Julien Chevallier

• Chevallier, J. and Sévi, B. 2010. On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics, and Forecasting, Annals of Finance, forthcoming.

• Chevallier, J. 2010. Modelling risk premia in CO2 allowances spot and futures prices. Economic Modelling, forthcoming.
• Chevallier, J. 2010. Energy Risk Management with Carbon Assets. International Journal of Global Energy Issues, forthcoming.
• Chevallier, J. and Sévi, B. 2010. Jump-robust estimation of realized volatility in the EU emissions trading scheme, Journal of Energy Markets 3(1), 1-19.
• Chevallier, J. 2009. Carbon futures and macroeconomic risk factors: A view from the EU ETS, Energy Economics 31(4), 614-625.
• Alberola, E. and Chevallier, J. 2009. European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007). The Energy Journal 30(3), 51-80.
• Chevallier, J., Ielpo, F., and Mercier, L. 2009. Risk Aversion and Institutional Information Disclosure on the European Carbon Market: a Case-Study of the 2006 Compliance Event. Energy Policy 37 (1), 15-28.
• Alberola, E., Chevallier, J., and Chèze, B. 2009. Emissions Compliances and Carbon Prices under the EU ETS: A Country Specific Analysis of Industrial Sectors. Journal of Policy Modeling 31(3), 446-462.
• Alberola, E., Chevallier, J., and Chèze, B. 2009. The EU Emissions Trading Scheme: the Effects of Industrial Production and CO2 Emissions on European Carbon Prices. International Economics 116, 93-126.
• Alberola, E., Chevallier, J. and Chèze, B. 2008. Price Drivers and Structural Breaks in European Carbon Prices 2005-07. Energy Policy 36 (2), 787-797.

• Chevallier, J. 2008. Strategic Manipulation on Emissions Trading Banking Program with Fixed Horizon. Economics Bulletin 17 (14), 1-9.
  
  

In-books (chapters in collective books):

• Alberola, E., Chevallier, J. and Chèze, B. 2010. The EU ETS: CO2 Prices Drivers during the Learning Experience (2005-2007). forthcoming in Environmental Efficiency, Innovation and Economic Performance, edited by Montini, A., and Mazzanti, M.Publisher: Routledge.
• Chevallier, J. 2010. Intertemporal Emissions Trading and Market Power: A Dominant Firm with Competitive Fringe Model. forthcoming in Permit Trading in Different Applications, edited by Letmathe, P., Hansjürgens, B., and Antes, R. Publisher: Routledge.
  
  

  Full list of publications
  

• The EUA-sCER Spread: Compliance Strategies and Arbitrage in the European Carbon Market (with Alberola, E., Mansanet-Bataller, M. et Hervé-Mignucci, M.) Mission Climat Working Paper #2010-6.
• Options Introduction and Volatility in the EU ETS (with Le Pen, Y. and Sévi, B.) WP EconomiX #2009-33.
• Bankable Pollution Permits under Uncertainty and Optimal Risk Management Rules: Theory and Empirical Evidence (with Jouvet, P.A. and Etner, J.) WP EconomiX #2008-25.

Expert reports:

• [2009] EUAs and CERs: moving in lockstep? (with Alberola, E., Mansanet-Bataller, M., and Hervé-Mignucci, M.) Tendances Carbone 40, Mission Climat Caisse des Dépôts.
  

• [2010] EDJP/EOS: Law & Economics Meeting, University Paris Ouest Nanterre La Défense
• [2009] Chair FDD: Seminar of the Chair for Finance and Sustainable Development, Dauphine Finance Institute.
  
• [2009] Dauphine: Seminar organized by the CGEMP.
• [2009] UPX: Econometrics Conference, University Paris West Nanterre La Défense.
• [2009] LEF: Workshop "Climate Policy Risk and Energy Investment", London Energy Forum, UK.
  
• [2009] Dauphine: LEDa Economics Seminar, University Paris Dauphine.
  
