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Common risk factors in commodities
Chevallier, Julien; Ielpo, Florian; Boon, Ling-Ni - In: Economics Bulletin 33 (2013) 4, pp. 2801-2816
This article aims at establishing an understanding of the common risk factors in commodity markets, as well as their interactions with equities, currencies and interest rates. Since commodity markets often exhibit cross-sectional dependency, common risk factors exist and can be identified. By...
Persistent link: https://www.econbiz.de/10010705991
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Detecting instability in the volatility of carbon prices.
Chevallier, Julien - Université Paris-Dauphine - 2011
This article investigates the presence of outliers in the volatility of carbon prices. We compute three different … measures of volatility for European Union Allowances, based on daily data (EGARCH model), option prices (implied volatility …), and intraday data (realized volatility). Based on the methodology developed by Zeileis et al. (2003) and Zeileis (2006 …
Persistent link: https://www.econbiz.de/10008725852
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Detecting instability in the volatility of carbon prices
Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2011
This article investigates the presence of outliers in the volatility of carbon prices. We compute three different … measures of volatility for European Union Allowances, based on daily data (EGARCH model), option prices (implied volatility …), and intraday data (realized volatility). Based on the methodology developed by Zeileis et al. (2003) and Zeileis (2006 …
Persistent link: https://www.econbiz.de/10010706707
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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
issue by characterizing the conditional and unconditional distributions of the realized volatility for the 2008 futures … volatility measures from naive, kernel-based and subsampling estimators are used to obtain inferences about the distributional … and dynamic properties of the ECX emissions futures volatility. The distribution of the daily realized volatility in …
Persistent link: https://www.econbiz.de/10008840052
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Leverage vs. Feedback : Which Effect Drives the Oil Market?
Aboura, Sofiane - 2015
This article brings new insights on the role played by (implied) volatility on the WTI crude oil spot price. An … increase in the volatility subsequent to an increase in the oil price (i.e. inverse leverage effect) remains the dominant … increase in the oil price subsequent to an increase in the volatility (i.e. inverse feedback effect) with a two-day delayed …
Persistent link: https://www.econbiz.de/10013036704
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On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract : Distribution, Dynamics and Forecasting
Chevallier, Julien; Sévi, Benoît - 2017
issue by characterizing the conditional and unconditional distributions of the realized volatility for the 2008 futures … volatility measures from naive, kernel-based and subsampling estimators are used to obtain inferences about the distributional … and dynamic properties of the ECX emissions futures volatility. The distribution of the daily realized volatility in …
Persistent link: https://www.econbiz.de/10014207974
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Common risk factors in commodities
Chevallier, Julien; Ielpo, Florian; Boon, Ling-Ni - Université Paris-Dauphine (Paris IX) - 2013
This article aims at establishing an understanding of the common risk factors in commodity markets, as well as their interactions with equities, currencies and interest rates. Since commodity markets often exhibit cross-sectional dependency, common risk factors exist and can be identified. By...
Persistent link: https://www.econbiz.de/10010790028
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Econometric analysis of carbon markets: the european union emissions trading scheme and the clean development mechanism
Chevallier, Julien - In: Economics Bulletin 31 (2011) 4, pp. 53-53
Through analysis of the European Union Emissions Trading Scheme (EU ETS) and the Clean Development Mechanism (CDM), this book demonstrates how to use a variety of econometric techniques to analyze the evolving and expanding carbon markets sphere, techniques that can be extrapolated to the...
Persistent link: https://www.econbiz.de/10010835907
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Cointegration between carbon spot and futures prices : from linear to nonlinear modeling.
Chevallier, Julien - Université Paris-Dauphine - 2012
This paper develops two nonlinear cointegration models - a VECM with structural shift and a threshold cointegration model - applied to carbon spot and futures prices. The results extend the previous findings by Chevallier (2010), who studied this topic with a linear VECM. First, in the VECM with...
Persistent link: https://www.econbiz.de/10009493416
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EUAs and CERs : Interactions in a Markov regime-switching environment.
Chevallier, Julien - Université Paris-Dauphine - 2012
This paper analyzes jointly the time series of European Union Allowances (EUAs) and Certified Emissions Reductions (CERs) in a Markov regime-switching environment. The purpose consists in capturing the interactions between the two time series - which have been highlighted in previous literature...
Persistent link: https://www.econbiz.de/10009493421