Details about Stéphane Goutte
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Short-id: pgo412
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Working Papers
2024
- Analyzing Crisis Dynamics: How metal-energy Markets influence green electricity investments
Post-Print, HAL
Also in Working Papers, HAL (2024) 
See also Journal Article Analyzing Crisis Dynamics: How metal-energy Markets influence green electricity investments, Energy Economics, Elsevier (2024) (2024)
- Assessing the impact of the expansion of pan-African banks and the institution s quality on African banking stability
Post-Print, HAL
See also Journal Article Assessing the impact of the expansion of pan-African banks and the institution’s quality on African banking stability, Research in International Business and Finance, Elsevier (2024) (2024)
- Climate risks and the realized higher-order moments of financial markets: Evidence from China
Post-Print, HAL View citations (1)
- Forecasting photovoltaic production with neural networks and weather features
Post-Print, HAL
See also Journal Article Forecasting photovoltaic production with neural networks and weather features, Energy Economics, Elsevier (2024) (2024)
- Migration surge under the context of climate change: a case study of China
Working Papers, HAL
- Shift Contagion and Minimum Causal Intensity Portfolio During the COVID-19 and the Ongoing Russia-Ukraine Conflict
Working Papers, HAL
Also in Post-Print, HAL (2023) View citations (4)
Working Papers, HAL (2023) View citations (4)
See also Journal Article Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict, Finance Research Letters, Elsevier (2023) View citations (1) (2023)
2023
- Beyond climate and conflict relationships: New evidence from a Copula-based analysis on an historical perspective
Post-Print, HAL
See also Journal Article Beyond climate and conflict relationships: New evidence from a Copula-based analysis on an historical perspective, Journal of Comparative Economics, Elsevier (2023) View citations (1) (2023)
- DEEP LEARNING AND TECHNICAL ANALYSIS IN CRYPTOCURRENCY MARKET
Working Papers, HAL
See also Journal Article Deep learning and technical analysis in cryptocurrency market, Finance Research Letters, Elsevier (2023) View citations (4) (2023)
- Diversification benefits of precious metal markets
Working Papers, HAL
- ESG INVESTING: A SENTIMENT ANALYSIS APPROACH
Working Papers, HAL
- Impacts, Sustainability, and Resilience on the Egyptian Tourism and Hospitality Industry after the Russian Airplane crash in 2015
Working Papers, HAL
See also Journal Article Impacts, sustainability, and resilience on the Egyptian tourism and hospitality industry after the Russian airplane crash in 2015, Research in International Business and Finance, Elsevier (2023) (2023)
- Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS
Working Papers, HAL
- News-based sentiment: can it explain market performance before and after the Russia–Ukraine conflict?
Post-Print, HAL View citations (2)
See also Journal Article News-based sentiment: can it explain market performance before and after the Russia–Ukraine conflict?, Journal of Risk Finance, Emerald Group Publishing Limited (2022) View citations (2) (2022)
- Optimizing Portfolios for the BREXIT: An Equity-Commodity Analysis of US, European and BRICS Markets
Working Papers, HAL View citations (1)
Also in Post-Print, HAL (2023)
Working Papers, HAL (2023)
See also Journal Article Optimizing portfolios for the BREXIT: An equity-commodity analysis of US, European and BRICS markets, Journal of International Financial Markets, Institutions and Money, Elsevier (2023) View citations (1) (2023)
- SME internationalisation: Do the types of innovation matter?
Post-Print, HAL
- The role and challenges of Rare Earths in the Energy Transition
Working Papers, HAL
2022
- Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?
Working Papers, HAL View citations (3)
Also in Working Papers, HAL (2021) View citations (4)
Post-Print, HAL (2022) View citations (1)
See also Journal Article Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?, International Review of Financial Analysis, Elsevier (2022) View citations (3) (2022)
- Economic drivers of volatility and correlation in precious metal markets
Working Papers, HAL View citations (19)
See also Journal Article Economic drivers of volatility and correlation in precious metal markets, Journal of Commodity Markets, Elsevier (2022) View citations (18) (2022)
- Financial Market Dynamics after COVID 19
Post-Print, HAL
- How to 'Trump' the energy market: evidence from the WTI-Brent spread
Working Papers, HAL
See also Journal Article How to ‘Trump’ the energy market: Evidence from the WTI-Brent spread, Energy Policy, Elsevier (2023) (2023)
- Investor heterogeneity and negative skewness in stock returns: Evidence from institutional investors
Post-Print, HAL View citations (1)
See also Journal Article Investor heterogeneity and negative skewness in stock returns: Evidence from institutional investors, Journal of International Financial Markets, Institutions and Money, Elsevier (2022) View citations (4) (2022)
2021
- Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset
Working Papers, HAL View citations (1)
See also Journal Article Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset, Finance Research Letters, Elsevier (2022) View citations (1) (2022)
- Corruption and governance in Central Africa: an analysis of public and regional drivers of corruption
Working Papers, HAL
- Cryptocurrencies and COVID-19: What have we learned?
