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 51 48 237 299 445
A Fear Index to Predict Oil Futures Returns 0 0 0 0 1 4 21 30
A cross-volatility index for hedging the country risk 0 0 0 0 1 3 9 21
A differential game of intertemporal emissions trading with market power 0 0 1 231 0 0 12 489
A fear index to predict oil futures returns 0 0 0 0 0 2 15 39
A fear index to predict oil futures returns 0 0 1 32 3 30 42 153
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 0 1 1
Air traffic energy efficiency differs from place to place: new results from a macro-level approach 0 0 0 6 2 4 5 41
Bankable Pollution Permits under Uncertainty and Optimal Risk Management Rules: Theory and Empirical Evidence 0 1 1 109 1 3 8 271
Banking and Borrowing in the EU ETS: An Econometric Appraisal of the 2005-2007 Intertemporal Market 0 0 1 121 0 0 5 288
Can China achieve its carbon intensity target by 2020 while sustaining economic growth? 0 0 0 0 0 2 5 5
Carbon Capture and Storage (CCS) Technologies and Economic Investment Opportunities in the UK 0 1 1 88 0 1 4 209
Carbon Price Drivers: An Updated Literature Review 0 0 2 116 2 3 14 158
Carbon Prices during the EU ETS Phase II: Dynamics and Volume Analysis 0 0 0 293 0 0 3 506
Carbon leakage and competitiveness of cement and steel industries under the EU ETS: much ado about nothing 0 0 0 0 2 3 11 11
Carbon price analysis using empirical mode decomposition 0 0 2 87 0 0 8 138
Climate finance and the restructuring of the oil-gas-coal business model under carbon asset stranding constraints 1 1 7 37 4 5 14 31
Commodities risk premia and regional integration in gas-exporting countries 0 0 0 0 1 3 10 20
Cross-Market Spillovers with 'Volatility Surprise' 0 1 1 48 1 3 11 88
Cross-Market Spillovers with 'Volatility Surprise' 0 0 0 0 1 7 15 35
Cross-Market Spillovers with ‘Volatility Surprise’ 0 0 2 68 0 3 6 152
Cross-market index with Factor-DCC 0 0 0 0 3 4 7 20
Cross-market volatility index with Factor-DCC 0 0 0 0 2 4 7 29
Detecting jumps and regime-switches in international stock markets returns 0 0 0 10 0 0 4 24
EUA and sCER phase II price drivers: Unveiling the reasons for the existence of the EUA-sCER spread 0 0 0 0 0 0 10 48
Econometric Analysis of Carbon Markets: The European Union Emissions Trading Scheme and the Clean Development Mechanism 0 0 0 0 0 2 16 73
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 0 1 1
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 2 11 56
Emissions Trading: What Makes It Work? 0 0 0 89 0 0 2 100
Energy Risk Management with Carbon Assets 0 0 1 114 0 0 2 203
Etudes économétriques récentes réalisées à partir des données de la CFTC 0 0 0 23 1 1 2 119
European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007) 0 0 0 0 0 0 9 40
European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007) 0 0 0 0 0 1 4 4
European carbon prices and banking restrictions: evidence from phase I (2005-2007) 0 0 4 261 1 4 12 614
European carbon prices fundamentals in 2005-2007: the effects of energy markets, temperatures and sectorial production 0 0 2 232 1 2 10 478
Financial Mathematics, Volatility and Covariance Modelling 0 0 0 0 2 4 12 27
Forecasting air traffic and corresponding jet-fuel demande until 2025 0 1 3 3 0 3 9 9
Forecasting world and regional aviation jet fuel demands to the mid-term (2025) 0 0 0 0 0 2 13 54
Fundamental and Financial Influences on the Co-movement of Oil and Gas prices 0 0 0 0 0 3 12 39
Geographical Diversification with a World Volatility Index 0 0 0 0 0 0 7 24
International Financial Markets 0 0 0 0 0 0 7 18
Intertemporal Emissions Trading and Allocation Rules: Gainers, Losers and the Spectre of Market Power 0 0 0 79 1 3 5 125
Intertemporal Emissions Trading and Market Power: A Dominant Firm with Competitive Fringe Model 0 0 1 65 0 0 4 320
