jean-sebastienfontaine.com
Bond Liquidity Premia – Jean-Sébastien Fontaine
http://jean-sebastienfontaine.com/working-papers/bond-liquidity-premia-2
Economics, Finance and Econometrics. Review of Financial Studies 25(4), 2012. Funding Risk Factor updated to December 2013. At the EDHEC Business School. Our main contribution is to show that the value of funding liquidity is an aggregate risk factor driving a substantial share of risk premia across fixed-income markets. The paper can be found here : Bond Liquidity Premia. Here is the online appendix. And the abstract follows. November 30, 2009. April 5, 2016. Non-Markov Gaussian Term Structure Models: T...
jean-sebastienfontaine.com
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns – Jean-Sébastien Fontaine
http://jean-sebastienfontaine.com/uncategorized/funding-liquidity-market-liquidity-and-the-cross-section-of-stock-returns
Economics, Finance and Econometrics. Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns. We test predictions from theoretical asset pricing models incorporating intermediation frictions. Using funding shocks identified in our previous paper. The paper can be found here. The funding liquidity factor used in this paper can be found here: FundingLiquiditFactor 19862012Q1. January 28, 2015. April 5, 2016. Bond Risk Premia and Gaussian Term Structure Models. Antonio Diez de los Rios.
jean-sebastienfontaine.com
Discrete Choice Term Structure Models : Theory and Applications – Jean-Sébastien Fontaine
http://jean-sebastienfontaine.com/working-papers/discrete-choice-term-structure-models-theory-and-applications
Economics, Finance and Econometrics. Discrete Choice Term Structure Models : Theory and Applications. And the abstract follows. December 20, 2010. April 5, 2016. Fed Fund Futures and the Federal Reserve. Non-Markov Gaussian Term Structure Models: The Case of Inflation. Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns. Bond Risk Premia and Gaussian Term Structure Models. Competition and Strategic Control of a Central Counterparty: When Lower Risk Increases Profit.
jean-sebastienfontaine.com
The Equity Premium, Variance Premium and the Maturity Structure of Uncertainty – Jean-Sébastien Fontaine
http://jean-sebastienfontaine.com/working-papers/the-equity-premium-and-the-maturity-structure-of-uncertainty
Economics, Finance and Econometrics. The Equity Premium, Variance Premium and the Maturity Structure of Uncertainty. Review of Finance 18 (1), 2014. The paper is here: The Equity Premium and the Maturity Structure of Uncertainty. February 15, 2010. April 5, 2016. Fed Fund Futures and the Federal Reserve. Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns. Bond Risk Premia and Gaussian Term Structure Models. Non-Markov Gaussian Term Structure Models: The Case of Inflation.
jfec.oxfordjournals.org
Comparison of Volatility Measures: a Risk Management Perspective
http://jfec.oxfordjournals.org/content/8/1/29.full
Jnl of Financial Econometrics. View Current Issue (Volume 14 Issue 3 Summer 2016). Jnl of Financial Econometrics. Comparison of Volatility Measures: a Risk Management Perspective. Christian T. Brownlees. Stern School of Business, New York University. Giampiero M. Gallo. Dipartimento di Statistica G. Parenti , Università di Firenze. February 1, 2008. April 22, 2009. June 2, 2009. Bollerslev, Engle, and Nelson, 1994. Barndorff-Nielsen and Shephard, 2002. Andersen et al., 2003. Under suitable assumptions th...
sofieblog.com
The Society for Financial Econometrics: Media
http://www.sofieblog.com/p/media.html
The Society for Financial Econometrics. Subscribe to: Posts (RSS). The Society for Financial Econometrics. Journal of Financial Econometrics - Advance Access. The Annual SoFiE 2014 Conference.
sofieblog.com
The Society for Financial Econometrics: About
http://www.sofieblog.com/p/about.html
The Society for Financial Econometrics. This is the official blog of the Society for Financial Econometrics (SoFiE). We hope this will provide a platform for thought and discussion on the latest research in the field. Please feel free to read and comment on the topics. Bla bla bla. Subscribe to: Posts (RSS). The Society for Financial Econometrics. Journal of Financial Econometrics - Advance Access. The Annual SoFiE 2014 Conference.
jean-sebastienfontaine.com
About Me – Jean-Sébastien Fontaine
http://jean-sebastienfontaine.com/about-2
Economics, Finance and Econometrics. I am an economist in the Financial Market Department at the Bank of Canada. All my papers can be found on my. 234, rue Wellington. Ottawa (Ontario) K1A 0G9. Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns. Bond Risk Premia and Gaussian Term Structure Models. Competition and Strategic Control of a Central Counterparty: When Lower Risk Increases Profit. Non-Markov Gaussian Term Structure Models: The Case of Inflation. Antonio Diez de los Rios.
jean-sebastienfontaine.com
Working Papers – Jean-Sébastien Fontaine
http://jean-sebastienfontaine.com/workingpapers
Economics, Finance and Econometrics. Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns. 2014), with René Garcia and Sermin Gungor. Competition and Strategic Control of a Central Counterparty : When Lower Risk Increase Profit. 2012), with Hector Perez and Joshua Slive. Forecasting Inflation and the Inflation Risk Premium. 2012), with Bruno Feunou. Fed Funds Futures and the Federal Reserve. 2010), Working Paper. Discrete Choice Term Structure Models: Theory And Applications.
jean-sebastienfontaine.com
Competition and Strategic Control of a Central Counterparty: When Lower Risk Increases Profit – Jean-Sébastien Fontaine
http://jean-sebastienfontaine.com/working-papers/competition-and-strategic-control-of-a-central-counterparty-when-lower-risk-increases-profit
Economics, Finance and Econometrics. Competition and Strategic Control of a Central Counterparty: When Lower Risk Increases Profit. A recent paper with Hector Perez. April 2, 2012. April 5, 2016. Non-Markov Gaussian Term Structure Models: The Case of Inflation. Bond Risk Premia and Gaussian Term Structure Models. Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns. Bond Risk Premia and Gaussian Term Structure Models. Non-Markov Gaussian Term Structure Models: The Case of Inflation.
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