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

11

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Scholarly Papers (11)

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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 844 (27,096)

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Oil Futures, Variance Risk Premium, Forecasting

2.

Informed Trading in Oil-Futures Market

Downloads 399 ( 71,647)

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 234 (127,948)

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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 165 (177,530)

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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 364 (79,769)

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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 355 (82,097)

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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 309 (95,940)

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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 263 (113,911)

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

7.

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 157 (184,929)

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

8.

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 149 (193,252)

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Carbon Price, Stochastic Modeling, Activity Signature Function

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 132 (213,123)

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

10.

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 (236,464)

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

11.

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 104 (253,788)

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