• [2009] FAEE: French Association for Energy Economists, Paris.
• [2009] Imperial College London: Grantham Institute for Climate Change, UK.
  
• [2009] Stirling: Economics Seminar, University of Stirling, UK.
• [2009] IAEE: X. European Conference of the International Association for Energy Economists, Vienna, Austria.
• [2009] EEA-ESEM: LXIV. Annual Conference of the European Economic Association & Econometrics Society, Barcelona, Spain.
• [2009] EAERE: XVII. Annual Conference of the European Association for Environmental and Resource Economists, Amsterdam, the Netherlands.
• [2009] IEW: International Energy Workshop, Fondazione Giorgio Cini and FEEM, Venice, Italy.
• [2009] USAEE: IAEE XXXII. International Conference, San Francisco, USA
• [2009] Envecon: UKNEE, London.
• [2008] Imperial College London: Grantham Institute for Climate Change, UK.
• [2008] LSE: Department of Geography & Environment
• [2008] University of Nantes: "Finance & Risk" Seminar
• [2008] AFSE: LVII. Annual Congress of the French Economics Association.
• [2008] EEA-ESEM: LXIII. Annual Conference of the European Economic Association & Econometrics Society, Milano, Italy.
• [2008] IAEE: XXXI. International Conference of the International Association for Energy Economists , Istanbul, Turkey.
• [2008] EAERE: XVI. Annual Conference of the European Association for Environmental and Resource Economists, Goteborg University, Sweden.
• [2008] ISF: XXVIII. International Symposium on Forecasting of the International Institute of Forecasters, Nice, France.
• [2008] Luxembourg: XXV. Symposium on Banking and Monetary Economics.
• [2008] Toulouse School of Economics: Frontiers in Environmental Economics and Natural Resources Management, Thematic Meeting of the French Economic Association.
• [2008] Oxford University: Workshop "Financial Markets and Environmental Governance", Centre for the Environment.
• [2008] AFFI: Meeting of the French Finance Association, Lille, France.
• [2008] Paris 1: Seminar "Money, Banking and Finance", CES-CNRS.
• [2008] SMYE: XIII. Spring Meeting for Young Economists, University of Lille 2, France.
• [2008] Environmental Economists Meeting, Catholic University of Louvain, Belgium.
• [2008] CORE Environmental Workshop, Catholic University of Louvain, Belgium.
• [2008] Envecon "Climate and Carbon" Session, UKNEE, London.
• [2008] Workshop "Bank and Finance: the Impacts of Global Threats", University of Lille 1.
• [2008] MIT-CEEPR Workshop "The EU ETS: Perspective and Lessons", Washington D.C., USA.
• [2008] Workshop "Which Governance for Which Environment?", Cargese Institute of Scientific Studies, EconomiX-Louvain-LAMETA, Corsica, France.
• [2008] RES PhD Presentation Meeting, London, UK.
• [2007] AFSE: LVI. Annual Congress of the French Economics Association.
• [2007] EAERE: XV. Annual Conference of the European Association for Environmental and Resource Economists, University of Thessaloniki, Greece.
• [2007] JMA: XXIV. Applied Microeconomics Days, University of Fribourg, Switzerland.
• [2007] SMYE: XII. Spring Meeting for Young Economists, University of Hamburg, Germany.
• [2007] ACDD 2007: Augustin Cournot Doctoral Days, Strasbourg, France.
• [2007] Envecon: "Climate change" Session, UKNEE, London, UK.
• [2007] EconomiX "Environment" session, University of Paris 10, France.
• [2006] IV. Workshop 'Permit trading in different applications', "Emissions Trading" session, University of Halle-Wittenberg (Germany).
• [2006] Seminar on Emissions Trading. Directed by Denny Ellerman (MIT) and O. Godard (Ecole Polytechnique), University of Paris 1, France.

Scientific Activities: