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 4 13 23 23
A Fear Index to Predict Oil Futures Returns 0 0 0 51 2 9 30 165
A cross-volatility index for hedging the country risk 0 0 0 0 1 1 10 17
A differential game of intertemporal emissions trading with market power 0 1 1 231 1 4 14 487
A fear index to predict oil futures returns 0 0 0 0 3 8 17 34
A fear index to predict oil futures returns 0 0 0 31 0 0 25 111
Air traffic energy efficiency differs from place to place: analysis of historical trends by geographical zones using a macro-level methodology 0 0 0 0 0 1 1 1
Air traffic energy efficiency differs from place to place: new results from a macro-level approach 0 0 0 6 0 0 1 36
Bankable Pollution Permits under Uncertainty and Optimal Risk Management Rules: Theory and Empirical Evidence 0 0 0 108 0 1 5 266
Banking and Borrowing in the EU ETS: An Econometric Appraisal of the 2005-2007 Intertemporal Market 1 1 1 121 2 2 10 288
Can China achieve its carbon intensity target by 2020 while sustaining economic growth? 0 0 0 0 0 0 0 0
Carbon Capture and Storage (CCS) Technologies and Economic Investment Opportunities in the UK 0 0 1 87 1 1 7 207
Carbon Price Drivers: An Updated Literature Review 0 1 3 116 1 2 16 154
Carbon Prices during the EU ETS Phase II: Dynamics and Volume Analysis 0 0 1 293 0 0 12 506
Carbon leakage and competitiveness of cement and steel industries under the EU ETS: much ado about nothing 0 0 0 0 0 0 0 0
Carbon price analysis using empirical mode decomposition 0 1 3 87 0 3 15 137
Climate finance and the restructuring of the oil-gas-coal business model under carbon asset stranding constraints 0 3 10 35 0 6 21 25
Commodities risk premia and regional integration in gas-exporting countries 0 0 0 0 0 0 17 17
Cross-Market Spillovers with 'Volatility Surprise' 0 0 0 0 0 2 15 25
Cross-Market Spillovers with 'Volatility Surprise' 0 0 0 47 0 4 14 83
Cross-Market Spillovers with ‘Volatility Surprise’ 0 2 2 68 0 2 14 148
Cross-market index with Factor-DCC 0 0 0 0 1 1 6 15
Cross-market volatility index with Factor-DCC 0 0 0 0 0 0 9 24
Detecting jumps and regime-switches in international stock markets returns 0 0 0 10 1 1 5 24
EUA and sCER phase II price drivers: Unveiling the reasons for the existence of the EUA-sCER spread 0 0 0 0 1 4 21 46
Econometric Analysis of Carbon Markets: The European Union Emissions Trading Scheme and the Clean Development Mechanism 0 0 0 0 1 6 15 67
Emissions Compliances and Carbon Prices under the EU ETS: A Country Specific Analysis of Industrial SectorsEmissions Compliances and Carbon Price 0 0 0 0 0 3 23 54
Emissions Compliances and Carbon Prices under the EU ETS: A Country Specific Analysis of Industrial SectorsEmissions Compliances and Carbon Price 0 0 0 0 0 1 1 1
Emissions Trading: What Makes It Work? 0 0 0 89 0 0 5 100
Energy Risk Management with Carbon Assets 0 0 1 114 0 0 5 202
Etudes économétriques récentes réalisées à partir des données de la CFTC 0 0 0 23 0 0 5 118
European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007) 0 0 0 0 0 0 2 2
European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007) 0 0 0 0 0 1 20 36
European carbon prices and banking restrictions: evidence from phase I (2005-2007) 0 1 3 259 0 1 12 606
European carbon prices fundamentals in 2005-2007: the effects of energy markets, temperatures and sectorial production 0 1 3 232 1 3 13 473
Financial Mathematics, Volatility and Covariance Modelling 0 0 0 0 1 2 19 19
Forecasting air traffic and corresponding jet-fuel demande until 2025 0 0 1 1 0 1 2 2
Forecasting world and regional aviation jet fuel demands to the mid-term (2025) 0 0 0 0 2 3 18 47
Fundamental and Financial Influences on the Co-movement of Oil and Gas prices 0 0 0 0 3 4 11 34
