Yannick Le Pen

Université Paris Dauphine

Place du Maréchal de Lattre de Tassigny

75775

France

SCHOLARLY PAPERS

6

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Scholarly Papers (6)

1.

Futures Trading and the Excess Comovement of Commodity Prices

Number of pages: 41 Posted: 21 Dec 2012 Last Revised: 14 Feb 2017
Yannick Le Pen and Benoît Sévi
Université Paris Dauphine and University of Nantes
Downloads 368 (80,214)
Citation 3

Abstract:

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commodity excess comovement hypothesis, factors model, heteroscedasticity-corrected correlation, commodity index, futures trading

2.

Volatility Transmission and Volatility Impulse Response Functions in European Electricity Forward Markets

Number of pages: 29 Posted: 23 Jan 2009 Last Revised: 18 Jan 2017
Yannick Le Pen and Benoît Sévi
Université Paris Dauphine and University of Nantes
Downloads 360 (82,261)

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volatility impulse response function, GARCH, electricity forward markets

3.

Options Introduction and Volatility in the EU ETS

Number of pages: 27 Posted: 20 Jul 2009 Last Revised: 18 Jan 2017
Julien Chevallier, Yannick Le Pen and Benoît Sévi
University of Paris 8 Vincennes-Saint Denis, Université Paris Dauphine and University of Nantes
Downloads 309 (97,637)
Citation 3

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EU ETS, Option prices, Volatility, GARCH, Rolling Estimation, Endogenous Structural Break Detection

4.

On the Non-Convergence of Energy Intensities: Evidence from a Pair-Wise Econometric Approach

Number of pages: 26 Posted: 25 Jan 2009 Last Revised: 18 Jan 2017
Yannick Le Pen and Benoît Sévi
Université Paris Dauphine and University of Nantes
Downloads 159 (186,244)
Citation 1

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Energy intensity, pair-wise test, unit-root test, stationarity test, structural break, convergence

5.

What Trends in Energy Efficiencies? Evidence from a Robust Test

Number of pages: 17 Posted: 18 May 2009 Last Revised: 18 Jan 2017
Yannick Le Pen and Benoît Sévi
Université Paris Dauphine and University of Nantes
Downloads 115 (240,510)
Citation 1

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Energy intensity, oil intensity, deterministic linear trend, stochastic trend

6.

A Pair-Wise Approach to Per Capita Output Convergence between European Regions

Number of pages: 30 Posted: 19 Feb 2009 Last Revised: 11 Jun 2015
Yannick Le Pen
Université Paris Dauphine
Downloads 52 (381,798)

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Growth, Regional Convergence, Pairwise approach, Unit root, Structural breaks