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Details about Julien Chevallier

E-mail:
Homepage:https://sites.google.com/site/jpchevallier
Postal address:Université Paris 8 Laboratoire d'Economie Dionysien (LED) 2 rue de la Liberté 93526 Saint-Denis Cedex, France FRANCE
Workplace:Laboratoire d'Économie Dionysien (LED) (Saint-Denis Economics Laboratory), Université Paris-Saint-Denis (Paris VIII) (University of Paris 8), (more information at EDIRC)
Institut de Préparation à l'Administration et à la Gestion (IPAG) (IPAG Business School), (more information at EDIRC)

Access statistics for papers by Julien Chevallier.

Last updated 2019-10-08. Update your information in the RePEc Author Service.

Short-id: pch595


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Working Papers

2019

  1. Climate finance and the restructuring of the oil-gas-coal business model under carbon asset stranding constraints
    Working Papers, HAL Downloads
  2. Commodities risk premia and regional integration in gas-exporting countries
    Post-Print, HAL
    See also Journal Article in Energy Economics (2019)
  3. Financial Mathematics, Volatility and Covariance Modelling
    Post-Print, HAL
  4. International Financial Markets
    Post-Print, HAL
  5. Investigating Fiscal and Monetary Policies Coordination and Public Debt in Kenya: Evidence from regime-switching and self-exciting threshold autoregressive models
    Working Papers, HAL Downloads
    Also in Economics Discussion Papers, Kiel Institute for the World Economy (IfW) (2019) Downloads
  6. On the Bitcoin price dynamics: an augmented Markov-Switching model with Lévy jumps
    Working Papers, HAL Downloads
  7. Primary balance dynamics and public debt sustainability in Kenya
    Working Papers, HAL Downloads
  8. Study of the dynamic of Bitcoin's price
    Working Papers, HAL Downloads

2018

  1. Regime changes and fiscal sustainability in Kenya with comparative nonlinear Granger causalities across East-African countries
    Working Papers, HAL Downloads

2017

  1. Fundamental and Financial Influences on the Co-movement of Oil and Gas prices
    Post-Print, HAL View citations (5)
    See also Journal Article in The Energy Journal (2017)
  2. Mean-Reverting Lévy Jump Dynamics in the European Power Sector
    Post-Print, HAL
    See also Chapter (2017)

2016

  1. Oil vs. gasoline: The dark side of volatility and taxation
    Post-Print, HAL
    See also Journal Article in Research in International Business and Finance (2017)
  2. Spikes and crashes in the oil market
    Post-Print, HAL View citations (2)
    See also Journal Article in Research in International Business and Finance (2016)
  3. The place of gold in the cross-market dependencies
    Post-Print, HAL View citations (2)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2016)

2015

  1. A cross-volatility index for hedging the country risk
    Post-Print, HAL View citations (1)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2015)
  2. Cross-market volatility index with Factor-DCC
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2015) View citations (1)

    See also Journal Article in International Review of Financial Analysis (2015)
  3. Geographical Diversification with a World Volatility Index
    Post-Print, HAL
    See also Journal Article in Journal of Multinational Financial Management (2015)
  4. Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets
    Post-Print, HAL
    Also in Post-Print, HAL (2015)

    See also Journal Article in Applied Economics (2015)
  5. Volatility returns with vengeance: Financial markets vs. commodities
    Post-Print, HAL View citations (2)
    See also Journal Article in Research in International Business and Finance (2015)

2014

  1. A fear index to predict oil futures returns
    Working Papers, Department of Research, Ipag Business School Downloads View citations (24)
    Also in Post-Print, HAL (2014) View citations (2)
    Working Papers, Fondazione Eni Enrico Mattei (2013) Downloads View citations (5)
    Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM) (2013) Downloads
  2. Carbon price analysis using empirical mode decomposition
    Working Papers, Department of Research, Ipag Business School Downloads View citations (26)
    See also Journal Article in Computational Economics (2015)
  3. Cross-Market Spillovers with 'Volatility Surprise'
    Working Papers, HAL Downloads View citations (4)
    Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2014) Downloads View citations (10)
    Post-Print, HAL (2014) View citations (1)

