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An empirical analysis of the downside risk-return trade-off at daily frequency

Sévi, Benoît - In: Economic modelling 31 (2013), pp. 189-197

Persistent link: https://www.econbiz.de/10009729143

Forecasting the volatility of crude oil futures using intraday data

Sévi, Benoît - In: European journal of operational research : EJOR 235 (2014) 3, pp. 643-659

Persistent link: https://www.econbiz.de/10010341244

On the volatility-volume relationship in energy futures markets using intraday data

Chevallier, Julien; Sévi, Benoît - In: Energy economics 34 (2012) 6, pp. 1896-1909

Persistent link: https://www.econbiz.de/10009688936

Forecasting the density of oil futures returns using model-free implied volatility and high-frequency data

Ielpo, Florian; Sévi, Benoît - 2014

Persistent link: https://www.econbiz.de/10010432122

Volatility transmission and volatility impulse response functions in European electricity forward markets

LePen, Yannick; Sévi, Benoît - In: Energy economics 32 (2010) 4, pp. 758-770

Persistent link: https://www.econbiz.de/10008779965

Options introduction and volatility in the EU ETS

Chevallier, Julien; Le Penn, Yannick; Sévi, Benoît - In: Resource and energy economics 33 (2011) 4, pp. 855-880

Persistent link: https://www.econbiz.de/10009525598

The contribution of intraday jumps to forecasting the density of returns

Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24

Persistent link: https://www.econbiz.de/10012502523

Options Introduction and Volatility in the EU ETS

Chevallier, Julien - 2017

To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the...

Persistent link: https://www.econbiz.de/10012976815