Geographical Diversification with a World Volatility Index 0 0 0 0 2 3 15 22
International Financial Markets 0 0 0 0 0 2 16 16
Intertemporal Emissions Trading and Allocation Rules: Gainers, Losers and the Spectre of Market Power 0 0 0 79 0 2 7 122
Intertemporal Emissions Trading and Market Power: A Dominant Firm with Competitive Fringe Model 0 0 2 65 0 1 14 320
Investigating Fiscal and Monetary Policies Coordination and Public Debt in Kenya: Evidence from regime-switching and self-exciting threshold autoregressive models 0 0 15 15 1 1 12 12
Investigating fiscal and monetary policies coordination and public debt in Kenya: Evidence from regime-switching and self-exciting threshold autoregressive models 0 1 14 14 1 4 19 19
Les déterminants du prix du carbone sur le marché européen des quotas 0 0 1 79 1 2 5 194
Leverage vs. Feedback: Which Effect Drives the Oil Market ? 0 0 0 0 0 4 14 27
Leverage vs. Feedback: Which Effect Drives the Oil Market? 1 2 3 23 2 3 21 112
Mean-Reverting Lévy Jump Dynamics in the European Power Sector 0 0 0 0 1 1 10 10
Modeling the dynamics of European carbon futures price: a Zipf analysis 0 0 1 65 0 1 9 95
Modelling the convenience yield in carbon prices using daily and realized measures 1 2 3 91 1 2 9 187
Oil Price Risk and Financial Contagion 0 0 0 0 0 0 7 7
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 0 0 1 13 37
On the Bitcoin price dynamics: an augmented Markov-Switching model with Lévy jumps 0 2 13 32 0 4 31 39
On the CO2 emissions determinants during the EU ETS Phases I and II: a plant-level analysis merging the EUTL and Platts power data 0 0 0 0 3 6 27 27
On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting 0 0 0 44 1 3 14 195
On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting 0 0 0 0 0 4 11 18
On the Stochastic Properties of Carbon Futures Prices 0 0 0 0 1 1 9 24
On the Stochastic Properties of Carbon Futures Prices 0 0 1 17 0 0 10 75
On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting 1 1 1 46 1 4 14 145
On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting 0 0 0 101 0 2 11 286
On the volatility-volume relationship in energy futures markets using intraday data 0 0 3 182 2 4 24 344
Options Introduction and Volatility in the EU ETS 1 1 1 51 2 2 9 119
Options introduction and volatility in the EU ETS 0 0 0 37 1 1 12 146
Options introduction and volatility in the EU ETS 0 0 0 44 1 1 14 116
Options introduction and volatility in the EU ETS 0 0 0 103 1 2 9 254
Price relationships in the EU emissions trading system 0 0 0 101 0 1 5 174
Pricing and Forecasting Carbon Markets: Models and Empirical Analyses 0 0 0 0 0 0 0 0
Primary balance dynamics and public debt sustainability in Kenya 0 1 11 19 1 7 45 53
Re-examining the concept of sustainable development in light of climate change 0 0 0 85 1 2 10 146
Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets 0 0 0 0 0 0 4 18
Regime changes and fiscal sustainability in Kenya with comparative nonlinear Granger causalities across East-African countries 0 3 5 21 0 5 18 32
Spikes and crashes in the oil market 0 0 0 0 1 2 14 39
Spéculation et marchés dérivés du pétrole 0 0 0 33 0 0 8 171
Statistical Method to Estimate Regime-Switching Levy Model 0 0 0 0 0 0 0 0
Study of the dynamic of Bitcoin's price 0 1 33 33 0 6 23 23
The EU ETS: CO2 prices drivers during the learning experience (2005-2007) 0 0 1 146 0 1 5 356
The EU Emissions Trading Scheme: Disentangling the Effects of Industrial Production and CO2 Emissions on Carbon Prices 0 0 3 279 0 2 10 651
The EUA-sCER Spread: Compliance Strategies and Arbitrage in the European Carbon Market 0 0 0 88 0 1 9 257
The Economics of Commodity Markets 0 0 0 0 0 0 0 0
The Economics of Commodity Markets 0 0 0 0 0 0 0 0
The European carbon market (2005-2007): banking, pricing and risk-hedging strategies 0 1 4 108 0 1 9 207
