10
H index
10
i10 index
408
Citations
Bruno Feunou : Citation Profile
Bank of Canada | RESEARCH PRODUCTION: 22 Articles 35 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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15 years (2009 - 2024). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Bruno Feunou. | Is cited by:
| Cites to:
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Main data
Where Bruno Feunou has published?
| Journals with more than one article published | # docs |
|---|---|
| Review of Finance | 4 |
| Journal of Financial Econometrics | 3 |
| Studies in Nonlinear Dynamics & Econometrics | 2 |
| Journal of Financial and Quantitative Analysis | 2 |
| Journal of Business & Economic Statistics | 2 |
| Journal of Banking & Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Staff Working Papers / Bank of Canada | 20 |
| Staff Analytical Notes / Bank of Canada | 6 |
| Discussion Papers / Bank of Canada | 4 |
Recent works citing Bruno Feunou (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943. Full description at Econpapers || Download paper |
| 2023 | Estimating 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. Full description at Econpapers || Download paper |
| 2023 | International 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. Full description at Econpapers || Download paper |
| 2023 | Monetary 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. Full description at Econpapers || Download paper |
| 2023 | Augmenting 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. Full description at Econpapers || Download paper |
| 2023 | Forecasting 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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2023 | Good 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. Full description at Econpapers || Download paper |
| 2024 | Connectedness across meme assets and sectoral markets: Determinants and portfolio management. (2024). Elsayed, Ahmed ; Billah, Mabruk ; Hoque, Mohammad Enamul ; Alam, Md Kausar. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001091. Full description at Econpapers || Download paper |
| 2024 | Dynamic impacts of multidimensional uncertainty on the renminbi exchange rate: Insights from time-varying analysis. (2024). Li, Hongmei ; Chen, Fengwen ; Wang, Wei ; Lu, Man. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001856. Full description at Econpapers || Download paper |
| 2023 | Pricing 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. Full description at Econpapers || Download paper |
| 2023 | COVID-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. Full description at Econpapers || Download paper |
| 2023 | Does realized skewness predict the cross-section of Chinese stock returns?. (2023). Long, Huaigang ; Jiang, Yuexiang ; Dai, Yiming ; Zaremba, Adam ; Wang, Hui. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007353. Full description at Econpapers || Download paper |
| 2023 | The international integration of the term structure of expected market risk premia. (2023). Vaello-Sebastia, Antoni ; Serrano, Pedro ; Rubio, Gonzalo. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323010504. Full description at Econpapers || Download paper |
| 2024 | Pricing CBOE VIX in non-affine GARCH models with variance risk premium. (2024). Tong, Chen. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001454. Full description at Econpapers || Download paper |
| 2024 | Disentangling the supply and announcement effects of open market operations. (2024). Bulusu, Narayan. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000691. Full description at Econpapers || Download paper |
| 2023 | Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks. (2023). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001117. Full description at Econpapers || Download paper |
| 2023 | Improving 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. Full description at Econpapers || Download paper |
| 2023 | Efficient 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. Full description at Econpapers || Download paper |
| 2023 | Downside 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. Full description at Econpapers || Download paper |
| 2024 | Option pricing revisited: The role of price volatility and dynamics. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000715. Full description at Econpapers || Download paper |
| 2024 | Why do rational investors like variance at the peak of a crisis? A learning-based explanation. (2024). Seo, Sang Byung ; Kilic, Mete ; Ghaderi, Mohammad. In: Journal of Monetary Economics. RePEc:eee:moneco:v:142:y:2024:i:c:s0304393223001009. Full description at Econpapers || Download paper |
| 2024 | Crude oil volatility index forecasting: New evidence based on positive and negative jumps from Chinese stock market. (2024). Wang, LU ; Jiang, Gongyue ; Ma, Xuekun ; Qiao, Gaoxiu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:415-437. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Deep 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. Full description at Econpapers || Download paper |
| 2023 | Volatility 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. Full description at Econpapers || Download paper |
| 2024 | Which implied volatilities contain more information? Evidence from China. (2024). Ni, Zhongxin ; Ji, Yifan ; Wang, Linyu. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1896-1919. Full description at Econpapers || Download paper |
| 2023 | Option 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. Full description at Econpapers || Download paper |
| 2023 | Modeling 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. Full description at Econpapers || Download paper |
| 2023 | Term 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. Full description at Econpapers || Download paper |
| 2023 | VIX 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. Full description at Econpapers || Download paper |
Works by Bruno Feunou:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2009 | Option Valuation with Conditional Heteroskedasticity and Non-Normality In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 77 |
| 2009 | Option Valuation with Conditional Heteroskedasticity and Non-Normality.(2009) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 77 | paper | |
| 2010 | Option Valuation with Conditional Heteroskedasticity and Nonnormality.(2010) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 77 | article | |
