Bruno Feunou

Bank of Canada

234 Wellington Street

Ottawa, Ontario K1A 0G9

Canada

http://kamkui.net/

SCHOLARLY PAPERS

19

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CITATIONS
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50

Scholarly Papers (19)

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 703 (31,985)
Citation 33

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 403 (65,619)
Citation 33

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

2.
Downloads 868 ( 24,224)

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 678 (33,677)

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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 190 (147,110)

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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 726 (31,143)
Citation 4

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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 462 (56,115)

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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 357 (76,366)

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

6.

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 357 (76,366)

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Option Prices, Skewness, Volatility Spread, Risk Premium

7.

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 351 (77,861)
Citation 4

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

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 294 (95,025)
Citation 3

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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 283 (99,037)
Citation 3

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

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 Ryerson University - Ted Rogers School of Management
Downloads 247 (114,209)

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Dynamic volatility, dynamic jumps, realized volatility, realized jumps

11.

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 227 (124,359)
Citation 1

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

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 226 (124,893)

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

13.

Variance Premium, Downside Risk, and Expected Stock Returns

Number of pages: 49 Posted: 06 Nov 2017 Last Revised: 27 Nov 2017
Bank of Canada, Syracuse University, ESSEC Business School and Syracuse University
Downloads 198 (141,624)

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Variance Forecasting, Signed Jump Risk Premium

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 187 (149,344)
Citation 1

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

15.

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 162 (169,586)

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

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 152 (179,061)

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

17.

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 132 (200,711)

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Derivatives pricing, multiple triggers payoff, Fourier-Stieltjes transform

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 124 (212,137)

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

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 77 (289,776)

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Monetary policy, Zero Lower Bound, Non-linear dynamics