    See also Journal Article in Review of Financial Economics (2014)
  4. Cross-market index with Factor-DCC
    Post-Print, HAL View citations (2)
    See also Journal Article in Economic Modelling (2014)
  5. Detecting jumps and regime-switches in international stock markets returns
    Working Papers, HAL Downloads
    See also Journal Article in Applied Economics Letters (2015)
  6. Modeling the dynamics of European carbon futures price: a Zipf analysis
    Working Papers, Department of Research, Ipag Business School Downloads View citations (2)
    See also Journal Article in Economic Modelling (2014)
  7. On the Stochastic Properties of Carbon Futures Prices
    Post-Print, HAL View citations (3)
    Also in Working Papers, HAL (2012) Downloads

    See also Journal Article in Environmental & Resource Economics (2014)
  8. The cross-market index for volatility surprise
    Post-Print, HAL View citations (1)
  9. The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process
    Working Papers, Department of Research, Ipag Business School Downloads
  10. Volatility equicorrelation: A cross-market perspective
    Post-Print, HAL
    See also Journal Article in Economics Letters (2014)

2013

  1. Leverage vs. Feedback: Which Effect Drives the Oil Market ?
    Post-Print, HAL View citations (4)
    Also in Working Papers, HAL (2012) Downloads View citations (8)

    See also Journal Article in Finance Research Letters (2013)
  2. Understanding the link between aggregated industrial production and the carbon price
    Post-Print, HAL Downloads

2012

  1. Air traffic energy efficiency differs from place to place: new results from a macro-level approach
    Working Papers, Chaire Economie du climat Downloads
    See also Journal Article in International Economics (2011)
  2. Econometric Analysis of Carbon Markets: The European Union Emissions Trading Scheme and the Clean Development Mechanism
    Post-Print, HAL View citations (6)
    See also Journal Article in Economics Bulletin (2011)
  3. Will technological progress be sufficient to effectively lead the air transport to a sustainable development in the mid-term (2025)?
    Working Papers, Chaire Economie du climat Downloads
  4. Will technological progress be sufficient to stabilize CO2 emissions from air transport in the mid-term?
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads

2011

  1. Carbon Price Drivers: An Updated Literature Review
    Working Papers, HAL Downloads View citations (1)
  2. EUA and sCER phase II price drivers: Unveiling the reasons for the existence of the EUA-sCER spread
    Post-Print, HAL View citations (22)
    See also Journal Article in Energy Policy (2011)
  3. Forecasting world and regional aviation jet fuel demands to the mid-term (2025)
    Post-Print, HAL View citations (14)
    See also Journal Article in Energy Policy (2011)
  4. On the volatility-volume relationship in energy futures markets using intraday data
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads
    See also Journal Article in Energy Economics (2012)
  5. Options introduction and volatility in the EU ETS
    Working Papers, Chaire Economie du climat Downloads View citations (10)
    Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2009) Downloads View citations (2)
    Working Papers, HAL (2009) Downloads View citations (2)
    Working Papers, HAL (2009) Downloads View citations (2)

    See also Journal Article in Resource and Energy Economics (2011)
  6. Time-varying correlations in oil, gas and CO2 prices: an application using BEKK, CCC, and DCC-MGARCH models
    Post-Print, HAL Downloads
    See also Journal Article in Applied Economics (2012)

2010

  1. Carbon Capture and Storage (CCS) Technologies and Economic Investment Opportunities in the UK
    Working Papers, HAL Downloads View citations (1)
    See also Journal Article in Global Business and Economics Review (2010)
  2. Carbon Prices during the EU ETS Phase II: Dynamics and Volume Analysis
    Working Papers, HAL Downloads View citations (4)
  3. Etudes économétriques récentes réalisées à partir des données de la CFTC
    Working Papers, HAL Downloads
  4. Modelling the convenience yield in carbon prices using daily and realized measures
    Working Papers, HAL Downloads
  5. Price relationships in the EU emissions trading system
    Working Papers, HAL Downloads View citations (1)
  6. Spéculation et marchés dérivés du pétrole
    Working Papers, HAL Downloads View citations (1)
    See also Journal Article in Revue d'Économie Financière (2010)
  7. The EUA-sCER Spread: Compliance Strategies and Arbitrage in the European Carbon Market
    Post-Print, HAL Downloads View citations (5)
  8. The European carbon market (2005-2007): banking, pricing and risk-hedging strategies
    Working Papers, HAL Downloads View citations (1)

