Details about Julien Chevallier

Access statistics for papers by Julien Chevallier.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pch595

Working Papers

2021

1. Covid-19 Outbreak and CO2 Emissions: Macro-Financial Linkages
   Working Papers, Department of Research, Ipag Business School View citations (4)
   See also Journal Article COVID-19 Outbreak and CO 2 Emissions: Macro-Financial Linkages, JRFM, MDPI (2020) View citations (3) (2020)
2. Covid-19 Pandemic and Financial Contagion
   Working Papers, Department of Research, Ipag Business School
   See also Journal Article COVID-19 Pandemic and Financial Contagion, JRFM, MDPI (2020) View citations (13) (2020)

2020

3. On the CO2 emissions determinants during the EU ETS Phases I and II: a plant-level analysis merging the EUTL and Platts power data
   (Sur les déterminants des émissions de CO2 durant les phases I et II dl'EU ETS: une analyse au niveau des usines fusionnant les données sur l'électricité de l'EUTL et de Platts)
   Post-Print, HAL View citations (11)
   Also in Working Papers, HAL (2019)
4. Regime Changes and Fiscal Sustainability in Kenya with Comparative Nonlinear Granger Causalities Across East-African Countries
   Working Papers, Department of Research, Ipag Business School
   Also in Working Papers, HAL (2018) View citations (2)

2019

5. Climate finance and the restructuring of the oil-gas-coal business model under carbon asset stranding constraints
   Working Papers, HAL
6. 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)
7. Financial Mathematics, Volatility and Covariance Modelling
   Post-Print, HAL View citations (8)
8. Including intangible costs into the cost-of-illness approach: a method refinement illustrated based on the PM2.5 economic burden in China
   Working Papers, Department of Research, Ipag Business School View citations (2)
   See also Journal Article 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, Springer (2019) View citations (2) (2019)
9. International Financial Markets
   Post-Print, HAL View citations (1)
10. Investigating Fiscal and Monetary Policies Coordination and Public Debt in Kenya: Evidence from regime-switching and self-exciting threshold autoregressive models
    Working Papers, HAL View citations (3)
    Also in Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) (2019) View citations (4)
11. On the Bitcoin price dynamics: an augmented Markov-Switching model with Lévy jumps
    Working Papers, HAL
12. Primary balance dynamics and public debt sustainability in Kenya
    Working Papers, HAL
13. Study of the dynamic of Bitcoin's price
    Working Papers, HAL View citations (1)

2018

14. Allocating Provincial CO2 Quotas for the Chinese National Carbon Program
    Working Papers, Department of Research, Ipag Business School View citations (8)
    See also Journal Article Allocating provincial CO2 quotas for the Chinese national carbon program, Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society (2018) View citations (4) (2018)
15. Oil Price Risk and Financial Contagion
    Post-Print, HAL View citations (9)

2017

16. Electricity-Savings Pressure and Electricity-Savings Potential among China?s Inter-Provincial Manufacturing Sectors
    Working Papers, Department of Research, Ipag Business School
17. Fundamental and Financial Influences on the Co-movement of Oil and Gas prices
    Post-Print, HAL View citations (19)
    See also Journal Article Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices, The Energy Journal, International Association for Energy Economics (2017) View citations (18) (2017)
18. Market Integration and Financial Linkages among Stock Markets in Pacific Basin Countries
    Working Papers, Department of Research, Ipag Business School
    See also Journal Article Market integration and financial linkages among stock markets in Pacific Basin countries, Journal of Empirical Finance, Elsevier (2018) View citations (26) (2018)
19. 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)
20. Pricing and Forecasting Carbon Markets: Models and Empirical Analyses
    Post-Print, HAL View citations (5)

2016

21. An Adaptive Multiscale Ensemble Learning Paradigm for Nonstationary and Nonlinear Energy Price Time Series Forecasting
    Working Papers, Department of Research, Ipag Business School View citations (28)
    See also Journal Article An Adaptive Multiscale Ensemble Learning Paradigm for Nonstationary and Nonlinear Energy Price Time Series Forecasting, Journal of Forecasting, John Wiley & Sons, Ltd. (2016) View citations (32) (2016)
22. Carbon Leakage and Competitiveness of Cement and Steel Industries Under the EU ETS: Much Ado About Nothing
    Post-Print, HAL View citations (38)
    See also Journal Article Carbon Leakage and Competitiveness of Cement and Steel Industries Under the EU ETS: Much Ado About Nothing, The Energy Journal, International Association for Energy Economics (2017) View citations (31) (2017)
23. Oil vs. gasoline: The dark side of volatility and taxation
    Post-Print, HAL
    See also Journal Article Oil vs. gasoline: The dark side of volatility and taxation, Research in International Business and Finance, Elsevier (2017) View citations (1) (2017)
24. Spikes and crashes in the oil market
    Post-Print, HAL View citations (3)
    See also Journal Article Spikes and crashes in the oil market, Research in International Business and Finance, Elsevier (2016) View citations (4) (2016)

