Bruno Feunou

Bank of Canada

234 Wellington Street

Ottawa, Ontario K1A 0G9

Canada

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SCHOLARLY PAPERS

29

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Top 7,370

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150

Scholarly Papers (29)

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1.

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Downloads 1,419 (29,952)
Citation 10

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Number of pages: 50 Posted: 08 Feb 2007 Last Revised: 13 Aug 2009
Peter Christoffersen, Redouane Elkamhi, Bruno Feunou and Kris Jacobs
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 929 (54,229)
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
Peter Christoffersen, Redouane Elkamhi, Bruno Feunou and Kris Jacobs
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 490 (124,322)
Citation 7

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

2.

Downside Variance Risk Premium

Downloads 1,227 (37,003)
Citation 25

Downside Variance Risk Premium

Forthcoming in the Journal of Financial Econometrics.
Number of pages: 53 Posted: 07 Feb 2015 Last Revised: 23 May 2017
Bruno Feunou, Mohammad R. Jahan-Parvar and Cedric Okou
Bank of Canada, Board of Governors of the Federal Reserve System and University of Quebec at Montreal (UQAM)
Downloads 914 (55,437)
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
Bruno Feunou, Mohammad R. Jahan-Parvar and Cedric Okou
Bank of Canada, Board of Governors of the Federal Reserve System and University of Quebec at Montreal (UQAM)
Downloads 313 (207,368)
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
Peter Christoffersen, Bruno Feunou, Kris Jacobs and Nour Meddahi
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 987 (50,649)
Citation 23

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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
Peter Christoffersen, Bruno Feunou, Yoontae Jeon and Chayawat Ornthanalai
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 759 (72,402)
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 543 (110,991)
Citation 5

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

6.

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns

Downloads 533 (113,642)
Citation 11

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns

Number of pages: 50 Posted: 06 Nov 2017 Last Revised: 04 Nov 2019
Bruno Feunou, Ricardo Lopez A., Roméo Tédongap and Lai Xu
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 404 (156,348)

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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
Bruno Feunou, Ricardo Lopez A., Roméo Tédongap and Lai Xu
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 129 (478,104)
Citation 11

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

7.

Tractable Term-Structure Models

Management Science 68(11):8411-8429.
Number of pages: 53 Posted: 22 Nov 2015 Last Revised: 11 Jun 2024
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 486 (127,116)
Citation 4

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

8.

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 464 (134,488)
Citation 6

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

9.

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
Bruno Feunou, Mohammad R. Jahan-Parvar and Roméo Tédongap
Bank of Canada, Board of Governors of the Federal Reserve System and ESSEC Business School
Downloads 451 (139,134)
Citation 21

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

10.

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 421 (150,783)
Citation 1

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Option Prices, Skewness, Volatility Spread, Risk Premium

11.

What do Bond Investors Learn from Macroeconomic News?

Number of pages: 76 Posted: 11 Nov 2019 Last Revised: 31 Oct 2024
Bruno Feunou, Jean-Sebastien Fontaine and Guillaume Roussellet
Bank of Canada, Bank of Canada and McGill University - Desautels Faculty of Management
Downloads 384 (167,234)

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Term Structure, Macro-Finance, Variance Decomposition, Imperfect Information, Bayesian Learning

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
Peter Christoffersen, Bruno Feunou and Yoontae Jeon
University of Toronto - Rotman School of Management, Bank of Canada and McMaster University - Michael G. DeGroote School of Business
Downloads 359 (180,257)
Citation 2

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Dynamic volatility, dynamic jumps, realized volatility, realized jumps

13.

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 357 (181,399)
Citation 3

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

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
Bruno Feunou, Mohammad R. Jahan-Parvar and Roméo Tédongap
Bank of Canada, Board of Governors of the Federal Reserve System and ESSEC Business School
Downloads 294 (223,647)
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 292 (225,240)
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 252 (261,842)
Citation 9

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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 236 (279,315)
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 214 (307,048)
Citation 3

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

19.

Generalized Autoregressive Gamma Processes

Number of pages: 78 Posted: 06 Feb 2022 Last Revised: 23 Jun 2023
Bruno Feunou
Bank of Canada
Downloads 179 (362,054)

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

20.

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 179 (362,054)

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Derivatives pricing, multiple triggers payoff, Fourier-Stieltjes transform

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
Bingxin Ann Xing, Bruno Feunou and Roméo Tédongap
ESSEC Business School, Bank of Canada and ESSEC Business School
Downloads 169 (381,051)

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

22.

Twin Stars: Neutral Rates and Currency Risk Premia

Number of pages: 62 Posted: 03 Jan 2025
Bruno Feunou, Jean-Sebastien Fontaine and Ingomar Krohn
Bank of Canada, Bank of Canada and Bank of Canada
Downloads 156 (408,247)

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Macro-Finance, Term Structure, Exchange Rates, Neutral Rates, Currency Risk Premia JEL codes: F31

23.

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 137 (453,699)

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Term Structure, Macro-Finance, Secular Changes

24.

Why Do Inflation Rates Vary Across Countries?

Number of pages: 67 Posted: 18 Oct 2022 Last Revised: 12 Dec 2023
Bingxin Ann Xing, Bruno Feunou and Roméo Tédongap
ESSEC Business School, Bank of Canada and ESSEC Business School
Downloads 125 (488,234)

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

25.

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 University Pension Plan
Downloads 124 (491,336)
Citation 1

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Monetary policy, Zero Lower Bound, Non-linear dynamics

26.

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
Bruno Feunou, Morvan Nongni Donfack, Rodrigo Sekkel and Bingxin Ann Xing
Bank of Canada, Laval University, Department of Economics, Government of Canada - Canadian Economic Analysis Department and ESSEC Business School
Downloads 105 (556,999)

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Macroeconomic news, bond yields, small open economies

27.

The Term Structures of Expected Loss and Gain Uncertainty

Number of pages: 76 Posted: 30 Aug 2019 Last Revised: 24 Mar 2020
Bruno Feunou, Ricardo Lopez A., Roméo Tédongap and Lai Xu
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University
Downloads 99 (580,915)

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

28.

Modeling Daily Variations of the Growth and Inflation Joint Distribution

Number of pages: 44 Posted: 04 Dec 2023
Chinara Azizova, Bruno Feunou, Robert Hill and James Kyeong
University of Toronto, Toronto, Canada, Bank of Canada, Government of Canada - Bank of Canada and Government of Canada - Bank of Canada
Downloads 61 (767,893)

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Density forecasts, Tail risk, Business fluctuations and cycles

29.

Robust Empirical Regularities on the Heterogeneity of Inflation Across Consumer Goods

ESSEC Business School Research Paper
Number of pages: 117 Posted: 16 Apr 2024
Bingxin Ann Xing, Bruno Feunou and Roméo Tédongap
affiliation not provided to SSRN, Bank of Canada and ESSEC Business School
Downloads 15 (1,217,715)

Abstract:

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