Bruno Feunou

Bank of Canada

234 Wellington Street

Ottawa, Ontario K1A 0G9

Canada

http://sites.google.com/view/bruno-feunou/home

SCHOLARLY PAPERS

28

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9,973

SSRN CITATIONS
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Top 7,264

in Total Papers Citations

206

CROSSREF CITATIONS

34

Scholarly Papers (28)

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 902 (49,046)
Citation 3

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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 471 (113,056)
Citation 7

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

2.
Downloads 1,104 (37,387)
Citation 43

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 872 (51,367)
Citation 3

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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 232 (243,707)
Citation 22

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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 897 (50,141)
Citation 19

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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: 02 Dec 2020
University of Toronto - Rotman School of Management, Bank of Canada, McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 726 (66,678)
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 500 (106,564)
Citation 5

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

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 346 (161,337)

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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 105 (476,326)
Citation 9

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

7.

Tractable Term-Structure Models

Number of pages: 53 Posted: 22 Nov 2015 Last Revised: 29 Apr 2021
Bank of Canada, Bank of Canada, Penn State University Smeal College of Business and University of North Carolina Kenan-Flagler Business School
Downloads 432 (126,731)
Citation 4

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

8.

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 428 (128,096)
Citation 21

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

9.

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 407 (135,667)
Citation 1

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Option Prices, Skewness, Volatility Spread, Risk Premium

10.

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 400 (138,426)
Citation 6

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

11.

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 345 (163,088)
Citation 3

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

12.

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 McMaster University - Michael G. DeGroote School of Business
Downloads 340 (165,632)
Citation 2

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Dynamic volatility, dynamic jumps, realized volatility, realized jumps

13.

What do Bond Investors Learn from Macroeconomic News?

Number of pages: 61 Posted: 11 Nov 2019 Last Revised: 21 Dec 2021
Bank of Canada, Bank of Canada and McGill University - Desautels Faculty of Management
Downloads 294 (193,189)

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Term Structure, Macro-Finance, Variance Decomposition

14.

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 282 (201,686)
Citation 9

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

15.

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 276 (206,120)
Citation 3

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

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 231 (245,655)
Citation 6

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

17.

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 229 (247,751)
Citation 11

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

18.

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 207 (272,315)
Citation 3

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

19.

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 167 (329,660)

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Derivatives pricing, multiple triggers payoff, Fourier-Stieltjes transform

20.

Generalized Autoregressive Gamma Processes

Number of pages: 78 Posted: 06 Feb 2022 Last Revised: 23 Jun 2023
Bruno Feunou
Bank of Canada
Downloads 159 (343,722)

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Autoregressive gamma, affine model, cumulant generating function, option pricing

21.

Robust Empirical Regularities on the Heterogeneity of Inflation Across Consumer Goods

Number of pages: 120 Posted: 10 May 2022 Last Revised: 12 Dec 2023
ESSEC Business School, Bank of Canada and ESSEC Business School
Downloads 149 (362,710)

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Individual Goods Inflation, Phillips Curve, Cross-Sectional Asset Pricing, Fama-MacBeth Procedure, Inflation Risk Premium

22.

Secular Economic Changes and Bond Yields

Review of Economics and Statistics, Forthcoming
Number of pages: 62 Posted: 10 Jan 2020 Last Revised: 14 Sep 2021
Bruno Feunou and Jean-Sebastien Fontaine
Bank of Canada and Bank of Canada
Downloads 135 (392,204)

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Term Structure, Macro-Finance, Secular Changes

23.

Why Do Inflation Rates Vary Across Countries?

Number of pages: 67 Posted: 18 Oct 2022 Last Revised: 12 Dec 2023
ESSEC Business School, Bank of Canada and ESSEC Business School
Downloads 121 (426,350)

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Inflation Cyclicality, World Business Cycle, Common Global Factors, Aggregate Consumption Demand, Fama–MacBeth Regression

24.

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 Independent
Downloads 115 (442,883)
Citation 1

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Monetary policy, Zero Lower Bound, Non-linear dynamics

25.

US Macro News and Low-Frequency Changes in Small Open Economies Bond Yields

Number of pages: 75 Posted: 06 Feb 2022 Last Revised: 05 Mar 2024
Bank of Canada, Laval University, Department of Economics, Government of Canada - Canadian Economic Analysis Department and ESSEC Business School
Downloads 88 (531,472)

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Macroeconomic news, bond yields, small open economies

26.

The Term Structures of Expected Loss and Gain Uncertainty

Number of pages: 76 Posted: 30 Aug 2019 Last Revised: 24 Mar 2020
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 82 (554,821)

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Quadratic payoff, quadratic loss, quadratic gain, quadratic risk premium, options

27.

Modeling Daily Variations of the Growth and Inflation Joint Distribution

Number of pages: 44 Posted: 04 Dec 2023
University of Toronto, Toronto, Canada, Bank of Canada, Government of Canada - Bank of Canada and Government of Canada - Bank of Canada
Downloads 34 (827,996)

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Density forecasts, Tail risk, Business fluctuations and cycles

28.

Robust Empirical Regularities on the Heterogeneity of Inflation Across Consumer Goods

Number of pages: 117 Posted: 16 Apr 2024
affiliation not provided to SSRN, Bank of Canada and ESSEC Business School
Downloads 1 (1,130,597)

Abstract:

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Individual Goods Inflation, Phillips Curve, Cross-Sectional Asset Pricing, Fama-MacBeth Procedure, inflation risk premium