2015

25. A cross-volatility index for hedging the country risk
    Post-Print, HAL View citations (3)
    See also Journal Article A cross-volatility index for hedging the country risk, Journal of International Financial Markets, Institutions and Money, Elsevier (2015) View citations (4) (2015)
26. Can China achieve its carbon intensity target by 2020 while sustaining economic growth?
    Post-Print, HAL View citations (24)
    See also Journal Article Can China achieve its carbon intensity target by 2020 while sustaining economic growth?, Ecological Economics, Elsevier (2015) View citations (33) (2015)
27. Cross-market volatility index with Factor-DCC
    Post-Print, HAL View citations (2)
    See also Journal Article Cross-market volatility index with Factor-DCC, International Review of Financial Analysis, Elsevier (2015) View citations (2) (2015)
28. Geographical Diversification with a World Volatility Index
    Post-Print, HAL
    See also Journal Article Geographical diversification with a World Volatility Index, Journal of Multinational Financial Management, Elsevier (2015) (2015)
29. Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets
    Post-Print, HAL
    See also Journal Article Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets, Applied Economics, Taylor & Francis Journals (2015) (2015)
30. Statistical Method to Estimate Regime-Switching Levy Model
    Post-Print, HAL
31. Volatility returns with vengeance: Financial markets vs. commodities
    Post-Print, HAL View citations (21)
    See also Journal Article Volatility returns with vengeance: Financial markets vs. commodities, Research in International Business and Finance, Elsevier (2015) View citations (23) (2015)

2014

32. A fear index to predict oil futures returns
    Post-Print, HAL View citations (5)
    Also in Working Papers, Fondazione Eni Enrico Mattei (2013) View citations (6)
    Working Papers, Department of Research, Ipag Business School (2014) View citations (31)
    Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM) (2013) View citations (7)
33. Carbon price analysis using empirical mode decomposition
    Working Papers, Department of Research, Ipag Business School View citations (31)
    See also Journal Article Carbon Price Analysis Using Empirical Mode Decomposition, Computational Economics, Springer (2015) View citations (34) (2015)
34. Cross-Market Spillovers with 'Volatility Surprise'
    Working Papers, HAL View citations (4)
    Also in Post-Print, HAL (2014) View citations (4)
    EconomiX Working Papers, University of Paris Nanterre, EconomiX (2014) View citations (11)
    See also Journal Article Cross-market spillovers with ‘volatility surprise’, Review of Financial Economics, Elsevier (2014) View citations (12) (2014)
35. Cross-market index with Factor-DCC
    Post-Print, HAL View citations (3)
    See also Journal Article Cross-market index with Factor-DCC, Economic Modelling, Elsevier (2014) View citations (3) (2014)
36. 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)
37. Modeling the dynamics of European carbon futures price: a Zipf analysis
    Working Papers, Department of Research, Ipag Business School View citations (14)
    See also Journal Article Modelling the dynamics of European carbon futures price: A Zipf analysis, Economic Modelling, Elsevier (2014) View citations (31) (2014)
38. On the Stochastic Properties of Carbon Futures Prices
    Post-Print, HAL View citations (13)
    Also in Working Papers, HAL (2012)
    See also Journal Article On the Stochastic Properties of Carbon Futures Prices, Environmental & Resource Economics, Springer (2014) View citations (26) (2014)
39. The cross-market index for volatility surprise
    Post-Print, HAL View citations (1)
    See also Journal Article The cross-market index for volatility surprise, Journal of Asset Management, Palgrave Macmillan (2014) (2014)
40. The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process
    Working Papers, Department of Research, Ipag Business School
41. Volatility equicorrelation: A cross-market perspective
    Post-Print, HAL View citations (13)
    See also Journal Article Volatility equicorrelation: A cross-market perspective, Economics Letters, Elsevier (2014) View citations (12) (2014)

2013

42. Leverage vs. Feedback: Which Effect Drives the Oil Market ?
    Post-Print, HAL View citations (31)
    Also in Working Papers, HAL (2012) View citations (9)
    See also Journal Article Leverage vs. feedback: Which Effect drives the oil market?, Finance Research Letters, Elsevier (2013) View citations (34) (2013)
43. The Economics of Commodity Markets
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (32)
    Also in Post-Print, HAL (2013) View citations (32)
44. Understanding the link between aggregated industrial production and the carbon price
    Post-Print, HAL View citations (1)
45. Will technological progress be sufficient to stabilize CO2 emissions from air transport in the mid-term ?
    Working Papers, HAL View citations (17)
    Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2012)

