Access Statistics for Julien Chevallier

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Fear Index to Predict Oil Futures Returns 0 0 0 0 2 7 9 9
A Fear Index to Predict Oil Futures Returns 0 0 1 51 5 7 15 146
A cross-volatility index for hedging the country risk 0 0 0 0 2 4 10 12
A differential game of intertemporal emissions trading with market power 0 0 1 230 1 4 8 477
A fear index to predict oil futures returns 0 0 2 31 4 22 35 111
A fear index to predict oil futures returns 0 0 0 0 4 5 18 24
Air traffic energy efficiency differs from place to place: new results from a macro-level approach 0 0 0 6 1 1 2 36
Bankable Pollution Permits under Uncertainty and Optimal Risk Management Rules: Theory and Empirical Evidence 0 0 0 108 0 1 4 262
Banking and Borrowing in the EU ETS: An Econometric Appraisal of the 2005-2007 Intertemporal Market 0 0 0 120 0 2 10 281
Carbon Capture and Storage (CCS) Technologies and Economic Investment Opportunities in the UK 0 0 0 86 0 3 8 204
Carbon Price Drivers: An Updated Literature Review 0 1 4 114 3 5 16 144
Carbon Prices during the EU ETS Phase II: Dynamics and Volume Analysis 0 0 0 292 2 6 13 500
Carbon price analysis using empirical mode decomposition 0 0 1 84 1 5 11 128
Climate finance and the restructuring of the oil-gas-coal business model under carbon asset stranding constraints 1 3 30 30 3 9 16 16
Commodities risk premia and regional integration in gas-exporting countries 0 0 0 0 3 7 8 8
Cross-Market Spillovers with 'Volatility Surprise' 0 0 0 47 1 5 9 76
Cross-Market Spillovers with 'Volatility Surprise' 0 0 0 0 2 7 10 18
Cross-Market Spillovers with ‘Volatility Surprise’ 0 0 3 66 1 6 15 143
Cross-market index with Factor-DCC 0 0 0 0 2 4 5 13
Cross-market volatility index with Factor-DCC 0 0 0 0 2 6 6 21
Cross-market volatility index with Factor-DCC 0 0 0 0 1 5 9 27
Detecting jumps and regime-switches in international stock markets returns 0 0 1 10 0 1 2 20
EUA and sCER phase II price drivers: Unveiling the reasons for the existence of the EUA-sCER spread 0 0 0 0 4 10 18 37
Econometric Analysis of Carbon Markets: The European Union Emissions Trading Scheme and the Clean Development Mechanism 0 0 0 0 1 2 22 57
Emissions Compliances and Carbon Prices under the EU ETS: A Country Specific Analysis of Industrial SectorsEmissions Compliances and Carbon Price 0 0 0 0 5 9 21 41
Emissions Trading: What Makes It Work? 0 0 0 89 1 2 3 98
Energy Risk Management with Carbon Assets 0 0 0 113 3 4 7 201
Etudes économétriques récentes réalisées à partir des données de la CFTC 0 0 0 23 0 4 4 117
European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007) 0 0 0 0 4 8 16 30
European carbon prices and banking restrictions: evidence from phase I (2005-2007) 0 0 0 256 1 4 11 601
European carbon prices fundamentals in 2005-2007: the effects of energy markets, temperatures and sectorial production 1 1 2 230 3 6 14 468
Financial Mathematics, Volatility and Covariance Modelling 0 0 0 0 6 11 13 13
Forecasting world and regional aviation jet fuel demands to the mid-term (2025) 0 0 0 0 4 7 16 40
Fundamental and Financial Influences on the Co-movement of Oil and Gas prices 0 0 0 0 1 3 10 26
Geographical Diversification with a World Volatility Index 0 0 0 0 2 8 12 15
International Financial Markets 0 0 0 0 4 9 9 9
Intertemporal Emissions Trading and Allocation Rules: Gainers, Losers and the Spectre of Market Power 0 0 0 79 1 3 6 120
Intertemporal Emissions Trading and Market Power: A Dominant Firm with Competitive Fringe Model 0 1 2 64 2 6 16 315
