Jean-Sebastien Fontaine

Bank of Canada

Economist

234 Wellington Street

Ontario, Ottawa K1A 0G9

Canada

http://www.jean-sebastienfontaine.com

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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Top 22,191

in Total Papers Citations

15

CROSSREF CITATIONS

18

Scholarly Papers (11)

1.

Bond Liquidity Premia

Review of Financial Studies, (2012) 25 (4):1207-1254, EFA 2009 Bergen Meetings Paper
Number of pages: 60 Posted: 01 Mar 2007 Last Revised: 22 Nov 2012
Jean-Sebastien Fontaine and René Garcia
Bank of Canada and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 1,197 (16,722)
Citation 16

Abstract:

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Bond Prices, Term Structure, Funding Liquidity

2.

The Equity Premium and The Volatility Spread: The Role of Risk-Neutral Skewness

Review of Derivatives Research, Forthcoming, EFA 2009 Bergen Meetings Paper
Number of pages: 54 Posted: 17 Nov 2008 Last Revised: 17 Dec 2016
Bruno Feunou, Jean-Sebastien Fontaine and Roméo Tédongap
Bank of Canada, Bank of Canada and ESSEC Business School
Downloads 362 (82,523)
Citation 1

Abstract:

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Option Prices, Skewness, Volatility Spread, Risk Premium

3.

Risk Premium, Variance Premium and the Maturity Structure of Uncertainty

Review of Finance (2014) 18 (1): 219-269.
Number of pages: 44 Posted: 15 Feb 2011 Last Revised: 17 Dec 2016
Bruno Feunou, Jean-Sebastien Fontaine, Abderrahim Taamouti and Roméo Tédongap
Bank of Canada, Bank of Canada, Universidad Carlos III de Madrid and ESSEC Business School
Downloads 299 (102,146)
Citation 1

Abstract:

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Equity Premium, Variance Premium, Risk-neutral Variance, Term Structure of Variance, Long-Run Risk

4.

Funding Risk, Market Liquidity, Market Volatility and the Cross-Section of Asset Returns

Number of pages: 55 Posted: 30 Jan 2015 Last Revised: 29 Oct 2016
Jean-Sebastien Fontaine, René Garcia and Sermin Gungor
Bank of Canada, Université de Montréal - CIREQ - Département de sciences économiques and University of Western Ontario
Downloads 278 (110,516)
Citation 5

Abstract:

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Funding risk, Stock returns, Limits to arbitrage, Market liquidity, Volatility

5.

Bond Risk Premia and Gaussian Term Structure Models

Management Science, 2018, 64(3), 1413-1439.
Number of pages: 63 Posted: 04 Sep 2013 Last Revised: 01 Jul 2018
Bruno Feunou and Jean-Sebastien Fontaine
Bank of Canada and Bank of Canada
Downloads 238 (129,671)
Citation 3

Abstract:

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term structure models, bond risk premia, Markovian dynamics, Kalman filter

6.

Tractable Term Structure Models

Number of pages: 54 Posted: 22 Nov 2015 Last Revised: 01 Aug 2019
Bruno Feunou, Jean-Sebastien Fontaine, Anh Le and Christian T. Lundblad
Bank of Canada, Bank of Canada, Penn State University Smeal College of Business and University of North Carolina Kenan-Flagler Business School
Downloads 174 (173,900)

Abstract:

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Term-Structure, Lower Bound, No-Arbitrage, Forecasting

7.

Non-Markov Gaussian Term Structure Models: The Case of Inflation

Forthcoming in the Review of Finance
Number of pages: 56 Posted: 16 Oct 2012 Last Revised: 03 Apr 2014
Bruno Feunou and Jean-Sebastien Fontaine
Bank of Canada and Bank of Canada
Downloads 168 (179,341)
Citation 3

Abstract:

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Markov, Term Structure, Inflation Risk Premium, Real Yields, Inflation Forecasts, Survey of Professional Forecasters

8.

What do Fed Funds Futures tell us about Monetary Policy Uncertainty

Number of pages: 59 Posted: 17 Feb 2009 Last Revised: 05 Jan 2017
Jean-Sebastien Fontaine
Bank of Canada
Downloads 167 (180,251)
Citation 1

Abstract:

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Interest Rates, Futures, Monetay Policy, Expectations

9.

Dealers' Competition and Control of a Central Counterparty: When Lower Risk Increases Profit

Number of pages: 39 Posted: 17 Mar 2012 Last Revised: 26 Jul 2013
Hector Perez Saiz, Jean-Sebastien Fontaine and Joshua Slive
Bank of Canada, Financial Stability Department, Financial Studies Division, Bank of Canada and Bank of Canada
Downloads 143 (205,186)
Citation 1

Abstract:

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Clearing, Central Counterparty, Default, Competition, membership requirements

10.

Which Model to Forecast the Target Rate?

Number of pages: 40 Posted: 02 Mar 2011 Last Revised: 16 Dec 2017
Bruno Feunou, Jean-Sebastien Fontaine and Jianjian Jin
Bank of Canada, Bank of Canada and Government of Canada - Bank of Canada
Downloads 82 (303,597)
Citation 1

Abstract:

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Monetary policy, Zero Lower Bound, Non-linear dynamics

11.

Measuring Limits of Arbitrage in Fixed-Income Markets

Number of pages: 45 Posted: 28 Sep 2018 Last Revised: 09 Aug 2019
Jean-Sebastien Fontaine and Guillaume Nolin
Bank of Canada and Bank of Canada
Downloads 46 (405,938)
Citation 5

Abstract:

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Limits of Arbitrage, Fixed-Income, Sovereign Bonds