Benoît Sévi

University of Nantes

1, quai de Tourville BP

Nantes Cedex 1

Nantes, 44313

France

http://www.iemniae.univ-nantes.fr/sevi-b/0/fiche___annuaireksup/

  • University of Nantes

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 22,212

SSRN RANKINGS

Top 22,212

in Total Papers Downloads

4,025

SSRN CITATIONS
Rank 35,206

SSRN RANKINGS

Top 35,206

in Total Papers Citations

18

CROSSREF CITATIONS

8

Scholarly Papers (12)

Actions:
Email selected abstracts
1.

A Fear Index to Predict Oil Futures Returns

FEEM Working Paper No. 62.2013
Number of pages: 26 Posted: 12 Jul 2013 Last Revised: 11 Nov 2016
Julien Chevallier and Benoît Sévi
University of Paris 8 Vincennes-Saint Denis and University of Nantes
Downloads 1,045 (37,272)
Citation 4

Abstract:

Loading...

Oil Futures, Variance Risk Premium, Forecasting

2.

Informed Trading in Oil-Futures Market

Downloads 559 (85,561)

Informed Trading in Oil-Futures Market

USAEE Working Paper No. 16-289
Number of pages: 34 Posted: 25 Nov 2016
Olivier Rousse and Benoît Sévi
University Grenoble Alpes and University of Nantes
Downloads 335 (154,126)

Abstract:

Loading...

insider trading, WTI crude oil futures, intraday data, inventory release

Informed Trading in Oil-Futures Market

FEEM Working Paper No. 70.2016
Number of pages: 39 Posted: 18 Nov 2016 Last Revised: 02 Mar 2017
Olivier Rousse and Benoît Sévi
University Grenoble Alpes and University of Nantes
Downloads 224 (232,568)

Abstract:

Loading...

Insider Trading, WTI Crude Oil Futures, Intraday Data, Inventory Release

3.

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 423 (119,678)
Citation 8

Abstract:

Loading...

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

4.

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 404 (126,214)
Citation 1

Abstract:

Loading...

volatility impulse response function, GARCH, electricity forward markets

5.

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 347 (149,427)
Citation 6

Abstract:

Loading...

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

6.

On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting

FEEM Working Paper No. 113.2009
Number of pages: 34 Posted: 13 May 2009 Last Revised: 17 Jan 2017
Julien Chevallier and Benoît Sévi
University of Paris 8 Vincennes-Saint Denis and University of Nantes
Downloads 300 (174,365)
Citation 3

Abstract:

Loading...

CO2 Price, Realized Volatility, HAR-RV, GARCH, Futures Trading, Emissions Markets, EU ETS, Intraday Data, Forecasting

7.

On the Stochastic Properties of Carbon Futures Prices

Number of pages: 35 Posted: 23 Jul 2012 Last Revised: 18 Jan 2017
Julien Chevallier and Benoît Sévi
University of Paris 8 Vincennes-Saint Denis and University of Nantes
Downloads 222 (236,297)
Citation 2

Abstract:

Loading...

Carbon Price, Stochastic Modeling, Activity Signature Function

8.

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 184 (278,977)
Citation 3

Abstract:

Loading...

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

9.

The Newsvendor Problem Under Multiplicative Background Risk

Number of pages: 13 Posted: 06 Feb 2009 Last Revised: 18 Jan 2017
Benoît Sévi
University of Nantes
Downloads 148 (335,816)
Citation 1

Abstract:

Loading...

newsvendor problem, multiplicative background risk, multiplicative risk vulnerability, derived utility function, expected utility

10.

The Contribution of Intraday Jumps to Forecasting the Density of Returns

Number of pages: 42 Posted: 12 Jan 2017 Last Revised: 04 Apr 2019
Christophe Chorro, Florian Ielpo and Benoît Sévi
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and University of Nantes
Downloads 140 (350,980)

Abstract:

Loading...

Density Forecasting, Jumps, Realized Volatility, Bipower Variation, Median Realized Volatility, Leverage Effect

11.

How Are Day-Ahead Prices Informative for Predicting the Next Day’s Consumption of Natural Gas? Evidence from France

USAEE Working Paper No. 19-407
Number of pages: 34 Posted: 16 May 2019
Arthur Thomas, Olivier Massol and Benoît Sévi
Université Paris-Dauphine, PSL Research University, IFP School - Center for Energy Economics and Management and University of Nantes
Downloads 136 (358,947)

Abstract:

Loading...

natural gas markets, day-ahead prices, demand price elasticity, load forecasting

12.

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 117 (401,797)
Citation 1

Abstract:

Loading...

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