BRUNO FEUNOU

Bank of Canada Financial Markets Department

*** ********** ****** ****** ** K1A 0G9 Canada

Office: +1-613-***-**** Email: abql1w@r.postjobfree.com

Homepage: http://kamkui.net/

EDUCATION

Ph.D. in Economics, Universit de Montr al, Canada, July 2009.

Ing nieur Statisticien conomiste, ENSEA d Abidjan, Ivory Coast, June 2003.

Bachelor s in Mathematics, University of Yaound, Cameroon, June 2000.

FIELDS OF SPECIALIZATION

Financial Economics, Econometrics, Statistics.

PH.D. DISSERTATION

Title: Affine and Generalized Affine models: Theory and Financial Applications.

Adviser: Nour Meddahi, Toulouse School of Economics, France.

Co-adviser: Ren Garcia, EDHEC Business School, France.

Committee:

Examiner: Christian Gouri roux, University of Toronto, Canada.

Member: Peter Christoffersen, University of Toronto, Canada.

PROFESSIONAL ACTIVITIES

Senior Analyst, Financial Markets Department, Bank of Canada, June 2011-Present.

Postdoctoral Associate, Duke University, United States, July 2008-May 2011.

Lecturer, Duke University, United States, Spring 2009, Spring 2010.

Teaching Assistant, Universit de Montr al, Canada, Fall 2005, Winter 2006.

Research Assistant, CIRANO and CIREQ, Montreal, Canada, 2004-2006.

Internship, UN-ECA, Addis Ababa, Ethiopia, Summer 2002.

ARTICLES IN REFEREED JOURNALS

Equity Premium and the Maturity Structure of Uncertainty, Jul 2012, with Jean-Sebastien

Fontaine, Abderahim Taamouti and Romeo Tedongap. Presented at the SoFiE 2012. Review

of Finance, Forthcoming.

The Economic Value of Realized Volatility: Using High-Frequency Returns for Option

Valuation, Nov 2009, with Peter Christoffersen, Kris Jacobs and Nour Meddahi. Presented at

the ESWC 2010, SoFiE 2011, NFA 2012, AFA 2013. Journal of Financial and

Quantitative Analysis, Forthcoming.

A Stochastic Volatility Model with Conditional Skewness, October 2012, with Romeo

Tedongap. Journal of Business and Economic Statistics, 30:4, 576-591.

Modeling Market Downside Volatility, 2013, with Jahan-Parvar Mohammad and Romeo

Tedongap. Review of Finance, 17(1): 443-481.

Option Valuation with Conditional Heteroskedasticity and Non-Normality, 2010, with Peter

Christoffersen, Redouane Elkamhi, Kris Jacobs. Review of Financial Studies. 23: 2139-2183.

ARTICLES IN REVISION IN REFEREED JOURNALS

A No-Arbitrage VARMA Term Structure Model with Macroeconomic Variables, June

2009, with Jean-Sebastien Fontaine. Revise and resubmit at the Journal of Econometrics.

WORKING PAPERS

Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields, September

2012, with Jean-Sebastien Fontaine.

Which model for conditional skewness? Oct 2011, with Jahan-Parvar Mohammad and Romeo

Tedongap.

Discrete Choice Term Structure Models: Theory and Applications, Aug 2010, with Jean-

Sebastien Fontaine. Presented at the 2010 NBER-NSF Time Series conference.

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Pricing multiple conditions contingent claim, Aug 2010, with Ernest Tafolon.

Implied Volatility and Skewness Surface, June 2009, with Romeo Tedongap and Jean-

Sebastien Fontaine. Presented at the EFA 2009.

Generalized Affine Models, June 2009, with Nour Meddahi.

FELLOWSHIPS, SCOLARSHIPS AND AWARDS

Honours list of the dean of the faculty of graduate and postdoctoral studies of Montreal

University, 2009-2010.

Research Fellowship, CREST, Paris, France, 2007.

Research Fellowship, IFM2, Canada, 2006-2008.

Research Fellowship, Banque Laurentienne, Canada, 2005-2006.

Ph.D. Fellowship, CIREQ, Universit de Montr al, Canada, 2003-2006.

Scholarship, European Union, ENSEA, Abidjan, Ivory Coast, 2000-2003.

Scholarship, Ministry of Finance, ISSEA, Yaounde, Cameroon, 1998-2000.

Fellowship, Ministry of Higher Education, University of Dschang, Cameroon, 1997.

VISITING

1-Bank of Canada, May 2010. 2-Stockholm School of Economics, May 2009. 3-Toulouse School of

Economics, May 2007, May 2009. 4-CREST, Paris, 2007. 5-Imperial College London, 2006.