The cross-market index for volatility surprise 0 0 0 0 0 1 6 8
The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process 1 1 1 26 1 3 11 93
Time-varying correlations in oil, gas and CO2 prices: an application using BEKK, CCC, and DCC-MGARCH models 0 0 3 16 1 3 21 76
Understanding the link between aggregated industrial production and the carbon price 0 0 2 34 0 1 7 43
Volatility equicorrelation: A cross-market perspective 0 0 0 0 2 2 11 19
Volatility returns with vengeance: Financial markets vs. commodities 0 0 0 0 0 3 11 15
Will technological progress be sufficient to effectively lead the air transport to a sustainable development in the mid-term (2025)? 0 0 3 17 1 1 9 60
Will technological progress be sufficient to stabilize CO2 emissions from air transport in the mid-term ? 0 0 0 0 0 0 0 0
Will technological progress be sufficient to stabilize CO2 emissions from air transport in the mid-term? 0 0 1 44 1 3 12 157
Total Working Papers 6 27 155 4,147 57 196 1,073 10,166


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 7 107 2 5 26 272
A conditional dependence approach to CO2-energy price relationships 2 4 9 9 2 7 26 26
A counterfactual simulation exercise of CO 2 emissions abatement through fuel-switching in the UK (2008-2012) 0 0 3 9 1 1 11 47
A cross-volatility index for hedging the country risk 0 0 0 16 1 1 8 95
A dynamic conditional regime-switching GARCH CAPM for energy and financial markets 0 1 1 1 1 4 4 4
A model of carbon price interactions with macroeconomic and energy dynamics 0 4 8 45 2 8 26 154
A new weighting-scheme for equity indexes 0 0 2 5 0 0 8 30
Achieving the carbon intensity target of China: A least squares support vector machine with mixture kernel function approach 0 0 2 4 1 1 14 18
Air traffic energy efficiency differs from place to place: New results from a macro-level approach 0 0 0 1 0 0 3 21
Allocating CO2 allowances to emitters in China: A multi-objective decision approach 0 0 1 2 1 2 9 17
Allocating provincial CO2 quotas for the Chinese national carbon program 0 0 0 0 0 0 0 0
An Adaptive Multiscale Ensemble Learning Paradigm for Nonstationary and Nonlinear Energy Price Time Series Forecasting 1 1 1 9 1 1 3 28
An equicorrelation measure for equity, bond, foreign exchange and commodity returns 0 0 0 11 0 0 2 50
An intertemporal carbon emissions trading system with cap adjustment and path control 0 0 1 7 0 0 12 27
Anticipating correlations between EUAs and CERs: a Dynamic Conditional Correlation GARCH model 0 1 3 73 0 1 9 237
Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models 0 0 0 0 0 0 0 0
BANKING AND BORROWING IN THE EU ETS: A REVIEW OF ECONOMIC MODELLING, CURRENT PROVISIONS AND PROSPECTS FOR FUTURE DESIGN 0 1 5 109 0 2 17 261
Bankable emission permits under uncertainty and optimal risk-management rules 0 0 1 25 2 3 8 103
CO 2 abatement opportunity in the UK through fuel-switching under the EU ETS (2005-2008): evidence from the E-Simulate model 0 0 1 4 0 0 1 12
Can China achieve its carbon intensity target by 2020 while sustaining economic growth? 0 0 1 9 1 2 8 69
Capital–energy substitution in China: regional differences and dynamic evolution 0 0 1 2 0 0 4 10
Carbon Leakage and Competitiveness of Cement and Steel Industries Under the EU ETS: Much Ado About Nothing 5 18 66 194 23 56 176 477
Carbon Price Analysis Using Empirical Mode Decomposition 2 4 6 28 4 7 23 136
Carbon capture and storage (CCS) technologies and economic investment opportunities in the UK 0 0 2 21 0 0 6 85
Carbon futures and macroeconomic risk factors: A view from the EU ETS 2 4 14 193 3 6 34 482
Cointegration between carbon spot and futures prices: from linear to nonlinear modeling 0 0 4 173 1 1 16 385
Commodities risk premia and regional integration in gas-exporting countries 1 2 5 5 2 5 26 26
