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European carbon prices and banking restrictions : evidence from Phase I (2005-2007)

Alberola, Emilie; Chevallier, Julien - In: The energy journal 30 (2009) 3, pp. 51-80

Persistent link: https://www.econbiz.de/10003866009

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

The Samuelson hypothesis in futures markets : an analysis using intraday data

Huu Nhan Duong; Kalev, Petko S. - In: Journal of banking & finance 32 (2008) 4, pp. 489-500

Persistent link: https://www.econbiz.de/10003707624

A test of the Samuelson hypothesis using realized range

Kalev, Petko S.; Huu Nhan Duong - In: The journal of futures markets 28 (2008) 7, pp. 680-696

Persistent link: https://www.econbiz.de/10003715120

Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence

Wang, Jiqian; Huang, Yisu; Ma, Feng; Chevallier, Julien - In: Energy economics 91 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012518664

Information Content of the Limit Order Book for Crude Oil Futures Price Volatility

Tian, Xiao - 2019

This paper investigates the information content of the limit order book on future volatility in the crude oil futures market. We propose a time-weighted limit order book slope that incorporates the duration of each bid and ask update. When volatility is expected to increase around weekly...

Persistent link: https://www.econbiz.de/10012902993

Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks

Asai, Manabu; Gupta, Rangan; McAleer, Michael - In: International journal of forecasting 36 (2020) 3, pp. 933-948

Persistent link: https://www.econbiz.de/10012497080

"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

Information content of the limit order book for crude oil futures price volatility

Tian, Xiao; Huu Nhan Duong; Kalev, Petko S. - In: Energy economics 81 (2019), pp. 584-597

Persistent link: https://www.econbiz.de/10012172873

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