Papers (2012) View citations (7) (2012)
18. The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
    Journal of Financial and Quantitative Analysis, 2014, 49, (3), 663-697 View citations (71)
    See also Working Paper The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation, Staff Working Papers (2012) View citations (9) (2012)

2013

19. Modeling Market Downside Volatility
    Review of Finance, 2013, 17, (1), 443-481 View citations (52)

2012

20. A Stochastic Volatility Model With Conditional Skewness*
    Journal of Business & Economic Statistics, 2012, 30, (4), 576-591 View citations (24)
    See also Working Paper A Stochastic Volatility Model with Conditional Skewness, Staff Working Papers (2011) (2011)

2010

21. Option Valuation with Conditional Heteroskedasticity and Nonnormality
    The Review of Financial Studies, 2010, 23, (5), 2139-2183 View citations (56)
    See also Working Paper Option Valuation with Conditional Heteroskedasticity and Non-Normality, CIRANO Working Papers (2009) View citations (16) (2009)