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Variance risk-premia in CO 2 markets

Chevallier, Julien - In: Economic modelling 31 (2013), pp. 598-605

Persistent link: https://www.econbiz.de/10009731478

Carbon price analysis using empirical mode decomposition

Zhu, Bangzhu; Wang, Ping; Chevallier, Julien; Wei, Yi-Ming - In: Computational economics 45 (2015) 2, pp. 195-206

Persistent link: https://www.econbiz.de/10011325724

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

Forecasting carbon price using a multi-objective least squares support vector machine with mixture kernels

Zhu, Bangzhu; Ye, Shunxin; Wang, Ping; Chevallier, Julien; … - In: Journal of forecasting 41 (2022) 1, pp. 100-117

Persistent link: https://www.econbiz.de/10012796273

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

Forecasting inflection points : hybrid methods with multiscale machine learning algorithms

Chevallier, Julien; Zhu, Bangzhu; Zhang, Lyuyuan - In: Computational economics 57 (2021) 2, pp. 537-575

Persistent link: https://www.econbiz.de/10012486931

Pricing and Forecasting Carbon Markets : Models and Empirical Analyses

Zhu, Bangzhu - 2017

This book applies the multidisciplinary approaches of econometrics, statistics, finance and artificial intelligence for pricing and forecasting the carbon market in the context of managerial issues. It explores the related issues of pricing and forecasting the carbon market using theoretical...

Persistent link: https://www.econbiz.de/10012398273

An adaptive multiscale ensemble learning paradigm for nonstationary and nonlinear energy price time series forecasting

Zhu, Bangzhu; Shi, Xuetao; Chevallier, Julien; Wang, Ping; … - In: Journal of forecasting 35 (2016) 7, pp. 633-651

Persistent link: https://www.econbiz.de/10011610095

Convolutional neural network forecasting of European Union allowances futures using a novel unconstrained transformation method

Huang, Wenyang; Wang, Huiwen; Qin, Haotong; Wei, Yigang; … - In: Energy economics 110 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013349896