Working Papers, HAL View citations (2)
- Diversifying with cryptocurrencies during COVID-19
Post-Print, HAL
- Emerging and advanced economies markets behaviour during the COVID ‐19 crisis era
Post-Print, HAL View citations (12)
See also Journal Article Emerging and advanced economies markets behaviour during the COVID‐19 crisis era, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2023) (2023)
- Equity-Commodity Contagion During Four Recent Crises: Evidence from the USA, Europe and the BRICS
Working Papers, HAL View citations (4)
Also in Working Papers, HAL (2021)
Post-Print, HAL (2021) View citations (4)
See also Journal Article Equity-commodity contagion during four recent crises: Evidence from the USA, Europe and the BRICS, International Review of Economics & Finance, Elsevier (2021) View citations (7) (2021)
- Investors’ attention and information losses under market stress
Post-Print, HAL View citations (7)
See also Journal Article Investors’ attention and information losses under market stress, Journal of Economic Behavior & Organization, Elsevier (2021) View citations (7) (2021)
- Is It Possible to Forecast the Price of Bitcoin?
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
Also in Post-Print, HAL (2021)
See also Journal Article Is It Possible to Forecast the Price of Bitcoin?, Forecasting, MDPI (2021) View citations (2) (2021)
- On the asymmetric relationship between stock market development, energy efficiency and environmental quality: A nonlinear analysis
Working Papers, HAL View citations (15)
See also Journal Article On the asymmetric relationship between stock market development, energy efficiency and environmental quality: A nonlinear analysis, International Review of Financial Analysis, Elsevier (2021) View citations (5) (2021)
- Routledge Advances in Applied Financial Econometrics
Post-Print, HAL
Also in Post-Print, HAL (2021)
2020
- Beyond climate and conflict relationships: new evidence from copulas analysis
Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg View citations (2)
- COVID 19's impact on crude oil and natural gas S&P GS Indexes
Working Papers, HAL View citations (30)
- Cliometrics of Climate Change
Working Papers, HAL View citations (1)
- Cliometrics of Climate Change: A Natural Experiment on the Little Ice Age
Working Papers, Association Française de Cliométrie (AFC)
Also in Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg (2020) View citations (1)
- Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis
Working Papers, HAL View citations (79)
See also Journal Article Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis, Finance Research Letters, Elsevier (2021) View citations (145) (2021)
- How to implement a fair and progressive carbon price to fight climate change?
Working Papers, HAL
- Is climate a curse or a bless in the Covid-19 virus fighting ?
Working Papers, HAL
- Risk Factors and Contagion in Commodity Markets and Stocks Markets
Post-Print, HAL View citations (1)
- Social Inequalities and Vulnerability of population facing the COVID-19: the case of Seine-Saint-Denis in Ile-de-France
Working Papers, HAL
- The macroeconomic determinants of COVID-19 mortality rate and the role of post subprime crisis decisions
Working Papers, HAL View citations (3)
- The role of economic structural factors in determining pandemic mortality rates: Evidence from the COVID-19 outbreak in France
Post-Print, HAL View citations (7)
See also Journal Article The role of economic structural factors in determining pandemic mortality rates: Evidence from the COVID-19 outbreak in France, Research in International Business and Finance, Elsevier (2020) View citations (7) (2020)
- Weather, pollution and Covid-19 spread: a time series and Wavelet reassessment
Working Papers, HAL
See also Chapter Weather, Pollution, and Covid-19 Spread: A Time Series and Wavelet Reassessment, Springer Books, Springer (2021) (2021)
2019
- A switching microstructure model for stock prices
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (5)
Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2018)
- Banking Crises in Developing Countries-What Crucial Role of Exchange Rate Stability and External Liabilities?
