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Préférences par rapport au risque et marchés à terme: le cas d'une quantité incertaine,
Benoît Sévi,
in Recherches économiques de Louvain
(2007)
Keywords: quantity risk, multiplicative risk, forward trading, risk aversion, prudence
An empirical analysis of the downside risk-return trade-off at daily frequency,
Benoît Sévi,
from HAL
(2013)
Keywords: Downside-risk, HAR model, Intraday data, MIDAS regressions, risk-return tradeoff
Forecasting the volatility of crude oil futures using intraday data,
Benoît Sévi,
from HAL
(2014)
Keywords: Crude oil futures, Jumps, Realized semivariance, Realized variance, Volatility forecasting
Ederington's ratio with production flexibility,
Benoît Sévi,
in Economics Bulletin
(2006)
Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps,
Benoît Sévi,
from Department of Research, Ipag Business School
(2014)
Keywords: convenience yield, realized volatility, jump, inventory.
Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps,
Benoît Sévi,
in Economic Modelling
(2015)
Keywords: Convenience yield; Realized volatility; Jump; Inventory;
An empirical analysis of the downside risk-return trade-off at daily frequency,
Benoît Sévi,
in Economic Modelling
(2013)
Keywords: Risk-return tradeoff; Downside-risk; MIDAS regressions; HAR model; Intraday data;
Forecasting the volatility of crude oil futures using intraday data,
Benoît Sévi,
in European Journal of Operational Research
(2014)
Keywords: Volatility forecasting; Crude oil futures; Realized variance; Jumps; Realized semivariance;
Forecasting the volatility of crude oil futures using intraday data,
Benoît Sévi,
from Department of Research, Ipag Business School
(2014)
The newsvendor problem under multiplicative background risk,
Benoît Sévi,
in European Journal of Operational Research
(2010)
Keywords: Newsvendor problem Multiplicative background risk Multiplicative risk vulnerability Derived utility function Expected utility
Préférences par rapport au risque et marchés à terme: le cas d’une quantité incertaine,
Benoît Sévi,
from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)
(2007)
Keywords: Risque de santé, risque multiplicatif, marché à terme, aversion au risque, prudence
Cross Hedging and Liquidity: a note,
Benoît Sévi,
from CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1
(2003)
Keywords: CROSS HEDGING; LIQUIDITY; MEAN-VARIANCE UTILITY; COMMONALITY IN LIQUIDITY; TRANSACTION COSTS; HEDGING
The Competitive Firm under both Input and output Price Uncertainties with Futures Markets and Basis Risks,
Benoît Sévi,
from CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1
(2004)
Keywords: UNCERTAINTY;RISK AVERSION; PRUDENCE; FUTURES MARKETS
Consequences of Electricity Restructuring on the Environment: a Survey,
Benoît Sévi,
from CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1
(2004)
Keywords: ELECTRICITY RESTRUCTURING; ENVIRONMENT; GREENHOUSE GAS EMISSIONS; REGULATION; INNOVATION.
On the exact minimum variance hedge of an un- certain quantity with flexibility,
Benoît Sévi,
from CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1
(2004)
Keywords: MINIMUM VARIANCE HEDGE; UNCERTAIN DEMAND; PERFECT FLEXIBILITY; COST FUNCTION.
Registered author: Benoît Sévi
On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting,
Julien Chevallier and Benoît Sévi,
from Fondazione Eni Enrico Mattei (FEEM)
(2009)
Keywords: Environmental Economics and Policy
A Fear Index to Predict Oil Futures Returns,
Julien Chevallier and Benoît Sévi,
from Fondazione Eni Enrico Mattei (FEEM)
(2013)
Keywords: Financial Economics
Informed Trading in the WTI Oil Futures Market,
Olivier Rousse and Benoit Sevi,
in The Energy Journal
(2019)
A fear index to predict oil futures returns,
Julien Chevallier and Benoît Sévi,
from Department of Research, Ipag Business School
(2014)
Keywords: Oil Futures, Variance Risk Premium, Forecasting
Citizen's participation in permit markets and social welfare under uncertainty,
Olivier Rousse and Benoît Sévi,
from HAL
(2013)
Keywords: Uncertainty,Marginal abatement cost (MAC) curves,Prices versus quantities,Citizen participation,Behavioral economics,Emissions trading,Risk aversion
On the volatility-volume relationship in energy futures markets using intraday data,
Julien Chevallier and Benoît Sévi,
from HAL
(2012)
The impact of uncertainty on banking behavior: evidence from the US sulfur dioxide emissions allowance trading program,
Benoît Sévi and Olivier Rousse,
from HAL
(2007)
Keywords: sulfur dioxide emissions allowance trading
A fear index to predict oil futures returns,
Julien Chevallier and Benoît Sévi,
from HAL
(2014)
Keywords: Economie quantitative
The explanatory power of signed jumps for the risk-return tradeoff,
Benoît Sévi and César Baena,
from HAL
(2013)
Keywords: ICAPM, Realized volatility, risk-return tradeoff, signed jumps.