Investigating Fiscal and Monetary Policies Coordination and Public Debt in Kenya: Evidence from regime-switching and self-exciting threshold autoregressive models 0 0 1 15 0 1 5 15
Investigating fiscal and monetary policies coordination and public debt in Kenya: Evidence from regime-switching and self-exciting threshold autoregressive models 0 0 2 15 0 2 12 24
Les déterminants du prix du carbone sur le marché européen des quotas 0 0 0 79 0 0 2 194
Leverage vs. Feedback: Which Effect Drives the Oil Market ? 0 0 0 0 0 3 12 33
Leverage vs. Feedback: Which Effect Drives the Oil Market? 0 0 2 23 0 1 14 118
Mean-Reverting Lévy Jump Dynamics in the European Power Sector 0 0 0 0 1 1 9 14
Modeling the dynamics of European carbon futures price: a Zipf analysis 0 0 0 65 0 1 3 97
Modelling the convenience yield in carbon prices using daily and realized measures 0 0 2 91 0 2 6 190
Oil Price Risk and Financial Contagion 0 0 0 0 1 2 5 10
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 0 0 1 7 38
On the Bitcoin price dynamics: an augmented Markov-Switching model with Lévy jumps 0 0 3 32 0 2 11 42
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 12 47 52
On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting 0 0 0 0 0 3 13 24
On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting 0 0 0 44 1 2 9 199
On the Stochastic Properties of Carbon Futures Prices 0 0 1 17 0 0 5 75
On the Stochastic Properties of Carbon Futures Prices 0 0 0 0 0 0 6 25
On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting 0 0 1 46 0 2 11 148
On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting 0 0 0 101 0 2 10 291
On the volatility-volume relationship in energy futures markets using intraday data 0 0 1 182 0 1 20 355
Options Introduction and Volatility in the EU ETS 1 1 2 52 1 4 9 124
Options introduction and volatility in the EU ETS 0 0 0 44 1 4 10 121
Options introduction and volatility in the EU ETS 0 0 0 103 0 4 9 259
Options introduction and volatility in the EU ETS 0 0 0 37 0 5 9 153
Price relationships in the EU emissions trading system 1 2 2 103 1 4 6 178
Pricing and Forecasting Carbon Markets: Models and Empirical Analyses 0 0 0 0 2 3 5 5
Primary balance dynamics and public debt sustainability in Kenya 0 0 3 19 0 1 24 55
Re-examining the concept of sustainable development in light of climate change 0 0 0 85 0 0 7 147
Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets 0 0 0 0 0 2 4 21
Regime changes and fiscal sustainability in Kenya with comparative nonlinear Granger causalities across East-African countries 0 0 7 24 1 3 17 40
Spikes and crashes in the oil market 0 0 0 0 0 0 8 40
Spéculation et marchés dérivés du pétrole 0 0 0 33 1 2 6 173
Statistical Method to Estimate Regime-Switching Levy Model 0 0 0 0 0 1 1 1
Study of the dynamic of Bitcoin's price 0 1 4 35 0 2 13 28
The EU ETS: CO2 prices drivers during the learning experience (2005-2007) 0 0 1 146 0 1 6 359
The EU Emissions Trading Scheme: Disentangling the Effects of Industrial Production and CO2 Emissions on Carbon Prices 0 0 4 280 1 5 14 659
The EUA-sCER Spread: Compliance Strategies and Arbitrage in the European Carbon Market 0 0 0 88 0 0 4 258
The Economics of Commodity Markets 0 0 0 0 0 0 0 0
The Economics of Commodity Markets 0 0 0 0 0 1 2 2
The European carbon market (2005-2007): banking, pricing and risk-hedging strategies 0 0 2 108 0 0 5 207
The cross-market index for volatility surprise 0 0 0 0 1 2 4 10
The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process 0 1 2 27 1 2 8 95
Time-varying correlations in oil, gas and CO2 prices: an application using BEKK, CCC, and DCC-MGARCH models 0 0 1 16 2 4 15 82
Understanding the link between aggregated industrial production and the carbon price 0 1 4 36 2 4 9 49
Volatility equicorrelation: A cross-market perspective 0 0 0 0 0 1 4 20