Working Papers, HAL View citations (11)
Also in Post-Print, HAL (2018) View citations (5)
See also Journal Article Banking crises in developing countries–What crucial role of exchange rate stability and external liabilities?, Finance Research Letters, Elsevier (2019) View citations (7) (2019)
- Climate finance and the restructuring of the oil-gas-coal business model under carbon asset stranding constraints
Working Papers, HAL
- Commodities risk premia and regional integration in gas-exporting countries
Post-Print, HAL View citations (2)
See also Journal Article Commodities risk premia and regional integration in gas-exporting countries, Energy Economics, Elsevier (2019) View citations (2) (2019)
- Contagion and bond pricing: The case of the ASEAN region
Post-Print, HAL
See also Journal Article Contagion and bond pricing: The case of the ASEAN region, Research in International Business and Finance, Elsevier (2019) (2019)
- DOES FINANCIAL GLOBALIZATION STILL SPUR GROWTH IN DEVELOPING COUNTRIES? CONSIDERING EXCHANGE RATE VOLATILITY
Working Papers, HAL
- DOES FINANCIAL GLOBALIZATION STILL SPUR GROWTH IN EMERGING AND DEVELOPING COUNTRIES? CONSIDERING EXCHANGE RATE VOLATILITY'S EFFECTS
Working Papers, HAL View citations (4)
- FDI, banking crises and growth: direct and spill over effects
Working Papers, HAL View citations (6)
Also in Papers, arXiv.org (2019) View citations (2)
Working Papers, HAL (2019)
Post-Print, HAL (2019) View citations (8)
See also Journal Article FDI, banking crises and growth: direct and spill over effects, Applied Economics Letters, Taylor & Francis Journals (2019) View citations (7) (2019)
- Financial Mathematics, Volatility and Covariance Modelling
Post-Print, HAL View citations (8)
- Handbook of Energy Finance
Post-Print, HAL View citations (4)
Also in Post-Print, HAL (2019) View citations (4)
- Hedging and diversification across commodity assets
Post-Print, HAL View citations (2)
See also Journal Article Hedging and diversification across commodity assets, Applied Economics, Taylor & Francis Journals (2020) View citations (14) (2020)
- International Financial Markets
Post-Print, HAL View citations (1)
- Media attention and Bitcoin prices
Post-Print, HAL View citations (63)
See also Journal Article Media attention and Bitcoin prices, Finance Research Letters, Elsevier (2019) View citations (68) (2019)
- On the Bitcoin price dynamics: an augmented Markov-Switching model with Lévy jumps
Working Papers, HAL
- Optimal risk management problem of natural resources: Application to oil drilling
Working Papers, HAL
See also Journal Article Optimal risk management problem of natural resources: application to oil drilling, Annals of Operations Research, Springer (2021) View citations (3) (2021)
- Potential benefits of optimal intra-day electricity hedging for the environment: the perspective of electricity retailers
Working Papers, HAL View citations (6)
See also Journal Article Potential benefits of optimal intra-day electricity hedging for the environment: The perspective of electricity retailers, Energy Policy, Elsevier (2019) View citations (6) (2019)
- Study of the dynamic of Bitcoin's price
Working Papers, HAL View citations (1)
- The Value of Flexibility in Power Markets
Working Papers, HAL View citations (24)
See also Journal Article The value of flexibility in power markets, Energy Policy, Elsevier (2019) View citations (21) (2019)
- What Interactions between Financial Globalization and Instability?-Growth in Developing Countries
Post-Print, HAL View citations (12)
See also Journal Article What Interactions between Financial Globalization and Instability?—Growth in Developing Countries, Journal of International Development, John Wiley & Sons, Ltd. (2019) View citations (14) (2019)
- Worker mobility and the purchase of low CO2 emission vehicles in France: a datamining approach
Post-Print, HAL View citations (1)
Also in Post-Print, HAL (2019) View citations (1)
See also Journal Article Worker mobility and the purchase of low CO2 emission vehicles in France: a datamining approach, European Journal of Comparative Economics, Cattaneo University (LIUC) (2019) View citations (1) (2019)
2018
- On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting
Post-Print, HAL View citations (7)
See also Journal Article On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting, Journal of International Financial Markets, Institutions and Money, Elsevier (2018) View citations (7) (2018)
- On the study of conditional dependence structure between oil, gold and USD exchange rates
Post-Print, HAL View citations (32)
See also Journal Article On the study of conditional dependence structure between oil, gold and USD exchange rates, International Review of Financial Analysis, Elsevier (2018) View citations (34) (2018)
- Optimal strategy between extraction and storage of crude oil
Post-Print, HAL View citations (1)
Also in Post-Print, HAL (2018) View citations (2)
See also Journal Article Optimal strategy between extraction and storage of crude oil, Annals of Operations Research, Springer (2019) (2019)
- The Asymmetric Responses of Stock Markets