Commodity markets through the business cycle 0 0 0 12 0 0 7 53
Common risk factors in commodities 2 7 24 222 8 25 119 804
Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production 0 0 0 7 3 5 10 38
Cross-country performance of Lévy regime-switching models for stock markets 0 0 0 4 0 0 3 9
Cross-market index with Factor-DCC 0 0 0 12 1 1 11 76
Cross-market linkages between commodities, stocks and bonds 0 0 0 31 0 0 9 93
Cross-market spillovers with ‘volatility surprise’ 0 0 0 13 0 2 12 75
Cross-market volatility index with Factor-DCC 0 0 0 8 0 0 6 93
Detecting instability in the volatility of carbon prices 0 1 2 62 0 2 15 198
Detecting jumps and regime switches in international stock markets returns 0 0 0 0 0 0 3 20
Dynamic Spillovers between Gulf Cooperation Council’s Stocks, VIX, Oil and Gold Volatility Indices 0 0 0 0 1 9 9 9
Dynamic multiscale interactions between European carbon and electricity markets during 2005–2016 0 0 2 8 0 1 8 22
EUA and sCER phase II price drivers: Unveiling the reasons for the existence of the EUA-sCER spread 1 1 4 104 1 3 21 337
EUAs and CERs: Interactions in a Markov regime-switching environment 0 0 2 44 0 2 9 128
EUAs and CERs: Vector Autoregression, Impulse Response Function and Cointegration Analysis 0 1 1 65 0 2 12 191
Econometric analysis of carbon markets: the european union emissions trading scheme and the clean development mechanism 0 3 9 64 3 11 23 142
Economic Consequences of Permits Allocation Rules 1 1 1 32 4 5 15 102
Emissions Compliances and Carbon Prices under the EU ETS: A Country Specific Analysis of Industrial Sectors 1 1 7 155 2 4 15 375
Energy risk management with carbon assets 0 0 3 25 1 1 8 97
Enriching the VaR framework to EEMD with an application to the European carbon market 0 0 2 3 2 2 7 10
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 0 4 7
Estimation of Lévy-driven Ornstein–Uhlenbeck processes: application to modeling of $$\hbox {CO}_2$$ CO 2 and fuel-switching 1 1 2 9 4 6 17 36
European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007) 0 0 0 39 0 0 13 321
Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models 0 1 3 28 0 1 16 125
Examining the structural changes of European carbon futures price 2005-2012 0 0 2 83 0 0 6 217
Forecasting the density of returns in crude oil futures markets 0 0 0 3 0 0 2 15
Forecasting world and regional aviation jet fuel demands to the mid-term (2025) 0 3 7 234 1 6 13 898
Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices 1 1 4 26 3 5 28 108
Geographical diversification with a World Volatility Index 0 0 0 5 2 3 14 68
Global imbalances, cross-market linkages, and the financial crisis: A multivariate Markov-switching analysis 0 0 1 50 5 10 27 178
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 3 2 3 6 16
Identifying price bubbles in the US, European and Asian natural gas market: Evidence from a GSADF test approach 0 0 0 0 0 0 0 0
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 4 8 23 24
Investigating the leverage effect in commodity markets with a recursive estimation approach 0 1 5 22 1 4 28 76
Leverage vs. feedback: Which Effect drives the oil market? 1 3 3 13 1 3 10 69
Local Gaussian correlations in financial and commodity markets 0 0 0 0 2 5 5 5
Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model 0 0 2 52 0 2 9 164
Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model 0 0 2 9 0 0 10 54
Market fragmentation, liquidity measures and improvement perspectives from China's emissions trading scheme pilots 0 0 4 4 2 7 28 36
Market integration and financial linkages among stock markets in Pacific Basin countries 0 1 13 23 2 4 41 81
Mean-field limit of generalized Hawkes processes 0 0 0 1 0 0 1 6
Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach 0 0 1 1 2 2 17 17
Modelling risk premia in CO2 allowances spot and futures prices 0 0 1 99 0 1 6 231
Modelling the dynamics of European carbon futures price: A Zipf analysis 0 0 0 29 1 2 11 115
Nonparametric modeling of carbon prices 0 0 4 18 1 1 12 69
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 2 0 3 18 64
On the Stochastic Properties of Carbon Futures Prices 0 0 1 10 2 3 15 59
On the conditional dependence structure between oil, gold and USD exchange rates: Nested copula based GJR-GARCH model 0 0 10 10 2 9 39 39
On the estimation of regime-switching Lévy models 1 1 8 29 5 7 30 95
On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting 0 0 0 28 0 1 8 145
On the road to China's 2020 carbon intensity target from the perspective of “double control” 0 0 1 2 1 3 16 24
On the volatility–volume relationship in energy futures markets using intraday data 0 0 2 59 0 0 11 216
Options introduction and volatility in the EU ETS 1 1 1 14 2 2 13 95
Price drivers and structural breaks in European carbon prices 2005-2007 1 10 32 609 4 19 63 1,051
Price relationships in crude oil futures: new evidence from CFTC disaggregated data 0 1 2 48 1 6 16 142
Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets 0 0 0 2 0 0 3 28
Regime changes and fiscal sustainability in Kenya 0 1 1 1 4 8 8 8
Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event 0 0 0 50 0 0 9 196
Spikes and crashes in the oil market 0 0 0 12 1 1 11 69
Spéculation et marchés dérivés du pétrole 0 0 0 0 0 1 8 16
Strategic Manipulation on Emissions Trading Banking Program with Fixed Horizon 0 0 0 4 1 1 5 39
Supply-side structural effects of air pollutant emissions in China: A comparative analysis 0 0 2 5 1 2 9 14
Tail risk and the return-volatility relation 0 0 1 4 0 1 8 15
The EU Emissions Trading Scheme: the Effects of Industrial Production and CO2 Emissions on Carbon Prices 0 0 2 55 3 8 20 172
The effect of corruption on carbon dioxide emissions in APEC countries: A panel quantile regression analysis 0 4 17 42 1 11 44 163
The impact of Australian ETS news on wholesale spot electricity prices: An exploratory analysis 0 0 0 22 0 0 5 76
The impact of nonlinearities for carbon markets analyses 0 0 2 3 0 0 4 23
The place of gold in the cross-market dependencies 0 1 3 9 3 7 31 75
Time-varying correlations in oil, gas and CO 2 prices: an application using BEKK, CCC and DCC-MGARCH models 0 0 4 59 0 0 16 130
Twenty years of jumps in commodity markets 0 1 2 16 0 3 12 68
Understanding momentum in commodity markets 0 0 2 23 0 0 6 58
Variance risk-premia in CO2 markets 0 1 3 20 0 2 9 82
Volatility equicorrelation: A cross-market perspective 0 0 0 22 0 0 6 76
Volatility forecasting of carbon prices using factor models 0 0 2 107 0 0 10 246
Volatility returns with vengeance: Financial markets vs. commodities 0 0 1 35 2 6 26 150
Volatility spillovers in commodity markets 0 1 1 46 0 3 6 106
Wavelet packet transforms analysis applied to carbon prices 0 0 0 40 0 1 8 99
“De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets 0 0 7 24 2 9 42 121
“Time series momentum” in commodity markets 0 0 4 31 0 0 7 70
Total Journal Articles 24 89 369 4,130 142 378 1,691 12,910
1 registered items for which data could not be found


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 0 0 2 2
Pricing and Forecasting Carbon Markets 0 0 0 0 0 0 2 2
Total Books 0 0 0 0 0 0 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? 1 1 1 2 2 2 5 17
Carbon trading: past, present and future 0 1 2 10 2 5 13 30
Low Carbon Indexing and Correlation Indices: Implications for Portfolio Management 0 0 0 0 1 2 2 2
Mean-Reverting Lévy Jump Dynamics in the European Power Sector 0 0 0 1 1 1 9 16
Total Chapters 1 2 3 13 6 10 29 65


Statistics updated 2020-07-04