Investigating Fiscal and Monetary Policies Coordination and Public Debt in Kenya: Evidence from regime-switching and self-exciting threshold autoregressive models 0 0 14 14 1 1 9 9
Investigating fiscal and monetary policies coordination and public debt in Kenya: Evidence from regime-switching and self-exciting threshold autoregressive models 0 0 13 13 0 2 11 11
Les déterminants du prix du carbone sur le marché européen des quotas 1 1 1 79 3 3 5 192
Leverage vs. Feedback: Which Effect Drives the Oil Market ? 0 0 0 0 5 6 12 19
Leverage vs. Feedback: Which Effect Drives the Oil Market? 0 1 1 21 1 7 19 104
Mean-Reverting Lévy Jump Dynamics in the European Power Sector 0 0 0 0 2 3 5 5
Modeling the dynamics of European carbon futures price: a Zipf analysis 0 0 3 64 0 7 12 93
Modelling the convenience yield in carbon prices using daily and realized measures 0 0 2 89 2 4 11 184
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 0 3 5 8 31
On the Bitcoin price dynamics: an augmented Markov-Switching model with Lévy jumps 1 4 27 27 3 11 27 27
On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting 0 0 0 0 0 4 11 11
On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting 0 0 0 44 3 6 9 190
On the Stochastic Properties of Carbon Futures Prices 0 0 0 0 3 4 8 19
On the Stochastic Properties of Carbon Futures Prices 0 0 0 16 1 3 7 69
On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting 0 0 0 45 2 5 9 137
On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting 0 0 0 101 0 6 9 281
On the volatility-volume relationship in energy futures markets using intraday data 0 1 5 181 3 10 20 334
Options Introduction and Volatility in the EU ETS 0 0 0 50 1 3 9 115
Options introduction and volatility in the EU ETS 0 0 0 44 4 6 12 111
Options introduction and volatility in the EU ETS 0 0 0 37 2 6 13 143
Options introduction and volatility in the EU ETS 0 0 0 103 0 1 6 250
Price relationships in the EU emissions trading system 0 0 0 101 3 3 3 172
Primary balance dynamics and public debt sustainability in Kenya 3 5 16 16 5 16 28 28
Re-examining the concept of sustainable development in light of climate change 0 0 1 85 1 3 7 140
Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets 0 0 0 0 0 3 6 11
Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets 0 0 0 0 1 2 5 16
Regime changes and fiscal sustainability in Kenya with comparative nonlinear Granger causalities across East-African countries 0 0 17 17 1 4 22 22
Spikes and crashes in the oil market 0 0 0 0 4 5 12 32
Spéculation et marchés dérivés du pétrole 0 0 0 33 3 3 4 166
Study of the dynamic of Bitcoin's price 0 2 29 29 2 7 13 13
The EU ETS: CO2 prices drivers during the learning experience (2005-2007) 0 0 0 145 0 2 3 353
The EU Emissions Trading Scheme: Disentangling the Effects of Industrial Production and CO2 Emissions on Carbon Prices 0 0 2 276 0 1 14 645
The EUA-sCER Spread: Compliance Strategies and Arbitrage in the European Carbon Market 0 0 2 88 3 5 11 253
The European carbon market (2005-2007): banking, pricing and risk-hedging strategies 0 1 1 105 0 3 3 201
The cross-market index for volatility surprise 0 0 0 0 2 2 2 4
The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process 0 0 1 25 1 5 15 87
The place of gold in the cross-market dependencies 0 0 0 0 1 2 6 26
Time-varying correlations in oil, gas and CO2 prices: an application using BEKK, CCC, and DCC-MGARCH models 1 1 3 15 6 8 14 65
Understanding the link between aggregated industrial production and the carbon price 0 0 0 32 3 3 5 39