Decreasing R&D expenditures in the European energy industry and deregulation,
Benoît Sévi and Olivier Grosse,
from HAL
(2013)
Keywords: Economie quantitative
On the Stochastic Properties of Carbon Futures Prices,
Julien Chevallier and Benoît Sévi,
from HAL
(2014)
Keywords: Activity signature function, C14, C32, Carbon price, Economic Policy, Economics/Management Science, general, Environmental Economics, Environmental Law/Policy/Ecojustice, Environmental Management, G1, Q4, Stochastic modeling
A Fear Index to Predict Oil Futures Returns,
Julien Chevallier and Benoît Sévi,
from Fondazione Eni Enrico Mattei
(2013)
Keywords: Oil Futures, Variance Risk Premium, Forecasting
On the volatility-volume relationship in energy futures markets using intraday data,
Julien Chevallier and Benoît Sévi,
from HAL
(2011)
Keywords: Trading Volume; Price Volatility; Crude Oil Futures; Natural Gas Futures; High-Frequency Data; Realized Volatility; Bipower Variation; Median Realized Volatility; Realised Semivariance; Jump
Information privée sur les marchés du pétrole: le cas des annonces de stocks de brut aux Etats-Unis,
Olivier Rousse and Benoît Sévi,
from HAL
(2018)
Informed Trading in the WTI Oil Futures Market,
Olivier Rousse and Benoît Sévi,
from HAL
(2019)
Keywords: Inventory release,Intraday data,Insider trading,WTI crude oil futures
Informed trading in the WTI oil futures markets,
Olivier Rousse and Benoît Sévi,
from HAL
(2016)
Informed trading in the WTI oil futures markets,
Olivier Rousse and Benoît Sévi,
from HAL
(2017)
Informed trading in the WTI oil futures markets,
Olivier Rousse and Benoît Sévi,
from HAL
(2017)
Informed trading in oil futures markets,
Olivier Rousse and Benoît Sévi,
from HAL
(2017)
Informed trading in oil futures markets,
Olivier Rousse and Benoît Sévi,
from HAL
(2017)
Informed trading in oil futures markets: closing conference,
Olivier Rousse and Benoît Sévi,
from HAL
(2018)
Informed Trading in Oil-Futures Market,
Olivier Rousse and Benoît Sévi,
from HAL
(2016)
Keywords: Insider Trading,WTI Crude Oil Futures,Intraday Data,Inventory Release
On the Stochastic Properties of Carbon Futures Prices,
Julien Chevallier and Benoît Sévi,
from HAL
(2012)
Keywords: Carbon Price,Stochastic Modeling,Activity Signature Function
A special case of self-protection: The choice of a lawyer,
Benoît Sévi and Fabrice Yafil,
in Economics Bulletin
(2005)
Keywords: increase in risk aversion
Informed Trading in Oil-Futures Market,
Olivier Rousse and Benoît Sévi,
from Fondazione Eni Enrico Mattei (FEEM)
(2016)
Keywords: Financial Economics
Informed Trading in Oil-Futures Market,
Olivier Rousse and Benoît Sévi,
from Fondazione Eni Enrico Mattei
(2016)
Keywords: Insider Trading, WTI Crude Oil Futures, Intraday Data, Inventory Release
On the volatility–volume relationship in energy futures markets using intraday data,
Julien Chevallier and Benoît Sévi,
in Energy Economics
(2012)
Keywords: Trading volume; Price volatility; Crude oil futures; Natural gas futures; Realized volatility; Realized semivariance;
Forecasting the density of oil futures,
Florian Ielpo and Benoît Sévi,
from Department of Research, Ipag Business School
(2014)
Keywords: mplied volatility,OVX, realized volatility, density forecasting, HAR.