| 2014 | Option Valuation with Observable Volatility and Jump Dynamics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 22 |
| 2015 | Option Valuation with Observable Volatility and Jump Dynamics.(2015) In: Staff Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
| 2015 | Option valuation with observable volatility and jump dynamics.(2015) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
| 2014 | Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility In: Bank of Canada Review. [Full Text][Citation analysis] | article | 7 |
| 2022 | Real Exchange Rate Decompositions In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Forecasting Risks to the Canadian Economic Outlook at a Daily Frequency In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | The Neutral Interest Rate: Past, Present and Future In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Deriving Longer-Term Inflation Expectations and Inflation Risk Premium Measures for Canada In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | A Stochastic Volatility Model with Conditional Skewness In: Staff Working Papers. [Full Text][Citation analysis] | paper | 21 |
| 2012 | A Stochastic Volatility Model With Conditional Skewness*.(2012) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
| 2012 | Risk Premium, Variance Premium and the Maturity Structure of Uncertainty In: Staff Working Papers. [Full Text][Citation analysis] | paper | 26 |
| 2011 | Risk premium, variance premium and the maturity structure of uncertainty.(2011) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2014 | Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty.(2014) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | article | |
| 2012 | The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation In: Staff Working Papers. [Full Text][Citation analysis] | paper | 70 |
| 2014 | The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation.(2014) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | article | |
| 2012 | Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields In: Staff Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Which Parametric Model for Conditional Skewness? In: Staff Working Papers. [Full Text][Citation analysis] | paper | 18 |
| 2016 | Which parametric model for conditional skewness?.(2016) In: The European Journal of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2013 | Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility In: Staff Working Papers. [Full Text][Citation analysis] | paper | 18 |
| 2014 | Bond Risk Premia and Gaussian Term Structure Models In: Staff Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Fourier Inversion Formulas for Multiple-Asset Option Pricing In: Staff Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2015 | Fourier inversion formulas for multiple-asset option pricing.(2015) In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2015 | Downside Variance Risk Premium In: Staff Working Papers. [Full Text][Citation analysis] | paper | 49 |
| 2015 | Downside Variance Risk Premium.(2015) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 49 | paper | |
| 2018 | Downside Variance Risk Premium.(2018) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 49 | article | |
| 2015 | Tractable Term Structure Models In: Staff Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 2022 | Tractable Term Structure Models.(2022) In: Management Science. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2016 | Time-Varying Crash Risk: The Role of Stock Market Liquidity In: Staff Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2017 | Good Volatility, Bad Volatility and Option Pricing In: Staff Working Papers. [Full Text][Citation analysis] | paper | 18 |
| 2019 | Good Volatility, Bad Volatility, and Option Pricing.(2019) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2017 | Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Variance Premium, Downside Risk and Expected Stock Returns In: Staff Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2020 | The Term Structures of Loss and Gain Uncertainty In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Debt-Secular Economic Changes and Bond Yields In: Staff Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2023 | Generalized Autoregressive Gamma Processes In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Foreign Flows and Their Effects on Government of Canada Yields In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2017 | The Impacts of Monetary Policy Statements In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Markets Look Beyond the Headline In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Does US or Canadian Macro News Drive Canadian Bond Yields? In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2019 | The Secular Decline of Forecasted Interest Rates In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Finding the balance—measuring risks to inflation and to GDP growth In: Staff Analytical Notes. [Full Text][Citation analysis] | paper | 0 |
| 2021 | What model for the target rate In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2024 | U.S. macroeconomic news and low-frequency changes in bond yields in Canada, Sweden and the U.K. In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
| 2018 | Bond Risk Premia and Gaussian Term Structure Models In: Management Science. [Full Text][Citation analysis] | article | 6 |
| 2017 | Implied volatility and skewness surface In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 1 |
| 2020 | The Term Structures of Expected Loss and Gain Uncertainty* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
| The Term Structures of Expected Loss and Gain Uncertainty*.() In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | ||
| 2013 | Modeling Market Downside Volatility In: Review of Finance. [Full Text][Citation analysis] | article | 47 |
| 2014 | Non-Markov Gaussian Term Structure Models: The Case of Inflation In: Review of Finance. [Full Text][Citation analysis] | article | 1 |
| 2021 | Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* In: Review of Finance. [Full Text][Citation analysis] | article | 2 |
| 2024 | Generalized Autoregressive Positive-valued Processes In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 2023 | Secular Economic Changes and Bond Yields In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team