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Econometric analysis of carbon markets : the European Union emissions trading scheme and the clean development mechanism

Chevallier, Julien - 2012

Julien Chevallier Econometric Analysis of Carbon Markets The European Union Emissions Trading Scheme and the Clean Development Mechanism 4y Springer Contents Introduction to Emissions Trading 1 1.1 Review of International Climate Policies ...

Persistent link: https://www.econbiz.de/10009314431

Tracking "pure" systematic risk with realized betas for bitcoin and ethereum

Sanhaji, Bilel; Chevallier, Julien - In: Econometrics : open access journal 11 (2023) 3, pp. 1-36

Using the capital asset pricing model, this article critically assesses the relative importance of computing 'realized' betas from high-frequency returns for Bitcoin and Ethereum-the two major cryptocurrencies-against their classic counterparts using the 1-day and 5-day return-based betas. The...

Persistent link: https://www.econbiz.de/10014425687

Understanding momentum in commodity markets

Chevallier, Julien; Gatumel, Mathieu; Ielpo, Florian - In: Applied economics letters 20 (2013) 13/15, pp. 1383-1402

Persistent link: https://www.econbiz.de/10010203400

The cross-market indes for volatility surprise

Aboura, Sofiane; Chevallier, Julien - In: The journal of asset management 15 (2014) 1, pp. 7-23

Persistent link: https://www.econbiz.de/10010370072

Cross-market index with Factor-DCC

Aboura, Sofiane; Chevallier, Julien - In: Economic modelling 40 (2014), pp. 158-166

Persistent link: https://www.econbiz.de/10010425706

Cross-market spillovers with "volatility surprise"

Aboura, Sofiane; Chevallier, Julien - In: Review of financial economics : RFE 23 (2014) 4, pp. 194-207

Persistent link: https://www.econbiz.de/10010442564

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

Cross-market volatility index with Factor-DCC

Aboura, Sofiane; Chevallier, Julien - In: International review of financial analysis 42 (2015), pp. 132-140

Persistent link: https://www.econbiz.de/10011573356

"Time series momentum" in commodity markets

Chevallier, Julien; Ielpo, Florian - In: Managerial finance 40 (2014) 7, pp. 662-680

Persistent link: https://www.econbiz.de/10010391104

Cross-country performance of Lévy regime-switching models for stock markets

Chevallier, Julien; Goutte, Stéphane - In: Applied economics 49 (2017) 2, pp. 111-137

Persistent link: https://www.econbiz.de/10011810520