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
1562010
Downside variance risk premium
B Feunou, MR Jahan-Parvar, C Okou
Journal of Financial Econometrics 16 (3), 341–383, 2018
852018
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
84*2014
Modeling market downside volatility
B Feunou, MR Jahan-Parvar, R Tédongap
Review of Finance 17 (1), 443-481, 2013
732013
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
422014
A stochastic volatility model with conditional skewness
B Feunou, R Tédongap
Journal of Business & economic statistics 30 (4), 576-591, 2012
42*2012
Which parametric model for conditional skewness?
B Feunou, M Jahan-Parvar, R Tedongap
The European Journal of Finance 22 (13), 1237-1271, 2016
342016
Measuring uncertainty in monetary policy using realized and implied volatility
BY Chang, B Feunou
Bank of Canada Review 2014 (Spring), 32-41, 2014
22*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
212015
Non-Markov Gaussian Term Structure Models: The Case of Inflation
B Feunou, JS Fontaine
Review of Finance 18 (5), 1953-2001, 2014
20*2014
Generalized Affine Models
B Feunou, N Meddahi
SSRN, 2009
132009
Good Volatility, Bad Volatility, and Option Pricing
B Feunou, C Okou
Journal of Financial and Quantitative Analysis 54 (2), 695-727, 2019
112019
Gaussian Term Structure Models and Bond Risk Premia
B Feunou, JS Fontaine
Management Science 64 (3), 1413-1439, 2018
11*2018
Time-varying crash risk: The role of stock market liquidity
P Christoffersen, B Feunou, Y Jeon, C Ornthanalai
Bank of Canada, 2016
11*2016
Tractable term-structure models and the zero lower bound
B Feunou, JS Fontaine, A Le, C Lundblad
Bank of Canada Staff Working Paper, 2015
11*2015
The implied volatility and skewness surface
B Feunou, JS Fontaine, R Tédongap
Review of Derivatives Research 20 (2), 167-202, 2017
10*2017
Risk‐neutral moment‐based estimation of affine option pricing models
B Feunou, C Okou
Journal of Applied Econometrics 33 (7), 1007-1025, 2018
92018
Variance Premium, Downside Risk and Expected Stock Returns
B Feunou, R Lopez Aliouchkin, R Tedongap, L Xi
Bank of Canada, 2017
92017
Which Model to Forecast the Target Rate?
B Feunou, JS Fontaine, J Jin
Available at SSRN 1772971, 2017
4*2017
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