Financialization of Commodity Markets
Volatility Modelling and Forecasting
Economics of Risk and Uncertainty
CURRENT WORKING PAPERS
Considering real-time demand to forecast the U.S. natural gas price in real-time: The role of temperature data, Arthur Thomas, Zakaria Moussa and Benoît Sévi (2020). Including temperature data in a Bayesian VAR significantly improves real-time forecasts of the real price of Henry-Hub natural gas price at horizons going from 1 to 12 months.
On the efficiency of the CME-NYMEX oil option market: Evidence from a fractional cointegration analysis, Gilles de Truchis and Benoît Sévi (2020). Long-run relationship between realized and implied volatility supports the efficiency hypothesis in the WTI market.
SOME PUBLISHED AND FORTHCOMING PAPERS (full list of publications in vitae)
How are day-ahead prices informative for predicting the next day's consumption of natural gas? Evidence from France, Arthur Thomas, Olivier Massol and Benoît Sévi. Energy Journal, forthcoming. A simple time series model using only gas prices and the spark ratio provides significant forecast improvements compared to predictions released by operators.
The contribution of jumps to forecasting the density of returns, Christophe Chorro, Florian Ielpo and Benoît Sévi (2020). Journal of Economic Dynamics & Control, forthcoming. Considering jumps apart from the diffusive part of volatility helps to predict the density of returns for various asset classes.
Informed trading in the WTI oil futures markets, Olivier Rousse and Benoît Sévi (2019), Energy Journal 40, 139-160. [slides] Suspicious trading pattern consistent with informed trading in the two hours before the weekly EIA-DOE announcement.
Futures trading and the excess comovement of commodity prices, Yannick Le Pen and Benoît Sévi (2018). [slides] [data] Review of Finance 22, 381-418. Index of speculative intensity in 8 unrelated commodity markets can explain most of the residual comovements after considering fundamentals through factors.
Fundamental and financial influences on the co-movement of oil and gas prices, Derek Bunn, Julien Chevallier, Yannick Le Pen, and Benoît Sévi (2017), Energy Journal 38, 201-228. Speculation in oil and gas markets explain significant part of comovements between both energy commodities.
Forecasting the volatility of crude oil futures using intraday data, Benoît Sévi (2014), European Journal of Operational Research 235, 643-659.
On the stochastic properties of carbon futures prices, Julien Chevallier and Benoît Sévi (2014), Environmental and Resource Economics 58, 127-153.
Volatility transmission and volatility impulse response functions in European electricity forward markets, Yannick Le Pen and Benoît Sévi (2010), Energy Economics 32, 758-770.
On the non-convergence of energy intensities: Evidence from a pair-wise econometric approach, Yannick Le Pen and Benoît Sévi (2010), Ecological Economics 69, 641-650.
The newsboy problem under multiplicative background risk, Benoît Sévi (2010), European Journal of Operational Research 200, 918-923.
Risk preferences and forward trading: the case of quantity uncertainty (in French), Benoît Sévi (2007), Louvain Economic Review 73, 217-228.
@: benoit.sevi_at_univ-nantes.fr Tel: +33 (0) 2 40 14 17 96 LEMNA EA 4272, Université de Nantes Chemin de la Censive du Tertre Bâtiment Tertre, BP 52231 44322 Nantes cedex 3