Publications and working papers

Publications

 [14] "Futures trading and the excess co-movement of commodity prices, avec Benoit Sévi,Review of Finance, Volume 22, Issue 1, February 2018, Pages 381–418.

 [13] "Fundamental and financial influences in the co-movement of oil and gas prices", avec Derek Bunn, Julien Chevallier & Benoit Sévi, The Energy Journal, 2017, Vol. 38 Issue 2, p201-228. 

 [12] "The Impact of Intermittent Renewable Production and Market Coupling on the Convergence of French and German Electricity Prices", avec Jan-Horst  Keppler et Sébastien Phan, The Energy Journal, 2016, Vol. 37 Issue 3, p343-359. 

 [11] "Macro factors in oil futures returns", avec Benoît Sévi, International Economics/ Economie internationale, 2011, 126-127, p 13-38.

[10] "Option market and volatility in the EU ETS", avec Julien Chevallier et Benoît Sévi, Resource and Energy Economics, 2011, vol 33(4), p. 855-880.

 [9] "A pair-wise approach to output convergence between European regions", Economic Modelling, 2011, vol 28(3), p. 955-964.

[8] "Volatility transmission and volatility impulse response functions in European electricity forward markets", avec Benoît Sévi,Energy Economics, vol 32(4), 2010, p. 758-770.

[7] "What trends in energy efficiencies? Evidence from a robust test", avec Benoît Sévi, Energy Economics, vol 32(3), 2010, p. 641-650.

[6] "Impact d'un choc sur les corrélations de trois indices boursiers. La faillite de Lehman Brothers", avec Benoît Sévi, Revue Economique, vol 61(3), 2010, p. 407-419.

  [5] "On the non-convergence of energy intensities: evidence from a pair-wise econometric approach", avec Benoît Sévi, Ecological Economics, vol 69(3), 2010, p. 641-650.

[4] "Convergence among four industrialised countries (1870-1994): results from a time varying co-integration approach ", Empirical Economics, vol 30, 2005, p. 23-35.

[3] "On modelling convergence clubs" avec Patrick Fève, Applied Economics letters, Vol 7(5), 2000, p. 311–314.

[2] "Convergence des revenus par tête : un tour d'horizon", Revue d'Economie Politique, vol 107(6), 1997, p. 715-756.

[1] "Les épisodes de la convergence européenne" avec Pierre-Yves Hénin, Revue Economique, vol 46(3), 1995, p. 667-677.

Works in progress

2022: How do correlations respond to shocks?  Evidence from an impulse response analysis for U.S. stocks, bonds and commodities, with Benoit Sévi

2022 : "Hedgers' reaction to price changes in commodity markets" with Marie Bessec  and Benoît Sévi.

Data for "Fundamental and financial influences in the co-movement of oil and gas prices"