Bruno Feunou
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author of:
- Option Valuation with Conditional Heteroskedasticity and Non-Normality
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009)
by Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs
(ReDIF-paper, aah:create:2009-33) - Option Valuation with Observable Volatility and Jump Dynamics
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014)
by Peter Christoffersen & Bruno Feunou & Yoontae Jeon
(ReDIF-paper, aah:create:2015-07) - Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility
Bank of Canada Review, Bank of Canada (2014)
by Bo Young Chang & Bruno Feunou
(ReDIF-article, bca:bcarev:v:2014:y:2014:i:spring14:p:32-41) - Real Exchange Rate Decompositions
Discussion Papers, Bank of Canada (2022)
by Bruno Feunou & Jean-Sébastien Fontaine & Ingomar Krohn
(ReDIF-paper, bca:bocadp:22-6) - Forecasting Risks to the Canadian Economic Outlook at a Daily Frequency
Discussion Papers, Bank of Canada (2023)
by Chinara Azizova & Bruno Feunou & James Kyeong
(ReDIF-paper, bca:bocadp:23-19) - The Neutral Interest Rate: Past, Present and Future
Discussion Papers, Bank of Canada (2024)
by Matteo Cacciatore & Bruno Feunou & Galip Kemal Ozhan
(ReDIF-paper, bca:bocadp:24-03) - Deriving Longer-Term Inflation Expectations and Inflation Risk Premium Measures for Canada
Discussion Papers, Bank of Canada (2024)
by Bruno Feunou & Zabi Tarshi
(ReDIF-paper, bca:bocadp:24-09) - Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
Staff Working Papers, Bank of Canada (2009)
by Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tedongap
(ReDIF-paper, bca:bocawp:09-20) - A Stochastic Volatility Model with Conditional Skewness
Staff Working Papers, Bank of Canada (2011)
by Bruno Feunou & Roméo Tedongap
(ReDIF-paper, bca:bocawp:11-20) - Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
Staff Working Papers, Bank of Canada (2012)
by Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap
(ReDIF-paper, bca:bocawp:12-11) - The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
Staff Working Papers, Bank of Canada (2012)
by Peter Christoffersen & Bruno Feunou & Kris Jacobs & Nour Meddahi
(ReDIF-paper, bca:bocawp:12-34) - Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
Staff Working Papers, Bank of Canada (2012)
by Bruno Feunou & Jean-Sébastien Fontaine
(ReDIF-paper, bca:bocawp:12-37) - Which Parametric Model for Conditional Skewness?
Staff Working Papers, Bank of Canada (2013)
by Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tedongap
(ReDIF-paper, bca:bocawp:13-32) - Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility
Staff Working Papers, Bank of Canada (2013)
by Bo Young Chang & Bruno Feunou
(ReDIF-paper, bca:bocawp:13-37) - Bond Risk Premia and Gaussian Term Structure Models
Staff Working Papers, Bank of Canada (2014)
by Bruno Feunou & Jean-Sébastien Fontaine
(ReDIF-paper, bca:bocawp:14-13) - Fourier Inversion Formulas for Multiple-Asset Option Pricing
Staff Working Papers, Bank of Canada (2015)
by Bruno Feunou & Ernest Tafolong
(ReDIF-paper, bca:bocawp:15-11) - Downside Variance Risk Premium
Staff Working Papers, Bank of Canada (2015)
by Bruno Feunou & Mohammad R. Jahan-Parvar & Cédric Okou
(ReDIF-paper, bca:bocawp:15-36) - Option Valuation with Observable Volatility and Jump Dynamics
Staff Working Papers, Bank of Canada (2015)
by Peter Christoffersen & Bruno Feunou & Yoontae Jeon
(ReDIF-paper, bca:bocawp:15-39) - Tractable Term Structure Models
Staff Working Papers, Bank of Canada (2015)
by Anh Le & Bruno Feunou & Christian Lundblad & Jean-Sébastien Fontaine
(ReDIF-paper, bca:bocawp:15-46) - Time-Varying Crash Risk: The Role of Stock Market Liquidity
Staff Working Papers, Bank of Canada (2016)
by Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai
(ReDIF-paper, bca:bocawp:16-35) - Good Volatility, Bad Volatility and Option Pricing
Staff Working Papers, Bank of Canada (2017)
by Bruno Feunou & Cédric Okou
