10
H index
10
i10 index
430
Citations
Bruno Feunou : Citation Profile
Bank of Canada | RESEARCH PRODUCTION: 23 Articles 36 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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16 years (2009 - 2025). 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 |
| Journal of Business & Economic Statistics | 2 |
| Studies in Nonlinear Dynamics & Econometrics | 2 |
| Journal of Financial and Quantitative Analysis | 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 | 7 |
| Discussion Papers / Bank of Canada | 4 |
Recent works citing Bruno Feunou (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2025 | 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 |
| 2024 | Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658. Full description at Econpapers || Download paper |
| 2024 | Modeling Conditional Factor Risk Premia Implied by Index Option Returns. (2024). Orowski, Piotr ; Jacobs, Kris ; Fournier, Mathieu. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:2289-2338. Full description at Econpapers || Download paper |
| 2025 | Event-Driven Changes in Volatility Connectedness in Global Forex Markets. (2025). Kočenda, Evžen ; Koenda, Even ; Albrecht, Peter. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11606. Full description at Econpapers || Download paper |
| 2025 | Event-Driven Changes in Return Connectedness Among Cryptocurrencies. (2025). Kočenda, Evžen ; Koenda, Even ; Albrecht, Peter. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11658. Full description at Econpapers || Download paper |
| 2024 | Forecasting crude oil volatility and stock volatility: New evidence from the quantile autoregressive model. (2024). Chen, Yan ; Zhang, Lei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001608. Full description at Econpapers || Download paper |
| 2024 | Estimating option pricing models using a characteristic function-based linear state space representation. (2024). Laeven, Roger ; Vladimirov, Evgenii ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002094. 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 |
| 2024 | Understanding climate policy uncertainty: Evidence from temporal and spatial domains. (2024). Yin, Libo ; Cao, Hong. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924004149. Full description at Econpapers || Download paper |
| 2024 | Monetary policy uncertainty and green investment decisions: A cross-national spillover perspective. (2024). Jiang, Yong ; Klein, Tony ; Ren, Yi-Shuai. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s105752192400574x. Full description at Econpapers || Download paper |
| 2024 | Impact of crude oil price innovations on global stock market volatility: Evidence across time and space. (2024). Xin, YU ; Cao, Hong ; Yin, Libo. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006173. 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 |
| 2024 | Asymmetric Higher-Moment spillovers between sustainable and traditional investments. (2024). Hamori, Shigeyuki ; He, Xie. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001446. Full description at Econpapers || Download paper |
| 2024 | Pandemic tail risk. (2024). Marfe, Roberto ; Corvino, Raffaele ; Breugem, Matthijs ; Schonleber, Lorenzo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:167:y:2024:i:c:s0378426624001717. 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 |
| 2024 | The football world upside down: Traditional equities as an alternative for the new fan tokens? A portfolio optimization study. (2024). Esparcia, Carlos ; Diaz, Antonio. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002897. Full description at Econpapers || Download paper |
| 2025 | Prediction and Allocation of Stocks, Bonds, and REITs in the US Market. (2025). Silva, Nuno ; Monteiro, Ana Sofia ; Sebastiao, Helder. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10589-2. Full description at Econpapers || Download paper |
| 2025 | Event-Driven Changes in Return Connectedness among Cryptocurrencies. (2025). Kocenda, Evzen ; Albrecht, Peter. In: KIER Working Papers. RePEc:kyo:wpaper:1113. Full description at Econpapers || Download paper |
| 2024 | Model-free and Model-based connectedness in highly, medium and lowly correlated financial returns: analyses of OECD inflations. (2024). YAYA, OLAOLUWA ; Gil-Alana, Luis ; Vo, Xuan Vinh ; Adesina, Oluwaseun A. In: MPRA Paper. RePEc:pra:mprapa:123108. Full description at Econpapers || Download paper |
| 2024 | Price dynamics and volatility jumps in bitcoin options. (2024). Yang, Jimmy J ; Chen, Kuo Shing. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00653-z. 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 |
| 2025 | . 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 | 23 |
| 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: 23 | 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: 23 | article | |
| 2014 | Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility In: Bank of Canada Review. [Full Text][Citation analysis] | article | 8 |
| 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 | 71 |
| 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: 71 | 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 | 19 |
| 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: 19 | article | |
| 2013 | Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility In: Staff Working Papers. [Full Text][Citation analysis] | paper | 19 |
| 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 | 51 |
| 2015 | Downside Variance Risk Premium.(2015) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | paper | |
| 2018 | Downside Variance Risk Premium.(2018) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | 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 | 26 |
| 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: 26 | article | |
| 2017 | Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models In: Staff Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2018 | Risk‐neutral moment‐based estimation of affine option pricing models.(2018) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2017 | Variance Premium, Downside Risk and Expected Stock Returns In: Staff Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 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 |
| 2025 | Estimating the inflation risk premium 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 | 48 |
| 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 |
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