Volatility equicorrelation: A cross-market perspective 0 0 0 0 4 6 8 15
Volatility returns with vengeance: Financial markets vs. commodities 0 0 0 0 1 5 9 11
Will technological progress be sufficient to effectively lead the air transport to a sustainable development in the mid-term (2025)? 0 0 0 14 1 2 8 53
Will technological progress be sufficient to stabilize CO2 emissions from air transport in the mid-term? 0 0 2 44 1 3 9 152
Total Working Papers 8 22 187 4,082 164 414 876 9,703


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Note on Cointegrating and Vector Autoregressive Relationships between CO2 allowances spot and futures prices 0 1 10 102 2 10 24 259
A conditional dependence approach to CO2-energy price relationships 3 4 4 4 6 10 10 10
A counterfactual simulation exercise of CO 2 emissions abatement through fuel-switching in the UK (2008-2012) 1 2 3 8 1 4 5 40
A cross-volatility index for hedging the country risk 0 0 2 16 1 5 19 93
A model of carbon price interactions with macroeconomic and energy dynamics 1 2 6 40 2 5 24 139
A new weighting-scheme for equity indexes 0 0 1 4 2 5 13 28
Achieving the carbon intensity target of China: A least squares support vector machine with mixture kernel function approach 0 1 3 3 0 3 13 13
Air traffic energy efficiency differs from place to place: New results from a macro-level approach 0 0 0 1 0 1 2 19
Allocating CO2 allowances to emitters in China: A multi-objective decision approach 1 1 1 2 2 5 8 14
An Adaptive Multiscale Ensemble Learning Paradigm for Nonstationary and Nonlinear Energy Price Time Series Forecasting 0 0 0 8 0 2 3 27
An equicorrelation measure for equity, bond, foreign exchange and commodity returns 0 0 0 11 0 0 4 48
An intertemporal carbon emissions trading system with cap adjustment and path control 0 0 7 7 1 7 24 27
Anticipating correlations between EUAs and CERs: a Dynamic Conditional Correlation GARCH model 1 1 3 72 2 5 11 234
BANKING AND BORROWING IN THE EU ETS: A REVIEW OF ECONOMIC MODELLING, CURRENT PROVISIONS AND PROSPECTS FOR FUTURE DESIGN 1 1 2 106 1 6 12 253
Bankable emission permits under uncertainty and optimal risk-management rules 0 0 1 25 1 2 6 99
CO 2 abatement opportunity in the UK through fuel-switching under the EU ETS (2005-2008): evidence from the E-Simulate model 0 0 2 3 0 0 2 11
Can China achieve its carbon intensity target by 2020 while sustaining economic growth? 0 0 1 9 0 1 7 64
Capital–energy substitution in China: regional differences and dynamic evolution 0 0 0 1 1 2 2 8
Carbon Leakage and Competitiveness of Cement and Steel Industries Under the EU ETS: Much Ado About Nothing 5 12 53 150 15 42 151 361
Carbon Price Analysis Using Empirical Mode Decomposition 0 0 6 22 1 7 25 122
Carbon capture and storage (CCS) technologies and economic investment opportunities in the UK 0 1 1 20 1 4 4 83
Carbon futures and macroeconomic risk factors: A view from the EU ETS 4 6 13 187 7 15 38 467
Cointegration between carbon spot and futures prices: from linear to nonlinear modeling 0 1 4 171 2 9 21 381
Commodities risk premia and regional integration in gas-exporting countries 0 1 1 1 3 10 13 13
Commodity markets through the business cycle 0 0 0 12 2 3 5 50
Common risk factors in commodities 3 11 21 212 11 38 103 752
Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production 0 0 0 7 0 1 1 29
Cross-country performance of Lévy regime-switching models for stock markets 0 0 1 4 0 1 4 8
Cross-market index with Factor-DCC 0 0 1 12 1 3 9 70
