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Bruno Feunou

Personal Details

First Name:Bruno
Middle Name:
Last Name:Feunou
Suffix:
RePEc Short-ID:pfe411
[This author has chosen not to make the email address public]
https://sites.google.com/view/bruno-feunou/home
Terminal Degree:2009 Département de Sciences Économiques; Université de Montréal (from RePEc Genealogy)

Affiliation

Bank of Canada

Ottawa, Canada
http://www.bank-banque-canada.ca/
RePEc:edi:bocgvca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Matteo Cacciatore & Bruno Feunou & Galip Kemal Ozhan, 2024. "The Neutral Interest Rate: Past, Present and Future," Discussion Papers 2024-03, Bank of Canada.
  2. Bingxin Ann Xing & Bruno Feunou & Morvan Nongni-Donfack & Rodrigo Sekkel, 2024. "U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields," Staff Working Papers 24-12, Bank of Canada.
  3. Bruno Feunou & Zabi Tarshi, 2024. "Deriving Longer-Term Inflation Expectations and Inflation Risk Premium Measures for Canada," Discussion Papers 2024-09, Bank of Canada.
  4. Bruno Feunou & James Kyeong, 2023. "Finding the balance—measuring risks to inflation and to GDP growth," Staff Analytical Notes 2023-18, Bank of Canada.
  5. Chinara Azizova & Bruno Feunou & James Kyeong, 2023. "Forecasting Risks to the Canadian Economic Outlook at a Daily Frequency," Discussion Papers 2023-19, Bank of Canada.
  6. Bruno Feunou, 2023. "Generalized Autoregressive Gamma Processes," Staff Working Papers 23-40, Bank of Canada.
  7. Bruno Feunou & Jean-Sébastien Fontaine & Ingomar Krohn, 2022. "Real Exchange Rate Decompositions," Discussion Papers 2022-6, Bank of Canada.
  8. Bruno Feunou & Jean-Sébastien Fontaine, 2021. "Debt-Secular Economic Changes and Bond Yields," Staff Working Papers 21-14, Bank of Canada.
  9. Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xu, 2020. "The Term Structures of Loss and Gain Uncertainty," Staff Working Papers 20-19, Bank of Canada.
  10. Jean-Sébastien Fontaine & Bruno Feunou, 2019. "The Secular Decline of Forecasted Interest Rates," Staff Analytical Notes 2019-1, Bank of Canada.
  11. Bruno Feunou & James Kyeong & Raisa Leiderman, 2018. "Markets Look Beyond the Headline," Staff Analytical Notes 2018-37, Bank of Canada.
  12. Bruno Feunou & Rodrigo Sekkel & Morvan Nongni Donfack, 2018. "Does US or Canadian Macro News Drive Canadian Bond Yields?," Staff Analytical Notes 2018-38, Bank of Canada.
  13. Bruno Feunou & Cédric Okou, 2017. "Good Volatility, Bad Volatility and Option Pricing," Staff Working Papers 17-52, Bank of Canada.
  14. Bruno Feunou & Corey Garriott & James Kyeong & Raisa Leiderman, 2017. "The Impacts of Monetary Policy Statements," Staff Analytical Notes 17-22, Bank of Canada.
  15. Bruno Feunou & Cédric Okou, 2017. "Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models," Staff Working Papers 17-55, Bank of Canada.
  16. Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xi, 2017. "Variance Premium, Downside Risk and Expected Stock Returns," Staff Working Papers 17-58, Bank of Canada.
  17. Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai, 2016. "Time-Varying Crash Risk: The Role of Stock Market Liquidity," Staff Working Papers 16-35, Bank of Canada.
  18. Bruno Feunou & Mohammad R. Jahan-Parvar & Cédric Okou, 2015. "Downside Variance Risk Premium," Staff Working Papers 15-36, Bank of Canada.
  19. Bruno Feunou & Jean-Sébastien Fontaine & James Kyeong & Jesus Sierra, 2015. "Foreign Flows and Their Effects on Government of Canada Yields," Staff Analytical Notes 15-1, Bank of Canada.
  20. Bruno Feunou & Ernest Tafolong, 2015. "Fourier Inversion Formulas for Multiple-Asset Option Pricing," Staff Working Papers 15-11, Bank of Canada.
  21. Anh Le & Bruno Feunou & Christian Lundblad & Jean-Sébastien Fontaine, 2015. "Tractable Term Structure Models," Staff Working Papers 15-46, Bank of Canada.
  22. Peter Christoffersen & Bruno Feunou & Yoontae Jeon, 2014. "Option Valuation with Observable Volatility and Jump Dynamics," CREATES Research Papers 2015-07, Department of Economics and Business Economics, Aarhus University.
  23. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Staff Working Papers 14-13, Bank of Canada.
  24. Bo Young Chang & Bruno Feunou, 2013. "Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility," Staff Working Papers 13-37, Bank of Canada.
  25. Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tedongap, 2013. "Which Parametric Model for Conditional Skewness?," Staff Working Papers 13-32, Bank of Canada.
  26. Bruno Feunou & Jean-Sébastien Fontaine, 2012. "Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields," Staff Working Papers 12-37, Bank of Canada.
  27. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap, 2012. "Risk Premium, Variance Premium and the Maturity Structure of Uncertainty," Staff Working Papers 12-11, Bank of Canada.
  28. Peter Christoffersen & Bruno Feunou & Kris Jacobs & Nour Meddahi, 2012. "The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation," Staff Working Papers 12-34, Bank of Canada.
  29. Bruno Feunou & Roméo Tedongap, 2011. "A Stochastic Volatility Model with Conditional Skewness," Staff Working Papers 11-20, Bank of Canada.
  30. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CREATES Research Papers 2009-33, Department of Economics and Business Economics, Aarhus University.
  31. Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tedongap, 2009. "Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness," Staff Working Papers 09-20, Bank of Canada.

