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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

An empirical analysis of the downside risk-return trade-off at daily frequency

Sévi, Benoît - In: Economic modelling 31 (2013), pp. 189-197

Persistent link: https://www.econbiz.de/10009729143

Forecasting the volatility of crude oil futures using intraday data

Sévi, Benoît - In: European journal of operational research : EJOR 235 (2014) 3, pp. 643-659

Persistent link: https://www.econbiz.de/10010341244

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

Volatility transmission and volatility impulse response functions in European electricity forward markets

LePen, Yannick; Sévi, Benoît - In: Energy economics 32 (2010) 4, pp. 758-770

Persistent link: https://www.econbiz.de/10008779965

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...