Jean-Sébastien Fontaine - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T09:24:56+00:00Bond Liquidity Premia
https://www.bankofcanada.ca/2009/10/working-paper-2009-28/
Recent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key funding market. Then, the premium of on-the-run U.S. Treasury bonds should share a common component with risk premia in other markets.2009-10-15T14:22:56+00:00enBond Liquidity Premia2009-10-15Financial marketsFinancial stabilityWorking Paper 2009-28 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-28.pdfBond Liquidity PremiaJean-Sébastien FontaineRené GarciaOctober 2009EE4E43HH1H12The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
https://www.bankofcanada.ca/2009/06/working-paper-2009-20/
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.2009-06-12T15:23:44+00:00enThe Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness2009-06-12Financial marketsWorking Paper 2009-20 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-20.pdfThe Equity Premium and the Volatility Spread: The Role of Risk-Neutral SkewnessBruno FeunouJean-Sébastien FontaineRoméo TedongapJune 2009GG1G12G13