Bruno Feunou

Principal Researcher

Bruno Feunou is a Principal Researcher at the Bank of Canada’s Financial Markets Department. Before this position at the Bank of Canada, he worked at Duke University as a post-doc associate. He completed his Ph.D-Degree at the University of Montreal. During his thesis, he was supported by several Grants including IFM2, Banque Laurentienne, CIREQ and CREST. He also studied Mathematics and Statistics at several universities in Africa including the University of Dschang, Yaoundé I, ISSEA of Yaoundé and ENSEA of Abidjan. In these studies, he was supported by a grant from the European Union to study Statistics and Econometrics.

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Bruno Feunou

Principal Researcher
Financial Markets
Monetary Policy Analysis and Research

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9

Latest

Which Model to Forecast the Target Rate?

Staff Working Paper 2017-60 Bruno Feunou, Jean-Sébastien Fontaine, Jianjian Jin
Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets, Interest rates JEL Code(s): E, E4, E43

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

Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models

Staff Working Paper 2017-55 Bruno Feunou, Cédric Okou
This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of option prices and exploit linear relationships between risk-neutral cumulants and latent factors within the continuous time affine stochastic volatility framework.

Good Volatility, Bad Volatility and Option Pricing

Staff Working Paper 2017-52 Bruno Feunou, Cédric Okou
Advances in variance analysis permit the splitting of the total quadratic variation of a jump diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions, and highlight the upside/downside variance spread as a driver of the asymmetry in stock price distributions.

November 24, 2017 The Impacts of Monetary Policy Statements

In this note, we find that market participants react to an unexpected change in the tone of Canadian monetary policy statements.

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Other

Refereed Journals:

Other Articles/Policy notes

Education

  • PhD, Economics, University of Montreal, Canada
  • ISE, Statistics and Econometrics, ENSEA ABIDJAN, Cote d’Ivoire
  • BA, Mathematics, University of Yaounde, Cameroon.

Research Interests

  • Conditional Higher moments
  • Conditional characteristic function modeling and application in derivatives evaluation
  • Term structure of interest rates
  • Cross-sectional asset pricing

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