2009

  1. Banking and Borrowing in the EU ETS: An Econometric Appraisal of the 2005-2007 Intertemporal Market
    Working Papers, HAL Downloads View citations (3)
  2. Emissions Compliances and Carbon Prices under the EU ETS: A Country Specific Analysis of Industrial SectorsEmissions Compliances and Carbon Price
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (19)
  3. Emissions Trading: What Makes It Work?
    Working Papers, HAL Downloads View citations (3)
  4. Energy Risk Management with Carbon Assets
    Working Papers, HAL Downloads View citations (6)
    See also Journal Article in International Journal of Global Energy Issues (2009)
  5. European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (33)
    Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2007) Downloads View citations (14)

    See also Journal Article in The Energy Journal (2009)
  6. Intertemporal Emissions Trading and Allocation Rules: Gainers, Losers and the Spectre of Market Power
    Working Papers, HAL Downloads
  7. Intertemporal Emissions Trading and Market Power: A Dominant Firm with Competitive Fringe Model
    Working Papers, HAL Downloads
  8. Les déterminants du prix du carbone sur le marché européen des quotas
    Working Papers, HAL Downloads
  9. On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting
    Sustainable Development Papers, Fondazione Eni Enrico Mattei (FEEM) Downloads
    Also in Working Papers, HAL (2009) Downloads
    EconomiX Working Papers, University of Paris Nanterre, EconomiX (2009) Downloads
    Working Papers, Fondazione Eni Enrico Mattei (2009) Downloads View citations (3)

    See also Journal Article in Annals of Finance (2011)
  10. Re-examining the concept of sustainable development in light of climate change
    Working Papers, HAL Downloads View citations (2)
  11. The EU ETS: CO2 prices drivers during the learning experience (2005-2007)
    Working Papers, HAL Downloads

2008

  1. Bankable Pollution Permits under Uncertainty and Optimal Risk Management Rules: Theory and Empirical Evidence
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads View citations (5)
  2. The EU Emissions Trading Scheme: Disentangling the Effects of Industrial Production and CO2 Emissions on Carbon Prices
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads View citations (26)

2007

  1. A differential game of intertemporal emissions trading with market power
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads
  2. European carbon prices fundamentals in 2005-2007: the effects of energy markets, temperatures and sectorial production
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads View citations (5)

Journal Articles

2019

  1. A conditional dependence approach to CO2-energy price relationships
    Energy Economics, 2019, 81, (C), 812-821 Downloads
  2. Achieving the carbon intensity target of China: A least squares support vector machine with mixture kernel function approach
    Applied Energy, 2019, 233-234, 196-207 Downloads
  3. Commodities risk premia and regional integration in gas-exporting countries
    Energy Economics, 2019, 80, (C), 267-276 Downloads
    See also Working Paper (2019)
  4. Including intangible costs into the cost-of-illness approach: a method refinement illustrated based on the PM2.5 economic burden in China
    The European Journal of Health Economics, 2019, 20, (4), 501-511 Downloads
  5. Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach
    Annals of Operations Research, 2019, 281, (1), 373-395 Downloads
  6. On the conditional dependence structure between oil, gold and USD exchange rates: Nested copula based GJR-GARCH model
    Energy Economics, 2019, 80, (C), 876-889 Downloads