Post-Print, HAL View citations (4)
See also Journal Article The Asymmetric Responses of Stock Markets, Journal of Economic Integration, Center for Economic Integration, Sejong University (2018) View citations (6) (2018)
2017
- Jumps and volatility dynamics in agricultural commodity spot prices
Post-Print, HAL
See also Journal Article Jumps and volatility dynamics in agricultural commodity spot prices, Applied Economics, Taylor & Francis Journals (2017) (2017)
- Mean-Reverting Lévy Jump Dynamics in the European Power Sector
Post-Print, HAL
See also Chapter Mean-Reverting Lévy Jump Dynamics in the European Power Sector, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2017) (2017)
- Regime-switching Stochastic Volatility Model: Estimation and Calibration to VIX options
Post-Print, HAL View citations (6)
Also in Post-Print, HAL (2017) View citations (18)
See also Journal Article Regime-switching stochastic volatility model: estimation and calibration to VIX options, Applied Mathematical Finance, Taylor & Francis Journals (2017) View citations (25) (2017)
- Risk minimisation: the failure of electricity intra-day forward contracts
Post-Print, HAL
See also Journal Article Risk minimisation: the failure of electricity intra-day forward contracts, International Journal of Global Energy Issues, Inderscience Enterprises Ltd (2017) (2017)
2016
- Asymmetric evidence of gasoline price responses in France: A Markov-switching approach
Post-Print, HAL View citations (10)
See also Journal Article Asymmetric evidence of gasoline price responses in France: A Markov-switching approach, Economic Modelling, Elsevier (2016) View citations (17) (2016)
- EDF: France can avoid an industrial and financial disaste
Post-Print, HAL
- Fight against pollution: the paramount role of car manufacturers
Post-Print, HAL
- Gaz de schiste en Europe: le mirage des emplois
Post-Print, HAL
2015
- 20 idées reçues sur l’énergie
Post-Print, HAL View citations (1)
- A CONDITIONAL MARKOV REGIME SWITCHING MODEL TO STUDY MARGINS: APPLICATION TO THE FRENCH FUEL RETAIL MARKETS
Post-Print, HAL View citations (1)
Also in Working Papers, HAL (2014) View citations (1)
- Bessel bridges decomposition with varying dimension. Applications to finance
Post-Print, HAL
See also Journal Article Bessel Bridges Decomposition with Varying Dimension: Applications to Finance, Journal of Theoretical Probability, Springer (2014) View citations (1) (2014)
- Hedging strategies in energy markets: The case of electricity retailers
Post-Print, HAL View citations (34)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015) View citations (36)
See also Journal Article Hedging strategies in energy markets: The case of electricity retailers, Energy Economics, Elsevier (2015) View citations (38) (2015)
- Mean-variance hedging under multiple defaults risk
Post-Print, HAL View citations (3)
- Statistical Method to Estimate Regime-Switching Levy Model
Post-Print, HAL
- The use of BSDEs to characterize the mean–variance hedging problem and the variance optimal martingale measure for defaultable claims
Post-Print, HAL View citations (2)
See also Journal Article The use of BSDEs to characterize the mean–variance hedging problem and the variance optimal martingale measure for defaultable claims, Stochastic Processes and their Applications, Elsevier (2015) View citations (2) (2015)
- Tobin tax and trading volume tightening: a reassessment
Post-Print, HAL
See also Journal Article Tobin tax and trading volume tightening: a reassessment, Applied Economics, Taylor & Francis Journals (2015) View citations (1) (2015)
- Why the liberalization of the energy sector does not benefit consumers
Post-Print, HAL
2014
- A regime switching model to evaluate bonds in a quadratic term structure of interest rates
Working Papers, HAL View citations (2)
See also Journal Article A regime-switching model to evaluate bonds in a quadratic term structure of interest rates, Applied Financial Economics, Taylor & Francis Journals (2014) View citations (3) (2014)
- Correlation evidence in the dynamics of agricultural commodity prices
Post-Print, HAL View citations (1)
See also Journal Article Correlation evidence in the dynamics of agricultural commodity prices, Applied Economics Letters, Taylor & Francis Journals (2014) View citations (2) (2014)
- Detecting jumps and regime-switches in international stock markets returns
Working Papers, HAL View citations (1)
See also Journal Article Detecting jumps and regime switches in international stock markets returns, Applied Economics Letters, Taylor & Francis Journals (2015) View citations (4) (2015)
- Dual Optimization Problem on Defaultable Claims
Post-Print, HAL View citations (1)
See also Journal Article Dual Optimization Problem on Defaultable Claims, Mathematical Economics Letters, De Gruyter (2014) View citations (1) (2014)
- The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process
Working Papers, Department of Research, Ipag Business School
2013
- Markov switching quadratic term structure models
Papers, arXiv.org
Also in Working Papers, HAL (2013)
