Bruno Feunou

Senior Analyst

Bruno Feunou is a Senior Analyst 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.


Bruno Feunou

Senior Analyst
Financial Markets
Monetary Policy Analysis and Research

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


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.

The Impacts of Monetary Policy Statements

Staff Analytical Note 2017-22 Bruno Feunou, Corey Garriott, James Kyeong, Raisa Leiderman
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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Refereed Journals

  • Fourier Inversion Formulas for Multiple-Asset Option Pricing,”
    (with Ernest Tafalong), Studies in Nonlinear Dynamics & Econometrics, December 2015, Volume 19, Issue 5, Pages 531-559
  • “Option Valuation with Observable Volatility and Jump Dynamics,”
    (with Peter Christoffersen and Jeon Yoontae), Journal of Banking & Finance (Forthcoming).
  • “Bond Risk Premia and Gaussian Term Structure Models,”
    (with Jean-Sébastien Fontaine), Management Science (Forthcoming).
  • Which Parametric Model for Conditional Skewness?,”
    (with Mohammad R. Jahan-Parvar, Roméo Tedongap), European Journal of Finance, 2014. Vol. 22, Issue: 13, 1237-1271
  • “A Stochastic Volatility Model with Conditional Skewness,”
    (with Romeo Tedongap), Journal of Business and Economic Statistics (2012) 30(4), 576-591.
  • “Option Valuation with Conditional Heteroskedasticity and Non-Normality,” 2010,
    (with Peter Christoffersen, Redouane Elkamhi, Kris Jacobs). Review of Financial Studies. 23: 2139-2183.
  • “A No-Arbitrage VARMA Term Structure Model with Macroeconomic Variables,” June 2009. Revise and resubmit at the Journal of Econometrics.
  • “Modeling Market Downside Volatility,”
    (with Jahan-Parvar Mohammad and Romeo Tedongap), Review of Finance, Forthcoming.

Other Publications

Working Papers

  • Generalized Affine Models, June 2009,
    (with Nour Meddahi).
  • Equity Premium and the Maturity Structure of Uncertainty, July 2010,
    (with Romeo Tedongap, Jean-Sebastien Fontaine and Abderahim Taamouti).
  • The Economic Value of Realized Volatility, November 2009,
    (with Peter Christoffersen, Kris Jacobs and Nour Meddahi). Presented at the ESWC 2010.
  • Discrete Choice Term Structure Models: Theory and Applications, August 2010,
    (with Jean-Sebastien Fontaine). Presented at the 2010 NBER-NSF Time Series conference.
  • Pricing multiple conditions contingent claim, August 2010,
    (with Ernest Tafolon).


  • 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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