Volatility returns with vengeance: Financial markets vs. commodities 0 0 0 0 0 2 7 18
Will technological progress be sufficient to effectively lead the air transport to a sustainable development in the mid-term (2025)? 0 0 3 17 0 1 11 64
Will technological progress be sufficient to stabilize CO2 emissions from air transport in the mid-term ? 0 1 1 1 0 8 9 9
Will technological progress be sufficient to stabilize CO2 emissions from air transport in the mid-term? 1 1 1 45 1 9 15 169
Total Working Papers 4 13 80 4,172 99 461 1,132 10,846


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 0 5 108 0 3 16 277
A conditional dependence approach to CO2-energy price relationships 0 0 6 10 0 2 16 29
A counterfactual simulation exercise of CO 2 emissions abatement through fuel-switching in the UK (2008-2012) 0 0 0 9 0 0 5 48
A cross-volatility index for hedging the country risk 0 2 2 18 2 4 10 103
A dynamic conditional regime-switching GARCH CAPM for energy and financial markets 0 0 5 5 1 3 13 13
A model of carbon price interactions with macroeconomic and energy dynamics 1 1 5 46 2 4 21 162
A new weighting-scheme for equity indexes 1 1 3 7 3 5 9 37
Achieving the carbon intensity target of China: A least squares support vector machine with mixture kernel function approach 0 0 1 4 0 1 7 20
Air traffic energy efficiency differs from place to place: New results from a macro-level approach 0 0 0 1 2 4 8 27
Allocating CO2 allowances to emitters in China: A multi-objective decision approach 0 0 0 2 0 1 5 19
Allocating provincial CO2 quotas for the Chinese national carbon program 0 0 0 0 0 0 1 1
An Adaptive Multiscale Ensemble Learning Paradigm for Nonstationary and Nonlinear Energy Price Time Series Forecasting 0 1 2 10 0 1 2 29
An equicorrelation measure for equity, bond, foreign exchange and commodity returns 0 0 0 11 0 0 3 51
An intertemporal carbon emissions trading system with cap adjustment and path control 0 0 0 7 1 2 5 32
Anticipating correlations between EUAs and CERs: a Dynamic Conditional Correlation GARCH model 0 0 1 73 1 2 6 240
Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models 1 2 3 3 6 10 16 16
BANKING AND BORROWING IN THE EU ETS: A REVIEW OF ECONOMIC MODELLING, CURRENT PROVISIONS AND PROSPECTS FOR FUTURE DESIGN 0 0 2 109 2 2 8 263
Bankable emission permits under uncertainty and optimal risk-management rules 0 0 0 25 0 0 4 103
CO 2 abatement opportunity in the UK through fuel-switching under the EU ETS (2005-2008): evidence from the E-Simulate model 0 0 0 4 0 0 0 12
Can China achieve its carbon intensity target by 2020 while sustaining economic growth? 0 0 1 10 0 1 6 72
Capital–energy substitution in China: regional differences and dynamic evolution 0 0 0 2 0 0 1 10
Carbon Leakage and Competitiveness of Cement and Steel Industries Under the EU ETS: Much Ado About Nothing 5 21 64 224 18 71 222 604
Carbon Price Analysis Using Empirical Mode Decomposition 0 1 8 31 1 5 20 143
Carbon capture and storage (CCS) technologies and economic investment opportunities in the UK 0 0 0 21 1 1 2 86
Carbon futures and macroeconomic risk factors: A view from the EU ETS 2 7 17 204 5 15 35 503
Cointegration between carbon spot and futures prices: from linear to nonlinear modeling 1 1 2 174 1 2 10 392
Commodities risk premia and regional integration in gas-exporting countries 0 0 4 5 0 2 15 32
Commodity markets through the business cycle 0 0 0 12 0 1 4 54
Common risk factors in commodities 2 4 21 233 3 11 89 847
Covid-19 Pandemic and Financial Contagion 0 0 0 0 6 6 6 6
Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production 0 0 0 7 0 0 9 38
Cross-country performance of Lévy regime-switching models for stock markets 0 0 0 4 0 0 2 10
Cross-market index with Factor-DCC 0 0 0 12 2 2 8 78
