Bruno Feunou - Central Bank Research Hub

Papers by year: All | 2016 | 2015 | 2012 | 2011 | 2009

Title Other author(s)

Time-Varying Crash Risk: The Role of Stock Market Liquidity

Bank of Canada Working papers [View] (Paper: 2016-35, 22.07.2016)

JEL: G01, G12

Tractable Term-Structure Models and the Zero Lower Bound

Bank of Canada Working papers [View] (Paper: 2015-46, 14.12.2015)

JEL: G12

Option Valuation with Observable Volatility and Jump Dynamics

Bank of Canada Working papers [View] (Paper: 2015-39, 07.11.2015)

JEL: G1, G12

Downside Variance Risk Premium

Bank of Canada Working papers [View] (Paper: 2015-36, 22.10.2015)

JEL: G1, G12

Downside Variance Risk Premium

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2015-020, 13.04.2015)

JEL: G12

Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields

Bank of Canada Working papers [View] (Paper: 2012-37, 15.11.2012)

The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

Bank of Canada Working papers [View] (Paper: 2012-34, 08.10.2012)

Risk Premium, Variance Premium and the Maturity Structure of Uncertainty

Bank of Canada Working papers [View] (Paper: 2012-11, 04.04.2012)

JEL: G12, G13

A Stochastic Volatility Model with Conditional Skewness

Bank of Canada Working papers [View] (Paper: 2011-20, 08.10.2011)

The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness

Bank of Canada Working papers [View] (Paper: 2009-20, 11.06.2009)

JEL: G12, G13

Papers by year: All | 2016 | 2015 | 2012 | 2011 | 2009