Brownian motion vs. pure-jump processes for individual stocks,
Benoît Sévi and César Baena,
in Economics Bulletin
(2011)
Keywords: asset prices, Brownian motion, jumps, activity signature functions
A reassessment of the risk-return tradeoff at the daily horizon,
Benoît Sévi and César Baena,
in Economics Bulletin
(2012)
Keywords: risk-return tradeoff, ICAPM, realized volatility, bipower variation, jumps.
The explanatory power of signed jumps for the risk-return tradeoff,
Benoît Sévi and César Baena,
in Economics Bulletin
(2013)
Keywords: risk-return tradeoff, ICAPM, realized volatility, signed jumps.
On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting,
Julien Chevallier and Benoît Sévi,
from HAL
(2009)
Keywords: CO2 Price, Realized Volatility, HAR-RV, GARCH, Futures Trading, Emissions Markets, EU ETS, Intraday data, Forecasting
On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting,
Julien Chevallier and Benoît Sévi,
from HAL
(2009)
Keywords: CO2 Price,Realized Volatility,HAR-RV,GARCH,Futures Trading,Emissions Markets,EU ETS,Intraday data,Forecasting
On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting,
Julien Chevallier and Benoît Sévi,
from Fondazione Eni Enrico Mattei
(2009)
Keywords: CO2 Price, Realized Volatility, HAR-RV, GARCH, Futures Trading, Emissions Markets, EU ETS, Intraday data, Forecasting
Informed trading in the WTI oil futures markets,
Olivier Rousse and Benoît Sévi,
from HAL
(2015)
On the Stochastic Properties of Carbon Futures Prices,
Julien Chevallier and Benoît Sévi,
in Environmental & Resource Economics
(2014)
Keywords: Carbon price, Stochastic modeling, Activity signature function, C14, C32, G1, Q4,
On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting,
Julien Chevallier and Benoît Sévi,
in Annals of Finance
(2011)
Keywords: CO 2 price, Realized volatility, HAR-RV, Emissions markets, EU ETS, Intraday data, Forecasting, C5, G1, Q4,
Informed trading in the WTI oil futures markets,
Olivier Rousse and Benoît Sévi,
from HAL
(2017)
On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting,
Julien Chevallier and Benoît Sévi,
from University of Paris Nanterre, EconomiX
(2009)
Keywords: CO2 Price, Realized Volatility, HAR-RV, GARCH, Futures Trading, Emissions Markets, EU ETS, Intraday data, Forecasting
On the volatility-volume relationship in energy futures markets using intraday data,
Julien Chevallier and Benoît Sévi,
from University of Paris Nanterre, EconomiX
(2011)
Keywords: Trading Volume; Price Volatility; Crude Oil Futures; Natural Gas Futures; High-Frequency Data; Realized Volatility; Bipower Variation; Median Realized Volatility; Realised Semivariance; Jump
Dérégulation et R&D dans le secteur énergétique européen,
Olivier Grosse and Benoît Sévi,
from CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1
(2005)
Banking behavior under uncertainty: Evidence from the US Sulfur Dioxide Emissions Allowance Trading Program,
Olivier Rousse and Benoît Sévi,
from CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1
(2006)
Keywords: Emissions Trading, Permits Banking, Acid Rain Program Uncertainty, Risk Aversion, Prudence.
