Julien Chevallier

University of Paris 8 Vincennes-Saint Denis

Paris

France

SCHOLARLY PAPERS

19

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5,252

SSRN CITATIONS
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SSRN RANKINGS

Top 17,552

in Total Papers Citations

17

CROSSREF CITATIONS

30

Scholarly Papers (19)

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 858 (27,503)
Citation 4

Abstract:

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Oil Futures, Variance Risk Premium, Forecasting

2.

Carbon Price Drivers: An Updated Literature Review

Number of pages: 9 Posted: 17 Apr 2011
Julien Chevallier
University of Paris 8 Vincennes-Saint Denis
Downloads 801 (30,280)
Citation 4

Abstract:

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Carbon Price, Banking Borrowing, Energy Prices, Macroeconomy, Financial Markets, Econometrics

3.

European Carbon Prices Fundamentals in 2005-2007: The Effects of Energy Markets, Temperatures and Sectorial Production

EconomiX Working Paper No. 2007-33
Number of pages: 35 Posted: 03 Jan 2008
Emilie Alberola, Julien Chevallier and Benoît Chèze
Université Paris X Nanterre, University of Paris 8 Vincennes-Saint Denis and Université Paris X Nanterre
Downloads 705 (36,027)
Citation 9

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Carbon Emissions Trading, Market Price Fundamentals, EU ETS

4.

European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007)

The Energy Journal, forthcoming
Number of pages: 29 Posted: 03 Jan 2008 Last Revised: 26 May 2014
Emilie Alberola and Julien Chevallier
Université Paris X Nanterre and University of Paris 8 Vincennes-Saint Denis
Downloads 682 (37,719)
Citation 5

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Carbon Emissions Trading, EU ETS, Banking, Borrowing, Hotelling Rule, Cost-of-carry Relationship, Futures Term Structure

5.

The EU Emissions Trading Scheme: Disentangling the Effects of Industrial Production and CO2 Emissions on Carbon Prices

International Economics, Forthcoming.
Number of pages: 37 Posted: 15 May 2008 Last Revised: 21 Feb 2014
Emilie Alberola, Julien Chevallier and Benoît Chèze
Université Paris X Nanterre, University of Paris 8 Vincennes-Saint Denis and Université Paris X Nanterre
Downloads 492 (57,654)
Citation 15

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EU ETS, Emissions Trading, Carbon Pricing, CO2 Emissions, Industrial Production

6.

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 (99,412)
Citation 3

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

7.

Risk Aversion and Institutional Information Disclosure on the European Carbon Market: A Case-Study of the 2006 Compliance Event

Energy Policy, Forthcoming
Number of pages: 45 Posted: 08 Apr 2008 Last Revised: 24 May 2014
Julien Chevallier, Florian Ielpo and Ludovic Mercier
University of Paris 8 Vincennes-Saint Denis, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and affiliation not provided to SSRN
Downloads 297 (103,737)
Citation 4

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EU ETS, Risk Aversion, Option Prices, Futures Prices

8.

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 264 (117,585)
Citation 3

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

9.

The EUA-sCER Spread: Compliance Strategies and Arbitrage in the European Carbon Market

Mission Climat Working Paper No. 2010-6
Number of pages: 40 Posted: 24 Jan 2010
University of Valencia - Faculty of Economics, University of Paris 8 Vincennes-Saint Denis, Université Paris Dauphine and Université Paris X Nanterre
Downloads 248 (125,445)
Citation 7

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EUA-sCER Spread, Arbitrage, Emissions Markets

10.

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 150 (198,867)

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Carbon Price, Stochastic Modeling, Activity Signature Function

11.

Linking Emissions Trading Schemes: An Assessment with Regard to Environmental Integrity

Number of pages: 15 Posted: 02 Dec 2008
Julien Chevallier and Natacha Raffin
University of Paris 8 Vincennes-Saint Denis and Paris School of Economics (PSE)
Downloads 141 (209,258)

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Emissions trading, linkage, rate-based system, absolute system, environmental integrity, EU ETS, European carbon market, Canadian Large Final Emitters System

12.

Leverage vs. Feedback: Which Effect Drives the Oil Market?

Number of pages: 15 Posted: 24 Jul 2012
Sofiane Aboura and Julien Chevallier
Université Paris XIII Nord - Department of Economics and Management and University of Paris 8 Vincennes-Saint Denis
Downloads 100 (269,776)
Citation 5

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WTI, Crude Oil Price, Implied Volatility, Leverage Effect, Feedback Effect

13.

Cross-Market Spillovers with ‘Volatility Surprise’

Number of pages: 35 Posted: 28 Jul 2014
Sofiane Aboura and Julien Chevallier
Université Paris XIII Nord - Department of Economics and Management and University of Paris 8 Vincennes-Saint Denis
Downloads 87 (295,039)
Citation 2

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Cross-market relationships, Volatility surprise, Volatility spillover, ADCCX, Asset management

14.

Strategic Manipulation on Emissions Trading Banking Program with Fixed Horizon

Economics Bulletin, Vol. 17, No. 14, pp. 1-9, 2008
Number of pages: 10 Posted: 05 Apr 2008 Last Revised: 19 Jan 2009
Julien Chevallier
University of Paris 8 Vincennes-Saint Denis
Downloads 70 (335,168)

Abstract:

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emissions trading, banking borrowing, market power

15.

Understanding the Link between Aggregated Industrial Production and the Carbon Price

The Economics of Green Energy and Efficiency, Eds. Galarraga, I., Gonzalez-Eguino, M., and Ansuategi, A. Editions: Springer. 2013
Number of pages: 22 Posted: 17 Jul 2013
Julien Chevallier
University of Paris 8 Vincennes-Saint Denis
Downloads 45 (412,804)

Abstract:

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Carbon Price, Economic Activity, Industrial Production, Nonlinear Time Series

16.

Banking and Borrowing in the EU ETS: A Review of Economic Modelling, Current Provisions and Prospects for Future Design

Journal of Economic Surveys, Vol. 26, Issue 1, pp. 157-176, 2012
Number of pages: 20 Posted: 04 Jan 2012
Julien Chevallier
University of Paris 8 Vincennes-Saint Denis
Downloads 3 (640,637)
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Banking, Borrowing, Emissions trading, EU ETS

17.

Cross‐Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production

Australian Economic Review, Vol. 47, Issue 2, pp. 189-198, 2014
Number of pages: 10 Posted: 28 May 2014
Julien Chevallier and Florian Ielpo
University of Paris 8 Vincennes-Saint Denis and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
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18.

Bankable Pollution Permits Under Uncertainty and Optimal Risk Management Rules: Theory and Empirical Evidence

EconomiX Working Paper No. 2008-25
Posted: 02 Dec 2008
Julien Chevallier, Pierre-André Jouvet and Johanna Etner
University of Paris 8 Vincennes-Saint Denis, Université Paris X Nanterre - Department of Economics and Université Paris V Rene Descartes

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Firm behavior, Tradable permits, Policy risk, EU ETS

19.

Price Drivers and Structural Breaks in European Carbon Prices 2005-2007

Energy Policy, Vol. 38, No. 2, pp. 787-797, 2008
Posted: 11 Apr 2008
Emilie Alberola, Julien Chevallier and Benoît Chèze
Université Paris X Nanterre, University of Paris 8 Vincennes-Saint Denis and Université Paris X Nanterre

Abstract:

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Carbon emissions trading, Market price fundamentals, EU ETS