Narrow search
Showing 1 - 9 of 9
Cover Image
Price relationships in crude oil futures: new evidence from CFTC disaggregated data
Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013
This paper attempts to reconcile two strands of literature on oil and speculation: one that posits the predominance of … statistically the possibility of speculation among the main reasons behind the 2008 oil price swing. We also explicitly recognize … strands of literature on oil and speculation: one that posits the predominance of supply/demand fundamentals, and one that …
Persistent link: https://www.econbiz.de/10010707481
Cover Image
On the volatility-volume relationship in energy futures markets using intraday data
Chevallier, Julien; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2012
This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results...
Persistent link: https://www.econbiz.de/10011072230
Cover Image
Macro factors in oil futures returns
Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2011
We investigate the macro factors that can explain the monthly oil futures return for the NYMEX WTI futures contract for the time period 1993:11 to 2010:03. We build a new database of 187 real and nominal macroeconomic variables from developed and emerging countries and resort to the large factor...
Persistent link: https://www.econbiz.de/10011073526
Cover Image
A model of carbon price interactions with macroeconomic and energy dynamics
Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2011
his paper develops a model of carbon pricing by considering two fundamental drivers of European Union Allowances : economic activity and energy prices. On the one hand, economic activity is proxied by aggregated industrial production in the EU 27 (as it provides the best performance in a...
Persistent link: https://www.econbiz.de/10010707603
Cover Image
Liquidity and volatility in the American crude oil futures market
Riva, Fabrice; Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2004
This article focuses on the impact of derivative markets on the American crude oil market. It first analyses the depth and liquidity of the market, and shows that there is a huge increase in activity from 1989 to 2003. Then the study focuses on prices volatility. The latter is separated into two...
Persistent link: https://www.econbiz.de/10010707195
Cover Image
Volatilité et liquidité sur le marché du pétrole brut
Lautier, Delphine; Riva, Fabrice - Université Paris-Dauphine (Paris IX) - 2004
Persistent link: https://www.econbiz.de/10010707405
Cover Image
Liquidity and volatility in the American crude oil futures market
Riva, Fabrice; Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2004
This article focuses on the impact of derivative markets on the American crude oil market. It first analyses the depth and liquidity of the market, and shows that there is a huge increase in activity from 1989 to 2003. Then the study focuses on prices volatility. The latter is separated into two...
Persistent link: https://www.econbiz.de/10010707550
Cover Image
Les opérations de metallgesellschaft sur les marchés à terme de produits pétroliers : spéculation ou couverture ?
Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 1998
An analysis focusing on the financial aspects is proposed for the strategy initiated by Metallgesellschaft (MG) in 1993-94 on American petroleum markets. According to a specific definition of hedging, and on the basis of a detailed survey of the facts, this strategy is described as speculative....
Persistent link: https://www.econbiz.de/10011072448
Cover Image
“Excessive speculation” in commodities derivatives markets: Boundary work around acceptable versus non acceptable practices
Huault, Isabelle; Rainelli, Hélène - Université Paris-Dauphine (Paris IX) - 2014
Adopting an historical perspective, we propose to study the way recurrent debates regarding the “excessive speculation … repeat itself, at least not in the exact way. However, many of the issues faced by markets regarding speculation are not … worldviews. The most persistent feature of the controversy lies in the role of speculation, sometimes seen as beneficial to the …
Persistent link: https://www.econbiz.de/10011082442