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Details about Bruno Feunou

Homepage:https://sites.google.com/view/bruno-feunou/home
Workplace:Bank of Canada, (more information at EDIRC)

Access statistics for papers by Bruno Feunou.

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

Short-id: pfe411


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Working Papers

2025

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

2024

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

2023

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

2022

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

2021

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

2020

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

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 Good Volatility, Bad Volatility, and Option Pricing, Journal of Financial and Quantitative Analysis, Cambridge University Press (2019) Downloads View citations (24) (2019)
  2. Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models
    Staff Working Papers, Bank of Canada Downloads
    See also Journal Article Risk‐neutral moment‐based estimation of affine option pricing models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) Downloads View citations (4) (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 View citations (8)

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
    Staff Working Papers, Bank of Canada Downloads View citations (26)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2015) Downloads View citations (11)

    See also Journal Article Downside Variance Risk Premium, Journal of Financial Econometrics, Oxford University Press (2018) Downloads View citations (28) (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 (3)
    See also Journal Article Fourier inversion formulas for multiple-asset option pricing, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2015) Downloads View citations (2) (2015)
  4. Option Valuation with Observable Volatility and Jump Dynamics
    Staff Working Papers, Bank of Canada Downloads View citations (24)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads

    See also Journal Article Option valuation with observable volatility and jump dynamics, Journal of Banking & Finance, Elsevier (2015) Downloads View citations (18) (2015)
  5. Tractable Term Structure Models
    Staff Working Papers, Bank of Canada Downloads View citations (7)
    See also Journal Article Tractable Term Structure Models, Management Science, INFORMS (2022) Downloads View citations (1) (2022)

2014

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

2013

  1. Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility
    Staff Working Papers, Bank of Canada Downloads View citations (19)
  2. Which Parametric Model for Conditional Skewness?
    Staff Working Papers, Bank of Canada Downloads View citations (3)
    See also Journal Article Which parametric model for conditional skewness?, The European Journal of Finance, Taylor & Francis Journals (2016) Downloads View citations (20) (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 (7)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2011) Downloads View citations (1)

    See also Journal Article Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty, Review of Finance, European Finance Association (2014) Downloads View citations (21) (2014)
  3. The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
    Staff Working Papers, Bank of Canada Downloads 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) Downloads View citations (70) (2014)

2011

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

2009

  1. Option Valuation with Conditional Heteroskedasticity and Non-Normality
    CIRANO Working Papers, CIRANO Downloads View citations (16)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads View citations (24)

    See also Journal Article Option Valuation with Conditional Heteroskedasticity and Nonnormality, The Review of Financial Studies, Society for Financial Studies (2010) Downloads View citations (56) (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

2024

  1. Generalized Autoregressive Positive-valued Processes
    Journal of Business & Economic Statistics, 2024, 42, (2), 786-800 Downloads
  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) Downloads

2023

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

2022

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

2021

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

2020

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

2019

  1. Good Volatility, Bad Volatility, and Option Pricing
    Journal of Financial and Quantitative Analysis, 2019, 54, (2), 695-727 Downloads View citations (24)
    See also Working Paper Good Volatility, Bad Volatility and Option Pricing, Staff Working Papers (2017) Downloads (2017)

2018

  1. Downside Variance Risk Premium
    Journal of Financial Econometrics, 2018, 16, (3), 341-383 Downloads View citations (28)
    See also Working Paper Downside Variance Risk Premium, Staff Working Papers (2015) Downloads View citations (26) (2015)
  2. Risk‐neutral moment‐based estimation of affine option pricing models
    Journal of Applied Econometrics, 2018, 33, (7), 1007-1025 Downloads View citations (4)
    See also Working Paper Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models, Staff Working Papers (2017) Downloads (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 (20)
    See also Working Paper Which Parametric Model for Conditional Skewness?, Staff Working Papers (2013) Downloads View citations (3) (2013)

2015

  1. Fourier inversion formulas for multiple-asset option pricing
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (5), 531-559 Downloads View citations (2)
    See also Working Paper Fourier Inversion Formulas for Multiple-Asset Option Pricing, Staff Working Papers (2015) Downloads View citations (3) (2015)
  2. Option valuation with observable volatility and jump dynamics
    Journal of Banking & Finance, 2015, 61, (S2), S101-S120 Downloads View citations (18)
    See also Working Paper Option Valuation with Observable Volatility and Jump Dynamics, Staff Working Papers (2015) Downloads View citations (24) (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 (7)
  2. Non-Markov Gaussian Term Structure Models: The Case of Inflation
    Review of Finance, 2014, 18, (5), 1953-2001 Downloads View citations (7)
  3. Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
    Review of Finance, 2014, 18, (1), 219-269 Downloads View citations (21)
    See also Working Paper Risk Premium, Variance Premium and the Maturity Structure of Uncertainty, Staff Working Papers (2012) Downloads View citations (7) (2012)
  4. The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
    Journal of Financial and Quantitative Analysis, 2014, 49, (3), 663-697 Downloads View citations (70)
    See also Working Paper The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation, Staff Working Papers (2012) Downloads View citations (9) (2012)

2013

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

2012

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

2010

  1. Option Valuation with Conditional Heteroskedasticity and Nonnormality
    The Review of Financial Studies, 2010, 23, (5), 2139-2183 Downloads View citations (56)
    See also Working Paper Option Valuation with Conditional Heteroskedasticity and Non-Normality, CIRANO Working Papers (2009) Downloads View citations (16) (2009)
 
Page updated 2025-03-31