Bruno Feunou : Citation Profile


Are you Bruno Feunou?

Bank of Canada

10

H index

10

i10 index

377

Citations

RESEARCH PRODUCTION:

21

Articles

32

Papers

RESEARCH ACTIVITY:

   14 years (2009 - 2023). See details.
   Cites by year: 26
   Journals where Bruno Feunou has often published
   Relations with other researchers
   Recent citing documents: 20.    Total self citations: 23 (5.75 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfe411
   Updated: 2024-01-16    RAS profile: 2023-03-17    
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Relations with other researchers


Works with:

Fontaine, Jean-Sebastien (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with Bruno Feunou.

Is cited by:

Stentoft, Lars (24)

Jahan-Parvar, Mohammad (16)

Rombouts, Jeroen (10)

Baruník, Jozef (9)

Kočenda, Evžen (8)

Wang, Yudong (8)

Wang, Tianyi (7)

Papantonis, Ioannis (6)

Vacha, Lukas (6)

Violante, Francesco (6)

Ielpo, Florian (6)

Cites to:

Bollerslev, Tim (42)

Andersen, Torben (30)

Wu, Liuren (22)

Piazzesi, Monika (19)

Diebold, Francis (19)

Singleton, Kenneth (18)

Campbell, John (16)

Ang, Andrew (15)

Cao, Charles (15)

Chen, Zhiwu (15)

Monfort, Alain (13)

Main data


Where Bruno Feunou has published?


Journals with more than one article published# docs
Review of Finance4
The Journal of Financial Econometrics3
Journal of Financial and Quantitative Analysis2
Studies in Nonlinear Dynamics & Econometrics2

Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada19
Staff Analytical Notes / Bank of Canada6
Discussion Papers / Bank of Canada2

Recent works citing Bruno Feunou (2024 and 2023)


YearTitle of citing document
2023Estimating the Slope of the Demand Function at Auctions for Government of Canada Bonds. (2023). Chang, Bo Young. In: Discussion Papers. RePEc:bca:bocadp:23-12.

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2023International Yield Curves and Currency Puzzles. (2023). Creal, Drew ; Chernov, Mikhail. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:209-245.

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2023Monetary Policy Uncertainty and Inflation Expectations. (2023). Blagov, Boris ; Arcealfaro, Gabriel. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:1:p:70-94.

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2023Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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2023Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Good volatility, bad volatility, and the cross section of cryptocurrency returns. (2023). Zhao, Ran ; Zhang, Zehua. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002284.

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2023Pricing VIX futures: A framework with random level shifts. (2023). Wang, Tianyi ; Feng, Jianfen ; Chen, Xiaoyi. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006778.

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2023COVID-19 Government restriction policy, COVID-19 vaccination and stock markets: Evidence from a global perspective. (2023). Xiao, Kaitian ; Yu, Xiaoling. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000430.

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2023Improving variance forecasts: The role of Realized Variance features. (2023). Papantonis, Ioannis ; Tzavalis, Elias ; Rompolis, Leonidas. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237.

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2023Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants. (2023). Lutkebohmert, Eva ; Gonzato, Luca ; Brignone, Riccardo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003259.

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2023Downside variance premium, firm fundamentals, and expected corporate bond returns. (2023). Li, Junye ; Jiang, Liang ; Huang, Tao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001516.

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2023.

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2023Deep Equal Risk Pricing of Financial Derivatives with Non-Translation Invariant Risk Measures. (2023). Godin, Frederic ; Carbonneau, Alexandre. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:8:p:140-:d:1208530.

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2023Volatility Puzzle: Long Memory or Antipersistency. (2023). Yu, Jun ; Shi, Shuping. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:7:p:3861-3883.

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2023Option pricing with overnight and intraday volatility. (2023). Du, Lingshan ; Liang, Fang ; Huang, Zhuo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1576-1614.

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2023Industry variance risk premium, cross?industry correlation, and expected returns. (2023). Xu, QI ; Luo, Xingguo ; Zhu, Yabei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:1:p:3-32.

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2023Modeling skewness in portfolio choice. (2023). Markellos, Raphael ; Kourtis, Apostolos ; Le, Trung H. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:734-770.

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2023Term spreads of implied volatility smirk and variance risk premium. (2023). Zhang, Jin E ; Gehricke, Sebastian A ; Ruan, Xinfeng ; Guo, Wei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:829-857.

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2023VIX futures pricing based on high?frequency VIX: A hybrid approach combining SVR with parametric models. (2023). Jiang, Gongyue ; Qiao, Gaoxiu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1238-1260.