Articles

  1. Ann Xing, Bingxin & Feunou, Bruno & Nongni-Donfack, Morvan & Sekkel, Rodrigo, 2024. "U.S. macroeconomic news and low-frequency changes in bond yields in Canada, Sweden and the U.K," Journal of Banking & Finance, Elsevier, vol. 168(C).
  2. Bruno Feunou, 2024. "Generalized Autoregressive Positive-valued Processes," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(2), pages 786-800, April.
  3. Bruno Feunou & Jean-Sébastien Fontaine, 2023. "Secular Economic Changes and Bond Yields," The Review of Economics and Statistics, MIT Press, vol. 105(2), pages 408-424, March.
  4. Bruno Feunou & Jean-Sébastien Fontaine & Anh Le & Christian Lundblad, 2022. "Tractable Term Structure Models," Management Science, INFORMS, vol. 68(11), pages 8411-8429, November.
  5. Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai, 2021. "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, vol. 25(4), pages 1261-1298.
  6. Feunou Bruno & Fontaine Jean-Sébastien & Jin Jianjian, 2021. "What model for the target rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-23, February.
  7. Feunou, Bruno & Okou, Cédric, 2019. "Good Volatility, Bad Volatility, and Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(2), pages 695-727, April.
  8. Bruno Feunou & Cédric Okou, 2018. "Risk‐neutral moment‐based estimation of affine option pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1007-1025, November.
  9. Bruno Feunou & Mohammad R Jahan-Parvar & Cédric Okou, 2018. "Downside Variance Risk Premium," Journal of Financial Econometrics, Oxford University Press, vol. 16(3), pages 341-383.
  10. Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tédongap, 2017. "Implied volatility and skewness surface," Review of Derivatives Research, Springer, vol. 20(2), pages 167-202, July.
  11. Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tédongap, 2016. "Which parametric model for conditional skewness?," The European Journal of Finance, Taylor & Francis Journals, vol. 22(13), pages 1237-1271, October.
  12. Christoffersen, Peter & Feunou, Bruno & Jeon, Yoontae, 2015. "Option valuation with observable volatility and jump dynamics," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 101-120.
  13. Feunou Bruno & Tafolong Ernest, 2015. "Fourier inversion formulas for multiple-asset option pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(5), pages 531-559, December.
  14. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
  15. Bo Young Chang & Bruno Feunou, 2014. "Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility," Bank of Canada Review, Bank of Canada, vol. 2014(Spring), pages 32-41.
  16. Christoffersen, Peter & Feunou, Bruno & Jacobs, Kris & Meddahi, Nour, 2014. "The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 663-697, June.
  17. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Non-Markov Gaussian Term Structure Models: The Case of Inflation," Review of Finance, European Finance Association, vol. 18(5), pages 1953-2001.
  18. Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tédongap, 2013. "Modeling Market Downside Volatility," Review of Finance, European Finance Association, vol. 17(1), pages 443-481.
  19. Bruno Feunou & Roméo Tédongap, 2012. "A Stochastic Volatility Model With Conditional Skewness," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 576-591, July.
  20. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2010. "Option Valuation with Conditional Heteroskedasticity and Nonnormality," The Review of Financial Studies, Society for Financial Studies, vol. 23(5), pages 2139-2183.

    RePEc:inm:ormnsc:v:64:y:2018:i:3:p:1413-1439 is not listed on IDEAS
  21. Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tédongap & Lai Xu, 0. "The Term Structures of Expected Loss and Gain Uncertainty," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 473-501.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 25 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (7) 2015-04-25 2015-10-25 2016-08-07 2018-01-08 2020-06-22 2023-10-02 2024-01-29. Author is listed
  2. NEP-MAC: Macroeconomics (6) 2012-12-15 2013-11-09 2014-05-09 2021-03-29 2022-04-04 2024-06-17. Author is listed
  3. NEP-MON: Monetary Economics (6) 2012-12-15 2013-11-09 2022-04-04 2024-01-29 2024-05-20 2024-08-19. Author is listed
  4. NEP-CBA: Central Banking (5) 2013-11-09 2022-04-04 2024-05-20 2024-06-17 2024-08-19. Author is listed
  5. NEP-FMK: Financial Markets (5) 2014-05-09 2015-10-25 2016-08-07 2018-01-08 2024-06-17. Author is listed
  6. NEP-UPT: Utility Models and Prospect Theory (5) 2009-06-10 2012-05-15 2012-05-22 2015-10-25 2018-01-08. Author is listed
  7. NEP-ECM: Econometrics (4) 2011-11-07 2013-09-28 2017-12-18 2023-08-28
  8. NEP-ORE: Operations Research (4) 2011-11-07 2015-11-15 2017-12-18 2020-06-22
  9. NEP-BAN: Banking (3) 2013-11-09 2023-10-02 2024-06-17
  10. NEP-FDG: Financial Development and Growth (3) 2023-10-02 2024-05-20 2024-06-17
  11. NEP-FOR: Forecasting (3) 2012-10-13 2012-12-15 2013-09-28
  12. NEP-ETS: Econometric Time Series (2) 2011-11-07 2023-08-28
  13. NEP-MST: Market Microstructure (2) 2009-06-10 2012-10-13
  14. NEP-OPM: Open Economy Macroeconomics (2) 2022-04-04 2024-06-17
  15. NEP-BEC: Business Economics (1) 2009-06-10
  16. NEP-CFN: Corporate Finance (1) 2017-12-18
  17. NEP-CSE: Economics of Strategic Management (1) 2016-08-07
  18. NEP-IFN: International Finance (1) 2022-04-04

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