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Refereed Journal Articles

by topic, chronologically ordered:


FINANCE

  • Cross-market volatility index with Factor-DCC (with Sofiane Aboura), International Review of Financial Analysis, 2014, forthcoming  Full Text
  • Commodity Markets Through the Business Cycle (with Mathieu Gatumel and Florian Ielpo), Quantitative Finance, 2014, forthcoming  Full Text
  • Time series momentum in commodity markets (with Florian Ielpo), Managerial Finance, 2014, forthcoming
  • Leverage vs. Feedback: Which Effect Drives the Oil Market? (with Sofiane Aboura), Finance Research Letters, 2013, 10(3):131-141  Full Text
  • Volatility returns with vengeance: Financial markets vs. commodities (with Sofiane Aboura), Research in International Business and Finance, 2014, forthcoming   Full Text
  • The cross-market index for volatility surprise (with Sofiane Aboura), Journal of Asset Management, 2014, forthcoming  Full Text
  • Implementing a Simple Rule for Dynamic Stop-Loss Strategies (with Florian Ielpo and Wei Ding), Journal of Investing, 2012, 21(4):111-114  Full Text
  • On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics, and Forecasting (with Benoît Sévi), Annals of Finance, 2011, 7:1-29  Full Text
  • Speculation and oil derivatives markets (in French), Revue d'Economie Financière, 2010, 98(3):353-371  Full Text




MACRO

  • Volatility equicorrelation: a cross-market perspective (with Sofiane Aboura), Economics Letters, 2014, 122(2):289-295  Full Text
  • Towards the identification of cross-commodity relationships in metals markets (with Florian Ielpo), Journal of Quantitative Economics, 2014, forthcoming
  • Cross-market index with Factor-DCC (with Sofiane Aboura), Economic Modelling, 2014, 40:158-166  Full Text
  • An equicorrelation measure for equity, bond, foreign exchange and commodity returns (with Sofiane Aboura), Applied Economics Letters, 2013, 20(18):1618-1624  Full Text
  • Twenty years of jumps in commodity markets (with Florian Ielpo), International Review of Applied Economics, 2014, 28(1):64-82  Full Text
  • Cross-market linkages: the case of commodities, bonds, inflation and industrial production (with Florian Ielpo)Australian Economic Review, 2014, 47(2):189-198  Full Text
  • Understanding momentum in commodity markets (with Mathieu Gatumel and Florian Ielpo), Applied Economics Letters, 2013, 20(15):1383-1402  Full Text 
  • Common risk factors in commodities (with Florian Ielpo and Ling-Ni Boon), Economics Bulletin, 2013, 33(4):2801-2816  Full Text 
  • Volatility spillovers in commodity markets (with Florian Ielpo), Applied Economics Letters, 2013, 20(13):1211-1227  Full Text
  • Cross-market linkages between commodities, stocks ands bonds (with Florian Ielpo), Applied Economics Letters, 2013, 20(10):1008-1018  Full Text
  • Global imbalances, cross-market linkages, and the financial crisis: a multivariate Markov-Switching analysis, Economic Modelling, 2012, 29(3):943-973  Full Text



