Bruno Feunou Kamkui, Postdoctoral Associate

Please note: Bruno has left the "Economics" group at Duke University; some info here might not be up to date.

My research interests are conditional higher moments and more generally conditional characteristic function (or distribution) modeling and applications in derivative evaluation, term structure of interest rate, risk-returns trade off and cross section asset pricing.

Contact Info:

Office Location:
Office Phone:	(919) 660-1814
Email Address:
Web Pages:	http://kamkui.net/ http://fds.duke.edu/db/aas/Economics/faculty/bruno.feunou

Education:

PhD	University of Montreal	2009
MA	Ensea Abidjan	2003
BS	University of Yaounde	2000

Specialties:

Financial Economics
Econometrics

Research Interests: Conditional Characteristic function and Time Varying-Higher moments modeling, Option Pricing, Term structure of interest rate, Equity and Variance Premium predictability.

Current projects: Modeling Downside variance, Term structure of risk-neutral moments, equity and variance premium, Realized variance and option pricing, Fed-funds rate modeling and the term structure of interest rate

My main research area is financial econometric. Basically what I do most of the time is to built time series models on some state variables (Stock returns, bond yields, realized variances, macro-economic variables) that capture some key facts (e.g conditional asymmetry, fat-tail,volatility persistence, non-markovianity...) which are believed to be important in some financial applications, like derivatives pricing, no-arbitrage term structure of interest rate. My obsession is closed-form, in general I focus on models that allow explicit or quasi-explicit formula for assets prices.

Areas of Interest:

Financial Econometrics
Financial Economics
Time series Analysis

Keywords:

Characteristic function • skewness • volatility • kurtosis • option pricing • term structure of interest rate • equity and variance premium • ARCH and models

Curriculum Vitae  Bio

Recent Publications

1. with Peter Christoffersen, Redouane Elkamhi, Kris Jacobs, Option Valuation with Conditional Heteroskedasticity and Nonnormality, Review of Financial Studies, vol. 23 (May, 2010), pp. 2139-2183, ISSN 1465-7368 [hhp078v1]  [abs]