2012

46. Air traffic energy efficiency differs from place to place: new results from a macro-level approach
    Working Papers, Chaire Economie du climat
    See also Journal Article Air traffic energy efficiency differs from place to place: New results from a macro-level approach, International Economics, CEPII research center (2011) View citations (10) (2011)
47. Econometric Analysis of Carbon Markets: The European Union Emissions Trading Scheme and the Clean Development Mechanism
    Post-Print, HAL View citations (14)
    See also Journal Article Econometric analysis of carbon markets: the european union emissions trading scheme and the clean development mechanism, Economics Bulletin, AccessEcon (2011) View citations (10) (2011)
48. On the volatility-volume relationship in energy futures markets using intraday data
    Post-Print, HAL View citations (6)
    Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2011) View citations (1)
    See also Journal Article On the volatility–volume relationship in energy futures markets using intraday data, Energy Economics, Elsevier (2012) View citations (39) (2012)
49. Time-varying correlations in oil, gas and CO2 prices: an application using BEKK, CCC, and DCC-MGARCH models
    Post-Print, HAL View citations (35)
    Also in Post-Print, HAL (2011) View citations (2)
    See also Journal Article Time-varying correlations in oil, gas and CO 2 prices: an application using BEKK, CCC and DCC-MGARCH models, Applied Economics, Taylor & Francis Journals (2012) View citations (22) (2012)
50. 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

2011

51. Air traffic energy efficiency differs from place to place: analysis of historical trends by geographical zones using a macro-level methodology
    Working Papers, HAL View citations (7)
52. Carbon Price Drivers: An Updated Literature Review
    Working Papers, HAL View citations (7)
    See also Journal Article Carbon Price Drivers: An Updated Literature Review, International Journal of Applied Logistics (IJAL), IGI Global (2013) View citations (3) (2013)
53. Detecting Instability in the Volatility of Carbon Prices
    Post-Print, HAL View citations (36)
    See also Journal Article Detecting instability in the volatility of carbon prices, Energy Economics, Elsevier (2011) View citations (49) (2011)
54. EUA and sCER Phase II Price Drivers: Unveiling the reasons for the existence of the EUA-sCER spread
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (44)
    Also in Post-Print, HAL (2011) View citations (1)
    Post-Print, HAL (2011) View citations (40)
    See also Journal Article EUA and sCER phase II price drivers: Unveiling the reasons for the existence of the EUA-sCER spread, Energy Policy, Elsevier (2011) View citations (54) (2011)
55. Forecasting world and regional aviation jet fuel demands to the mid-term (2025)
    Post-Print, HAL View citations (26)
    See also Journal Article Forecasting world and regional aviation jet fuel demands to the mid-term (2025), Energy Policy, Elsevier (2011) View citations (28) (2011)
56. Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model
    Post-Print, HAL View citations (24)
    See also Journal Article Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model, Economic Modelling, Elsevier (2011) View citations (28) (2011)
57. Options introduction and volatility in the EU ETS
    Post-Print, HAL View citations (3)
    Also in Working Papers, Chaire Economie du climat (2011) View citations (22)
    EconomiX Working Papers, University of Paris Nanterre, EconomiX (2009) View citations (3)
    Working Papers, HAL (2009) View citations (3)
    See also Journal Article Options introduction and volatility in the EU ETS, Resource and Energy Economics, Elsevier (2011) View citations (24) (2011)

2010

58. Carbon Capture and Storage (CCS) Technologies and Economic Investment Opportunities in the UK
    Working Papers, HAL View citations (1)
    See also Journal Article Carbon capture and storage (CCS) technologies and economic investment opportunities in the UK, Global Business and Economics Review, Inderscience Enterprises Ltd (2010) View citations (1) (2010)
59. Carbon Prices during the EU ETS Phase II: Dynamics and Volume Analysis
    Working Papers, HAL View citations (3)
60. Etudes économétriques récentes réalisées à partir des données de la CFTC
    Working Papers, HAL
61. Forecasting air traffic and corresponding jet-fuel demande until 2025
    Working Papers, HAL View citations (1)
62. Modelling the convenience yield in carbon prices using daily and realized measures
    Working Papers, HAL View citations (1)
63. Price relationships in the EU emissions trading system
    Working Papers, HAL View citations (2)
64. Spéculation et marchés dérivés du pétrole
    Working Papers, HAL View citations (1)
    See also Journal Article Spéculation et marchés dérivés du pétrole, Revue d'Économie Financière, Programme National Persée (2010) (2010)
65. The EUA-sCER Spread: Compliance Strategies and Arbitrage in the European Carbon Market
    Post-Print, HAL View citations (7)
66. The European carbon market (2005-2007): banking, pricing and risk-hedging strategies
    Working Papers, HAL View citations (1)