2018

  1. Allocating CO2 allowances to emitters in China: A multi-objective decision approach
    Energy Policy, 2018, 121, (C), 441-451 Downloads View citations (1)
  2. An intertemporal carbon emissions trading system with cap adjustment and path control
    Energy Policy, 2018, 122, (C), 152-161 Downloads View citations (1)
  3. Enriching the VaR framework to EEMD with an application to the European carbon market
    International Journal of Finance & Economics, 2018, 23, (3), 315-328 Downloads
  4. 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
    Computational Economics, 2018, 52, (1), 123-123 Downloads
  5. Hilbert Spectra and Empirical Mode Decomposition: A Multiscale Event Analysis Method to Detect the Impact of Economic Crises on the European Carbon Market
    Computational Economics, 2018, 52, (1), 105-121 Downloads
  6. Market fragmentation, liquidity measures and improvement perspectives from China's emissions trading scheme pilots
    Energy Economics, 2018, 75, (C), 249-260 Downloads View citations (1)
  7. Market integration and financial linkages among stock markets in Pacific Basin countries
    Journal of Empirical Finance, 2018, 46, (C), 77-92 Downloads View citations (3)
  8. On the road to China's 2020 carbon intensity target from the perspective of “double control”
    Energy Policy, 2018, 119, (C), 377-387 Downloads
  9. Supply-side structural effects of air pollutant emissions in China: A comparative analysis
    Structural Change and Economic Dynamics, 2018, 46, (C), 89-95 Downloads View citations (1)
  10. Tail risk and the return-volatility relation
    Research in International Business and Finance, 2018, 46, (C), 16-29 Downloads

2017

  1. A new weighting-scheme for equity indexes
    International Review of Financial Analysis, 2017, 54, (C), 159-175 Downloads
  2. Carbon Leakage and Competitiveness of Cement and Steel Industries Under the EU ETS: Much Ado About Nothing
    The Energy Journal, 2017, Volume 37, (Number 3) Downloads View citations (19)
  3. Cross-country performance of Lévy regime-switching models for stock markets
    Applied Economics, 2017, 49, (2), 111-137 Downloads View citations (2)
  4. Dynamic multiscale interactions between European carbon and electricity markets during 2005–2016
    Energy Policy, 2017, 107, (C), 309-322 Downloads View citations (3)
  5. 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 Downloads View citations (2)
  6. Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices
    The Energy Journal, 2017, Volume 38, (Number 2) Downloads View citations (7)
    See also Working Paper (2017)
  7. Investigating the leverage effect in commodity markets with a recursive estimation approach
    Research in International Business and Finance, 2017, 39, (PB), 763-778 Downloads View citations (1)
  8. Mean-field limit of generalized Hawkes processes
    Stochastic Processes and their Applications, 2017, 127, (12), 3870-3912 Downloads View citations (4)
  9. Oil vs. gasoline: The dark side of volatility and taxation
    Research in International Business and Finance, 2017, 39, (PB), 976-989 Downloads
    See also Working Paper (2016)
  10. On the estimation of regime-switching Lévy models
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (1), 3-29 Downloads View citations (2)
  11. “De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets
    Energy Economics, 2017, 68, (C), 228-239 Downloads View citations (6)

2016

  1. An Adaptive Multiscale Ensemble Learning Paradigm for Nonstationary and Nonlinear Energy Price Time Series Forecasting
    Journal of Forecasting, 2016, 35, (7), 633-651 Downloads View citations (7)
  2. Capital–energy substitution in China: regional differences and dynamic evolution
    Post-Communist Economies, 2016, 28, (4), 421-435 Downloads
  3. Spikes and crashes in the oil market
    Research in International Business and Finance, 2016, 36, (C), 615-623 Downloads View citations (3)
    See also Working Paper (2016)
  4. The effect of corruption on carbon dioxide emissions in APEC countries: A panel quantile regression analysis
    Technological Forecasting and Social Change, 2016, 112, (C), 220-227 Downloads View citations (7)
  5. The place of gold in the cross-market dependencies
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (5), 567-586 Downloads
    See also Working Paper (2016)

