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On the realized volatility of the ECX CO2 Emissions 2008 Futures Contract: distribution, dynamics and forecasting
Chevallier, Julien; Sévi, Benoît - 2009
The recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options are traded since October 2006. Because the EU ETS is a new market, the relevant underlying model for option pricing is still a...
Persistent link: https://www.econbiz.de/10008840052
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On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract : Distribution, Dynamics and Forecasting
Chevallier, Julien; Sévi, Benoît - 2017
The recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options are traded since October 2006. Because the EU ETS is a new market, the relevant underlying model for option pricing is still a...
Persistent link: https://www.econbiz.de/10014207974
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Fundamental and financial influences on the co-movement of oil and gas prices
Bunn, Derek W.; Chevallier, Julien; LePen, Yannick; … - In: The energy journal 38 (2017) 2, pp. 201-228
Persistent link: https://www.econbiz.de/10011661711
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Detecting instability in the volatility of carbon prices
Chevallier, Julien - In: Energy economics 33 (2011) 1, pp. 99-110
Persistent link: https://www.econbiz.de/10009262002
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Geographical diversification with a World Volatility Index
Aboura, Sofiane; Chevallier, Julien - In: Journal of multinational financial management 30 (2015), pp. 62-82
Persistent link: https://www.econbiz.de/10011539534
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Are low-frequency data really uninformative? : a forecasting combination perspective
Ma, Feng; Li, Yu; Liu, Li; Zhang, Yaojie - In: The North American journal of economics and finance : a … 44 (2018), pp. 92-108
Persistent link: https://www.econbiz.de/10012036299
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Forecasting the U.S. stock volatility : an aligned jump index from G7 stock markets
Ma, Feng; Wahab, M. I. M.; Zhang, Yaojie - In: Pacific-Basin finance journal 54 (2019), pp. 132-146
Persistent link: https://www.econbiz.de/10012133635
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Tail risk and the return-volatility relation
Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 46 (2018), pp. 16-29
Persistent link: https://www.econbiz.de/10011983542
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Financial mathematics, volatility and covariance modelling
Chevallier, Julien (ed.); Goutte, Stéphane (ed.);  … - 2019
Persistent link: https://www.econbiz.de/10012002815
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Forecasting the aggregate oil price volatility in a data-rich environment
Ma, Feng; Liu, Jing; Wahab, M. I. M.; Zhang, Yaojie - In: Economic modelling 72 (2018), pp. 320-332
Persistent link: https://www.econbiz.de/10012100341