- Variance optimal hedging for continuous time additive processes and applications
Papers, arXiv.org View citations (13)
2012
- Conditional Markov regime switching model applied to economic modelling
Working Papers, HAL
See also Journal Article Conditional Markov regime switching model applied to economic modelling, Economic Modelling, Elsevier (2014) View citations (7) (2014)
- Continuous time regime switching model applied to foreign exchange rate
Working Papers, HAL View citations (9)
- Optimization problem and mean variance hedging on defaultable claims
Papers, arXiv.org
- Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
Papers, arXiv.org View citations (9)
2011
- Foreign exchange rates under Markov Regime switching model
DEM Discussion Paper Series, Department of Economics at the University of Luxembourg View citations (4)
2009
- Variance Optimal Hedging for continuous time processes with independent increments and applications
Papers, arXiv.org View citations (2)
Journal Articles
2025
- Does executive gender diversity culture inhibit corporate greenwashing behavior? The effect of informal institutions
International Review of Financial Analysis, 2025, 97, (C)
- Geopolitical risk and clean energy investments: Exploring the role of rare earths
International Review of Financial Analysis, 2025, 100, (C)
2024
- Analyzing Crisis Dynamics: How metal-energy Markets influence green electricity investments
Energy Economics, 2024, 134, (C)
See also Working Paper Analyzing Crisis Dynamics: How metal-energy Markets influence green electricity investments, Post-Print (2024) (2024)
- Assessing the impact of the expansion of pan-African banks and the institution’s quality on African banking stability
Research in International Business and Finance, 2024, 70, (PA)
See also Working Paper Assessing the impact of the expansion of pan-African banks and the institution s quality on African banking stability, Post-Print (2024) (2024)
- Forecasting photovoltaic production with neural networks and weather features
Energy Economics, 2024, 139, (C)
See also Working Paper Forecasting photovoltaic production with neural networks and weather features, Post-Print (2024) (2024)
2023
- Beyond climate and conflict relationships: New evidence from a Copula-based analysis on an historical perspective
Journal of Comparative Economics, 2023, 51, (1), 295-323 View citations (1)
See also Working Paper Beyond climate and conflict relationships: New evidence from a Copula-based analysis on an historical perspective, Post-Print (2023) (2023)
- Deep learning and technical analysis in cryptocurrency market
Finance Research Letters, 2023, 54, (C) View citations (4)
See also Working Paper DEEP LEARNING AND TECHNICAL ANALYSIS IN CRYPTOCURRENCY MARKET, Working Papers (2023) (2023)
- Emerging and advanced economies markets behaviour during the COVID‐19 crisis era
International Journal of Finance & Economics, 2023, 28, (2), 1563-1581
See also Working Paper Emerging and advanced economies markets behaviour during the COVID ‐19 crisis era, Post-Print (2021) View citations (12) (2021)
- Gold and CoVid-19: Uncovering the safe haven hypothesis with dynamic MSR modeling
International Review of Financial Analysis, 2023, 89, (C) View citations (1)
- How to ‘Trump’ the energy market: Evidence from the WTI-Brent spread
Energy Policy, 2023, 179, (C)
See also Working Paper How to 'Trump' the energy market: evidence from the WTI-Brent spread, Working Papers (2022) (2022)
- Impacts, sustainability, and resilience on the Egyptian tourism and hospitality industry after the Russian airplane crash in 2015
Research in International Business and Finance, 2023, 64, (C)
See also Working Paper Impacts, Sustainability, and Resilience on the Egyptian Tourism and Hospitality Industry after the Russian Airplane crash in 2015, Working Papers (2023) (2023)
- Optimizing portfolios for the BREXIT: An equity-commodity analysis of US, European and BRICS markets
Journal of International Financial Markets, Institutions and Money, 2023, 89, (C) View citations (1)
See also Working Paper Optimizing Portfolios for the BREXIT: An Equity-Commodity Analysis of US, European and BRICS Markets, Working Papers (2023) View citations (1) (2023)
- Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict
Finance Research Letters, 2023, 55, (PA) View citations (1)
See also Working Paper Shift Contagion and Minimum Causal Intensity Portfolio During the COVID-19 and the Ongoing Russia-Ukraine Conflict, Working Papers (2024) (2024)
- The Ramadan effect on commodity and stock markets integration
Review of Accounting and Finance, 2023, 22, (3), 269-293 View citations (3)
2022
- Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset
Finance Research Letters, 2022, 44, (C) View citations (1)
See also Working Paper Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset, Working Papers (2021) View citations (1) (2021)
- Asymmetric cyclical connectedness on the commodity markets: Further insights from bull and bear markets
The Quarterly Review of Economics and Finance, 2022, 85, (C), 386-400 View citations (4)
- Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?
