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

2022

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

2021

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

2020

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

2019

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

2018

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

2017

7. Good Volatility, Bad Volatility and Option Pricing
   Staff Working Papers, Bank of Canada
   See also Journal Article in Journal of Financial and Quantitative Analysis (2019)
8. Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models
   Staff Working Papers, Bank of Canada
   See also Journal Article in Journal of Applied Econometrics (2018)
9. The Impacts of Monetary Policy Statements
   Staff Analytical Notes, Bank of Canada View citations (1)
10. Variance Premium, Downside Risk and Expected Stock Returns
    Staff Working Papers, Bank of Canada View citations (5)

2016

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

2015

12. Downside Variance Risk Premium
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (11)
    Also in Staff Working Papers, Bank of Canada (2015) View citations (25)
    See also Journal Article in The Journal of Financial Econometrics (2018)
13. Foreign Flows and Their Effects on Government of Canada Yields
    Staff Analytical Notes, Bank of Canada
14. Fourier Inversion Formulas for Multiple-Asset Option Pricing
    Staff Working Papers, Bank of Canada View citations (3)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2015)
15. Option Valuation with Observable Volatility and Jump Dynamics
    Staff Working Papers, Bank of Canada View citations (17)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014)
    See also Journal Article in Journal of Banking & Finance (2015)
16. Tractable Term Structure Models
    Staff Working Papers, Bank of Canada View citations (7)

2014

17. Bond Risk Premia and Gaussian Term Structure Models
    Staff Working Papers, Bank of Canada View citations (1)
    See also Journal Article in Management Science (2018)

2013

18. Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility
    Staff Working Papers, Bank of Canada View citations (14)
19. Which Parametric Model for Conditional Skewness?
    Staff Working Papers, Bank of Canada View citations (3)
    See also Journal Article in The European Journal of Finance (2016)

2012

20. Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
    Staff Working Papers, Bank of Canada View citations (3)
21. 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)
    See also Journal Article in Review of Finance (2014)
22. 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 in Journal of Financial and Quantitative Analysis (2014)

2011

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

2009

24. 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 in Review of Financial Studies (2010)
25. Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
    Staff Working Papers, Bank of Canada

Journal Articles

2023

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

2021

2. What model for the target rate
   Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (1), 23

2020

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

2019

4. Good Volatility, Bad Volatility, and Option Pricing
   Journal of Financial and Quantitative Analysis, 2019, 54, (2), 695-727 View citations (9)
   See also Working Paper (2017)

2018

5. Bond Risk Premia and Gaussian Term Structure Models
   Management Science, 2018, 64, (3), 1413-1439 View citations (5)
   See also Working Paper (2014)
6. Downside Variance Risk Premium
   The Journal of Financial Econometrics, 2018, 16, (3), 341-383 View citations (22)
   See also Working Paper (2015)
7. Risk‐neutral moment‐based estimation of affine option pricing models
   Journal of Applied Econometrics, 2018, 33, (7), 1007-1025 View citations (2)
   See also Working Paper (2017)

2017

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

2016

9. Which parametric model for conditional skewness?
   The European Journal of Finance, 2016, 22, (13), 1237-1271 View citations (11)
   See also Working Paper (2013)

2015

10. 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 (2015)
11. Option valuation with observable volatility and jump dynamics
    Journal of Banking & Finance, 2015, 61, (S2), S101-S120 View citations (17)
    See also Working Paper (2015)

2014

12. Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility
    Bank of Canada Review, 2014, 2014, (Spring), 32-41 View citations (6)
13. Non-Markov Gaussian Term Structure Models: The Case of Inflation
    Review of Finance, 2014, 18, (5), 1953-2001 View citations (4)
14. Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
    Review of Finance, 2014, 18, (1), 219-269 View citations (19)
    See also Working Paper (2012)
15. 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 (55)
    See also Working Paper (2012)

2013

16. Modeling Market Downside Volatility
    Review of Finance, 2013, 17, (1), 443-481 View citations (48)

2012

17. A Stochastic Volatility Model With Conditional Skewness*
    Journal of Business & Economic Statistics, 2012, 30, (4), 576-591 View citations (21)
    See also Working Paper (2011)

2010

18. Option Valuation with Conditional Heteroskedasticity and Nonnormality
    Review of Financial Studies, 2010, 23, (5), 2139-2183 View citations (50)
    See also Working Paper (2009)