Cross-market linkages between commodities, stocks and bonds 0 0 0 31 0 0 5 94
Cross-market spillovers with ‘volatility surprise’ 0 0 0 13 1 3 8 80
Cross-market volatility index with Factor-DCC 0 0 0 8 3 3 7 97
Cross‐market spillovers with ‘volatility surprise’ 0 0 0 0 1 1 2 2
Detecting instability in the volatility of carbon prices 1 1 4 64 1 1 12 202
Detecting jumps and regime switches in international stock markets returns 0 0 0 0 0 1 3 22
Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? New evidence 1 3 3 3 1 3 3 3
Dynamic Spillovers between Gulf Cooperation Council’s Stocks, VIX, Oil and Gold Volatility Indices 0 1 1 1 1 3 14 14
Dynamic multiscale interactions between European carbon and electricity markets during 2005–2016 0 0 0 8 0 2 6 27
EUA and sCER phase II price drivers: Unveiling the reasons for the existence of the EUA-sCER spread 0 0 2 105 1 2 15 343
EUAs and CERs: Interactions in a Markov regime-switching environment 1 2 2 46 1 2 6 130
EUAs and CERs: Vector Autoregression, Impulse Response Function and Cointegration Analysis 0 0 1 65 1 1 10 198
Econometric analysis of carbon markets: the european union emissions trading scheme and the clean development mechanism 0 2 9 67 2 6 23 150
Economic Consequences of Permits Allocation Rules 1 1 2 33 1 3 10 105
Emissions Compliances and Carbon Prices under the EU ETS: A Country Specific Analysis of Industrial Sectors 0 4 10 160 1 6 15 382
Energy risk management with carbon assets 0 0 4 26 0 0 8 100
Enriching the VaR framework to EEMD with an application to the European carbon market 0 0 1 3 1 2 7 13
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 2 9
Estimation of Lévy-driven Ornstein–Uhlenbeck processes: application to modeling of $$\hbox {CO}_2$$ CO 2 and fuel-switching 0 1 6 14 0 2 17 45
European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007) 0 1 1 40 1 4 12 326
Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models 0 0 1 28 0 0 6 128
Examining the structural changes of European carbon futures price 2005-2012 0 1 2 85 0 1 3 220
Forecasting the density of returns in crude oil futures markets 0 0 0 3 0 0 1 15
Forecasting world and regional aviation jet fuel demands to the mid-term (2025) 0 0 6 235 0 3 20 909
Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices 0 0 3 27 1 3 21 116
Geographical diversification with a World Volatility Index 0 0 0 5 0 0 8 71
Global imbalances, cross-market linkages, and the financial crisis: A multivariate Markov-switching analysis 0 0 1 51 2 2 23 183
Hedging and safe-haven characteristics of Gold against currencies: An investigation based on multivariate dynamic copula theory 0 0 0 0 0 3 3 3
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 0 4 11 23
Identifying price bubbles in the US, European and Asian natural gas market: Evidence from a GSADF test approach 0 0 2 2 0 7 13 13
Including intangible costs into the cost-of-illness approach: a method refinement illustrated based on the PM2.5 economic burden in China 0 2 2 5 4 14 33 45
Investigating the leverage effect in commodity markets with a recursive estimation approach 0 1 3 23 2 6 20 82
Leverage vs. feedback: Which Effect drives the oil market? 0 0 3 13 1 2 10 74
Local Gaussian correlations in financial and commodity markets 0 1 1 1 1 3 10 10
Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model 0 1 2 53 1 3 7 167
Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model 0 0 1 9 0 2 7 57
Market fragmentation, liquidity measures and improvement perspectives from China's emissions trading scheme pilots 0 1 3 6 1 3 22 47
Market integration and financial linkages among stock markets in Pacific Basin countries 0 0 3 23 1 2 21 91
Mean-field limit of generalized Hawkes processes 0 0 0 1 0 1 2 8
Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach 0 0 1 1 1 2 14 22
