Roméo Tedongap

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Variance Premium, Downside Risk and Expected Stock Returns

We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Financial markets JEL Code(s): G, G1, G12

Which Parametric Model for Conditional Skewness?

Staff Working Paper 2013-32 Bruno Feunou, Mohammad R. Jahan-Parvar, Roméo Tedongap
This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C51, G, G1, G12, G15

Risk Premium, Variance Premium and the Maturity Structure of Uncertainty

Expected returns vary when investors face time-varying investment opportunities. Long-run risk models (Bansal and Yaron 2004) and no-arbitrage affine models (Duffie, Pan, and Singleton 2000) emphasize sources of risk that are not observable to the econometrician.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Financial services JEL Code(s): G, G1, G12, G13

A Stochastic Volatility Model with Conditional Skewness

Staff Working Paper 2011-20 Bruno Feunou, Roméo Tedongap
We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way.

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

Staff Working Paper 2009-20 Bruno Feunou, Jean-Sébastien Fontaine, Roméo Tedongap
We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk premium and of skewness.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets JEL Code(s): G, G1, G12, G13

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