REFEREEING FOR JOURNALS

Journal of Applied Econometrics, Journal of Econometrics, Quantitative Finance, The IFAC journal

Automatica, Journal of Empirical Finance, International Journal of Financial Markets & Derivatives,

Revue Economique, The Financial Review, Journal of Business and Economic Statistics, Annales

d'Economie et de Statistique, The European Journal of Finance, Studies in Nonlinear Dynamics &

Econometrics.

COURSES TAUGHT

1-Junior Research Seminar, Spring 2009 (co-taught with Tim Bollerslev and George Tauchen), Duke

University. 2-Time Series for Financial Analysis, Spring 2010, Duke University.

PAPERS PRESENTED IN CONFERENCES AND SEMINARS

1. Realized term structure of risk.

Workshop on realized Variance, Imperial College, London, UK, 2007.

Conference on Volatility and High Frequency Data, Chicago, US, 2007.

2. Option Valuation with Conditional Heteroskedasticity and Non-Normality.

European Economic Association Annual Congress, Budapest, Hungary, 2007.

3. Which model for conditional skewness?

Econometric Society Annual Congress, Budapest, Hungary, 2007.

Brown-Bag Seminar, Bank-of-Canada, Ottawa, Canada, December 2011.

4. Generalized Affine Models.

Econometric seminar, University of Toulouse, Toulouse, France, 2007.

Finance seminar, CREST, Paris, 2007.

Finance department, Laval University, Qu bec, Canada, 2007.

Annual Meeting, Allied Social Science Associations, New Orleans US, 2007.

Seminar, Oxford-man Institute, Oxford University, UK, 2008.

Seminar, Board of governors, Washington, US, 2008.

Seminar, Duke University, Durham, US, 2008.

Finance Seminar, HEC de Montr al, Montr al, Canada, 2008.

Seminar, York University, Economics department, Toronto, Canada, 2008.

Seminar, Chicago GSB, Statistics and Econometrics Group, Chicago, US, 2008.

Financial Econometrics Conference, Imperial College London, UK, 2008.

Finance Seminar, University of Maryland, US, 2008.

5. Discrete Choice Term Structure Models: Theory and Applications.

Seminar, Bank-of-Canada, Ottawa, Canada, 2010.

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Econometrics Conference, Toulouse School of Economics, Toulouse, France 2010.

Seminar, North Carolina State University, Economics, Raleigh, US, 2010.

Poster session at the 2010 NBER-NSF Time Series conference, Durham, US.

Seminar, West-Virginia University, US, 2011.

Seminar, Imperial College Business School, UK, 2011.

6. Modeling Market Downside Volatility.

Seminar, Bank-of-Canada, Ottawa, Canada, November 2010.

Seminar, Board of governors, Washington, US, December 2010.

Seminar, School of Finance, St-Gallen University, Switzerland, January 2011.

7. The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

Fourth Annual SoFiE (The Society for Financial Econometrics) Conference, The University of

Chicago, Chicago, US, June 2011.

Departmental Seminar, Bank-of-Canada, Ottawa, Canada, November 2011.

NFA Conference 2012, Niagara Falls, Canada, September 2012.

Seminar, Concordia University, Montreal, Canada, October 2012.

AFA Annual Meeting, San Diego, US, January 2013.

8. Forecasting Inflation and the Inflation Risk-Premium: The Case of Canada

Brown-Bag Seminar, Bank-of-Canada, Ottawa, Canada, December 2011.

Departmental Seminar, Bank-of-Canada, Ottawa, Canada, June 2012.

Management Forum Seminar, Bank-of-Canada, Ottawa, Canada, September 2012.

CEMLA (Central Bank Researchers Network of the American Continent) Meeting,

Montevideo, Uruguay, November 2012.

Seminar, OCC (Office of the Comptroller of the Currency), Washington, US, December 2012.

DISCUSSIONS AT CONFERENCES AND PROFESSIONAL MEETINGS

The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models, by Christensen,

Diebold, Rudebusch, Financial Econometric Conference, Montreal, April 2009.

Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options, by

Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai, Financial Econometric

Conference, Toulouse School of Economics, May 2009.

A Semiparametric Interest Rate Model Based on Reducible Stochastic Differential Equations

and Pseudo Maximum Likelihood Estimation, by Ruijun Bu and Kaddour Hadri, Financial

Econometric Conference, Toulouse School of Economics, May 2011.

Understanding Equity Option Prices, by Peter Christoffersen, Mathieu Fournier and Kris

Jacobs, NFA Conference 2012, Niagara Falls, Canada, September 2012.

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