(ReDIF-paper, bca:bocawp:17-52) - Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models
Staff Working Papers, Bank of Canada (2017)
by Bruno Feunou & Cédric Okou
(ReDIF-paper, bca:bocawp:17-55) - Variance Premium, Downside Risk and Expected Stock Returns
Staff Working Papers, Bank of Canada (2017)
by Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xi
(ReDIF-paper, bca:bocawp:17-58) - The Term Structures of Loss and Gain Uncertainty
Staff Working Papers, Bank of Canada (2020)
by Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xu
(ReDIF-paper, bca:bocawp:20-19) - Debt-Secular Economic Changes and Bond Yields
Staff Working Papers, Bank of Canada (2021)
by Bruno Feunou & Jean-Sébastien Fontaine
(ReDIF-paper, bca:bocawp:21-14) - Generalized Autoregressive Gamma Processes
Staff Working Papers, Bank of Canada (2023)
by Bruno Feunou
(ReDIF-paper, bca:bocawp:23-40) - U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields
Staff Working Papers, Bank of Canada (2024)
by Bingxin Ann Xing & Bruno Feunou & Morvan Nongni-Donfack & Rodrigo Sekkel
(ReDIF-paper, bca:bocawp:24-12) - Foreign Flows and Their Effects on Government of Canada Yields
Staff Analytical Notes, Bank of Canada (2015)
by Bruno Feunou & Jean-Sébastien Fontaine & James Kyeong & Jesus Sierra
(ReDIF-paper, bca:bocsan:15-1) - The Impacts of Monetary Policy Statements
Staff Analytical Notes, Bank of Canada (2017)
by Bruno Feunou & Corey Garriott & James Kyeong & Raisa Leiderman
(ReDIF-paper, bca:bocsan:17-22) - Markets Look Beyond the Headline
Staff Analytical Notes, Bank of Canada (2018)
by Bruno Feunou & James Kyeong & Raisa Leiderman
(ReDIF-paper, bca:bocsan:18-37) - Does US or Canadian Macro News Drive Canadian Bond Yields?
Staff Analytical Notes, Bank of Canada (2018)
by Bruno Feunou & Rodrigo Sekkel & Morvan Nongni Donfack
(ReDIF-paper, bca:bocsan:18-38) - The Secular Decline of Forecasted Interest Rates
Staff Analytical Notes, Bank of Canada (2019)
by Jean-Sébastien Fontaine & Bruno Feunou
(ReDIF-paper, bca:bocsan:19-1) - Finding the balance—measuring risks to inflation and to GDP growth
Staff Analytical Notes, Bank of Canada (2023)
by Bruno Feunou & James Kyeong
(ReDIF-paper, bca:bocsan:23-18) - Estimating the inflation risk premium
Staff Analytical Notes, Bank of Canada (2025)
by Bruno Feunou & Gitanjali Kumar
(ReDIF-paper, bca:bocsan:25-9) - Fourier inversion formulas for multiple-asset option pricing
Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2015)
by Feunou Bruno & Tafolong Ernest
(ReDIF-article, bpj:sndecm:v:19:y:2015:i:5:p:531-559:n:3) - What model for the target rate
Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2021)
by Feunou Bruno & Fontaine Jean-Sébastien & Jin Jianjian
(ReDIF-article, bpj:sndecm:v:25:y:2021:i:1:p:23:n:1) - Option Valuation with Conditional Heteroskedasticity and Non-Normality
CIRANO Working Papers, CIRANO (2009)
by Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs
(ReDIF-paper, cir:cirwor:2009s-32) - Risk premium, variance premium and the maturity structure of uncertainty
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa (2011)
by Feunou, Bruno & Fontaine, Jean-Sébastien & Tédongap, Roméo
(ReDIF-paper, cte:werepe:we1144) - The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
Journal of Financial and Quantitative Analysis, Cambridge University Press (2014)
by Christoffersen, Peter & Feunou, Bruno & Jacobs, Kris & Meddahi, Nour
(ReDIF-article, cup:jfinqa:v:49:y:2014:i:03:p:663-697_00) - Good Volatility, Bad Volatility, and Option Pricing
Journal of Financial and Quantitative Analysis, Cambridge University Press (2019)
by Feunou, Bruno & Okou, Cédric
(ReDIF-article, cup:jfinqa:v:54:y:2019:i:02:p:695-727_00) - U.S. macroeconomic news and low-frequency changes in bond yields in Canada, Sweden and the U.K
Journal of Banking & Finance, Elsevier (2024)
by Ann Xing, Bingxin & Feunou, Bruno & Nongni-Donfack, Morvan & Sekkel, Rodrigo