International Review of Financial Analysis, 2022, 82, (C) View citations (3)
See also Working Paper Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?, Working Papers (2022) View citations (3) (2022)
- Corruption, economy and governance in Central Africa: An analysis of public and regional drivers of corruption
Finance Research Letters, 2022, 44, (C) View citations (2)
- Do actions speak louder than words? Evidence from microblogs
Journal of Behavioral and Experimental Finance, 2022, 33, (C)
- Economic drivers of volatility and correlation in precious metal markets
Journal of Commodity Markets, 2022, 28, (C) View citations (18)
See also Working Paper Economic drivers of volatility and correlation in precious metal markets, Working Papers (2022) View citations (19) (2022)
- Investor heterogeneity and negative skewness in stock returns: Evidence from institutional investors
Journal of International Financial Markets, Institutions and Money, 2022, 81, (C) View citations (4)
See also Working Paper Investor heterogeneity and negative skewness in stock returns: Evidence from institutional investors, Post-Print (2022) View citations (1) (2022)
- News-based sentiment: can it explain market performance before and after the Russia–Ukraine conflict?
Journal of Risk Finance, 2022, 24, (1), 72-88 View citations (2)
See also Working Paper News-based sentiment: can it explain market performance before and after the Russia–Ukraine conflict?, Post-Print (2023) View citations (2) (2023)
2021
- Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis
Finance Research Letters, 2021, 38, (C) View citations (145)
See also Working Paper Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis, Working Papers (2020) View citations (79) (2020)
- Diversifying equity with cryptocurrencies during COVID-19
International Review of Financial Analysis, 2021, 76, (C) View citations (101)
- Equity-commodity contagion during four recent crises: Evidence from the USA, Europe and the BRICS
International Review of Economics & Finance, 2021, 76, (C), 376-423 View citations (7)
See also Working Paper Equity-Commodity Contagion During Four Recent Crises: Evidence from the USA, Europe and the BRICS, Working Papers (2021) View citations (4) (2021)
- Green finance and the restructuring of the oil-gas-coal business model under carbon asset stranding constraints
Energy Policy, 2021, 149, (C) View citations (20)
- Investors’ attention and information losses under market stress
Journal of Economic Behavior & Organization, 2021, 191, (C), 1112-1127 View citations (7)
See also Working Paper Investors’ attention and information losses under market stress, Post-Print (2021) View citations (7) (2021)
- Is It Possible to Forecast the Price of Bitcoin?
Forecasting, 2021, 3, (2), 1-44 View citations (2)
See also Working Paper Is It Possible to Forecast the Price of Bitcoin?, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2021) (2021)
- Modelling of Fuel- and Energy-Switching Prices by Mean-Reverting Processes and Their Applications to Alberta Energy Markets
Mathematics, 2021, 9, (7), 1-24 View citations (1)
- On the asymmetric relationship between stock market development, energy efficiency and environmental quality: A nonlinear analysis
International Review of Financial Analysis, 2021, 77, (C) View citations (5)
See also Working Paper On the asymmetric relationship between stock market development, energy efficiency and environmental quality: A nonlinear analysis, Working Papers (2021) View citations (15) (2021)
- Optimal risk management problem of natural resources: application to oil drilling
Annals of Operations Research, 2021, 297, (1), 147-166 View citations (3)
See also Working Paper Optimal risk management problem of natural resources: Application to oil drilling, Working Papers (2019) (2019)
2020
- Characterizing the hedging policies of commodity price‐sensitive corporations
Journal of Futures Markets, 2020, 40, (8), 1264-1281 View citations (1)
- Climate and nomadic migration in a nonlinear world: evidence of the historical China
Climatic Change, 2020, 163, (4), 2055-2071 View citations (2)
- Does Financial inclusion affect the African banking stability?
Economics Bulletin, 2020, 40, (1), 863-879 View citations (2)
- Does financial globalization still spur growth in emerging and developing countries? Considering exchange rates
Research in International Business and Finance, 2020, 52, (C) View citations (18)
- Hedging and diversification across commodity assets
Applied Economics, 2020, 52, (23), 2472-2492 View citations (14)
See also Working Paper Hedging and diversification across commodity assets, Post-Print (2019) View citations (2) (2019)
- Special issue: Impact of the liberalization and capitalization of energy market: a way for emerging countries
European Journal of Comparative Economics, 2020, 17, (1), 3-4
- The role of economic structural factors in determining pandemic mortality rates: Evidence from the COVID-19 outbreak in France
Research in International Business and Finance, 2020, 54, (C) View citations (7)
See also Working Paper The role of economic structural factors in determining pandemic mortality rates: Evidence from the COVID-19 outbreak in France, Post-Print (2020) View citations (7) (2020)
2019
- Banking crises in developing countries–What crucial role of exchange rate stability and external liabilities?