2009

67. Banking and Borrowing in the EU ETS: An Econometric Appraisal of the 2005-2007 Intertemporal Market
    Working Papers, HAL View citations (4)
68. Emissions Compliances and Carbon Prices under the EU ETS: A Country Specific Analysis of Industrial SectorsEmissions Compliances and Carbon Price
    Post-Print, HAL View citations (39)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) View citations (37)
69. Emissions Trading: What Makes It Work?
    Working Papers, HAL View citations (3)
70. Energy Risk Management with Carbon Assets
    Working Papers, HAL View citations (7)
    See also Journal Article Energy risk management with carbon assets, International Journal of Global Energy Issues, Inderscience Enterprises Ltd (2009) View citations (7) (2009)
71. European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (107)
    Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2007) View citations (102)
    Post-Print, HAL (2009) View citations (71)
    See also Journal Article European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007), The Energy Journal, International Association for Energy Economics (2009) View citations (108) (2009)
72. Intertemporal Emissions Trading and Allocation Rules: Gainers, Losers and the Spectre of Market Power
    Working Papers, HAL
73. Intertemporal Emissions Trading and Market Power: A Dominant Firm with Competitive Fringe Model
    Working Papers, HAL
74. Les déterminants du prix du carbone sur le marché européen des quotas
    Working Papers, HAL
75. On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting
    Working Papers, Fondazione Eni Enrico Mattei View citations (5)
    Also in Sustainable Development Papers, Fondazione Eni Enrico Mattei (FEEM) (2009) View citations (1)
    EconomiX Working Papers, University of Paris Nanterre, EconomiX (2009) View citations (1)
    Working Papers, HAL (2009) View citations (2)
    See also Journal Article On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting, Annals of Finance, Springer (2011) View citations (18) (2011)
76. Re-examining the concept of sustainable development in light of climate change
    Working Papers, HAL View citations (2)
77. The EU ETS: CO2 prices drivers during the learning experience (2005-2007)
    Working Papers, HAL

2008

78. Bankable Pollution Permits under Uncertainty and Optimal Risk Management Rules: Theory and Empirical Evidence
    EconomiX Working Papers, University of Paris Nanterre, EconomiX View citations (5)
79. 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 View citations (36)

2007

80. A differential game of intertemporal emissions trading with market power
    EconomiX Working Papers, University of Paris Nanterre, EconomiX
81. European carbon prices fundamentals in 2005-2007: the effects of energy markets, temperatures and sectorial production
    EconomiX Working Papers, University of Paris Nanterre, EconomiX View citations (9)

Journal Articles

2023

1. A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information
   Journal of Forecasting, 2023, 42, (1), 60-75 View citations (2)
2. Trading, storage, or penalty? Uncovering firms' decision-making behavior in the Shanghai emissions trading scheme: Insights from agent-based modeling
   Energy Economics, 2023, 117, (C) View citations (3)
3. Which exogenous driver is informative in forecasting European carbon volatility: Bond, commodity, stock or uncertainty?
   Energy Economics, 2023, 117, (C) View citations (3)

2022

4. Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors
   Annals of Finance, 2022, 18, (2), 267-283 View citations (5)
5. Convolutional neural network forecasting of European Union allowances futures using a novel unconstrained transformation method
   Energy Economics, 2022, 110, (C) View citations (17)
6. Could SO2 and CO2 emissions trading schemes achieve co-benefits of emissions reduction?
   Energy Policy, 2022, 170, (C) View citations (3)
7. Emission trading, induced innovation and firm performance
   Energy Economics, 2022, 112, (C) View citations (11)
8. Energy out-of-poverty and inclusive growth: Evidence from the China health and nutrition survey
   Structural Change and Economic Dynamics, 2022, 60, (C), 344-352 View citations (3)
9. Forecasting carbon price using a multi‐objective least squares support vector machine with mixture kernels
   Journal of Forecasting, 2022, 41, (1), 100-117 View citations (11)
10. Macroeconomic attention, economic policy uncertainty, and stock volatility predictability
    International Review of Financial Analysis, 2022, 84, (C) View citations (19)
11. Stock market return predictability revisited: Evidence from a new index constructing the oil market
    Finance Research Letters, 2022, 49, (C) View citations (2)

2021

12. Cross-border systemic risk spillovers in the global oil system: Does the oil trade pattern matter?
    Energy Economics, 2021, 101, (C) View citations (6)
13. Forecasting Inflection Points: Hybrid Methods with Multiscale Machine Learning Algorithms
    Computational Economics, 2021, 57, (2), 537-575 View citations (2)
14. Global economic policy uncertainty and gold futures market volatility: Evidence from Markov regime‐switching GARCH‐MIDAS models
    Journal of Forecasting, 2021, 40, (6), 1070-1085 View citations (23)
15. Green finance and the restructuring of the oil-gas-coal business model under carbon asset stranding constraints
    Energy Policy, 2021, 149, (C) View citations (17)
16. Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model
    Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (2), 19
17. Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises
    Economic Modelling, 2021, 105, (C) View citations (14)
18. Is It Possible to Forecast the Price of Bitcoin?
    Forecasting, 2021, 3, (2), 1-44 View citations (2)
19. Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions
    International Review of Economics & Finance, 2021, 73, (C), 325-347 View citations (19)
20. On the nonlinear relationship between energy use and CO2 emissions within an EKC framework: Evidence from panel smooth transition regression in the MENA region
    Research in International Business and Finance, 2021, 55, (C) View citations (24)
21. Time domain and frequency domain Granger causality networks: Application to China’s financial institutions
    Finance Research Letters, 2021, 39, (C) View citations (7)

