Julien Chevallier

University of Paris 8 Vincennes-Saint Denis

Paris

France

SCHOLARLY PAPERS

19

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CITATIONS
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44

Scholarly Papers (19)

1.

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 641 (30,604)
Citation 3

Abstract:

Carbon Emissions Trading, Market Price Fundamentals, EU ETS

2.

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 631 (31,359)
Citation 14

Abstract:

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

3.

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 542 (27,604)

Abstract:

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

4.

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 535 (26,811)

Abstract:

Oil Futures, Variance Risk Premium, Forecasting

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 458 (47,711)
Citation 7

Abstract:

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 292 (81,109)
Citation 4

Abstract:

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 270 (86,273)
Citation 8

Abstract:

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 252 (96,822)
Citation 6

Abstract:

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 230 (105,317)

Abstract:

EUA-sCER Spread, Arbitrage, Emissions Markets

10.

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 135 (173,926)

Abstract:

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

11.

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 132 (168,986)

Abstract:

Carbon Price, Stochastic Modeling, Activity Signature Function

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 77 (239,162)
Citation 1

Abstract:

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

13.

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 60 (287,448)

Abstract:

emissions trading, banking borrowing, market power

14.

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 45 (289,812)

Abstract:

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

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 34 (354,444)

Abstract:

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 2 (534,082)
Citation 1

Abstract:

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)
Downloads 0 (557,049)

Abstract:

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

Abstract:

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:

Carbon emissions trading, Market price fundamentals, EU ETS