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Details about Stéphane Goutte

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Homepage:https://sites.google.com/site/mathgoutte/
Workplace:Centre d'Études sur la mondialisation, les conflits, les territoires et les vulnérabilités (CEMOTEV) (Center for the Study of Globalisation, Conflicts, Territories and Vulnerabilities), Université de Versailles - Saint-Quentin-en-Yvelines (University of Versailles and Saint-Quentin-en-Yvelines), (more information at EDIRC)

Access statistics for papers by Stéphane Goutte.

Last updated 2020-06-06. Update your information in the RePEc Author Service.

Short-id: pgo412


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Working Papers

2020

  1. Beyond climate and conflict relationships: new evidence from copulas analysis
    Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg Downloads
  2. COVID 19's impact on crude oil and natural gas S&P GS Indexes
    Working Papers, HAL Downloads
  3. Cliometrics of Climate Change: A Natural Experiment on the Little Ice Age
    Working Papers, Association Française de Cliométrie (AFC) Downloads
    Also in Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg (2020) Downloads
  4. Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis
    Working Papers, HAL Downloads View citations (1)
  5. How to implement a fair and progressive carbon price to fight climate change?
    Working Papers, HAL Downloads
  6. Risk Factors and Contagion in Commodity Markets and Stocks Markets
    Post-Print, HAL
  7. Social Inequalities and Vulnerability of population facing the COVID-19: the case of Seine-Saint-Denis in Ile-de-France
    Working Papers, HAL Downloads
  8. The macroeconomic determinants of Covid19 mortality rate and the role of post subprime crisis decisions
    Working Papers, HAL Downloads
  9. Weather, pollution and Covid-19 spread: a time series and Wavelet reassessment
    Working Papers, HAL Downloads

2019

  1. Banking Crises in Developing Countries-What Crucial Role of Exchange Rate Stability and External Liabilities?
    Working Papers, HAL Downloads
    Also in Post-Print, HAL (2018) View citations (3)

    See also Journal Article in Finance Research Letters (2019)
  2. Climate finance and the restructuring of the oil-gas-coal business model under carbon asset stranding constraints
    Working Papers, HAL Downloads
  3. Commodities risk premia and regional integration in gas-exporting countries
    Post-Print, HAL View citations (1)
    See also Journal Article in Energy Economics (2019)
  4. Contagion and bond pricing: The case of the ASEAN region
    Post-Print, HAL
    See also Journal Article in Research in International Business and Finance (2019)
  5. DOES FINANCIAL GLOBALIZATION STILL SPUR GROWTH IN DEVELOPING COUNTRIES? CONSIDERING EXCHANGE RATE VOLATILITY
    Working Papers, HAL Downloads
  6. DOES FINANCIAL GLOBALIZATION STILL SPUR GROWTH IN EMERGING AND DEVELOPING COUNTRIES? CONSIDERING EXCHANGE RATE VOLATILITY'S EFFECTS
    Working Papers, HAL Downloads
  7. FDI, banking crises and growth: direct and spill over effects
    Post-Print, HAL View citations (2)
    Also in Papers, arXiv.org (2019) Downloads
    Working Papers, HAL (2019) Downloads View citations (2)
    Working Papers, HAL (2019) Downloads

    See also Journal Article in Applied Economics Letters (2019)
  8. Financial Mathematics, Volatility and Covariance Modelling
    Post-Print, HAL
  9. Handbook of Energy Finance
    Post-Print, HAL
    Also in Post-Print, HAL (2019)
  10. Hedging and diversification across commodity assets
    Post-Print, HAL
    See also Journal Article in Applied Economics (2020)
  11. International Financial Markets
    Post-Print, HAL
  12. Media attention and Bitcoin prices
    Post-Print, HAL View citations (1)
    See also Journal Article in Finance Research Letters (2019)
  13. On the Bitcoin price dynamics: an augmented Markov-Switching model with Lévy jumps
    Working Papers, HAL Downloads
  14. Optimal risk management problem of natural resources: Application to oil drilling
    Working Papers, HAL Downloads
  15. Optimal strategy between extraction and storage of crude oil
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2018)
    Post-Print, HAL (2018) View citations (1)

    See also Journal Article in Annals of Operations Research (2019)
  16. Potential benefits of optimal intra-day electricity hedging for the environment: the perspective of electricity retailers
    Working Papers, HAL Downloads
    See also Journal Article in Energy Policy (2019)
  17. Study of the dynamic of Bitcoin's price
    Working Papers, HAL Downloads
  18. The Value of Flexibility in Power Markets
    Working Papers, HAL Downloads View citations (5)
    See also Journal Article in Energy Policy (2019)
  19. What Interactions between Financial Globalization and Instability?-Growth in Developing Countries
    Post-Print, HAL View citations (5)
    See also Journal Article in Journal of International Development (2019)
  20. Worker mobility and the purchase of low CO2 emission vehicles in France: a datamining approach
    Post-Print, HAL Downloads
    Also in Post-Print, HAL (2019) Downloads

