Zobrazeno 1 - 10
of 39
pro vyhledávání: '"Bruno Feunou"'
Autor:
Jean-Sébastien Fontaine, Bruno Feunou
Publikováno v:
The Review of Economics and Statistics. 105:408-424
We build a model of bond yields in an economy with secular changes to inflation, real rate, and output growth. Long-run restrictions identify nominal shocks that do not influence the long-run real rate and output growth. Before the anchoring of infla
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a61db3b32cf0bce43086dceb0b35aee5
https://doi.org/10.1162/rest_a_01034
https://doi.org/10.1162/rest_a_01034
Publikováno v:
Management Science. 68:8411-8429
We introduce a new framework that facilitates term structure modeling with both positive interest rates and flexible time series dynamics but that is also tractable, meaning amenable to quick and robust estimation. Using both simulations and U.S. his
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b87c9c8c1f5508c86caf196bfc01e1d5
https://doi.org/10.1287/mnsc.2021.4214
https://doi.org/10.1287/mnsc.2021.4214
Publikováno v:
Journal of Financial Econometrics. 18:473-501
We document that the term structures of risk-neutral expected loss and gain uncertainty on S&P 500 returns are upward sloping on average. These shapes mainly reflect the higher premium required by investors to hedge downside risk and the belief that
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ca5dd48f962ec1fe85cf3c6ee1cbca7f
https://doi.org/10.1093/jjfinec/nbaa010
https://doi.org/10.1093/jjfinec/nbaa010
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5a1daa1b64aebf652e9aea09c09556d2
https://doi.org/10.2139/ssrn.4093286
https://doi.org/10.2139/ssrn.4093286
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::08e8a1d6e262f5de93b6b20c1fe16a43
https://doi.org/10.2139/ssrn.3988436
https://doi.org/10.2139/ssrn.3988436
Autor:
Bruno Feunou
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ba893e0aab17ae851078a6c3f1f74310
https://doi.org/10.2139/ssrn.3988439
https://doi.org/10.2139/ssrn.3988439
Publikováno v:
Review of Finance.
We estimate a continuous-time model for the stock market index where the stochastic volatility and crash probability depend on the realized spot variance and the stock market illiquidity. We find that market illiquidity is a useful economic covariate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c469f87b6b83320236b8609aab7ab81a
https://doi.org/10.1093/rof/rfaa040
https://doi.org/10.1093/rof/rfaa040
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics. 25
The Federal Reserve target rate has a lower bound. Changes to the target rate occur with discrete increments. Using out-of-sample forecasts of the target rate, we evaluate models incorporating these two realistic non-linear features. Incorporating th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2bc75a44494ed8910174822abd0f5bb2
https://doi.org/10.1515/snde-2019-0005
https://doi.org/10.1515/snde-2019-0005
Autor:
Bruno Feunou, Cedric Okou
Publikováno v:
Journal of Financial and Quantitative Analysis. 54:695-727
Advances in variance analysis permit to split the total quadratic variation of a jump-diffusion process into upside and downside components, commonly referred to as good and bad volatilities. This decomposition yields enhanced volatility predictions
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::64c4d64c174dc3dd57bd80d929333320
https://doi.org/10.1017/s0022109018000777
https://doi.org/10.1017/s0022109018000777
Autor:
Bruno Feunou, Jean-Sébastien Fontaine
Publikováno v:
Management Science. 64:1413-1439
Existing results show that (i) lagged forward rates help predict bond returns and (ii) modern Markovian dynamic term structure models (DTSMs) cannot match the evidence [Cochrane JH, Piazzesi M (2005) Bond risk premia. Amer. Econom. Rev. 95(1):138–1
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::688511db320c6d881a7b5dd2da798c7a
https://doi.org/10.1287/mnsc.2016.2602
https://doi.org/10.1287/mnsc.2016.2602