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Jean-Sébastien Fontaine – Economics, Finance and Econometrics

Economics, Finance and Econometrics. Updated Funding Liquidity Factor: 2017Q1. The updated funding liquidity and term structure factors based on the Bond Liquidity Premia. The factors can be found here: FundingLiquiditFactor 19862017Q1. May 5, 2017. March 16, 2018. What do Fed Funds Futures tell us about Monetary Policy Uncertainty. The paper is here. December 1, 2016. May 5, 2017. Recent Advances in Old Fixed-Income Topics: Liquidity, Learning, and the Lower Bound. In Handbook of Fixed-Income Securities.

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Jean-Sébastien Fontaine – Economics, Finance and Econometrics | jean-sebastienfontaine.com Reviews

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Economics, Finance and Econometrics. Updated Funding Liquidity Factor: 2017Q1. The updated funding liquidity and term structure factors based on the Bond Liquidity Premia. The factors can be found here: FundingLiquiditFactor 19862017Q1. May 5, 2017. March 16, 2018. What do Fed Funds Futures tell us about Monetary Policy Uncertainty. The paper is here. December 1, 2016. May 5, 2017. Recent Advances in Old Fixed-Income Topics: Liquidity, Learning, and the Lower Bound. In Handbook of Fixed-Income Securities.

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Jean-Sébastien Fontaine – Economics, Finance and Econometrics | jean-sebastienfontaine.com Reviews

https://jean-sebastienfontaine.com

Economics, Finance and Econometrics. Updated Funding Liquidity Factor: 2017Q1. The updated funding liquidity and term structure factors based on the Bond Liquidity Premia. The factors can be found here: FundingLiquiditFactor 19862017Q1. May 5, 2017. March 16, 2018. What do Fed Funds Futures tell us about Monetary Policy Uncertainty. The paper is here. December 1, 2016. May 5, 2017. Recent Advances in Old Fixed-Income Topics: Liquidity, Learning, and the Lower Bound. In Handbook of Fixed-Income Securities.

INTERNAL PAGES

jean-sebastienfontaine.com

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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.

2

Non-Markov Gaussian Term Structure Models: The Case of Inflation – Jean-Sébastien Fontaine

http://jean-sebastienfontaine.com/working-papers/151

Economics, Finance and Econometrics. Non-Markov Gaussian Term Structure Models: The Case of Inflation. Review of Finance, 2014. Previous versions circulated as. Forecasting Inflation and the Inflation Risk Premium. May 25, 2011. April 5, 2016. Discrete Choice Term Structure Models : Theory and Applications. Competition and Strategic Control of a Central Counterparty: When Lower Risk Increases Profit. Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns. Antonio Diez de los Rios.

3

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...

4

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.

5

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.

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kamkui.net

Research interests of Feunou Kamkui

http://www.kamkui.net/publications/index.html

Gaussian Term Structure Models and Bond Risk Premia, Management Science,. Forthcoming. [ WWW. Option Valuation with Observable Volatility and Jump Dynamics, Journal of Banking and Finance. Volume 61, Supplement 2, December 2015, Pages S101-S120. [ Full text. Fourier Inversion Formulas for Multiple Assets Option Pricing, Studies in Nonlinear Dynamics and Econometrics. 2015) Volume 19, Issue 5, Pages 531-559. [ SNDE. Non-Markov Gaussian Term Structure Models: The Case of Inflation, Review of Finance. Measu...

kamkui.net

Research interests of Feunou Kamkui

http://www.kamkui.net/workingPapers/index.html

Time-Varying Crash Risk: The Role of Stock Market Liquidity, (with Peter Christoffersen. Good Volatility, Bad Volatility and Option Pricing, (with Cedric Okou. Affine Term Structure of Risk-Neutral Moments Models, Aug 2015, (with Cedric Okou. Downside Variance Risk Premium, Dec 2014, (with Jahan-Parvar Mohammad. Tractable Term Structure Models: A New Approach, Oct 2015, (with Jean-Sebastien Fontaine. Discrete Choice Term Structure Models: Theory And Applications, August 2010, (with Jean-Sebastien Fontaine.

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Jean-Sébastien Fontaine – Economics, Finance and Econometrics

Economics, Finance and Econometrics. Updated Funding Liquidity Factor: 2017Q1. The updated funding liquidity and term structure factors based on the Bond Liquidity Premia. The factors can be found here: FundingLiquiditFactor 19862017Q1. May 5, 2017. March 16, 2018. What do Fed Funds Futures tell us about Monetary Policy Uncertainty. The paper is here. December 1, 2016. May 5, 2017. Recent Advances in Old Fixed-Income Topics: Liquidity, Learning, and the Lower Bound. In Handbook of Fixed-Income Securities.

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