Informed trading in oil-futures market,
Olivier Rousse and Benoît Sévi,
from Grenoble Applied Economics Laboratory (GAEL)
(2016)
Keywords: INSIDER TRADING;WTI CRUDE OIL FUTURES;INTRADAY DATA;INVENTORY RELEASE
Impact d'un choc sur les corrélations de trois indices boursiers. La faillite de Lehman Brothers,
Yannick Le Pen and Benoît Sévi,
in Revue économique
(2010)
Macro factors in oil futures returns,
Yannick Le Pen and Benoît Sévi,
in International Economics
(2011)
Keywords: Crude Oil Futures;Large Approximate Factor Models;Macro Determinants
How are Day-ahead Prices Informative for Predicting the Next Day's Consumption of Natural Gas? Evidence from France,
Arthur Thomas, Olivier Massol, Benoît Sévi,
in The Energy Journal
(2022)
What trends in energy efficiencies? Evidence from a robust test,
Yannick Le Pen and Benoît Sévi,
in Energy Economics
(2010)
Keywords: Energy intensity Oil intensity Deterministic linear trend Stochastic trend
Empirical bias in intraday volatility measures,
Yan Fang, Florian Ielpo and Benoît Sévi,
in Finance Research Letters
(2012)
Keywords: Volatility models; Jumps; Realized volatility; Bipower variation;
Futures Trading and the Excess Co-movement of Commodity Prices,
Yannick Le Pen and Benoît Sévi,
from HAL
(2018)
Keywords: Commodity excess co-movement hypothesis,Factor model,Heteroscedasticity-corrected,correlation,Commodity index,Futures trading
Real-time demand in natural gas price forecasting: The role of temperature data,
Zakaria Moussa, Arthur Thomas and Benoît Sévi,
from HAL
(2023)
Keywords: energy prices,natural gas,Bayesian VAR,price forecasting,real-time data,temperature
Symposium Editorial: Recent issues in the analysis of energy prices,
Duc Khuong Nguyen and Benoît Sévi,
in European Journal of Comparative Economics
(2016)
The contribution of intraday jumps to forecasting the density of returns,
Christophe Chorro, Florian Ielpo and Benoît Sévi,
in Journal of Economic Dynamics and Control
(2020)
Keywords: Density forecasting; Jumps; Realized volatility; Median realized volatility; Leverage effect;
The contribution of jumps to forecasting the density of returns,
Christophe Chorro, Florian Ielpo and Benoît Sévi,
from HAL
(2017)
Keywords: density forecasting,jumps,realized volatility,bipower variation,median realized volatility,leverage effect
The contribution of intraday jumps to forecasting the density of returns,
Christophe Chorro, Florian Ielpo and Benoît Sévi,
from HAL
(2020)
Keywords: density forecasting,jumps,Realized volatility,median realized volatility,verage effect
The contribution of jumps to forecasting the density of returns,
Christophe Chorro, Florian Ielpo and Benoît Sévi,
from HAL
(2017)
Keywords: density forecasting,jumps,realized volatility,bipower variation,median realized volatility,leverage effect
The contribution of intraday jumps to forecasting the density of returns,
Christophe Chorro, Florian Ielpo and Benoît Sévi,
from HAL
(2020)
Keywords: density forecasting,jumps,Realized volatility,median realized volatility,verage effect
Funds from non-renewable energy resources: Policy lessons from Alaska and Alberta,
César Baena, Benoît Sévi and Allan Warrack,
in Energy Policy
(2012)
Keywords: Natural resources funds; Non-renewable energy sources; Resource curse;
On the non-convergence of energy intensities: Evidence from a pair-wise econometric approach,
Yannick Le Pen and Benoît Sévi,
in Ecological Economics
(2010)
Keywords: Energy intensity Pair-wise test Unit-root test Stationarity test Structural break Convergence
Volatility transmission and volatility impulse response functions in European electricity forward markets,
Yannick Le Pen and Benoît Sévi,
in Energy Economics
(2010)
Keywords: Volatility impulse response function GARCH Non-Gaussian distributions Electricity market Forward markets
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,
from HAL
(2022)
Keywords: Natural Gas Markets,Day-Ahead Prices,Demand Price Elasticity,Load Forecasting
How are day-ahead prices informative for predicting the next day’s consumption of natural gas?,
Arthur Thomas, Olivier Massol and Benoît Sévi,
from HAL
(2019)
How are day-ahead prices informative for predicting the next day’s consumption of natural gas?,
Arthur Thomas, Olivier Massol and Benoît Sévi,
from HAL
(2019)
Futures Trading and the Excess Co-movement of Commodity Prices*,
Yannick Le Pen and Benoît Sévi,
in Review of Finance
(2018)
Keywords: Commodity excess co-movement hypothesis, Factor model, Heteroscedasticity-corrected correlation, Commodity index, Futures trading
Futures trading and the excess comovement of commodity prices,
Yannick Le Pen and Benoît Sévi,
from HAL
(2013)
Keywords: Commodity excess comovement hypothesis,factors model,heteroscedasticity-corrected correlation,commodity index,futures trading
Futures Trading and the Excess Comovement of Commodity Prices,
Yannick Le Pen and Benoît Sévi,
from HAL
(2013)
Keywords: commodity index,futures trading,commodity excess comovement hypothesis,factors model,heteroscedasticity-corrected correlation
Futures trading and the excess comovement of commodity prices,
Yannick Le Pen and Benoît Sévi,
from Department of Research, Ipag Business School
(2013)
How are Day-Ahead Prices Informative for Predicting the Next Day’s Consumption of Natural Gas ?,
Arthur Thomas, Olivier Massol and Benoît Sévi,
from HAL
(2020)
Keywords: Natural gas markets,day-ahead prices,load forecasting
Editorial for the special issue of the journal of banking & finance on asset pricing and factor investing,
Emilios Galariotis, Joëlle Miffre and Benoît Sévi,
from HAL
(2024)
Keywords: Asset pricing, Factor investing
Volatility transmission and volatility impulse response functions in European electricity forward markets,
Yannick Le Pen and Benoît Sévi,
from CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1
(2008)
Keywords: volatility impulse response function, GARCH, non Gaussian distributions, electricity market, forward markets
On the non-convergence of energy intensities: evidence from a pair-wise econometric approach,
Yannick Le Pen and Benoît Sévi,
from CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1
(2008)
Keywords: Energy intensity, pair-wise test, unit-root test, stationarity test, structural break, convergence
Futures Trading and the Excess Comovement of Commodity Prices,
Yannick Le Pen and Benoît Sévi,
from Aix-Marseille School of Economics, France
(2013)
Keywords: commodity excess comovement hypothesis, factors model, heteroscedasticity-corrected correlation, commodity index, futures trading.
