Fields of teaching, research and professionnal competence

CHEVALLIER Julien Associate professor Julien.CHEVALLIER@dauphine.fr Website : Website Current Position - Status Department of attachment : MSO Other activities and responsibilities Associate Editor, International Journal of Global Energy Issues Education and qualification Ph.D. Sciences économiques (2008 - Paris Ouest Nanterre La Defense) Master (Search) specialty : Economie-Gestion (2005 - Ecole Normale Superieure de Cachan) Curriculum vitae : CHEVALLIER Julien Page 1/10

Fields of teaching, research and professionnal competence Fields of teaching Time Series Econometrics Financial Econometrics Environmental Economics Finance Applied Econometrics Econometrics of Energy Markets Econometrics of Commodities Markets Commodities Finance Fields of research Economics Energy and Climate Change Economics Environmental and Resource Economics Public Economics Curriculum vitae : CHEVALLIER Julien Page 2/10

Publications of Julien CHEVALLIER 2015 Aboura, Sofiane ; Chevallier, Julien. Realized EquiCorrelation: a bird s-eye view of financial stress on equity markets. Applied Economics. Volume -. n -. 2015. pages -. Routledge. DOI http://dx.doi.org/10.1080/00036846.2015.1042139. Aboura, Sofiane ; Chevallier, Julien. A cross-volatility index for hedging the country risk. Journal of International Financial Markets, Institutions and Money. Volume 38. 2015. pages 25 41. Elsevier. DOI http://dx.doi.org/10.1016/j.intfin.2015.05.008. Aboura, Sofiane ; Chevallier, Julien. Geographical Diversification with a World Volatility Index. Journal of Multinational Financial Management. Volume 30. 2015. pages 62 82. Elsevier. DOI http://dx.doi.org/10.1016/j.mulfin.2015.03.001. Aboura, Sofiane ; Chevallier, Julien. Volatility returns with vengeance: Financial markets vs. commodities. Research in International Business and Finance. Volume 33. 2015. pages 334 354. Elsevier. DOI http://dx.doi.org/10.1016/j.ribaf.2014.04.003. 2014 Aboura, Sofiane ; Chevallier, Julien. Cross-Market Spillovers with 'Volatility Surprise'. Review of Financial Economics. Volume 23. n 4. 2014. pages 194 207. Elsevier. DOI http://dx.doi.org/10.1016/j.rfe.2014.08.002. Aboura, Sofiane ; Chevallier, Julien. Cross-market volatility index with Factor-DCC. International Review of Financial Analysis. Volume -. n -. 2014. pages -. Elsevier. DOI http://dx.doi.org/10.1016/j.irfa.2014.06.003. Chevallier, Julien ; Aboura, Sofiane. Cross-market index with Factor-DCC. Economic Modelling. Volume 40. 2014. pages 158 166. Elsevier. DOI http://dx.doi.org/10.1016/j.econmod.2014.04.001. Aboura, Sofiane ; Chevallier, Julien. The cross-market index for volatility surprise. Journal of Asset Management. Volume 15. n 1. 2014. pages 7-23. Palgrave Macmillan. DOI http://dx.doi.org/10.1057/jam.2014.5. Chevallier, Julien ; Aboura, Sofiane. Volatility equicorrelation: A cross-market perspective. Economics Letters. Volume 122. n 2. 2014. pages 289 295. Elsevier. DOI http://dx.doi.org/10.1016/j.econlet.2013.12.008. 2013 Chevallier, Julien ; Ielpo, Florian ; Boon, Ling-Ni. Common risk factors in commodities. Economics Bulletin. Volume 33. n 4. 2013. pages 2801-2816. Chevallier, Julien. Variance risk-premia in CO2markets. Economic Modelling. Volume 31. n 51. 2013. pages 598-605. Elsevier. DOI http://dx.doi.org/10.1016/j.econmod.2012.12.017. Chevallier, Julien. Price relationships in crude oil futures: new evidence from CFTC disaggregated data. Environmental Economics and Policy Studies. Volume 15. n 2. 2013. pages 133-170. Springer. DOI http://dx.doi.org/10.1007/s10018-012-0045-3. Curriculum vitae : CHEVALLIER Julien Page 3/10