ENERGY

  • Carbon price analysis using empirical mode decomposition (with Bangzhu Zhu, Ping Wang and Yiming Wei), Computational Economics, 2014, forthcoming. Full Text
  • Modeling the dynamics of European carbon futures prices: a Zipf analysis (with Bangzhu Zhu, Ping Wang and Yiming Wei), Economic Modelling, 2014, 38:372-380   Full Text
  • Examining the structural changes of European carbon prices 2005-2012 (with Bangzhu Zhu, Shujiao Ma and Yiming Wei), Applied Economics Letters, 2014, forthcoming.
  • A Fear Index to Predict Oil Futures Returns (with Benoît Sévi)Energy Studies Review, 2013, 20(3):1-17 Full Text
  • Assessing the Cross-Commodity Relationships in Energy Markets (with Florian Ielpo), Energy Studies Review, 2013, 20(2):45-70  Full Text
  • Variance risk-premia in CO2 markets, Economic Modelling, 2013, 31(3):598-605  Full Text
  • On the volatility-volume relationship in energy futures markets using intraday data (with Benoît Sévi), Energy Economics, 2012, 34(6):1896-1909  Full Text, Appendix
  • The impact of nonlinearities for carbon markets analyses, International Economics (Economie Internationale), 2011,  126-127(2-3):131-150  Full Text
  • Cointegration between carbon spot and futures prices: from linear to nonlinear modelingEconomics Bulletin (Note), 2012, 32(1):160-181  Full Text
  • EUAs and CERs: Interactions in a Markov regime-switching environmentEconomics Bulletin (Note), 2012, 32(1):86-101  Full Text
  • CO2 abatement opportunity in the UK through fuel-switching under the EU ETS (2005-2008): Evidence from the E-Simulate Model (with Erik Delarue, Emeric Lujan and William D'haeseleer), International Journal of Global Energy Issues, 2011, 35(2/3/4):178-214  Full Text
  • A counterfactual simulation exercise of COemissions abatement through fuel-switching in the UK (2008-2012) (with Erik Delarue, Emeric Lujan and William D'haeseleer), International Journal of Global Energy Issues, 2012, 35(5):311-331  Full Text
  • Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models, Economic Modelling, 2011, 28(6):2634-2656  Full Text
  • A model of carbon price interactions with macroeconomic and energy dynamics, Energy Economics, 2011, 33(6):1295-1312   Full Text, Appendix
  • Options introduction and volatility in the EU ETS (with Benoît Sévi and Yannick Le Pen), Resource and Energy Economics, 2011, 33(4):855-880  Full Text
  • Time-varying correlations in oil, gas and CO2 prices: an application using BEKK, CCC, and DCC-MGARCH models, Applied Economics, 2012, 44(32):4257-4274  Full Text
  • Wavelet packet transforms analysis applied to carbon pricesEconomics Bulletin (Preliminary Result), 2011, 31(2):1731-1747  Full Text
  • Nonparametric modeling of carbon prices, Energy Economics, 2011, 33(6):1267-1282  Full Text
  • Carbon Price Drivers: An Updated Literature Review, International Journal of Applied Logistics, 2013, 4(4):1-7  Full Text
  • Anticipating correlations between EUAs and CERs: a Dynamic Conditional Correlation GARCH model, Economics Bulletin (Note), 2011, 31(1):255-272    Full Text
  • EUA and sCER Phase II Price Drivers: Unveiling the reasons for the existence of the EUA-sCER spread (with Emilie Alberola, Maria Mansanet-Bataller and Morgan Hervé-Mignucci), Energy Policy, 2011, 39(3):1056-1069  Full Text
  • Detecting Instability in the Volatility of Carbon Prices, Energy Economics, 2011, 33(1):99-110  Full Text, Appendix, Data, R-Code
  • Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model, Economic Modelling, 2011, 28(1-2):557-567   Full Text, Appendix
  • Jump-robust estimation of realized volatility in the EU emissions trading scheme (with Benoît Sévi), Journal of Energy Markets, 2010, 3(2):49-67  Full Text
  • Volatility forecasting of carbon prices using factor models, Economics Bulletin (Note), 2010,  30(2):1642-1660  Full Text
  • A Note on Cointegrating and Vector Autoregressive Relationships between CO2 allowances spot and futures prices, Economics Bulletin (Note), 2010, 30(2):1564-1584  Full Text
  • The impact of Australian ETS news on wholesale spot electricity prices: An exploratory analysis, Energy Policy, 2010, 38(8):3910-3921  Full Text
  • Modelling risk premia in CO2 allowances spot and futures prices, Economic Modelling, 2010, 27(3):717-729  Full Text
  • EUAs and CERs: Vector Autoregression, Impulse Response Function and Cointegration Analysis, Economics Bulletin (Note), 2010, 30(1):558-576  Full Text
  • Carbon Price Drivers in the EU Emissions Trading Scheme (with Emilie Alberola, in French), Economies et Sociétés, 2009,  43(10):1657-1664  Full Text
  • Energy Risk Management with Carbon Assets, International Journal of Global Energy Issues, 2009, 32(4):328-349  Full Text
  • Carbon futures and macroeconomic risk factors: A view from the EU ETS, Energy Economics, 2009, 31(4):614-625  Full Text
  • European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007) (with Emilie Alberola), The Energy Journal, 2009, 30(3):51-80  Full Text
  • Risk Aversion and Institutional Information Disclosure on the European Carbon Market: a Case-Study of the 2006 Compliance Event (with Florian Ielpo and Ludovic Mercier), Energy Policy, 2009, 37(1):15-28  Full Text
  • Emissions Compliances and Carbon Prices under the EU ETS: A Country Specific Analysis of Industrial Sectors (with Emilie Alberola and Benoît Chèze), Journal of Policy Modeling, 2009, 31(3):446-462  Full Text
  • The EU Emissions Trading Scheme: the Effects of Industrial Production and CO2 Emissions on European Carbon Prices (with Emilie Alberola and Benoît Chèze), International Economics (Economie Internationale), 2008, 116:93-126  Full Text
  • Price Drivers and Structural Breaks in European Carbon Prices 2005-07 (with Emilie Alberola and Benoît Chèze), Energy Policy, 2008, 36(2):787-797  Full Text



ENVIRONMENT
  • On the Stochastic Properties of Carbon Futures Prices (with Benoît Sévi), Environmental and Resource Economics, 2014, 58(1):127-153  Full Text
  • Price relationships in crude oil futures: new evidence from CFTC disaggregated data, Environmental Economics and Policy Studies, 2013, 15(2):133-170  Full Text
  • Will technological progress be sufficient to stabilize CO2 emissions from air transport in the mid-term? (with Benoît Chèze and Pascal Gastineau), Transportation Research Part D: Transport and Environment, 2013, 18(1):91-96  Full Text WP
  • Air traffic energy efficiency differs from place to place: New results from a macro-level approach  (with Benoît Chèze and Pascal Gastineau), International Economics (Economie Internationale), 2011, 126-127(2-3):151-178  Full Text
  • Forecasting world and regional aviation Jet-Fuel demands to the mid term (2025) (with Benoît Chèze and Pascal Gastineau), Energy Policy, 2011, 39(9):5147-5158  Full Text
  • Bankable Pollution Permits under Uncertainty and Optimal Risk Management Rules (with Pierre-André Jouvet and Johanna Etner), Research in Economics, 2011, 65(4):332-339  Full Text
  • Banking and Borrowing in the EU ETS: A Review of Economic Modelling, Current Provisions and Prospects for Future Design, Journal of Economic Surveys, 2012, 26(1):157-176  Full Text
  • Economic consequences of permits allocation rules (with Pierre-André Jouvet, Philippe Michel and Gilles Rotillon), International Economics (Economie Internationale), 2009, 120:77-90  Full Text
  • Strategic Manipulation on Emissions Trading Banking Program with Fixed Horizon, Economics Bulletin (Note), 2008,  17(14):1-9  Full Text



©2013 Julien Chevallier