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Global imbalances, cross-market linkages, and the financial crisis : a multivariate Markov-switching analysis

Chevallier, Julien - In: Economic modelling 29 (2012) 3, pp. 943-973

Persistent link: https://www.econbiz.de/10009545490

Detecting instability in the volatility of carbon prices

Chevallier, Julien - In: Energy economics 33 (2011) 1, pp. 99-110

Persistent link: https://www.econbiz.de/10009262002

Variance risk-premia in CO 2 markets

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

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

On the realized volatility of the ECX CO2 Emissions 2008 Futures Contract: distribution, dynamics and forecasting

Chevallier, Julien; Sévi, Benoît - 2009

The recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options are traded since October 2006. Because the EU ETS is a new market, the relevant underlying model for option pricing is still a...

Persistent link: https://www.econbiz.de/10008840052

On the realized volatility of the ECX CO2 emissions 2008 futures contract : distribution, dynamics and forecasting

Chevallier, Julien; Sévi, Benoît - In: Annals of finance 7 (2011) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10008840227

Options introduction and volatility in the EU ETS

Chevallier, Julien; Le Penn, Yannick; Sévi, Benoît - In: Resource and energy economics 33 (2011) 4, pp. 855-880

Persistent link: https://www.econbiz.de/10009525598

Detecting jumps and regime switches in international stock markets returns

Chevallier, Julien; Goutte, Stéphane - In: Applied economics letters 22 (2015) 13/15, pp. 1011-1019

Persistent link: https://www.econbiz.de/10011312229

Volatility returns with vengeance : financial markets vs. commodities

Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 33 (2015), pp. 334-354

Persistent link: https://www.econbiz.de/10011325853

On the volatility-volume relationship in energy futures markets using intraday data

Chevallier, Julien; Sévi, Benoît - In: Energy economics 34 (2012) 6, pp. 1896-1909

Persistent link: https://www.econbiz.de/10009688936

Twenty years of jumps in commodity markets

Chevallier, Julien; Ielpo, Florian - In: International review of applied economics 28 (2014) 1, pp. 64-82

Persistent link: https://www.econbiz.de/10010246726