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
cedric OkouInternational Monetary FundVerified email at imf.org
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
Christian T. LundbladRichard Levin Distinguished Professor of Finance, University of North Carolina, Chapel HillVerified email at unc.edu
Ricardo Lopez AliouchkinSyracuse UniversityVerified email at syr.edu
Abderrahim TaamoutiProfessor of Econometrics at University of Liverpool Management School, Fellow of Econometric SocieyVerified email at durham.ac.uk
REDOUANE ELKAMHIProfessor of Finance, Rotman School of Management, University of TorontoVerified email at rotman.utoronto.ca
Chayawat OrnthanalaiRotman School of Management, University of TorontoVerified email at rotman.utoronto.ca
Lai XuSyracuse UniversityVerified email at syr.edu
Rodrigo SekkelBank of CanadaVerified email at sekkel.com
Bo Young ChangBank of CanadaVerified email at bankofcanada.ca
Corey GarriottOffice of Financial Research, U.S. TreasuryVerified email at ofr.treasury.gov
Bingxin Ann XingPhD Candidate, ESSEC Business SchoolVerified email at essec.edu
Matteo CacciatoreHEC MontrealVerified email at hec.ca
Galip Kemal OzhanInternational Monetary FundVerified email at imf.org
Guillaume Roussellet, Ph.D.Federal Reserve Bank of New York - McGill University (on leave)Verified email at ny.frb.org

Bruno Feunou

Bank of Canada

Verified email at bankofcanada.ca - Homepage

Financial Economics Financial Econometrics Econometrics


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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	203	2010
Downside variance risk premium B Feunou, MR Jahan-Parvar, C Okou Journal of Financial Econometrics 16 (3), 341–383, 2018	179	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	173	2014
Modeling market downside volatility B Feunou, MR Jahan-Parvar, R Tédongap Review of Finance 17 (1), 443-481, 2013	117	2013
Good Volatility, Bad Volatility, and Option Pricing B Feunou, C Okou Journal of Financial and Quantitative Analysis 54 (2), 695-727, 2019	61	2019
Which parametric model for conditional skewness? B Feunou, M Jahan-Parvar, R Tedongap The European Journal of Finance 22 (13), 1237-1271, 2016	56	2016
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	55	2014
A stochastic volatility model with conditional skewness B Feunou, R Tédongap Journal of Business & economic statistics 30 (4), 576-591, 2012	48*	2012
Measuring uncertainty in monetary policy using realized and implied volatility BY Chang, B Feunou Bank of Canada Review 2014 (Spring), 32-41, 2014	47*	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	46	2015
Loss uncertainty, gain uncertainty, and expected stock returns B Feunou, R Lopez A, R Tédongap, L Xu Roméo and Xu, Lai, Loss Uncertainty, Gain Uncertainty, and Expected Stock …, 2019	32*	2019
Risk‐neutral moment‐based estimation of affine option pricing models B Feunou, C Okou Journal of Applied Econometrics 33 (7), 1007-1025, 2018	31	2018
Non-Markov Gaussian Term Structure Models: The Case of Inflation B Feunou, JS Fontaine Review of Finance 18 (5), 1953-2001, 2014	30*	2014
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	27*	2020
Tractable term structure models B Feunou, JS Fontaine, A Le, C Lundblad Management Science 68 (11), 8411-8429, 2022	22*	2022
Gaussian Term Structure Models and Bond Risk Premia B Feunou, JS Fontaine Management Science 64 (3), 1413-1439, 2018	18*	2018
Generalized Affine Models B Feunou, N Meddahi SSRN, 2009	17	2009
The implied volatility and skewness surface B Feunou, JS Fontaine, R Tédongap Review of Derivatives Research 20 (2), 167-202, 2017	16*	2017
Secular economic changes and bond yields B Feunou, JS Fontaine Review of Economics and Statistics 105 (2), 408-424, 2023	11	2023
Generalized Autoregressive Positive-valued Processes B Feunou Journal of Business & Economic Statistics 42 (2), 786-800, 2024	9*	2024

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