Roméo Tedongap - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T07:22:03+00:00The Term Structures of Loss and Gain Uncertainty
https://www.bankofcanada.ca/2020/06/staff-working-paper-2020-19/
We investigate the uncertainty around stock returns at different investment horizons. Since a return is either a loss or a gain, we categorize return uncertainty into two components—loss uncertainty and gain uncertainty. We then use these components to evaluate investment.2020-06-05T10:41:44+00:00enThe Term Structures of Loss and Gain Uncertainty2020-06-05Asset pricingEconometric and statistical methodsStaff Working Paper 2020-19https://www.bankofcanada.ca/wp-content/uploads/2020/06/swp2020-19.pdfStaff Working Paper 2020-19Bruno FeunouRicardo Lopez AliouchkinRoméo TedongapLai XuJune 2020GG1G12Variance Premium, Downside Risk and Expected Stock Returns
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-58/
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.2017-12-19T14:27:16+00:00enVariance Premium, Downside Risk and Expected Stock Returns2017-12-19Asset pricingFinancial marketsStaff Working Paper 2017-58https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-58.pdfVariance Premium, Downside Risk and Expected Stock ReturnsBruno FeunouRicardo Lopez AliouchkinRoméo TedongapLai XiDecember 2017GG1G12Which Parametric Model for Conditional Skewness?
https://www.bankofcanada.ca/2013/09/working-paper-2013-32/
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.2013-09-06T09:08:40+00:00enWhich Parametric Model for Conditional Skewness?2013-09-06Econometric and statistical methodsWorking Paper 2013-32 https://www.bankofcanada.ca/wp-content/uploads/2013/09/wp2013-32.pdfWhich Parametric Model for Conditional Skewness?Bruno FeunouMohammad R. Jahan-ParvarRoméo TedongapSeptember 2013CC2C22C5C51GG1G12G15Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
https://www.bankofcanada.ca/2012/04/working-paper-2012-11/
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.2012-04-03T14:43:45+00:00enRisk Premium, Variance Premium and the Maturity Structure of Uncertainty2012-04-03Asset pricingFinancial servicesWorking Paper 2012-11https://www.bankofcanada.ca/wp-content/uploads/2012/04/wp2012-11.pdfRisk Premium, Variance Premium and the Maturity Structure of UncertaintyBruno FeunouJean-Sébastien FontaineAbderrahim TaamoutiRoméo TedongapMarch 2012GG1G12G13A Stochastic Volatility Model with Conditional Skewness
https://www.bankofcanada.ca/2011/10/working-paper-2011-20/
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.2011-10-07T10:34:48+00:00enA Stochastic Volatility Model with Conditional Skewness2011-10-07Asset pricingEconometric and statistical methodsWorking Paper 2011-20https://www.bankofcanada.ca/wp-content/uploads/2011/10/wp2011-20.pdfA Stochastic Volatility Model with Conditional SkewnessBruno FeunouRoméo TedongapOctober 2011CC1C5GG1G12The 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