Cross-market linkages between commodities, stocks and bonds 0 0 0 31 2 3 5 88
Cross-market spillovers with ‘volatility surprise’ 0 0 0 13 3 7 15 71
Cross-market volatility index with Factor-DCC 0 0 1 8 0 3 29 90
Detecting instability in the volatility of carbon prices 0 0 2 60 1 5 11 188
Detecting jumps and regime switches in international stock markets returns 0 0 0 0 0 2 2 19
Dynamic multiscale interactions between European carbon and electricity markets during 2005–2016 1 2 4 8 1 4 10 21
EUA and sCER phase II price drivers: Unveiling the reasons for the existence of the EUA-sCER spread 0 3 7 103 1 9 23 326
EUAs and CERs: Interactions in a Markov regime-switching environment 0 0 2 44 0 2 7 124
EUAs and CERs: Vector Autoregression, Impulse Response Function and Cointegration Analysis 0 0 6 64 2 5 24 187
Econometric analysis of carbon markets: the european union emissions trading scheme and the clean development mechanism 0 2 14 58 1 6 33 127
Economic Consequences of Permits Allocation Rules 0 0 1 31 1 6 12 95
Emissions Compliances and Carbon Prices under the EU ETS: A Country Specific Analysis of Industrial Sectors 0 1 7 149 0 4 14 364
Energy risk management with carbon assets 0 0 0 22 1 1 2 90
Enriching the VaR framework to EEMD with an application to the European carbon market 0 1 2 2 0 1 6 6
Erratum to: Hilbert Spectra and Empirical Mode Decomposition: A Multiscale Event Analysis Method to Detect the Impact of Economic Crises on the European Carbon Market 0 0 0 0 0 1 5 7
Estimation of Lévy-driven Ornstein–Uhlenbeck processes: application to modeling of $$\hbox {CO}_2$$ CO 2 and fuel-switching 1 1 4 8 5 7 16 28
European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007) 0 0 4 39 2 5 16 313
Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models 0 1 3 26 0 8 11 117
Examining the structural changes of European carbon futures price 2005-2012 1 2 2 83 1 6 8 217
Forecasting the density of returns in crude oil futures markets 0 0 0 3 0 1 1 14
Forecasting world and regional aviation jet fuel demands to the mid-term (2025) 0 1 4 229 1 3 14 889
Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices 0 2 5 24 3 11 37 92
Geographical diversification with a World Volatility Index 0 0 0 5 3 6 13 62
Global imbalances, cross-market linkages, and the financial crisis: A multivariate Markov-switching analysis 0 0 0 49 2 5 11 158
Hilbert Spectra and Empirical Mode Decomposition: A Multiscale Event Analysis Method to Detect the Impact of Economic Crises on the European Carbon Market 0 0 3 3 0 1 7 12
Including intangible costs into the cost-of-illness approach: a method refinement illustrated based on the PM2.5 economic burden in China 0 0 3 3 0 4 9 9
Investigating the leverage effect in commodity markets with a recursive estimation approach 0 1 7 19 3 8 23 61
Leverage vs. feedback: Which Effect drives the oil market? 0 0 1 10 1 4 8 64
Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model 0 1 1 8 2 5 11 49
Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model 1 1 2 51 1 2 5 158
Market fragmentation, liquidity measures and improvement perspectives from China's emissions trading scheme pilots 0 1 1 1 1 10 20 20
Market integration and financial linkages among stock markets in Pacific Basin countries 1 3 11 14 1 10 43 58
Mean-field limit of generalized Hawkes processes 0 0 0 1 1 1 2 6
Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach 0 0 0 0 2 4 4 4
Modelling risk premia in CO2 allowances spot and futures prices 0 0 0 98 1 2 5 227
