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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

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

"De-financialization" of commodities? : evidence from stock, crude oil and natural gas markets

Zhang, Yue-jun; Chevallier, Julien; Guesmi, Khaled - In: Energy economics 68 (2017), pp. 228-239

Persistent link: https://www.econbiz.de/10011905697

Volatility returns with vengeance : financial markets vs. commodities

Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 33 (2015), pp. 334-354

Persistent link: https://www.econbiz.de/10011325853

"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

A fear index to predict oil futures returns

Chevallier, Julien; Sévi, Benoît - 2013

This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...

Persistent link: https://www.econbiz.de/10010189497

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

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

Spéculation et marchés dérivés du pétrole

Chevallier, Julien - In: Revue d'économie financière : revue trimestrielle de … 98/99 (2010), pp. 353-371

Persistent link: https://www.econbiz.de/10008659938