2020

22. A dynamic conditional regime-switching GARCH CAPM for energy and financial markets
    Energy Economics, 2020, 85, (C) View citations (1)
23. Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models
    Finance Research Letters, 2020, 35, (C) View citations (41)
24. COVID-19 Outbreak and CO 2 Emissions: Macro-Financial Linkages
    JRFM, 2020, 14, (1), 1-18 View citations (3)
    See also Working Paper Covid-19 Outbreak and CO2 Emissions: Macro-Financial Linkages, Working Papers (2021) View citations (4) (2021)
25. COVID-19 Pandemic and Financial Contagion
    JRFM, 2020, 13, (12), 1-25 View citations (13)
    See also Working Paper Covid-19 Pandemic and Financial Contagion, Working Papers (2021) (2021)
26. Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? New evidence
    Energy Economics, 2020, 91, (C) View citations (21)
27. Dynamic Spillovers between Gulf Cooperation Council’s Stocks, VIX, Oil and Gold Volatility Indices
    JRFM, 2020, 13, (4), 1-17 View citations (3)
28. Hedging and safe-haven characteristics of Gold against currencies: An investigation based on multivariate dynamic copula theory
    Resources Policy, 2020, 68, (C) View citations (19)
29. Identifying price bubbles in the US, European and Asian natural gas market: Evidence from a GSADF test approach
    Energy Economics, 2020, 87, (C) View citations (33)
30. Local Gaussian correlations in financial and commodity markets
    European Journal of Operational Research, 2020, 285, (1), 306-323 View citations (16)
31. Quantile spillovers and dependence between Bitcoin, equities and strategic commodities
    Economic Modelling, 2020, 93, (C), 230-258 View citations (42)
32. Regime changes and fiscal sustainability in Kenya
    Economic Modelling, 2020, 86, (C), 1-9 View citations (1)

2019

33. A conditional dependence approach to CO2-energy price relationships
    Energy Economics, 2019, 81, (C), 812-821 View citations (32)
34. 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 View citations (15)
35. 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)
36. 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 View citations (2)
    See also Working Paper Including intangible costs into the cost-of-illness approach: a method refinement illustrated based on the PM2.5 economic burden in China, Working Papers (2019) View citations (2) (2019)
37. 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 View citations (11)
38. 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 View citations (23)
39. Portfolio allocation across variance risk premia
    Journal of Risk Finance, 2019, 20, (5), 556-593

2018

40. Allocating CO2 allowances to emitters in China: A multi-objective decision approach
    Energy Policy, 2018, 121, (C), 441-451 View citations (9)
41. Allocating provincial CO2 quotas for the Chinese national carbon program
    Australian Journal of Agricultural and Resource Economics, 2018, 62, (3) View citations (4)
    Also in Australian Journal of Agricultural and Resource Economics, 2018, 62, (3), 457-479 (2018) View citations (8)
    See also Working Paper Allocating Provincial CO2 Quotas for the Chinese National Carbon Program, Working Papers (2018) View citations (8) (2018)
42. An intertemporal carbon emissions trading system with cap adjustment and path control
    Energy Policy, 2018, 122, (C), 152-161 View citations (6)
43. Enriching the VaR framework to EEMD with an application to the European carbon market
    International Journal of Finance & Economics, 2018, 23, (3), 315-328 View citations (5)
44. 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 View citations (10)
45. 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 View citations (10)
46. Market fragmentation, liquidity measures and improvement perspectives from China's emissions trading scheme pilots
    Energy Economics, 2018, 75, (C), 249-260 View citations (22)
47. Market integration and financial linkages among stock markets in Pacific Basin countries
    Journal of Empirical Finance, 2018, 46, (C), 77-92 View citations (26)
    See also Working Paper Market Integration and Financial Linkages among Stock Markets in Pacific Basin Countries, Working Papers (2017) (2017)
48. On the road to China's 2020 carbon intensity target from the perspective of “double control”
    Energy Policy, 2018, 119, (C), 377-387 View citations (10)
49. Supply-side structural effects of air pollutant emissions in China: A comparative analysis
    Structural Change and Economic Dynamics, 2018, 46, (C), 89-95 View citations (5)
50. Tail risk and the return-volatility relation
    Research in International Business and Finance, 2018, 46, (C), 16-29 View citations (1)