    See also Journal Article in European Journal of Comparative Economics (2019)

2018

  1. On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting
    Post-Print, HAL View citations (3)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2018)
  2. On the study of conditional dependence structure between oil, gold and USD exchange rates
    Post-Print, HAL View citations (4)
    See also Journal Article in International Review of Financial Analysis (2018)
  3. The Asymmetric Responses of Stock Markets
    Post-Print, HAL View citations (1)
    See also Journal Article in Journal of Economic Integration (2018)

2017

  1. Jumps and volatility dynamics in agricultural commodity spot prices
    Post-Print, HAL
    See also Journal Article in Applied Economics (2017)
  2. Mean-Reverting Lévy Jump Dynamics in the European Power Sector
    Post-Print, HAL
    See also Chapter (2017)
  3. Regime-switching Stochastic Volatility Model: Estimation and Calibration to VIX options
    Working Papers, HAL Downloads View citations (6)
    See also Journal Article in Applied Mathematical Finance (2017)
  4. Risk minimisation: the failure of electricity intra-day forward contracts
    Post-Print, HAL
    See also Journal Article in International Journal of Global Energy Issues (2017)

2016

  1. Asymmetric evidence of gasoline price responses in France: A Markov-switching approach
    Post-Print, HAL View citations (2)
    See also Journal Article in Economic Modelling (2016)
  2. Gaz de schiste en Europe: le mirage des emplois
    Post-Print, HAL Downloads

2015

  1. A CONDITIONAL MARKOV REGIME SWITCHING MODEL TO STUDY MARGINS: APPLICATION TO THE FRENCH FUEL RETAIL MARKETS
    Post-Print, HAL
    Also in Working Papers, HAL (2014) Downloads
  2. Hedging strategies in energy markets: The case of electricity retailers
    Post-Print, HAL Downloads View citations (13)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015) Downloads View citations (16)

    See also Journal Article in Energy Economics (2015)

2014

  1. A regime switching model to evaluate bonds in a quadratic term structure of interest rates
    Working Papers, HAL Downloads View citations (2)
    See also Journal Article in Applied Financial Economics (2014)
  2. Correlation evidence in the dynamics of agricultural commodity prices
    Post-Print, HAL
    See also Journal Article in Applied Economics Letters (2014)
  3. Detecting jumps and regime-switches in international stock markets returns
    Working Papers, HAL Downloads
    See also Journal Article in Applied Economics Letters (2015)
  4. Dual Optimization Problem on Defaultable Claims
    Post-Print, HAL
    See also Journal Article in Mathematical Economics Letters (2014)
  5. 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
  6. Tobin tax and trading volume tightening: a reassessment
    Working Papers, HAL Downloads
    See also Journal Article in Applied Economics (2015)

2013

  1. Markov switching quadratic term structure models
    Papers, arXiv.org Downloads
    Also in Working Papers, HAL (2013) Downloads
  2. Variance optimal hedging for continuous time additive processes and applications
    Papers, arXiv.org Downloads View citations (11)

2012

  1. Bessel bridges decomposition with varying dimension. Applications to finance
    Working Papers, HAL Downloads
  2. Conditional Markov regime switching model applied to economic modelling
    Working Papers, HAL Downloads
    See also Journal Article in Economic Modelling (2014)
  3. Continuous time regime switching model applied to foreign exchange rate
    Working Papers, HAL Downloads View citations (8)
  4. Optimization problem and mean variance hedging on defaultable claims
    Papers, arXiv.org Downloads
  5. Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
    Papers, arXiv.org Downloads View citations (8)

2011

  1. Foreign exchange rates under Markov Regime switching model
    CREA Discussion Paper Series, Center for Research in Economic Analysis, University of Luxembourg Downloads View citations (3)

2009

  1. Variance Optimal Hedging for continuous time processes with independent increments and applications
    Papers, arXiv.org Downloads View citations (2)

Journal Articles

2020

  1. Does Financial inclusion affect the African banking stability?
    Economics Bulletin, 2020, 40, (1), 863-879 Downloads
  2. Does financial globalization still spur growth in emerging and developing countries? Considering exchange rates
    Research in International Business and Finance, 2020, 52, (C) Downloads
  3. Hedging and diversification across commodity assets
    Applied Economics, 2020, 52, (23), 2472-2492 Downloads
    See also Working Paper (2019)

