Bruno Feunou

Bank of Canada

Principal Researcher

234 Wellington Street

Ottawa, Ontario K1A 0G9

Canada

http://kamkui.net/

SCHOLARLY PAPERS

18

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CITATIONS
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51

Scholarly Papers (18)

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 673 (28,434)
Citation 33

Abstract:

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 352 (65,095)
Citation 33

Abstract:

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

2.
Downloads 686 ( 28,124)

Downside Variance Risk Premium

Number of pages: 49 Posted: 07 Feb 2015 Last Revised: 08 Dec 2016
Bank of Canada, Board of Governors of the Federal Reserve System and University of Quebec at Montreal (UQAM)
Downloads 515 (40,714)

Abstract:

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 171 (138,843)

Abstract:

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 567 (30,312)
Citation 3

Abstract:

Realized volatility, index options, risk premium, heteroskedasticity

4.

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 Paris-Singapore
Downloads 324 (67,273)

Abstract:

Option Prices, Skewness, Volatility Spread, Risk Premium

5.

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 Paris-Singapore
Downloads 305 (69,145)
Citation 4

Abstract:

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

6.

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 Paris-Singapore
Downloads 280 (85,107)
Citation 3

Abstract:

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

7.

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 236 (91,044)
Citation 3

Abstract:

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

8.

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 Paris-Singapore
Downloads 199 (111,519)
Citation 1

Abstract:

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

9.

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 Paris-Singapore
Downloads 159 (135,282)
Citation 1

Abstract:

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

10.

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 University of Toronto - Rotman School of Management
Downloads 135 (114,666)

Abstract:

Dynamic volatility, dynamic jumps, realized volatility, realized jumps

11.

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 133 (149,551)

Abstract:

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

12.

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 104 (187,122)

Abstract:

Derivatives pricing, multiple triggers payoff, Fourier-Stieltjes transform

13.

Bond Risk Premia and Gaussian Term Structure Models

Forthcoming, Management Science
Number of pages: 63 Posted: 04 Sep 2013 Last Revised: 21 Jun 2016
Bruno Feunou and Jean-Sebastien Fontaine
Bank of Canada and Bank of Canada
Downloads 98 (127,880)

Abstract:

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

14.

Discrete Choice Term Structure Models: Theory and Applications

Number of pages: 50 Posted: 02 Mar 2011
Bruno Feunou and Jean-Sebastien Fontaine
Bank of Canada and Bank of Canada
Downloads 60 (273,072)
Citation 2

Abstract:

Monetary policy, Zero interest rate, Term structure of interest rates, Non-linear dynamics

15.

Affine Term Structure of Risk-Neutral Moments Models

Number of pages: 39 Posted: 16 Aug 2015 Last Revised: 13 Dec 2016
Bruno Feunou and Cedric Okou
Bank of Canada and University of Quebec at Montreal (UQAM)
Downloads 23 (239,294)

Abstract:

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

16.

Time-Varying Crash Risk: The Role of Stock Market Liquidity

Rotman School of Management Working Paper No. 2797308
Number of pages: 54 Posted: 20 Jun 2016 Last Revised: 22 Sep 2016
University of Toronto - Rotman School of Management, Bank of Canada, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 0 (104,300)

Abstract:

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

17.

Good Volatility, Bad Volatility and Option Pricing

Number of pages: 44 Posted: 04 Mar 2016 Last Revised: 08 Dec 2016
Bruno Feunou and Cedric Okou
Bank of Canada and University of Quebec at Montreal (UQAM)
Downloads 0 (126,011)

Abstract:

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

18.

Tractable Term Structure Models and the Zero Lower Bound

Number of pages: 48 Posted: 22 Nov 2015 Last Revised: 01 Dec 2015
Bank of Canada, Bank of Canada, University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 0 (229,100)

Abstract:

Term Structure, Zero Lower Bound, Stochastic Dominance, No-arbitrage