2017

51. A new weighting-scheme for equity indexes
    International Review of Financial Analysis, 2017, 54, (C), 159-175 View citations (2)
52. 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) View citations (31)
    See also Working Paper Carbon Leakage and Competitiveness of Cement and Steel Industries Under the EU ETS: Much Ado About Nothing, Post-Print (2016) View citations (38) (2016)
53. Cross-country performance of Lévy regime-switching models for stock markets
    Applied Economics, 2017, 49, (2), 111-137 View citations (2)
54. Dynamic multiscale interactions between European carbon and electricity markets during 2005–2016
    Energy Policy, 2017, 107, (C), 309-322 View citations (20)
55. 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)
56. Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices
    The Energy Journal, 2017, Volume 38, (Number 2) View citations (18)
    See also Working Paper Fundamental and Financial Influences on the Co-movement of Oil and Gas prices, Post-Print (2017) View citations (19) (2017)
57. Investigating the leverage effect in commodity markets with a recursive estimation approach
    Research in International Business and Finance, 2017, 39, (PB), 763-778 View citations (3)
58. Mean-field limit of generalized Hawkes processes
    Stochastic Processes and their Applications, 2017, 127, (12), 3870-3912 View citations (13)
59. Oil vs. gasoline: The dark side of volatility and taxation
    Research in International Business and Finance, 2017, 39, (PB), 976-989 View citations (1)
    See also Working Paper Oil vs. gasoline: The dark side of volatility and taxation, Post-Print (2016) (2016)
60. On the estimation of regime-switching Lévy models
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (1), 3-29 View citations (6)
61. “De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets
    Energy Economics, 2017, 68, (C), 228-239 View citations (72)

2016

62. An Adaptive Multiscale Ensemble Learning Paradigm for Nonstationary and Nonlinear Energy Price Time Series Forecasting
    Journal of Forecasting, 2016, 35, (7), 633-651 View citations (32)
    See also Working Paper An Adaptive Multiscale Ensemble Learning Paradigm for Nonstationary and Nonlinear Energy Price Time Series Forecasting, Working Papers (2016) View citations (28) (2016)
63. Capital–energy substitution in China: regional differences and dynamic evolution
    Post-Communist Economies, 2016, 28, (4), 421-435
64. Spikes and crashes in the oil market
    Research in International Business and Finance, 2016, 36, (C), 615-623 View citations (4)
    See also Working Paper Spikes and crashes in the oil market, Post-Print (2016) View citations (3) (2016)
65. 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 View citations (52)
66. The place of gold in the cross-market dependencies
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (5), 567-586

2015

67. A cross-volatility index for hedging the country risk
    Journal of International Financial Markets, Institutions and Money, 2015, 38, (C), 25-41 View citations (4)
    See also Working Paper A cross-volatility index for hedging the country risk, Post-Print (2015) View citations (3) (2015)
68. Can China achieve its carbon intensity target by 2020 while sustaining economic growth?
    Ecological Economics, 2015, 119, (C), 209-216 View citations (33)
    See also Working Paper Can China achieve its carbon intensity target by 2020 while sustaining economic growth?, Post-Print (2015) View citations (24) (2015)
69. Carbon Price Analysis Using Empirical Mode Decomposition
    Computational Economics, 2015, 45, (2), 195-206 View citations (34)
    See also Working Paper Carbon price analysis using empirical mode decomposition, Working Papers (2014) View citations (31) (2014)
70. Cross-market volatility index with Factor-DCC
    International Review of Financial Analysis, 2015, 42, (C), 132-140 View citations (2)
    See also Working Paper Cross-market volatility index with Factor-DCC, Post-Print (2015) View citations (2) (2015)
71. 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)
72. Examining the structural changes of European carbon futures price 2005-2012
    Applied Economics Letters, 2015, 22, (5), 335-342 View citations (14)
73. Forecasting the density of returns in crude oil futures markets
    International Journal of Global Energy Issues, 2015, 38, (4/5/6), 201-231 View citations (1)
74. Geographical diversification with a World Volatility Index
    Journal of Multinational Financial Management, 2015, 30, (C), 62-82
    See also Working Paper Geographical Diversification with a World Volatility Index, Post-Print (2015) (2015)
75. Realized EquiCorrelation: a bird's-eye view of financial stress on equity markets
    Applied Economics, 2015, 47, (47), 5013-5033
    See also Working Paper Realized EquiCorrelation: a bird’s-eye view of financial stress on equity markets, Post-Print (2015) (2015)
76. Volatility returns with vengeance: Financial markets vs. commodities
    Research in International Business and Finance, 2015, 33, (C), 334-354 View citations (23)
    See also Working Paper Volatility returns with vengeance: Financial markets vs. commodities, Post-Print (2015) View citations (21) (2015)

2014

77. Commodity markets through the business cycle
    Quantitative Finance, 2014, 14, (9), 1597-1618 View citations (10)
78. Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production
    Australian Economic Review, 2014, 47, (2), 189-198
79. Cross-market index with Factor-DCC
    Economic Modelling, 2014, 40, (C), 158-166 View citations (3)
    See also Working Paper Cross-market index with Factor-DCC, Post-Print (2014) View citations (3) (2014)
80. Cross-market spillovers with ‘volatility surprise’
    Review of Financial Economics, 2014, 23, (4), 194-207 View citations (12)
    Also in Review of Financial Economics, 2014, 23, (4), 194-207 (2014)
    See also Working Paper Cross-Market Spillovers with 'Volatility Surprise', Working Papers (2014) View citations (4) (2014)
81. Modelling the dynamics of European carbon futures price: A Zipf analysis
    Economic Modelling, 2014, 38, (C), 372-380 View citations (31)
    See also Working Paper Modeling the dynamics of European carbon futures price: a Zipf analysis, Working Papers (2014) View citations (14) (2014)
82. On the Stochastic Properties of Carbon Futures Prices
    Environmental & Resource Economics, 2014, 58, (1), 127-153 View citations (26)
    See also Working Paper On the Stochastic Properties of Carbon Futures Prices, Post-Print (2014) View citations (13) (2014)
83. The cross-market index for volatility surprise
    Journal of Asset Management, 2014, 15, (1), 7-23
    See also Working Paper The cross-market index for volatility surprise, Post-Print (2014) View citations (1) (2014)
84. Twenty years of jumps in commodity markets
    International Review of Applied Economics, 2014, 28, (1), 64-82 View citations (17)
85. Volatility equicorrelation: A cross-market perspective
    Economics Letters, 2014, 122, (2), 289-295 View citations (12)
    See also Working Paper Volatility equicorrelation: A cross-market perspective, Post-Print (2014) View citations (13) (2014)

