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The Non-Linear Link between Electricity Consumption and Temperature in Europe : A Threshold Panel Approach
Fouquau, Julien; Bessec, Marie - Université Paris-Dauphine (Paris IX) - 2008
This paper investigates the relationship between electricity demand and temperature in the European Union. We address this issue by means of a panel threshold regression model on 15 European countries over the last two decades. Our results confirm the non-linearity of the link between...
Persistent link: https://www.econbiz.de/10010708996
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A Structural Risk-Neutral Model for Pricing and Hedging Power Derivatives
Langrené, Nicolas; Campi, Luciano; Aïd, René - Université Paris-Dauphine (Paris IX) - 2013
of information included in the spot model, we obtain closed-form formulae for futures prices and semiexplicit formulae …
Persistent link: https://www.econbiz.de/10011073663
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Subjective Return Expectations, Information and Stock Market Participation : Evidence from France
Tas, Derya; Calvo-Pardo, Hector; Arrondel, Luc - Université Paris-Dauphine (Paris IX) - 2012
new Öndings from a survey that collected data on stock market return expectations, individual information sets and stock … ownership, for a representative sample by age and wealth (íMode de vie des FranÁaisí, TNS 2007). Individual information sets …) expected returns and information sets are very heterogeneous, hump-shaped in age, higher for males and increasing in wealth …
Persistent link: https://www.econbiz.de/10011073514
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Systemic Risk in Commodity Markets: What Do Trees Tell Us About Crises?
Lautier, Delphine; Ling, Julien; Raynaud, Franck - Université Paris-Dauphine (Paris IX) - 2015
We examine the impact, on commodity derivative markets, of two financial crises: the Subprime crisis and the bankruptcy of Lehman Brothers. These crises are "external" for commodity markets: they appeared in the financial sphere. Still, because now commodity markets are highly integrated,...
Persistent link: https://www.econbiz.de/10011205310
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Volatility equicorrelation: A cross-market perspective
Chevallier, Julien; Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2014
This paper contains the first empirical application of the Dynamic Equicorrelation (DECO) model to a cross-market dataset composed of equities, bonds, foreign exchange rates and commodities during 1983-2013. The originality of our approach consists in examining the volatility equicorrelations,...
Persistent link: https://www.econbiz.de/10010735785
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The French energy policy in the European Union framework
Méritet, Sophie - Université Paris-Dauphine (Paris IX) - 2009
Persistent link: https://www.econbiz.de/10010861346
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The impact of nonlinearities for carbon markets analyses
Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2011
This paper examines empirically whether nonlinearities play a significant role in the modeling of the carbon price. We highlight the limits of previous carbon markets analyses based essentially on a linear econometric framework. Instead, we propose to revisit the main results on carbon pricing...
Persistent link: https://www.econbiz.de/10010707535
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Les économistes de l'énergie : gérer les interdépendances et les incertitudes
Chevalier, Jean-Marie - Université Paris-Dauphine (Paris IX) - 2010
Persistent link: https://www.econbiz.de/10010707918
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An equicorrelation measure for equity, bond, foreign exchange and commodity returns
Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013
This article provides the first empirical application of the dynamic equicorrelation (DECO) model to a cross-market data set composed of equities, bonds, foreign exchange and commodity returns during 1983–2013. The results reveal that the average cross-market equicorrelation is around 47%,...
Persistent link: https://www.econbiz.de/10010707948
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Perspectives énergétiques : situation et defis énergétiques européens
Méritet, Sophie - Université Paris-Dauphine (Paris IX) - 2011
Persistent link: https://www.econbiz.de/10010707969