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Leverage vs. feedback : which Effect drives the oil market?

Aboura, Sofiane; Chevallier, Julien - In: Finance research letters 10 (2013) 3, pp. 131-141

Persistent link: https://www.econbiz.de/10010222896

Spikes and crashes in the oil market

Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 36 (2016), pp. 615-623

Persistent link: https://www.econbiz.de/10011594637

Oil vs. gasoline : the dark side of volatility and taxation

Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 39 (2017), pp. 976-989

Persistent link: https://www.econbiz.de/10011912421

Spéculation et marchés dérivés du pétrole

Chevallier, Julien - In: Revue d'économie financière : revue trimestrielle de … 98/99 (2010), pp. 353-371

Persistent link: https://www.econbiz.de/10008659938

Price relationships in crude oil futures : new evidence from CFTC disaggregated data

Chevallier, Julien - In: Environmental economics and policy studies 15 (2013) 2, pp. 133-170

Persistent link: https://www.econbiz.de/10009732028

Time-varying correlations in oil, gas and CO2 prices : an application using BEKK, CCC and DCC-MGARCH models

Chevallier, Julien - In: Applied economics 44 (2012) 31/33, pp. 4257-4274

Persistent link: https://www.econbiz.de/10009713497

Is There Any Black Swan Hidden in the Oil Markets?

Aboura, Sofiane - 2015

Since the last three decades, advanced economies have been facing a substantial rise not only in the crude oil price but also in the oil price volatility. Quantifying the tail risk has become a prominent issue for investment decisions and risk management. This article reveals the existence of a...

Persistent link: https://www.econbiz.de/10013036389

A Fear Index to Predict Oil Futures Returns

Chevallier, Julien - 2016

This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...

Persistent link: https://www.econbiz.de/10013007386

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

A fear index to predict oil futures returns

Chevallier, Julien; Sévi, Benoît - 2013

Persistent link: https://www.econbiz.de/10010189497