Bruno Feunou

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Roméo TÉDONGAPESSEC Business School Paris-SingaporeVerified email at essec.edu
Jean-Sébastien FontaineBank of CanadaVerified email at bankofcanada.ca
Mohammad R. Jahan-ParvarFederal Reserve BoardVerified email at frb.gov
Kris JacobsUniversity of HoustonVerified email at bauer.uh.edu
Nour Meddahi Professor of Economics, Toulouse School of EconomicsVerified email at tse-fr.eu
Yoontae JeonAssistant Professor of Finance, McMaster UniversityVerified email at mcmaster.ca
Ricardo Lopez AliouchkinSyracuse UniversityVerified email at syr.edu
REDOUANE ELKAMHIProfessor of Finance, Rotman School of Management, University of TorontoVerified email at rotman.utoronto.ca
Abderrahim TaamoutiProfessor of Econometrics at University of Liverpool Management SchoolVerified email at durham.ac.uk
Chayawat OrnthanalaiRotman School of Management, University of TorontoVerified email at rotman.utoronto.ca
Bo Young ChangBank of CanadaVerified email at bankofcanada.ca
Lai XuSyracuse UniversityVerified email at syr.edu
Corey GarriottTMX GroupVerified email at tmx.com
Bingxin XingPhD Candidate, ESSEC Business SchoolVerified email at essec.edu
Rodrigo SekkelBank of CanadaVerified email at sekkel.com
Guillaume Roussellet, Ph.D.McGill University, Desautels - Assistant professor in FinanceVerified email at mcgill.ca
Anh LePenn State University, Smeal College of BusinessVerified email at psu.edu

Bruno Feunou

Bank of Canada

Verified email at bankofcanada.ca - Homepage

Financial Economics Financial Econometrics Econometrics


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Option valuation with conditional heteroskedasticity and nonnormality P Christoffersen, R Elkamhi, B Feunou, K Jacobs The Review of Financial Studies 23 (5), 2139-2183, 2010	190	2010
Downside variance risk premium B Feunou, MR Jahan-Parvar, C Okou Journal of Financial Econometrics 16 (3), 341–383, 2018	163	2018
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation P Christoffersen, B Feunou, K Jacobs, N Meddahi Journal of Financial and Quantitative Analysis 49 (3), 663-697, 2014	147	2014
Modeling market downside volatility B Feunou, MR Jahan-Parvar, R Tédongap Review of Finance 17 (1), 443-481, 2013	111	2013
Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty B Feunou, JS Fontaine, A Taamouti, R Tédongap Review of Finance 18 (1), 219-269, 2014	56	2014
Which parametric model for conditional skewness? B Feunou, M Jahan-Parvar, R Tedongap The European Journal of Finance 22 (13), 1237-1271, 2016	55	2016
Good Volatility, Bad Volatility, and Option Pricing B Feunou, C Okou Journal of Financial and Quantitative Analysis 54 (2), 695-727, 2019	48	2019
A stochastic volatility model with conditional skewness B Feunou, R Tédongap Journal of Business & economic statistics 30 (4), 576-591, 2012	46*	2012
Measuring uncertainty in monetary policy using realized and implied volatility BY Chang, B Feunou Bank of Canada Review 2014 (Spring), 32-41, 2014	41*	2014
Option Valuation with Observable Volatility and Jump Dynamics P Christoffersen, B Feunou, Y Jeon Journal of Banking & Finance 61 (Supplement 2), S101–S120, 2015	38	2015
Loss uncertainty, gain uncertainty, and expected stock returns B Feunou, R Lopez Aliouchkin, R Tédongap, L Xu Roméo and Xu, Lai, Loss Uncertainty, Gain Uncertainty, and Expected Stock …, 2019	29*	2019
Non-Markov Gaussian Term Structure Models: The Case of Inflation B Feunou, JS Fontaine Review of Finance 18 (5), 1953-2001, 2014	24*	2014
Risk‐neutral moment‐based estimation of affine option pricing models B Feunou, C Okou Journal of Applied Econometrics 33 (7), 1007-1025, 2018	22	2018
Tractable term structure models B Feunou, JS Fontaine, A Le, C Lundblad Management Science 68 (11), 8411-8429, 2022	20*	2022
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity P Christoffersen, B Feunou, Y Jeon, C Ornthanalai Review of Finance, rfaa040, https://doi.org/10.1093/rof/rfaa040, 2020	20*	2020
Generalized Affine Models B Feunou, N Meddahi SSRN, 2009	18	2009
Gaussian Term Structure Models and Bond Risk Premia B Feunou, JS Fontaine Management Science 64 (3), 1413-1439, 2018	14*	2018
The implied volatility and skewness surface B Feunou, JS Fontaine, R Tédongap Review of Derivatives Research 20 (2), 167-202, 2017	13*	2017
Generalized Autoregressive Positive-valued Processes B Feunou Journal of Business & Economic Statistics, 1-15, 2023	4*	2023
Secular economic changes and bond yields B Feunou, JS Fontaine The Review of Economics and Statistics 105 (2), 408-424, 2023	4	2023

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