2015

  1. A cross-volatility index for hedging the country risk
    Journal of International Financial Markets, Institutions and Money, 2015, 38, (C), 25-41 Downloads View citations (2)
    See also Working Paper (2015)
  2. Can China achieve its carbon intensity target by 2020 while sustaining economic growth?
    Ecological Economics, 2015, 119, (C), 209-216 Downloads View citations (14)
  3. Carbon Price Analysis Using Empirical Mode Decomposition
    Computational Economics, 2015, 45, (2), 195-206 Downloads View citations (13)
    See also Working Paper (2014)
  4. Cross-market volatility index with Factor-DCC
    International Review of Financial Analysis, 2015, 42, (C), 132-140 Downloads View citations (2)
    See also Working Paper (2015)
  5. Detecting jumps and regime switches in international stock markets returns
    Applied Economics Letters, 2015, 22, (13), 1011-1019 Downloads View citations (3)
    See also Working Paper (2014)
  6. Examining the structural changes of European carbon futures price 2005-2012
    Applied Economics Letters, 2015, 22, (5), 335-342 Downloads View citations (5)
  7. Forecasting the density of returns in crude oil futures markets
    International Journal of Global Energy Issues, 2015, 38, (4/5/6), 201-231 Downloads View citations (1)
  8. Geographical diversification with a World Volatility Index
    Journal of Multinational Financial Management, 2015, 30, (C), 62-82 Downloads
    See also Working Paper (2015)
  9. Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets
    Applied Economics, 2015, 47, (47), 5013-5033 Downloads
    See also Working Paper (2015)
  10. Volatility returns with vengeance: Financial markets vs. commodities
    Research in International Business and Finance, 2015, 33, (C), 334-354 Downloads View citations (13)
    See also Working Paper (2015)

2014

  1. Commodity markets through the business cycle
    Quantitative Finance, 2014, 14, (9), 1597-1618 Downloads View citations (3)
  2. Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production
    Australian Economic Review, 2014, 47, (2), 189-198 Downloads
  3. Cross-market index with Factor-DCC
    Economic Modelling, 2014, 40, (C), 158-166 Downloads
    See also Working Paper (2014)
  4. Cross-market spillovers with ‘volatility surprise’
    Review of Financial Economics, 2014, 23, (4), 194-207 Downloads View citations (11)
    See also Working Paper (2014)
  5. Modelling the dynamics of European carbon futures price: A Zipf analysis
    Economic Modelling, 2014, 38, (C), 372-380 Downloads View citations (24)
    See also Working Paper (2014)
  6. On the Stochastic Properties of Carbon Futures Prices
    Environmental & Resource Economics, 2014, 58, (1), 127-153 Downloads View citations (16)
    See also Working Paper (2014)
  7. Twenty years of jumps in commodity markets
    International Review of Applied Economics, 2014, 28, (1), 64-82 Downloads View citations (6)
  8. Volatility equicorrelation: A cross-market perspective
    Economics Letters, 2014, 122, (2), 289-295 Downloads View citations (6)
    See also Working Paper (2014)
  9. “Time series momentum” in commodity markets
    Managerial Finance, 2014, 40, (7), 662-680 Downloads

2013

  1. An equicorrelation measure for equity, bond, foreign exchange and commodity returns
    Applied Economics Letters, 2013, 20, (18), 1618-1624 Downloads
  2. Common risk factors in commodities
    Economics Bulletin, 2013, 33, (4), 2801-2816 Downloads
  3. Cross-market linkages between commodities, stocks and bonds
    Applied Economics Letters, 2013, 20, (10), 1008-1018 Downloads View citations (2)
  4. Leverage vs. feedback: Which Effect drives the oil market?
    Finance Research Letters, 2013, 10, (3), 131-141 Downloads View citations (15)
    See also Working Paper (2013)
  5. Price relationships in crude oil futures: new evidence from CFTC disaggregated data
    Environmental Economics and Policy Studies, 2013, 15, (2), 133-170 Downloads View citations (6)
  6. Understanding momentum in commodity markets
    Applied Economics Letters, 2013, 20, (15), 1383-1402 Downloads
  7. Variance risk-premia in CO2 markets
    Economic Modelling, 2013, 31, (C), 598-605 Downloads View citations (4)
  8. Volatility spillovers in commodity markets
    Applied Economics Letters, 2013, 20, (13), 1211-1227 Downloads View citations (12)

