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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

Variance risk-premia in CO 2 markets

Chevallier, Julien - In: Economic modelling 31 (2013), pp. 598-605

Persistent link: https://www.econbiz.de/10009731478

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/10010279482

A tug of war of forecasting the US stock market volatility : oil futures overnight versus intraday information

Ma, Feng; Wahab, M. I. M.; Chevallier, Julien; Li, Ziyang - In: Journal of forecasting 42 (2023) 1, pp. 60-75

Persistent link: https://www.econbiz.de/10013465762

Which exogenous driver is informative in forecasting European carbon volatility : bond, commodity, stock or uncertainty?

Wang, Jiqian; Guo, Xiaozhu; Tan, Xueping; Chevallier, Julien - In: Energy economics 117 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014437106

Leverage vs. feedback : which Effect drives the oil market?

Aboura, Sofiane; Chevallier, Julien - In: Finance research letters 10 (2013) 3, pp. 131-141

Persistent link: https://www.econbiz.de/10010222896

Volatility spillovers in commodity markets

Chevallier, Julien; Ielpo, Florian - In: Applied economics letters 20 (2013) 13/15, pp. 1211-1227

Persistent link: https://www.econbiz.de/10010198563

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

Twenty years of jumps in commodity markets

Chevallier, Julien; Ielpo, Florian - In: International review of applied economics 28 (2014) 1, pp. 64-82

Persistent link: https://www.econbiz.de/10010246726

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