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Préférences par rapport au risque et marchés à terme : le cas d'une quantité incertaine

Sévi, Benoît - In: Recherches économiques de Louvain 73 (2007) 2, pp. 217-228

Persistent link: https://www.econbiz.de/10003492329

Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps

Sévi, Benoît - In: Economic modelling 44 (2015), pp. 243-251

Persistent link: https://www.econbiz.de/10011326237

Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps

Sévi, Benoît - 2014

Persistent link: https://www.econbiz.de/10010432120

Futures Trading and the Excess Comovement of Commodity Prices

Le Pen, Yannick - 2017

We empirically reinvestigate the issue of the excess co-movement of commodity prices initially raised in Pindyck and Rotemberg (1990). Excess co-movement appears when commodity prices remain correlated even after adjusting for the impact of fundamentals. We use recent developments in large...

Persistent link: https://www.econbiz.de/10012974751

The contribution of intraday jumps to forecasting the density of returns

Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24

Persistent link: https://www.econbiz.de/10012502523

Futures trading and the excess co-movement of commodity prices

LePen, Yannick; Sévi, Benoît - In: Review of finance : journal of the European Finance … 22 (2018) 1, pp. 381-418

Persistent link: https://www.econbiz.de/10011990798