Finance Research Letters, 2019, 31, (C) View citations (7)
See also Working Paper Banking Crises in Developing Countries-What Crucial Role of Exchange Rate Stability and External Liabilities?, Working Papers (2019) View citations (11) (2019)
- Commodities risk premia and regional integration in gas-exporting countries
Energy Economics, 2019, 80, (C), 267-276 View citations (2)
See also Working Paper Commodities risk premia and regional integration in gas-exporting countries, Post-Print (2019) View citations (2) (2019)
- Contagion and bond pricing: The case of the ASEAN region
Research in International Business and Finance, 2019, 47, (C), 371-385
See also Working Paper Contagion and bond pricing: The case of the ASEAN region, Post-Print (2019) (2019)
- FDI, banking crises and growth: direct and spill over effects
Applied Economics Letters, 2019, 26, (20), 1655-1658 View citations (7)
See also Working Paper FDI, banking crises and growth: direct and spill over effects, Working Papers (2019) View citations (6) (2019)
- Media attention and Bitcoin prices
Finance Research Letters, 2019, 30, (C), 37-43 View citations (68)
See also Working Paper Media attention and Bitcoin prices, Post-Print (2019) View citations (63) (2019)
- Optimal strategy between extraction and storage of crude oil
Annals of Operations Research, 2019, 281, (1), 3-26
See also Working Paper Optimal strategy between extraction and storage of crude oil, Post-Print (2018) View citations (1) (2018)
- Potential benefits of optimal intra-day electricity hedging for the environment: The perspective of electricity retailers
Energy Policy, 2019, 132, (C), 1120-1129 View citations (6)
See also Working Paper Potential benefits of optimal intra-day electricity hedging for the environment: the perspective of electricity retailers, Working Papers (2019) View citations (6) (2019)
- The value of flexibility in power markets
Energy Policy, 2019, 125, (C), 347-357 View citations (21)
See also Working Paper The Value of Flexibility in Power Markets, Working Papers (2019) View citations (24) (2019)
- Transmission of shocks and contagion from U.S. to MENA equity markets: The role of oil and gas markets
Energy Policy, 2019, 134, (C) View citations (8)
- What Interactions between Financial Globalization and Instability?—Growth in Developing Countries
Journal of International Development, 2019, 31, (1), 39-79 View citations (14)
See also Working Paper What Interactions between Financial Globalization and Instability?-Growth in Developing Countries, Post-Print (2019) View citations (12) (2019)
- Worker mobility and the purchase of low CO2 emission vehicles in France: a datamining approach
European Journal of Comparative Economics, 2019, 16, (2), 171-205 View citations (1)
See also Working Paper Worker mobility and the purchase of low CO2 emission vehicles in France: a datamining approach, Post-Print (2019) View citations (1) (2019)
2018
- On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting
Journal of International Financial Markets, Institutions and Money, 2018, 56, (C), 233-254 View citations (7)
See also Working Paper On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting, Post-Print (2018) View citations (7) (2018)
- On the study of conditional dependence structure between oil, gold and USD exchange rates
International Review of Financial Analysis, 2018, 59, (C), 134-146 View citations (34)
See also Working Paper On the study of conditional dependence structure between oil, gold and USD exchange rates, Post-Print (2018) View citations (32) (2018)
- Optimal management of an oil exploitation
International Journal of Global Energy Issues, 2018, 41, (1/2/3/4), 69-85 View citations (4)
- The Asymmetric Responses of Stock Markets
Journal of Economic Integration, 2018, 33, (1), 1096-1140 View citations (6)
See also Working Paper The Asymmetric Responses of Stock Markets, Post-Print (2018) View citations (4) (2018)
2017
- Cross-country performance of Lévy regime-switching models for stock markets
Applied Economics, 2017, 49, (2), 111-137 View citations (2)
- Estimation of Lévy-driven Ornstein–Uhlenbeck processes: application to modeling of $$\hbox {CO}_2$$ CO 2 and fuel-switching
Annals of Operations Research, 2017, 255, (1), 169-197 View citations (6)
- Intraday hedging with financial options: the case of electricity
Applied Economics Letters, 2017, 24, (20), 1448-1454 View citations (3)
- Jumps and volatility dynamics in agricultural commodity spot prices
Applied Economics, 2017, 49, (40), 4035-4054
See also Working Paper Jumps and volatility dynamics in agricultural commodity spot prices, Post-Print (2017) (2017)
- On the estimation of regime-switching Lévy models
Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (1), 3-29 View citations (6)
- Regime-switching stochastic volatility model: estimation and calibration to VIX options