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Works by Bruno Feunou:


YearTitleTypeCited
2009Option Valuation with Conditional Heteroskedasticity and Non-Normality In: CREATES Research Papers.
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paper73
2009Option Valuation with Conditional Heteroskedasticity and Non-Normality.(2009) In: CIRANO Working Papers.
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This paper has nother version. Agregated cites: 73
paper
2010Option Valuation with Conditional Heteroskedasticity and Nonnormality.(2010) In: Review of Financial Studies.
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This paper has nother version. Agregated cites: 73
article
2014Option Valuation with Observable Volatility and Jump Dynamics In: CREATES Research Papers.
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paper18
2015Option Valuation with Observable Volatility and Jump Dynamics.(2015) In: Staff Working Papers.
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This paper has nother version. Agregated cites: 18
paper
2015Option valuation with observable volatility and jump dynamics.(2015) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 18
article
2014Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility In: Bank of Canada Review.
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article7
2022Real Exchange Rate Decompositions In: Discussion Papers.
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paper0
2023Forecasting Risks to the Canadian Economic Outlook at a Daily Frequency In: Discussion Papers.
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paper0
2009Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness In: Staff Working Papers.
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paper0
2011A Stochastic Volatility Model with Conditional Skewness In: Staff Working Papers.
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paper19
2012A Stochastic Volatility Model With Conditional Skewness*.(2012) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 19
article
2012Risk Premium, Variance Premium and the Maturity Structure of Uncertainty In: Staff Working Papers.
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paper25
2011Risk premium, variance premium and the maturity structure of uncertainty.(2011) In: UC3M Working papers. Economics.
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This paper has nother version. Agregated cites: 25
paper
2014Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty.(2014) In: Review of Finance.
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This paper has nother version. Agregated cites: 25
article
2012The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation In: Staff Working Papers.
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paper65
2014The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation.(2014) In: Journal of Financial and Quantitative Analysis.
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This paper has nother version. Agregated cites: 65
article
2012Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields In: Staff Working Papers.
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paper2
2013Which Parametric Model for Conditional Skewness? In: Staff Working Papers.
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paper15
2016Which parametric model for conditional skewness?.(2016) In: The European Journal of Finance.
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This paper has nother version. Agregated cites: 15
article
2013Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility In: Staff Working Papers.
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paper16
2014Bond Risk Premia and Gaussian Term Structure Models In: Staff Working Papers.
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paper1
2015Fourier Inversion Formulas for Multiple-Asset Option Pricing In: Staff Working Papers.
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paper2
2015Fourier inversion formulas for multiple-asset option pricing.(2015) In: Studies in Nonlinear Dynamics & Econometrics.
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This paper has nother version. Agregated cites: 2
article
2015Downside Variance Risk Premium In: Staff Working Papers.
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paper45
2015Downside Variance Risk Premium.(2015) In: Finance and Economics Discussion Series.
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This paper has nother version. Agregated cites: 45
paper
2018Downside Variance Risk Premium.(2018) In: The Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 45
article
2015Tractable Term Structure Models In: Staff Working Papers.
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paper8
2022Tractable Term Structure Models.(2022) In: Management Science.
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This paper has nother version. Agregated cites: 8
article
2016Time-Varying Crash Risk: The Role of Stock Market Liquidity In: Staff Working Papers.
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paper4
2017Good Volatility, Bad Volatility and Option Pricing In: Staff Working Papers.
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paper15
2019Good Volatility, Bad Volatility, and Option Pricing.(2019) In: Journal of Financial and Quantitative Analysis.
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This paper has nother version. Agregated cites: 15
article
2017Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models In: Staff Working Papers.
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paper3
2018Risk?neutral moment?based estimation of affine option pricing models.(2018) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 3
article
2017Variance Premium, Downside Risk and Expected Stock Returns In: Staff Working Papers.
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paper6
2020The Term Structures of Loss and Gain Uncertainty In: Staff Working Papers.
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paper0
2021Debt-Secular Economic Changes and Bond Yields In: Staff Working Papers.
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paper1
2023Generalized Autoregressive Gamma Processes In: Staff Working Papers.
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paper0
2015Foreign Flows and Their Effects on Government of Canada Yields In: Staff Analytical Notes.
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paper0
2017The Impacts of Monetary Policy Statements In: Staff Analytical Notes.
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paper0
2018Markets Look Beyond the Headline In: Staff Analytical Notes.
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paper0
2018Does US or Canadian Macro News Drive Canadian Bond Yields? In: Staff Analytical Notes.
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paper0
2019The Secular Decline of Forecasted Interest Rates In: Staff Analytical Notes.
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paper0
2023Finding the balance—measuring risks to inflation and to GDP growth In: Staff Analytical Notes.
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paper0
2021What model for the target rate In: Studies in Nonlinear Dynamics & Econometrics.
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article0
2018Bond Risk Premia and Gaussian Term Structure Models In: Management Science.
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article5
2017Implied volatility and skewness surface In: Review of Derivatives Research.
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article1
2020The Term Structures of Expected Loss and Gain Uncertainty* In: The Journal of Financial Econometrics.
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article0
The Term Structures of Expected Loss and Gain Uncertainty*.() In: The Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 0
article
2013Modeling Market Downside Volatility In: Review of Finance.
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article45
2014Non-Markov Gaussian Term Structure Models: The Case of Inflation In: Review of Finance.
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article1
2021Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* In: Review of Finance.
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article0
2023Secular Economic Changes and Bond Yields In: The Review of Economics and Statistics.
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article0

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