Bruno Feunou - Latest

• Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility

  Staff Working Paper 2013-37 Bo Young Chang, Bruno Feunou

  We measure uncertainty surrounding the central bank’s future policy rates using implied volatility computed from interest rate option prices and realized volatility computed from intraday prices of interest rate futures.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary and financial indicators, Monetary policy and uncertainty JEL Code(s): E, E4

• Which Parametric Model for Conditional Skewness?

  Staff Working Paper 2013-32 Bruno Feunou, Mohammad R. Jahan-Parvar, Roméo Tedongap

  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.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C51, G, G1, G12, G15