Bruno Feunou

Cited by

	All	Since 2019
Citations	1168	704
h-index	16	13
i10-index	18	16

140

105

200920102011201220132014201520162017201820192020202120222023202412 10 15 26 48 38 56 61 75 95 121 124 115 105 129 108

Public access

View all

2 articles

0 articles

available

not available

Based on funding mandates

Co-authors

Roméo TÉDONGAPESSEC Business School Paris-SingaporeVerified email at essec.edu
Jean-Sébastien FontaineBank of CanadaVerified email at bankofcanada.ca
Mohammad R. Jahan-ParvarFederal Reserve BoardVerified email at frb.gov
Kris JacobsUniversity of HoustonVerified email at bauer.uh.edu
Nour Meddahi Professor of Economics, Toulouse School of EconomicsVerified email at tse-fr.eu
Yoontae JeonAssistant Professor of Finance, McMaster UniversityVerified email at mcmaster.ca
Christian T. LundbladRichard Levin Distinguished Professor of Finance, University of North Carolina, Chapel HillVerified email at unc.edu
Ricardo Lopez AliouchkinSyracuse UniversityVerified email at syr.edu
Abderrahim TaamoutiProfessor of Econometrics at University of Liverpool Management SchoolVerified email at durham.ac.uk
REDOUANE ELKAMHIProfessor of Finance, Rotman School of Management, University of TorontoVerified email at rotman.utoronto.ca
Chayawat OrnthanalaiRotman School of Management, University of TorontoVerified email at rotman.utoronto.ca
Bo Young ChangBank of CanadaVerified email at bankofcanada.ca
Lai XuSyracuse UniversityVerified email at syr.edu
Corey GarriottOffice of Financial Research, U.S. TreasuryVerified email at ofr.treasury.gov
Rodrigo SekkelBank of CanadaVerified email at sekkel.com
Bingxin Ann XingPhD Candidate, ESSEC Business SchoolVerified email at essec.edu
Matteo CacciatoreHEC MontrealVerified email at hec.ca
Galip Kemal OzhanInternational Monetary FundVerified email at imf.org
Guillaume Roussellet, Ph.D.Federal Reserve Bank of New York - McGill University (on leave)Verified email at ny.frb.org
Anh LePenn State University, Smeal College of BusinessVerified email at psu.edu

Bruno Feunou

Bank of Canada

Verified email at bankofcanada.ca - Homepage

Financial Economics Financial Econometrics Econometrics


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Option valuation with conditional heteroskedasticity and nonnormality P Christoffersen, R Elkamhi, B Feunou, K Jacobs The Review of Financial Studies 23 (5), 2139-2183, 2010	198	2010
Downside variance risk premium B Feunou, MR Jahan-Parvar, C Okou Journal of Financial Econometrics 16 (3), 341–383, 2018	173	2018
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation P Christoffersen, B Feunou, K Jacobs, N Meddahi Journal of Financial and Quantitative Analysis 49 (3), 663-697, 2014	164	2014
Modeling market downside volatility B Feunou, MR Jahan-Parvar, R Tédongap Review of Finance 17 (1), 443-481, 2013	114	2013
Good Volatility, Bad Volatility, and Option Pricing B Feunou, C Okou Journal of Financial and Quantitative Analysis 54 (2), 695-727, 2019	58	2019
Which parametric model for conditional skewness? B Feunou, M Jahan-Parvar, R Tedongap The European Journal of Finance 22 (13), 1237-1271, 2016	57	2016
Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty B Feunou, JS Fontaine, A Taamouti, R Tédongap Review of Finance 18 (1), 219-269, 2014	54	2014
A stochastic volatility model with conditional skewness B Feunou, R Tédongap Journal of Business & economic statistics 30 (4), 576-591, 2012	47*	2012
Measuring uncertainty in monetary policy using realized and implied volatility BY Chang, B Feunou Bank of Canada Review 2014 (Spring), 32-41, 2014	46*	2014
Option Valuation with Observable Volatility and Jump Dynamics P Christoffersen, B Feunou, Y Jeon Journal of Banking & Finance 61 (Supplement 2), S101–S120, 2015	42	2015
Loss uncertainty, gain uncertainty, and expected stock returns B Feunou, R Lopez Aliouchkin, R Tédongap, L Xu Roméo and Xu, Lai, Loss Uncertainty, Gain Uncertainty, and Expected Stock …, 2019	34*	2019
Non-Markov Gaussian Term Structure Models: The Case of Inflation B Feunou, JS Fontaine Review of Finance 18 (5), 1953-2001, 2014	28*	2014
Risk‐neutral moment‐based estimation of affine option pricing models B Feunou, C Okou Journal of Applied Econometrics 33 (7), 1007-1025, 2018	25	2018
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity P Christoffersen, B Feunou, Y Jeon, C Ornthanalai Review of Finance, rfaa040, https://doi.org/10.1093/rof/rfaa040, 2020	24*	2020
Tractable term structure models B Feunou, JS Fontaine, A Le, C Lundblad Management Science 68 (11), 8411-8429, 2022	21*	2022
Generalized Affine Models B Feunou, N Meddahi SSRN, 2009	17	2009
Gaussian Term Structure Models and Bond Risk Premia B Feunou, JS Fontaine Management Science 64 (3), 1413-1439, 2018	16*	2018
The implied volatility and skewness surface B Feunou, JS Fontaine, R Tédongap Review of Derivatives Research 20 (2), 167-202, 2017	14*	2017
Secular economic changes and bond yields B Feunou, JS Fontaine Review of Economics and Statistics 105 (2), 408-424, 2023	9	2023
The Impacts of Monetary Policy Statements B Feunou, C Garriott, J Kyeong, R Leiderman Bank of Canada, 2017	6	2017

The system can't perform the operation now. Try again later.

Articles 1–20

Citations per year

Duplicate citations

Merged citations

Add co-authorsCo-authors

Follow

Cited by

Co-authors