2012

  1. A counterfactual simulation exercise of CO 2 emissions abatement through fuel-switching in the UK (2008-2012)
    International Journal of Global Energy Issues, 2012, 35, (5), 311-331 Downloads View citations (1)
  2. BANKING AND BORROWING IN THE EU ETS: A REVIEW OF ECONOMIC MODELLING, CURRENT PROVISIONS AND PROSPECTS FOR FUTURE DESIGN
    Journal of Economic Surveys, 2012, 26, (1), 157-176 Downloads View citations (12)
  3. Cointegration between carbon spot and futures prices: from linear to nonlinear modeling
    Economics Bulletin, 2012, 32, (1), 160-181 Downloads View citations (3)
  4. EUAs and CERs: Interactions in a Markov regime-switching environment
    Economics Bulletin, 2012, 32, (1), 86-101 Downloads
  5. Global imbalances, cross-market linkages, and the financial crisis: A multivariate Markov-switching analysis
    Economic Modelling, 2012, 29, (3), 943-973 Downloads View citations (2)
  6. On the volatility–volume relationship in energy futures markets using intraday data
    Energy Economics, 2012, 34, (6), 1896-1909 Downloads View citations (27)
    See also Working Paper (2011)
  7. Time-varying correlations in oil, gas and CO 2 prices: an application using BEKK, CCC and DCC-MGARCH models
    Applied Economics, 2012, 44, (32), 4257-4274 Downloads View citations (4)
    See also Working Paper (2011)

2011

  1. A model of carbon price interactions with macroeconomic and energy dynamics
    Energy Economics, 2011, 33, (6), 1295-1312 Downloads View citations (42)
  2. Air traffic energy efficiency differs from place to place: New results from a macro-level approach
    International Economics, 2011, (126-127), 151–177 Downloads View citations (1)
    See also Working Paper (2012)
  3. Anticipating correlations between EUAs and CERs: a Dynamic Conditional Correlation GARCH model
    Economics Bulletin, 2011, 31, (1), 255-272 Downloads View citations (4)
  4. Bankable emission permits under uncertainty and optimal risk-management rules
    Research in Economics, 2011, 65, (4), 332-339 Downloads View citations (6)
  5. CO 2 abatement opportunity in the UK through fuel-switching under the EU ETS (2005-2008): evidence from the E-Simulate model
    International Journal of Global Energy Issues, 2011, 35, (2/3/4), 178-214 Downloads
  6. Detecting instability in the volatility of carbon prices
    Energy Economics, 2011, 33, (1), 99-110 Downloads View citations (30)
  7. EUA and sCER phase II price drivers: Unveiling the reasons for the existence of the EUA-sCER spread
    Energy Policy, 2011, 39, (3), 1056-1069 Downloads View citations (37)
    See also Working Paper (2011)
  8. Econometric analysis of carbon markets: the european union emissions trading scheme and the clean development mechanism
    Economics Bulletin, 2011, 31, (4), A53 Downloads View citations (5)
    See also Working Paper (2012)
  9. Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models
    Economic Modelling, 2011, 28, (6), 2634-2656 Downloads View citations (22)
  10. Forecasting world and regional aviation jet fuel demands to the mid-term (2025)
    Energy Policy, 2011, 39, (9), 5147-5158 Downloads View citations (17)
    See also Working Paper (2011)
  11. Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model
    Economic Modelling, 2011, 28, (1-2), 557-567 Downloads View citations (10)
    Also in Economic Modelling, 2011, 28, (1), 557-567 (2011) Downloads View citations (11)
  12. Nonparametric modeling of carbon prices
    Energy Economics, 2011, 33, (6), 1267-1282 Downloads View citations (10)
  13. On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting
    Annals of Finance, 2011, 7, (1), 1-29 Downloads View citations (8)
    See also Working Paper (2009)
  14. Options introduction and volatility in the EU ETS
    Resource and Energy Economics, 2011, 33, (4), 855-880 Downloads View citations (12)
    See also Working Paper (2011)
  15. The impact of nonlinearities for carbon markets analyses
    International Economics, 2011, (126-127), 131-150 Downloads View citations (1)
  16. Wavelet packet transforms analysis applied to carbon prices
    Economics Bulletin, 2011, 31, (2), 1731-1747 Downloads View citations (2)