2019

  1. Banking crises in developing countries–What crucial role of exchange rate stability and external liabilities?
    Finance Research Letters, 2019, 31, (C) Downloads
    See also Working Paper (2019)
  2. Commodities risk premia and regional integration in gas-exporting countries
    Energy Economics, 2019, 80, (C), 267-276 Downloads View citations (1)
    See also Working Paper (2019)
  3. Contagion and bond pricing: The case of the ASEAN region
    Research in International Business and Finance, 2019, 47, (C), 371-385 Downloads
    See also Working Paper (2019)
  4. FDI, banking crises and growth: direct and spill over effects
    Applied Economics Letters, 2019, 26, (20), 1655-1658 Downloads View citations (1)
    See also Working Paper (2019)
  5. Media attention and Bitcoin prices
    Finance Research Letters, 2019, 30, (C), 37-43 Downloads View citations (1)
    See also Working Paper (2019)
  6. Optimal strategy between extraction and storage of crude oil
    Annals of Operations Research, 2019, 281, (1), 3-26 Downloads
    See also Working Paper (2019)
  7. Potential benefits of optimal intra-day electricity hedging for the environment: The perspective of electricity retailers
    Energy Policy, 2019, 132, (C), 1120-1129 Downloads
    See also Working Paper (2019)
  8. The value of flexibility in power markets
    Energy Policy, 2019, 125, (C), 347-357 Downloads View citations (3)
    See also Working Paper (2019)
  9. Transmission of shocks and contagion from U.S. to MENA equity markets: The role of oil and gas markets
    Energy Policy, 2019, 134, (C) Downloads
  10. What Interactions between Financial Globalization and Instability?—Growth in Developing Countries
    Journal of International Development, 2019, 31, (1), 39-79 Downloads View citations (5)
    See also Working Paper (2019)
  11. 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 Downloads
    See also Working Paper (2019)

2018

  1. 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 Downloads View citations (3)
    See also Working Paper (2018)
  2. On the study of conditional dependence structure between oil, gold and USD exchange rates
    International Review of Financial Analysis, 2018, 59, (C), 134-146 Downloads View citations (4)
    See also Working Paper (2018)
  3. The Asymmetric Responses of Stock Markets
    Journal of Economic Integration, 2018, 33, (1), 1096-1140 View citations (1)
    See also Working Paper (2018)

2017

  1. Cross-country performance of Lévy regime-switching models for stock markets
    Applied Economics, 2017, 49, (2), 111-137 Downloads View citations (2)
  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 Downloads View citations (2)
  3. Intraday hedging with financial options: the case of electricity
    Applied Economics Letters, 2017, 24, (20), 1448-1454 Downloads View citations (1)
  4. Jumps and volatility dynamics in agricultural commodity spot prices
    Applied Economics, 2017, 49, (40), 4035-4054 Downloads
    See also Working Paper (2017)
  5. On the estimation of regime-switching Lévy models
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (1), 3-29 Downloads View citations (3)
  6. Regime-switching stochastic volatility model: estimation and calibration to VIX options
    Applied Mathematical Finance, 2017, 24, (1), 38-75 Downloads View citations (6)
    See also Working Paper (2017)
  7. Risk minimisation: the failure of electricity intra-day forward contracts
    International Journal of Global Energy Issues, 2017, 40, (5), 335-343 Downloads
    See also Working Paper (2017)

2016

  1. Asymmetric evidence of gasoline price responses in France: A Markov-switching approach
    Economic Modelling, 2016, 52, (PB), 467-476 Downloads View citations (6)
    See also Working Paper (2016)

2015

  1. Detecting jumps and regime switches in international stock markets returns
    Applied Economics Letters, 2015, 22, (13), 1011-1019 Downloads View citations (4)
    See also Working Paper (2014)
  2. Hedging strategies in energy markets: The case of electricity retailers
    Energy Economics, 2015, 51, (C), 503-509 Downloads View citations (12)
    See also Working Paper (2015)
  3. 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 Downloads View citations (2)
  4. Tobin tax and trading volume tightening: a reassessment
    Applied Economics, 2015, 47, (29), 3124-3141 Downloads View citations (1)
    See also Working Paper (2014)

2014

  1. A regime-switching model to evaluate bonds in a quadratic term structure of interest rates
    Applied Financial Economics, 2014, 24, (21), 1361-1366 Downloads View citations (2)
    See also Working Paper (2014)
  2. Conditional Markov regime switching model applied to economic modelling
    Economic Modelling, 2014, 38, (C), 258-269 Downloads View citations (7)
    See also Working Paper (2012)
  3. Correlation evidence in the dynamics of agricultural commodity prices
    Applied Economics Letters, 2014, 21, (17), 1238-1242 Downloads
    See also Working Paper (2014)
  4. Dual Optimization Problem on Defaultable Claims
    Mathematical Economics Letters, 2014, 1, (2-4), 8 Downloads View citations (1)
    See also Working Paper (2014)

Edited books

2020

  1. Handbook of Energy Finance:Theories, Practices and Simulations
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads
  2. Risk Factors and Contagion in Commodity Markets and Stocks Markets
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads

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)
 
Page updated 2020-08-14