Modelling risk premia in CO2 allowances spot and futures prices 0 0 1 99 0 1 6 233
Modelling the dynamics of European carbon futures price: A Zipf analysis 0 0 1 30 0 1 7 119
Nonparametric modeling of carbon prices 0 0 1 19 0 1 7 73
Oil vs. gasoline: The dark side of volatility and taxation 0 0 0 2 0 2 12 68
On the Stochastic Properties of Carbon Futures Prices 0 0 0 10 0 0 7 60
On the conditional dependence structure between oil, gold and USD exchange rates: Nested copula based GJR-GARCH model 1 2 11 16 4 12 50 67
On the estimation of regime-switching Lévy models 0 2 7 32 0 5 25 106
On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting 0 0 0 28 1 3 8 150
On the road to China's 2020 carbon intensity target from the perspective of “double control” 0 0 1 2 1 1 9 26
On the volatility–volume relationship in energy futures markets using intraday data 0 1 5 62 1 2 8 221
Options introduction and volatility in the EU ETS 0 0 2 15 0 3 8 100
Portfolio allocation across variance risk premia 0 1 2 2 2 3 5 5
Price drivers and structural breaks in European carbon prices 2005-2007 3 11 33 625 6 22 64 1,083
Price relationships in crude oil futures: new evidence from CFTC disaggregated data 0 0 1 48 0 0 9 144
Quantile spillovers and dependence between Bitcoin, equities and strategic commodities 0 0 0 0 2 7 7 7
Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets 0 0 0 2 0 0 2 29
Regime changes and fiscal sustainability in Kenya 0 1 11 11 1 11 35 35
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 2 196
Spikes and crashes in the oil market 0 0 0 12 0 0 6 71
Spéculation et marchés dérivés du pétrole 0 0 0 0 0 1 5 17
Strategic Manipulation on Emissions Trading Banking Program with Fixed Horizon 0 0 0 4 0 0 4 39
Supply-side structural effects of air pollutant emissions in China: A comparative analysis 0 0 0 5 1 1 6 17
Tail risk and the return-volatility relation 0 0 1 5 0 3 7 20
The EU Emissions Trading Scheme: the Effects of Industrial Production and CO2 Emissions on Carbon Prices 0 0 1 55 0 0 17 173
The effect of corruption on carbon dioxide emissions in APEC countries: A panel quantile regression analysis 1 1 15 45 2 5 41 175
The impact of Australian ETS news on wholesale spot electricity prices: An exploratory analysis 0 0 0 22 0 0 1 76
The impact of nonlinearities for carbon markets analyses 0 0 1 3 0 0 1 23
The place of gold in the cross-market dependencies 0 0 2 9 3 5 28 87
Time-varying correlations in oil, gas and CO 2 prices: an application using BEKK, CCC and DCC-MGARCH models 0 0 1 59 3 5 13 136
Twenty years of jumps in commodity markets 0 0 2 16 0 0 9 69
Understanding momentum in commodity markets 0 1 2 24 0 1 4 60
Variance risk-premia in CO2 markets 0 0 2 20 0 1 8 86
Volatility equicorrelation: A cross-market perspective 0 1 1 23 0 1 5 80
Volatility forecasting of carbon prices using factor models 0 0 0 107 0 1 4 248
Volatility returns with vengeance: Financial markets vs. commodities 0 0 0 35 0 1 15 155
Volatility spillovers in commodity markets 0 1 2 47 0 3 10 112
Wavelet packet transforms analysis applied to carbon prices 0 1 1 41 0 1 4 100
“De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets 0 1 6 27 1 3 24 126
“Time series momentum” in commodity markets 0 0 5 33 0 0 8 73
Total Journal Articles 22 88 350 4,297 117 374 1,515 13,648
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 1 1 3
Pricing and Forecasting Carbon Markets 0 0 0 0 0 1 2 4
Total Books 0 0 0 0 0 2 3 7


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 1 2 0 0 4 17
Carbon trading: past, present and future 0 0 2 10 0 1 11 32
Low Carbon Indexing and Correlation Indices: Implications for Portfolio Management 0 0 0 0 0 0 4 4
Mean-Reverting Lévy Jump Dynamics in the European Power Sector 0 0 0 1 0 0 5 17
Total Chapters 0 0 3 13 0 1 24 70


Statistics updated 2021-01-03