Modelling the dynamics of European carbon futures price: A Zipf analysis 0 0 1 29 0 3 14 112
Nonparametric modeling of carbon prices 0 2 5 17 2 5 10 64
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 2 2 6 16 54
On the Stochastic Properties of Carbon Futures Prices 0 0 1 10 4 7 17 53
On the conditional dependence structure between oil, gold and USD exchange rates: Nested copula based GJR-GARCH model 2 2 2 2 5 8 11 11
On the estimation of regime-switching Lévy models 0 3 10 24 4 13 35 80
On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting 0 0 1 28 0 2 8 142
On the road to China's 2020 carbon intensity target from the perspective of “double control” 0 0 0 1 1 2 11 16
On the volatility–volume relationship in energy futures markets using intraday data 0 0 2 57 2 5 14 211
Options introduction and volatility in the EU ETS 0 0 0 13 4 7 14 91
Price drivers and structural breaks in European carbon prices 2005-2007 5 10 23 590 6 21 51 1,016
Price relationships in crude oil futures: new evidence from CFTC disaggregated data 0 1 3 47 2 4 10 132
Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets 0 0 0 2 1 2 4 27
Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event 0 0 0 50 0 4 5 192
Spikes and crashes in the oil market 0 0 0 12 4 6 12 65
Spéculation et marchés dérivés du pétrole 0 0 0 0 2 2 5 10
Strategic Manipulation on Emissions Trading Banking Program with Fixed Horizon 0 0 1 4 0 1 2 35
Supply-side structural effects of air pollutant emissions in China: A comparative analysis 1 1 5 5 1 2 9 9
Tail risk and the return-volatility relation 0 1 3 4 1 5 11 13
The EU Emissions Trading Scheme: the Effects of Industrial Production and CO2 Emissions on Carbon Prices 1 1 1 54 2 3 6 156
The effect of corruption on carbon dioxide emissions in APEC countries: A panel quantile regression analysis 1 3 8 28 4 11 29 132
The impact of Australian ETS news on wholesale spot electricity prices: An exploratory analysis 0 0 0 22 0 1 4 72
The impact of nonlinearities for carbon markets analyses 0 0 0 1 1 1 2 20
The place of gold in the cross-market dependencies 0 0 2 7 1 9 29 59
Time-varying correlations in oil, gas and CO 2 prices: an application using BEKK, CCC and DCC-MGARCH models 0 0 4 58 1 4 10 122
Twenty years of jumps in commodity markets 0 0 0 14 2 3 8 60
Understanding momentum in commodity markets 0 1 2 22 2 4 6 56
Variance risk-premia in CO2 markets 0 1 1 18 2 5 5 78
Volatility equicorrelation: A cross-market perspective 0 0 0 22 1 3 5 73
Volatility forecasting of carbon prices using factor models 0 0 2 106 1 5 9 242
Volatility returns with vengeance: Financial markets vs. commodities 0 0 1 34 0 8 29 137
Volatility spillovers in commodity markets 0 0 0 45 1 2 4 102
Wavelet packet transforms analysis applied to carbon prices 0 0 0 40 2 4 5 95
“De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets 1 1 10 19 4 10 58 97
“Time series momentum” in commodity markets 0 0 2 28 1 1 3 65
Total Journal Articles 36 95 334 3,902 174 547 1,496 11,982


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Econometric Analysis of Carbon Markets 0 0 0 0 1 2 2 2
Pricing and Forecasting Carbon Markets 0 0 0 0 1 2 2 2
Total Books 0 0 0 0 2 4 4 4


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
At the crossroads: can China grow in a low-carbon way? 0 0 0 1 1 1 2 13
Carbon trading: past, present and future 0 0 1 8 2 4 5 21
Mean-Reverting Lévy Jump Dynamics in the European Power Sector 0 0 0 1 3 3 6 11
Total Chapters 0 0 1 10 6 8 13 45


Statistics updated 2019-12-03