The contribution of jumps to forecasting the density of returns,
Christophe Chorro, Florian Ielpo and Benoît Sévi,
from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
(2017)
Keywords: density forecasting; jumps; realized volatility; bipower variation; median realized volatility; leverage effect
Options introduction and volatility in the EU ETS,
Julien Chevallier, Yannick Le Pen and Benoît Sévi,
from HAL
(2009)
Keywords: EU ETS, Option prices, Volatility, GARCH, Rolling Estimation, Endogenous Structural Break Detection
Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices,
Derek Bunn, Julien Chevallier, Yannick Le Pen, and Benoit Sevi,
in The Energy Journal
(2017)
Options introduction and volatility in the EU ETS,
Julien Chevallier, Yannick Le Pen and Benoît Sévi,
from HAL
(2009)
Keywords: EU ETS, Option prices, Volatility, GARCH, Rolling Estimation, Endogenous Structural Break Detection
Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices,
Derek Bunn, Julien Chevallier, Yannick Le Pen and Benoit Sevi,
in The Energy Journal
(2017)
Keywords: Oil Futures; Gas Futures; Common Factors; Speculation; Excess; Comovement
Fundamental and Financial Influences on the Co-movement of Oil and Gas prices,
Derek Bunn, Julien Chevallier, Yannick Le Pen and Benoît Sévi,
from HAL
(2017)
Keywords: Oil futures,Gas futures,Common Factors,Speculation,Excess comovement
Options introduction and volatility in the EU ETS,
Julien Chevallier, Yannick Le Pen and Benoît Sévi,
from HAL
(2011)
Options introduction and volatility in the EU ETS,
Julien Chevallier, Yannick Le Pen and Benoît Sévi,
in Resource and Energy Economics
(2011)
Keywords: EU ETS; Option prices; Volatility; GARCH; Rolling estimation; Endogenous structural break detection;
The role of trade openness and investment in examining the energy-growth-pollution nexus: Empirical evidence for China and India,
Duc Khuong Nguyen, Benoît Sévi, Bo Sjö and Gazi Uddin,
from University Library of Munich, Germany
(2016)
Keywords: Energy; carbon emissions; income; ARDL approach; India; China.
The role of trade openness and investment in examining the energy-growth-pollution nexus: empirical evidence for China and India,
Duc Khuong Nguyen, Benoît Sévi, Bo Sjö and Gazi Uddin,
in Applied Economics
(2017)
Options introduction and volatility in the EU ETS,
Julien Chevallier, Yannick Le Pen and Benoît Sévi,
from University of Paris Nanterre, EconomiX
(2009)
Keywords: EU ETS, Option prices, Volatility, GARCH, Rolling Estimation, Endogenous Structural Break Detection
Options introduction and volatility in the EU ETS,
Julien Chevallier, Yannick Le Pen and Benoît Sévi,
from Chaire Economie du climat
(2011)
Keywords: EU ETS, option prices, volatility, GARCH, rolling estimation, endogenous structural break detection
indonesia and its human resources theory,
Wina Illirian Sevi Rahmadanti,
from Center for Open Science
(2021)
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