Applied Mathematical Finance, 2017, 24, (1), 38-75 View citations (25)
See also Working Paper Regime-switching Stochastic Volatility Model: Estimation and Calibration to VIX options, Post-Print (2017) View citations (6) (2017)
- Risk minimisation: the failure of electricity intra-day forward contracts
International Journal of Global Energy Issues, 2017, 40, (5), 335-343
See also Working Paper Risk minimisation: the failure of electricity intra-day forward contracts, Post-Print (2017) (2017)
2016
- Asymmetric evidence of gasoline price responses in France: A Markov-switching approach
Economic Modelling, 2016, 52, (PB), 467-476 View citations (17)
See also Working Paper Asymmetric evidence of gasoline price responses in France: A Markov-switching approach, Post-Print (2016) View citations (10) (2016)
2015
- Detecting jumps and regime switches in international stock markets returns
Applied Economics Letters, 2015, 22, (13), 1011-1019 View citations (4)
See also Working Paper Detecting jumps and regime-switches in international stock markets returns, Working Papers (2014) View citations (1) (2014)
- Hedging strategies in energy markets: The case of electricity retailers
Energy Economics, 2015, 51, (C), 503-509 View citations (38)
See also Working Paper Hedging strategies in energy markets: The case of electricity retailers, Post-Print (2015) View citations (34) (2015)
- The use of BSDEs to characterize the mean–variance hedging problem and the variance optimal martingale measure for defaultable claims
Stochastic Processes and their Applications, 2015, 125, (4), 1323-1351 View citations (2)
See also Working Paper The use of BSDEs to characterize the mean–variance hedging problem and the variance optimal martingale measure for defaultable claims, Post-Print (2015) View citations (2) (2015)
- Tobin tax and trading volume tightening: a reassessment
Applied Economics, 2015, 47, (29), 3124-3141 View citations (1)
See also Working Paper Tobin tax and trading volume tightening: a reassessment, Post-Print (2015) (2015)
2014
- A regime-switching model to evaluate bonds in a quadratic term structure of interest rates
Applied Financial Economics, 2014, 24, (21), 1361-1366 View citations (3)
See also Working Paper A regime switching model to evaluate bonds in a quadratic term structure of interest rates, Working Papers (2014) View citations (2) (2014)
- Bessel Bridges Decomposition with Varying Dimension: Applications to Finance
Journal of Theoretical Probability, 2014, 27, (4), 1375-1403 View citations (1)
See also Working Paper Bessel bridges decomposition with varying dimension. Applications to finance, Post-Print (2015) (2015)
- Conditional Markov regime switching model applied to economic modelling
Economic Modelling, 2014, 38, (C), 258-269 View citations (7)
See also Working Paper Conditional Markov regime switching model applied to economic modelling, Working Papers (2012) (2012)
- Correlation evidence in the dynamics of agricultural commodity prices
Applied Economics Letters, 2014, 21, (17), 1238-1242 View citations (2)
See also Working Paper Correlation evidence in the dynamics of agricultural commodity prices, Post-Print (2014) View citations (1) (2014)
- Dual Optimization Problem on Defaultable Claims
Mathematical Economics Letters, 2014, 1, (2-4), 47-54 View citations (1)
See also Working Paper Dual Optimization Problem on Defaultable Claims, Post-Print (2014) View citations (1) (2014)
Undated
- Variance–optimal hedging for discrete-time processes with independent increments: application to electricity markets
Journal of Computational Finance
Edited books
2021
- Cryptofinance:A New Currency for a New Economy
World Scientific Books, World Scientific Publishing Co. Pte. Ltd.
2020
- Handbook of Energy Finance:Theories, Practices and Simulations
World Scientific Books, World Scientific Publishing Co. Pte. Ltd.
- Risk Factors and Contagion in Commodity Markets and Stocks Markets
World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (1)
Chapters
2021
- A Non-linear Approach to Measure the Dependencies Between Bitcoin and Other Commodity Markets
Springer
- Bitcoin and the First Wave of COVID-19
Chapter 3 in COVID-19 Pandemic and Energy Markets Commodity Markets, Cryptocurrencies and Electricity Consumption under the COVID-19, 2021, pp 33-41
- Weather, Pollution, and Covid-19 Spread: A Time Series and Wavelet Reassessment
Springer
See also Working Paper Weather, pollution and Covid-19 spread: a time series and Wavelet reassessment, HAL (2020) (2020)
2017
- Mean-Reverting Lévy Jump Dynamics in the European Power Sector
Chapter 13 in Climate Finance Theory and Practice, 2017, pp 299-333
See also Working Paper Mean-Reverting Lévy Jump Dynamics in the European Power Sector, HAL (2017) (2017)
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