(ReDIF-article, eee:jbfina:v:168:y:2024:i:c:s0378426624001845) - Option valuation with observable volatility and jump dynamics
Journal of Banking & Finance, Elsevier (2015)
by Christoffersen, Peter & Feunou, Bruno & Jeon, Yoontae
(ReDIF-article, eee:jbfina:v:61:y:2015:i:s2:p:s101-s120) - Downside Variance Risk Premium
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2015)
by Bruno Feunou & Mohammad Jahan-Parvar & Cedric Okou
(ReDIF-paper, fip:fedgfe:2015-20) - Unknown item RePEc:inm:ormnsc:v:64:y:2018:i:3:p:1413-1439 (article)
- Tractable Term Structure Models
Management Science, INFORMS (2022)
by Bruno Feunou & Jean-Sébastien Fontaine & Anh Le & Christian Lundblad
(ReDIF-article, inm:ormnsc:v:68:y:2022:i:11:p:8411-8429) - Implied volatility and skewness surface
Review of Derivatives Research, Springer (2017)
by Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tédongap
(ReDIF-article, kap:revdev:v:20:y:2017:i:2:d:10.1007_s11147-016-9127-x) - Downside Variance Risk Premium
Journal of Financial Econometrics, Oxford University Press (2018)
by Bruno Feunou & Mohammad R Jahan-Parvar & Cédric Okou
(ReDIF-article, oup:jfinec:v:16:y:2018:i:3:p:341-383.) - The Term Structures of Expected Loss and Gain Uncertainty
Journal of Financial Econometrics, Oxford University Press (0)
by Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tédongap & Lai Xu
(ReDIF-article, oup:jfinec:v:18:y::i:3:p:473-501.) - The Term Structures of Expected Loss and Gain Uncertainty
Journal of Financial Econometrics, Oxford University Press (2020)
by Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tédongap & Lai Xu
(ReDIF-article, oup:jfinec:v:18:y:2020:i:3:p:473-501.) - Modeling Market Downside Volatility
Review of Finance, European Finance Association (2013)
by Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tédongap
(ReDIF-article, oup:revfin:v:17:y:2013:i:1:p:443-481) - Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
Review of Finance, European Finance Association (2014)
by Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap
(ReDIF-article, oup:revfin:v:18:y:2014:i:1:p:219-269.) - Non-Markov Gaussian Term Structure Models: The Case of Inflation
Review of Finance, European Finance Association (2014)
by Bruno Feunou & Jean-Sébastien Fontaine
(ReDIF-article, oup:revfin:v:18:y:2014:i:5:p:1953-2001.) - Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity
[Does realized skewness predict the cross-section of equity returns?]
Review of Finance, European Finance Association (2021)
by Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai
(ReDIF-article, oup:revfin:v:25:y:2021:i:4:p:1261-1298.) - Option Valuation with Conditional Heteroskedasticity and Nonnormality
The Review of Financial Studies, Society for Financial Studies (2010)
by Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs
(ReDIF-article, oup:rfinst:v:23:y:2010:i:5:p:2139-2183) - Which parametric model for conditional skewness?
The European Journal of Finance, Taylor & Francis Journals (2016)
by Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tédongap
(ReDIF-article, taf:eurjfi:v:22:y:2016:i:13:p:1237-1271) - A Stochastic Volatility Model With Conditional Skewness
Journal of Business & Economic Statistics, Taylor & Francis Journals (2012)
by Bruno Feunou & Roméo Tédongap
(ReDIF-article, taf:jnlbes:v:30:y:2012:i:4:p:576-591) - Generalized Autoregressive Positive-valued Processes
Journal of Business & Economic Statistics, Taylor & Francis Journals (2024)
by Bruno Feunou
(ReDIF-article, taf:jnlbes:v:42:y:2024:i:2:p:786-800) - Secular Economic Changes and Bond Yields
The Review of Economics and Statistics, MIT Press (2023)
by Bruno Feunou & Jean-Sébastien Fontaine
(ReDIF-article, tpr:restat:v:105:y:2023:i:2:p:408-424) - Risk‐neutral moment‐based estimation of affine option pricing models
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018)
by Bruno Feunou & Cédric Okou
(ReDIF-article, wly:japmet:v:33:y:2018:i:7:p:1007-1025)