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Understanding the link between aggregated industrial production and the carbon price
Chevallier, Julien - HAL - 2013
This chapter assesses the extent to which economic activity and the carbon price are linked. Carbon price drivers can be mainly related to energy and institutional variables. However, the influence of the macroeconomic environment shall not be undermined. Various approaches exist in the...
Persistent link: https://www.econbiz.de/10010680889
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A dynamic conditional regime-switching GARCH CAPM for energy and financial markets
Urom, Christian; Chevallier, Julien; Zhu, Bangzhu - In: Energy economics 85 (2020), pp. 1-45
Persistent link: https://www.econbiz.de/10012510103
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On the realized volatility of the ECX CO2 Emissions 2008 Futures Contract: distribution, dynamics and forecasting
Chevallier, Julien; Sévi, Benoît - 2009
. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts …
Persistent link: https://www.econbiz.de/10010279482
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Market fragmentation, liquidity measures and improvement perspectives from China's emissions trading scheme pilots
Chang, Kai; Chen, Rongda; Chevallier, Julien - In: Energy economics 75 (2018), pp. 249-260
Persistent link: https://www.econbiz.de/10011974318
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On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting
Chevallier, Julien; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009
. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts …
Persistent link: https://www.econbiz.de/10005078954
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Options introduction and volatility in the EU ETS
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Chaire d'Économie du Climat, Université … - 2011
April 2005 to April 2008 to document volatility behavior in the EU ETS. By instrumenting various GARCH models, endogenous …
Persistent link: https://www.econbiz.de/10009385714
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On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting
Chevallier, Julien; Sévi, Benoît - Fondazione ENI Enrico Mattei (FEEM) - 2009
. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts …
Persistent link: https://www.econbiz.de/10008502108
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Options introduction and volatility in the EU ETS
Chevallier, Julien; Pen, Yannick Le; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009
instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …
Persistent link: https://www.econbiz.de/10008479209
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Options introduction and volatility in the EU ETS
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - In: Resource and Energy Economics 33 (2011) 4, pp. 855-880
April 2005 to April 2008 to document volatility behavior in the EU ETS. By instrumenting various GARCH models, endogenous …
Persistent link: https://www.econbiz.de/10010576622
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Options introduction and volatility in the EU ETS
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2009
instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …
Persistent link: https://www.econbiz.de/10010707372