Cedric Okou

University of Quebec at Montreal (UQAM)

PB 8888 Station DownTown

Succursale Centre Ville

Montreal, Quebec H3C3P8

Canada

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 22,742

in Total Papers Downloads

2,066

CITATIONS
Rank 36,331

SSRN RANKINGS

Top 36,331

in Total Papers Citations

14

Scholarly Papers (10)

1.
Downloads 927 ( 23,997)
Citation 8

Downside Variance Risk Premium

Forthcoming in the Journal of Financial Econometrics.
Number of pages: 53 Posted: 07 Feb 2015 Last Revised: 23 May 2017
Bank of Canada, Board of Governors of the Federal Reserve System and University of Quebec at Montreal (UQAM)
Downloads 728 (33,108)
Citation 1

Abstract:

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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
Bank of Canada, Board of Governors of the Federal Reserve System and University of Quebec at Montreal (UQAM)
Downloads 199 (151,500)
Citation 6

Abstract:

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

2.

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 392 (74,054)
Citation 2

Abstract:

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

3.

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 166 (178,452)

Abstract:

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

4.

An Alternative Representation of the C-CAPM with Higher-Order Risks

Number of pages: 47 Posted: 02 Oct 2012 Last Revised: 06 Apr 2018
Georges Dionne, Jingyuan Li and Cedric Okou
HEC Montreal - Department of Finance, Lingnan University - Department of Finance and Insurance and University of Quebec at Montreal (UQAM)
Downloads 150 (194,412)

Abstract:

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C-CAPM, Expectation dependence, Higher-order risk, equity risk premium, variance risk premium

5.

An Extension of the Consumption-Based CAPM Model

Number of pages: 42 Posted: 08 Mar 2012 Last Revised: 01 Oct 2012
Georges Dionne, Jingyuan Li and Cedric Okou
HEC Montreal - Department of Finance, Lingnan University - Department of Finance and Insurance and University of Quebec at Montreal (UQAM)
Downloads 150 (194,412)
Citation 5

Abstract:

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Consumption-based CAPM, Risk premium, Equity premium puzzle, Expectation dependence, Ross risk aversion

6.

Distilling Liquidity Costs from Limit Order Books

Journal of Banking and Finance, Forthcoming
Number of pages: 40 Posted: 16 Sep 2015 Last Revised: 24 Jun 2018
Wilfrid Laurier University, University of Lille I, University of Quebec at Montreal (UQAM) and University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Downloads 93 (276,484)

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Intraday liquidity, limit order books, price impact, price formation

7.

Can Higher-Order Risks Explain the Credit Spread Puzzle?

Number of pages: 51 Posted: 01 Jun 2016
University of Quebec at Montreal (UQAM), Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, HEC Montreal - Department of Finance and Lingnan University - Department of Finance and Insurance
Downloads 81 (301,275)

Abstract:

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Credit Spread Puzzle, Asymmetry, Illiquidity, Higher-Order Risks

8.

Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs

CSDA Annals of Computational and Financial Econometrics, Forthcoming , Boston U. School of Management Research Paper No. 2464724
Number of pages: 46 Posted: 12 Jul 2014
Cedric Okou and Eric Jacquier
University of Quebec at Montreal (UQAM) and Boston University School of Management
Downloads 58 (360,737)

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Horizon effect, Stock return predictability, Realized variance, Short-memory, Long-memory

9.

Disentangling Continuous Volatility From Jumps in Long-Run Risk-Return Relationships

CIRANO - Scientific Publications 2013s-14
Number of pages: 49 Posted: 14 Jun 2013
Eric Jacquier and Cedric Okou
Boston University School of Management and University of Quebec at Montreal (UQAM)
Downloads 49 (389,626)

Abstract:

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predictability, realized variance, continuous volatility, jumps, long-run returns, persistent regressor

10.

Segregating Continuous Volatility from Jumps in Long-Run Risk-Return Trade-Offs

Posted: 08 Mar 2012
Eric Jacquier and Cedric Okou
Boston University School of Management and University of Quebec at Montreal (UQAM)

Abstract:

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stock return predictability, continuous volatility, jumps, long-run, realized volatility