Bruno Feunou
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
1642010
Downside variance risk premium
B Feunou, MR Jahan-Parvar, C Okou
Journal of Financial Econometrics 16 (3), 341–383, 2018
1092018
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
1002014
Modeling market downside volatility
B Feunou, MR Jahan-Parvar, R Tédongap
Review of Finance 17 (1), 443-481, 2013
922013
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
432014
A stochastic volatility model with conditional skewness
B Feunou, R Tédongap
Journal of Business & economic statistics 30 (4), 576-591, 2012
41*2012
Which parametric model for conditional skewness?
B Feunou, M Jahan-Parvar, R Tedongap
The European Journal of Finance 22 (13), 1237-1271, 2016
382016
Measuring uncertainty in monetary policy using realized and implied volatility
BY Chang, B Feunou
Bank of Canada Review 2014 (Spring), 32-41, 2014
26*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
252015
Non-Markov Gaussian Term Structure Models: The Case of Inflation
B Feunou, JS Fontaine
Review of Finance 18 (5), 1953-2001, 2014
20*2014
Good Volatility, Bad Volatility, and Option Pricing
B Feunou, C Okou
Journal of Financial and Quantitative Analysis 54 (2), 695-727, 2019
192019
Tractable Term Structure Models
B Feunou, JS Fontaine, A Le, CT Lundblad
Available at SSRN 2693568, 2018
14*2018
Generalized Affine Models
B Feunou, N Meddahi
SSRN, 2009
142009
Gaussian Term Structure Models and Bond Risk Premia
B Feunou, JS Fontaine
Management Science 64 (3), 1413-1439, 2018
13*2018
Risk‐neutral moment‐based estimation of affine option pricing models
B Feunou, C Okou
Journal of Applied Econometrics 33 (7), 1007-1025, 2018
122018
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
11*2020
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
10*2019
The implied volatility and skewness surface
B Feunou, JS Fontaine, R Tédongap
Review of Derivatives Research 20 (2), 167-202, 2017
10*2017
What model for the target rate
B Feunou, JS Fontaine, J Jin
Studies in Nonlinear Dynamics & Econometrics 25 (1), https://doi.org/10.1515 …, 2020
4*2020
Foreign flows and their effects on government of Canada yields
B Feunou, JS Fontaine, J Kyeong, J Sierra
Bank of Canada, 2015
42015
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Articles 1–20