2013

86. An equicorrelation measure for equity, bond, foreign exchange and commodity returns
    Applied Economics Letters, 2013, 20, (18), 1618-1624 View citations (1)
87. Carbon Price Drivers: An Updated Literature Review
    International Journal of Applied Logistics (IJAL), 2013, 4, (4), 1-7 View citations (3)
    See also Working Paper Carbon Price Drivers: An Updated Literature Review, Working Papers (2011) View citations (7) (2011)
88. Common risk factors in commodities
    Economics Bulletin, 2013, 33, (4), 2801-2816
89. Cross-market linkages between commodities, stocks and bonds
    Applied Economics Letters, 2013, 20, (10), 1008-1018 View citations (6)
90. Leverage vs. feedback: Which Effect drives the oil market?
    Finance Research Letters, 2013, 10, (3), 131-141 View citations (34)
    See also Working Paper Leverage vs. Feedback: Which Effect Drives the Oil Market ?, Post-Print (2013) View citations (31) (2013)
91. Price relationships in crude oil futures: new evidence from CFTC disaggregated data
    Environmental Economics and Policy Studies, 2013, 15, (2), 133-170 View citations (7)
92. Understanding momentum in commodity markets
    Applied Economics Letters, 2013, 20, (15), 1383-1402 View citations (3)
93. Variance risk-premia in CO2 markets
    Economic Modelling, 2013, 31, (C), 598-605 View citations (9)
94. Volatility spillovers in commodity markets
    Applied Economics Letters, 2013, 20, (13), 1211-1227 View citations (43)

2012

95. 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 View citations (3)
96. 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 View citations (31)
97. Cointegration between carbon spot and futures prices: from linear to nonlinear modeling
    Economics Bulletin, 2012, 32, (1), 160-181 View citations (4)
98. EUAs and CERs: Interactions in a Markov regime-switching environment
    Economics Bulletin, 2012, 32, (1), 86-101 View citations (2)
99. Global imbalances, cross-market linkages, and the financial crisis: A multivariate Markov-switching analysis
    Economic Modelling, 2012, 29, (3), 943-973 View citations (6)
100. On the volatility–volume relationship in energy futures markets using intraday data
     Energy Economics, 2012, 34, (6), 1896-1909 View citations (39)
     See also Working Paper On the volatility-volume relationship in energy futures markets using intraday data, Post-Print (2012) View citations (6) (2012)
101. 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 View citations (22)
     See also Working Paper Time-varying correlations in oil, gas and CO2 prices: an application using BEKK, CCC, and DCC-MGARCH models, Post-Print (2012) View citations (35) (2012)

