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Details about Bruno Feunou

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Homepage:http://www.kamkui.net/
Workplace:Bank of Canada, (more information at EDIRC)

Access statistics for papers by Bruno Feunou.

Last updated 2019-10-04. Update your information in the RePEc Author Service.

Short-id: pfe411


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Working Papers

2019

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

2018

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

2017

  1. Good Volatility, Bad Volatility and Option Pricing
    Staff Working Papers, Bank of Canada Downloads
    See also Journal Article in Journal of Financial and Quantitative Analysis (2019)
  2. Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models
    Staff Working Papers, Bank of Canada Downloads
    See also Journal Article in Journal of Applied Econometrics (2018)
  3. The Impacts of Monetary Policy Statements
    Staff Analytical Notes, Bank of Canada Downloads View citations (1)
  4. Variance Premium, Downside Risk and Expected Stock Returns
    Staff Working Papers, Bank of Canada Downloads

2016

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

2015

  1. Downside Variance Risk Premium
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (US) Downloads View citations (8)
    Also in Staff Working Papers, Bank of Canada (2015) Downloads View citations (9)

    See also Journal Article in Journal of Financial Econometrics (2018)
  2. Foreign Flows and Their Effects on Government of Canada Yields
    Staff Analytical Notes, Bank of Canada Downloads
  3. Fourier Inversion Formulas for Multiple-Asset Option Pricing
    Staff Working Papers, Bank of Canada Downloads View citations (1)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2015)
  4. Option Valuation with Observable Volatility and Jump Dynamics
    Staff Working Papers, Bank of Canada Downloads View citations (7)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads

    See also Journal Article in Journal of Banking & Finance (2015)
  5. Tractable Term-Structure Models and the Zero Lower Bound
    Staff Working Papers, Bank of Canada Downloads View citations (3)

2014

  1. Bond Risk Premia and Gaussian Term Structure Models
    Staff Working Papers, Bank of Canada Downloads View citations (1)

2013

  1. Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility
    Staff Working Papers, Bank of Canada Downloads View citations (6)
  2. Which Parametric Model for Conditional Skewness?
    Staff Working Papers, Bank of Canada Downloads View citations (3)
    See also Journal Article in The European Journal of Finance (2016)

2012

  1. Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
    Staff Working Papers, Bank of Canada Downloads View citations (3)
  2. Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
    Staff Working Papers, Bank of Canada Downloads View citations (4)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2011) Downloads

    See also Journal Article in Review of Finance (2014)
  3. The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
    Staff Working Papers, Bank of Canada Downloads View citations (5)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2014)

2011

  1. A Stochastic Volatility Model with Conditional Skewness
    Staff Working Papers, Bank of Canada Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2012)

2009

  1. Option Valuation with Conditional Heteroskedasticity and Non-Normality
    CIRANO Working Papers, CIRANO Downloads View citations (11)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads View citations (18)

    See also Journal Article in Review of Financial Studies (2010)
  2. Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
    Staff Working Papers, Bank of Canada Downloads

Journal Articles

2019

  1. Good Volatility, Bad Volatility, and Option Pricing
    Journal of Financial and Quantitative Analysis, 2019, 54, (02), 695-727 Downloads
    See also Working Paper (2017)

2018

  1. Downside Variance Risk Premium
    Journal of Financial Econometrics, 2018, 16, (3), 341-383 Downloads
    See also Working Paper (2015)
  2. Risk‐neutral moment‐based estimation of affine option pricing models
    Journal of Applied Econometrics, 2018, 33, (7), 1007-1025 Downloads
    See also Working Paper (2017)

2017

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

2016

  1. Which parametric model for conditional skewness?
    The European Journal of Finance, 2016, 22, (13), 1237-1271 Downloads View citations (3)
    See also Working Paper (2013)

2015

  1. Fourier inversion formulas for multiple-asset option pricing
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (5), 531-559 Downloads
    See also Working Paper (2015)
  2. Option valuation with observable volatility and jump dynamics
    Journal of Banking & Finance, 2015, 61, (S2), S101-S120 Downloads View citations (8)
    See also Working Paper (2015)

2014

  1. Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility
    Bank of Canada Review, 2014, 2014, (Spring), 32-41 Downloads View citations (2)
  2. Non-Markov Gaussian Term Structure Models: The Case of Inflation
    Review of Finance, 2014, 18, (5), 1953-2001 Downloads View citations (2)
  3. Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
    Review of Finance, 2014, 18, (1), 219-269 Downloads View citations (8)
    See also Working Paper (2012)
  4. The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
    Journal of Financial and Quantitative Analysis, 2014, 49, (03), 663-697 Downloads View citations (23)
    See also Working Paper (2012)

2013

  1. Modeling Market Downside Volatility
    Review of Finance, 2013, 17, (1), 443-481 Downloads View citations (26)

2012

  1. A Stochastic Volatility Model With Conditional Skewness*
    Journal of Business & Economic Statistics, 2012, 30, (4), 576-591 Downloads View citations (13)
    See also Working Paper (2011)

2010

  1. Option Valuation with Conditional Heteroskedasticity and Nonnormality
    Review of Financial Studies, 2010, 23, (5), 2139-2183 Downloads View citations (34)
    See also Working Paper (2009)
 
Page updated 2019-10-08