2010

  1. A Note on Cointegrating and Vector Autoregressive Relationships between CO2 allowances spot and futures prices
    Economics Bulletin, 2010, 30, (2), 1564-1584 Downloads View citations (22)
  2. Carbon capture and storage (CCS) technologies and economic investment opportunities in the UK
    Global Business and Economics Review, 2010, 12, (3), 252-265 Downloads View citations (1)
    See also Working Paper (2010)
  3. EUAs and CERs: Vector Autoregression, Impulse Response Function and Cointegration Analysis
    Economics Bulletin, 2010, 30, (1), 558-576 Downloads View citations (13)
  4. Modelling risk premia in CO2 allowances spot and futures prices
    Economic Modelling, 2010, 27, (3), 717-729 Downloads View citations (23)
  5. Spéculation et marchés dérivés du pétrole
    Revue d'Économie Financière, 2010, 98, (3), 353-371 Downloads
    See also Working Paper (2010)
  6. The impact of Australian ETS news on wholesale spot electricity prices: An exploratory analysis
    Energy Policy, 2010, 38, (8), 3910-3921 Downloads
  7. Volatility forecasting of carbon prices using factor models
    Economics Bulletin, 2010, 30, (2), 1642-1660 Downloads View citations (4)

2009

  1. Carbon futures and macroeconomic risk factors: A view from the EU ETS
    Energy Economics, 2009, 31, (4), 614-625 Downloads View citations (125)
  2. Economic Consequences of Permits Allocation Rules
    Economie Internationale, 2009, (120), 77-90 Downloads View citations (2)
  3. Emissions Compliances and Carbon Prices under the EU ETS: A Country Specific Analysis of Industrial Sectors
    Journal of Policy Modeling, 2009, 31, (3), 446-462 Downloads View citations (46)
  4. Energy risk management with carbon assets
    International Journal of Global Energy Issues, 2009, 32, (4), 328-349 Downloads View citations (6)
    See also Working Paper (2009)
  5. European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007)
    The Energy Journal, 2009, Volume 30, (Number 3), 51-80 Downloads View citations (69)
    See also Working Paper (2009)
  6. Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event
    Energy Policy, 2009, 37, (1), 15-28 Downloads View citations (57)

2008

  1. Price drivers and structural breaks in European carbon prices 2005-2007
    Energy Policy, 2008, 36, (2), 787-797 Downloads View citations (189)
  2. Strategic Manipulation on Emissions Trading Banking Program with Fixed Horizon
    Economics Bulletin, 2008, 17, (14), 1-9 Downloads
  3. The EU Emissions Trading Scheme: the Effects of Industrial Production and CO2 Emissions on Carbon Prices
    Economie Internationale, 2008, (116), 93-126 Downloads View citations (15)

Books

2017

  1. Pricing and Forecasting Carbon Markets
    Springer Books, Springer

2012

  1. Econometric Analysis of Carbon Markets
    Springer Books, Springer

Chapters

2017

  1. Mean-Reverting Lévy Jump Dynamics in the European Power Sector
    Chapter 13 in Climate Finance Theory and Practice, 2017, pp 299-333 Downloads
    See also Working Paper (2017)

2013

  1. At the crossroads: can China grow in a low-carbon way?
    Chapter 31 in Handbook on Energy and Climate Change, 2013, pp 666-681 Downloads
  2. Carbon trading: past, present and future
    Chapter 21 in Handbook on Energy and Climate Change, 2013, pp 471-489 Downloads
 
Page updated 2019-11-19