2011

102. A model of carbon price interactions with macroeconomic and energy dynamics
     Energy Economics, 2011, 33, (6), 1295-1312 View citations (85)
103. Air traffic energy efficiency differs from place to place: New results from a macro-level approach
     International Economics, 2011, (126-127), 151–177 View citations (10)
     See also Working Paper Air traffic energy efficiency differs from place to place: new results from a macro-level approach, Working Papers (2012) (2012)
104. Anticipating correlations between EUAs and CERs: a Dynamic Conditional Correlation GARCH model
     Economics Bulletin, 2011, 31, (1), 255-272 View citations (11)
105. Bankable emission permits under uncertainty and optimal risk-management rules
     Research in Economics, 2011, 65, (4), 332-339 View citations (6)
106. 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 View citations (1)
107. Detecting instability in the volatility of carbon prices
     Energy Economics, 2011, 33, (1), 99-110 View citations (49)
     See also Working Paper Detecting Instability in the Volatility of Carbon Prices, Post-Print (2011) View citations (36) (2011)
108. 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 View citations (54)
     See also Working Paper EUA and sCER Phase II Price Drivers: Unveiling the reasons for the existence of the EUA-sCER spread, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2011) View citations (44) (2011)
109. Econometric analysis of carbon markets: the european union emissions trading scheme and the clean development mechanism
     Economics Bulletin, 2011, 31, (4), A53 View citations (10)
     See also Working Paper Econometric Analysis of Carbon Markets: The European Union Emissions Trading Scheme and the Clean Development Mechanism, Post-Print (2012) View citations (14) (2012)
110. Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models
     Economic Modelling, 2011, 28, (6), 2634-2656 View citations (39)
111. Forecasting world and regional aviation jet fuel demands to the mid-term (2025)
     Energy Policy, 2011, 39, (9), 5147-5158 View citations (28)
     See also Working Paper Forecasting world and regional aviation jet fuel demands to the mid-term (2025), Post-Print (2011) View citations (26) (2011)
112. Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model
     Economic Modelling, 2011, 28, (1-2), 557-567 View citations (28)
     Also in Economic Modelling, 2011, 28, (1), 557-567 (2011) View citations (28)
     See also Working Paper Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model, Post-Print (2011) View citations (24) (2011)
113. Nonparametric modeling of carbon prices
     Energy Economics, 2011, 33, (6), 1267-1282 View citations (31)
114. 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 View citations (18)
     See also Working Paper On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting, Working Papers (2009) View citations (5) (2009)
115. Options introduction and volatility in the EU ETS
     Resource and Energy Economics, 2011, 33, (4), 855-880 View citations (24)
     See also Working Paper Options introduction and volatility in the EU ETS, Post-Print (2011) View citations (3) (2011)
116. The impact of nonlinearities for carbon markets analyses
     International Economics, 2011, (126-127), 131-150 View citations (1)
117. Wavelet packet transforms analysis applied to carbon prices
     Economics Bulletin, 2011, 31, (2), 1731-1747 View citations (4)

2010

118. A Note on Cointegrating and Vector Autoregressive Relationships between CO2 allowances spot and futures prices
     Economics Bulletin, 2010, 30, (2), 1564-1584 View citations (30)
119. Carbon capture and storage (CCS) technologies and economic investment opportunities in the UK
     Global Business and Economics Review, 2010, 12, (3), 252-265 View citations (1)
     See also Working Paper Carbon Capture and Storage (CCS) Technologies and Economic Investment Opportunities in the UK, Working Papers (2010) View citations (1) (2010)
120. EUAs and CERs: Vector Autoregression, Impulse Response Function and Cointegration Analysis
     Economics Bulletin, 2010, 30, (1), 558-576 View citations (18)
121. Modelling risk premia in CO2 allowances spot and futures prices
     Economic Modelling, 2010, 27, (3), 717-729 View citations (31)
122. Spéculation et marchés dérivés du pétrole
     Revue d'Économie Financière, 2010, 98, (3), 353-371
     See also Working Paper Spéculation et marchés dérivés du pétrole, Working Papers (2010) View citations (1) (2010)
123. The impact of Australian ETS news on wholesale spot electricity prices: An exploratory analysis
     Energy Policy, 2010, 38, (8), 3910-3921 View citations (3)
124. Volatility forecasting of carbon prices using factor models
     Economics Bulletin, 2010, 30, (2), 1642-1660 View citations (10)

2009

125. Carbon futures and macroeconomic risk factors: A view from the EU ETS
     Energy Economics, 2009, 31, (4), 614-625 View citations (206)
126. Economic Consequences of Permits Allocation Rules
     Economie Internationale, 2009, (120), 77-90 View citations (2)
127. 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 View citations (59)
128. Energy risk management with carbon assets
     International Journal of Global Energy Issues, 2009, 32, (4), 328-349 View citations (7)
     See also Working Paper Energy Risk Management with Carbon Assets, Working Papers (2009) View citations (7) (2009)
129. European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007)
     The Energy Journal, 2009, Volume 30, (Number 3), 51-80 View citations (108)
     See also Working Paper European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007), Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2009) View citations (107) (2009)
130. 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 View citations (65)

2008

131. Price drivers and structural breaks in European carbon prices 2005-2007
     Energy Policy, 2008, 36, (2), 787-797 View citations (326)
132. Strategic Manipulation on Emissions Trading Banking Program with Fixed Horizon
     Economics Bulletin, 2008, 17, (14), 1-9 View citations (2)
133. The EU Emissions Trading Scheme: the Effects of Industrial Production and CO2 Emissions on Carbon Prices
     Economie Internationale, 2008, (116), 93-126 View citations (28)

Books

2017

1. Pricing and Forecasting Carbon Markets
   Springer Books, Springer View citations (13)

2012

2. Econometric Analysis of Carbon Markets
   Springer Books, Springer View citations (21)

Chapters

2019

1. Low Carbon Indexing and Correlation Indices: Implications for Portfolio Management
   Chapter 11 in HANDBOOK OF GLOBAL FINANCIAL MARKETS Transformations, Dependence, and Risk Spillovers, 2019, pp 275-296

2017

2. 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)

2013

3. At the crossroads: can China grow in a low-carbon way?
   Chapter 31 in Handbook on Energy and Climate Change, 2013, pp 666-681
4. Carbon trading: past, present and future
   Chapter 21 in Handbook on Energy and Climate Change, 2013, pp 471-489