Bruno Feunou

Bank of Canada

234 Wellington Street

Ottawa, Ontario K1A 0G9

Canada

http://kamkui.net/

SCHOLARLY PAPERS

22

DOWNLOADS
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Top 6,280

in Total Papers Downloads

7,120

SSRN CITATIONS
Rank 10,993

SSRN RANKINGS

Top 10,993

in Total Papers Citations

56

CROSSREF CITATIONS

33

Scholarly Papers (22)

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Number of pages: 50 Posted: 08 Feb 2007 Last Revised: 13 Aug 2009
University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, Bank of Canada and University of Houston - C.T. Bauer College of Business
Downloads 722 (34,926)
Citation 2

Abstract:

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GARCH, risk-neutral valuation, no-arbitrage, non-normal innovations

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Number of pages: 52 Posted: 13 Aug 2009
University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, Bank of Canada and University of Houston - C.T. Bauer College of Business
Downloads 418 (70,808)
Citation 5

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GARCH, risk-neutral valuation, no-arbitrage, non-normal innovations

2.
Downloads 941 ( 24,459)
Citation 10

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 740 (33,762)
Citation 1

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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 201 (155,795)
Citation 10

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

3.

The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

AFA 2013 San Diego Meetings Paper
Number of pages: 51 Posted: 18 Mar 2010 Last Revised: 08 Dec 2012
University of Toronto - Rotman School of Management, Bank of Canada, University of Houston - C.T. Bauer College of Business and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 751 (33,633)
Citation 7

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Realized volatility, index options, risk premium, heteroskedasticity

4.

Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity

Rotman School of Management Working Paper No. 2797308
Number of pages: 71 Posted: 20 Jun 2016 Last Revised: 24 Jul 2018
University of Toronto - Rotman School of Management, Bank of Canada, Ryerson University - Ted Rogers School of Management and University of Toronto - Rotman School of Management
Downloads 528 (53,583)
Citation 3

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Market liquidity, Crash risk, Jump intensity, Options, Filtering

5.

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 402 (74,852)
Citation 3

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

6.

Modeling Market Downside Volatility

Review of Finance (2013), 17(1), 443-481, doi: 10.1093/rof/rfr024
Number of pages: 52 Posted: 09 Mar 2010 Last Revised: 07 Jan 2013
Bank of Canada, Board of Governors of the Federal Reserve System and ESSEC Business School
Downloads 364 (83,957)
Citation 14

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Binormal distribution, Downside risk, Intertemporal CAPM, GARCH, Relative downside volatility, Risk-return trade-off, Upside uncertainty.

7.

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
Bank of Canada, Bank of Canada and ESSEC Business School
Downloads 362 (84,485)
Citation 1

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Option Prices, Skewness, Volatility Spread, Risk Premium

8.

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
Bank of Canada, Bank of Canada, Universidad Carlos III de Madrid and ESSEC Business School
Downloads 303 (103,001)
Citation 1

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

9.

Generalized Affine Models

Number of pages: 62 Posted: 23 Mar 2009 Last Revised: 16 Dec 2009
Bruno Feunou and Nour Meddahi
Bank of Canada and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 291 (107,686)
Citation 6

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Affine models, cumulant function, option pricing, term structure of interest rates

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns

Number of pages: 50 Posted: 06 Nov 2017 Last Revised: 04 Nov 2019
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 244 (128,915)

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Cross-section of stocks, out-of-the-money options, variance risk premium

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns

Number of pages: 50 Posted: 04 Jun 2018 Last Revised: 28 Oct 2019
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 46 (422,199)
Citation 6

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Cross-section of stocks, out-of-the-money options, variance risk premium

11.

Option Valuation with Observable Volatility and Jump Dynamics

Rotman School of Management Working Paper No. 2494379
Number of pages: 53 Posted: 12 Sep 2014 Last Revised: 20 May 2016
University of Toronto - Rotman School of Management, Bank of Canada and Ryerson University - Ted Rogers School of Management
Downloads 269 (116,992)
Citation 1

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Dynamic volatility, dynamic jumps, realized volatility, realized jumps

12.

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 240 (131,589)
Citation 3

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

13.

Which Parametric Model for Conditional Skewness?

European Journal of Finance, Forthcoming
Number of pages: 41 Posted: 09 Mar 2007 Last Revised: 11 Dec 2013
Bank of Canada, Board of Governors of the Federal Reserve System and ESSEC Business School
Downloads 238 (132,703)
Citation 5

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Conditional skewness, Downside risk, Mincer-Zarnowitz regression, Realized skewness

14.

A Stochastic Volatility Model with Conditional Skewness

Journal of Business & Economic Statistics, 30:4, 576-591.
Number of pages: 36 Posted: 19 Mar 2008 Last Revised: 29 Oct 2012
Bruno Feunou and Roméo Tédongap
Bank of Canada and ESSEC Business School
Downloads 193 (161,993)
Citation 4

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Discrete Time, Affine Model, Conditional Skewness, GMM, Option Pricing

15.

Tractable Term Structure Models

Number of pages: 54 Posted: 22 Nov 2015 Last Revised: 01 Aug 2019
Bank of Canada, Bank of Canada, Penn State University Smeal College of Business and University of North Carolina Kenan-Flagler Business School
Downloads 179 (173,418)
Citation 1

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

16.

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 176 (176,044)
Citation 1

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

17.

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 171 (180,491)
Citation 3

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

18.

Fourier Inversion Formulas for Multiple-Asset Option Pricing

Studies in Nonlinear Dynamics and Econometrics, Forthcoming
Number of pages: 43 Posted: 09 Aug 2010 Last Revised: 22 Feb 2015
Bruno Feunou and Ernest Tafolong
Bank of Canada and Desjardins Group
Downloads 136 (218,459)

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Derivatives pricing, multiple triggers payoff, Fourier-Stieltjes transform

19.

Which Model to Forecast the Target Rate?

Number of pages: 40 Posted: 02 Mar 2011 Last Revised: 16 Dec 2017
Bank of Canada, Bank of Canada and Government of Canada - Bank of Canada
Downloads 85 (303,361)
Citation 1

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Monetary policy, Zero Lower Bound, Non-linear dynamics

20.

Long Run Impact of Macro News on Treasury Bond Yields

Number of pages: 39 Posted: 11 Nov 2019
Bank of Canada, Bank of Canada and McGill University - Desautels Faculty of Management
Downloads 28 (492,287)

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Term Structure, Macro-Finance, Variance Decomposition

21.

The Term Structures of Expected Loss and Gain Uncertainty

Number of pages: 35 Posted: 30 Aug 2019 Last Revised: 02 Dec 2019
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 20 (538,062)

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quadratic risk premium, loss uncertainty, gain uncertainty, term structure

22.

Secular Changes in Bond Yields

Number of pages: 26 Posted: 10 Jan 2020
Bruno Feunou and Jean-Sebastien Fontaine
Bank of Canada and Bank of Canada
Downloads 13 (581,335)

Abstract:

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Term Structure, Macro-Finance, Variance Decomposition