Ielpo, Florian ; Gatumel, Mathieu ; Chevallier, Julien. Understanding momentum in commodity markets. Applied Economics Letters. Volume 20. n 15. 2013. pages 1383-1402. Taylor & Francis. DOI http://dx.doi.org/10.1080/13504851.2013.815300. Aboura, Sofiane ; Chevallier, Julien. An equicorrelation measure for equity, bond, foreign exchange and commodity returns. Applied Economics Letters. Volume 20. n 18. 2013. pages 1618-1624. Taylor & Francis. DOI http://dx.doi.org/10.1080/13504851.2013.829192. Ielpo, Florian ; Chevallier, Julien. Cross-market linkages between commodities, stocks and bonds. Applied Economics Letters. Volume 20. n 10. 2013. pages 1008-1018. Taylor & Francis. DOI http://dx.doi.org/10.1080/13504851.2013.772286. Ielpo, Florian ; Chevallier, Julien. Volatility spillovers in commodity markets. Applied Economics Letters. Volume 20. n 13. 2013. pages 1211-1227. Taylor & Francis. DOI http://dx.doi.org/10.1080/13504851.2013.799748. Chèze, Benoit ; Chevallier, Julien ; Gastineau, Pascal. Will technological progress be sufficient to effectively lead the air transport to a sustainable development in the mid-term (2025)?. Transportation Research Part D: Transport and Environment. Volume 18. n 12. 2013. pages 91-96. Elsevier. Chevallier, Julien ; Aboura, Sofiane. Leverage vs. Feedback: Which Effect Drives the Oil Market?. Finance Research Letters. Volume 10. n 3. 2013. pages 15 pages. Elsevier. DOI http://dx.doi.org/10.1016/j.frl.2013.05.003. Working Papers Sévi, Benoît ; Chevallier, Julien. A Fear Index to Predict Oil Futures Returns. Fondazione Eni Enrico Mattei. 2013. Sévi, Benoît ; Le Pen, Yannick ; Chevallier, Julien ; Bunn, Derek. Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices. Université Montpellier 1. 2013. 2012 Chevallier, Julien ; Sévi, Benoît. On the volatility-volume relationship in energy futures markets using intraday data. Energy Economics. Volume 34. n 6. 2012. pages 1896-1909. Elsevier. DOI http://dx.doi.org/10.1016/j.eneco.2012.08.024. Chevallier, Julien ; Delarue, Erik ; Lujan, Emeric ; D'haeseleer, William. A counterfactual simulation exercise of CO2 emissions abatement through fuel-switching in the UK (2008-2012). International Journal of Global Energy Issues. Volume 35. n 5. 2012. pages 311-331. Inderscience. DOI http://dx.doi.org/10.1504/..046712. Chevallier, Julien. Time-varying correlations in oil, gas and CO2 prices: an application using BEKK, CCC, and DCC-MGARCH models. Applied Economics. Volume 44. n 32. 2012. pages 4257-4274. Taylor & Francis. DOI http://dx.doi.org/10.1080/00036846.2011.589809. Chevallier, Julien. Cointegration between carbon spot and futures prices : from linear to nonlinear modeling. Economics Bulletin. Volume 32. n 1. 2012. pages 160-181. Economics Bulletin. Chevallier, Julien. EUAs and CERs : Interactions in a Markov regime-switching environment. Economics Bulletin. Volume 32. n 1. 2012. pages 86-101. Economics Bulletin. Chevallier, Julien. Banking and Borrowing in the EU ETS: A Review of Economic Modelling, Current Provisions and Prospects for Future Design. Journal of Economic Surveys. Volume 26. n 1. 2012. pages 157-176. Wiley. DOI http://dx.doi.org/10.1111/j.1467-6419.2010.00642.x. Chevallier, Julien. Global imbalances, cross-market linkages, and the financial crisis : a multivariate Markov-Switching analysis. Economic Modelling. Volume 29. n 3. 2012. pages 943-973. Elsevier. DOI http://dx.doi.org/10.1016/j.econmod.2012.02.012. Working Papers Chèze, Benoit ; Gastineau, Pascal ; Chevallier, Julien. Air traffic energy efficiency differs from place to place : new results from a macro-level approach. Université Paris-Dauphine. 2012. Books Curriculum vitae : CHEVALLIER Julien Page 4/10

Chevallier, Julien. Econometric Analysis of Carbon Markets : The European Union Emissions Trading Scheme and the Clean Development Mechanism. Dordrecht. Springer. 2012. pages 226. ISBN 978-94-007-2411-2. 2011 Chevallier, Julien. The impact of nonlinearities for carbon markets analyses. International Economics. Volume 126-127. 2011. pages 131-150. La Documentation française. DOI http://dx.doi.org/10.1016/s2110-7017(13)60040-2. Lujan, Emeric ; Delarue, Erik ; Chevallier, Julien ; D'Haeseleer, William. CO2 abatement opportunity in the UK through fuel-switching under the EU ETS (2005-2008): evidence from the E-Simulate model. International Journal of Global Energy Issues. Volume 35. n 2-4. 2011. pages 178-214. Inderscience Publishers. DOI http://dx.doi.org/10.1504/ijgei.2011.045029. Chevallier, Julien. Nonparametric modeling of carbon prices. Energy Economics. Volume 33. n 6. 2011. pages 1267-1282. Elsevier. DOI http://dx.doi.org/10.1016/j.eneco.2011.03.003. Chevallier, Julien ; Chèze, Benoît ; Gastineau, Pascal. Forecasting world and regional aviation Jet-Fuel demands to the mid term (2025). Energy Policy. Volume 39. n 9. 2011. pages 5147-5158. Elsevier. DOI http://dx.doi.org/10.1016/j.enpol.2011.05.049. Chevallier, Julien ; Le Pen, Yannick ; Sévi, Benoît. Options introduction and volatility in the EU ETS. Resource and Energy Economics. Volume 33. n 4. 2011. pages 855-880. Elsevier. DOI http://dx.doi.org/10.1016/j.reseneeco.2011.07.002. Chevallier, Julien. Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models. Economic Modelling. Volume 28. n 6. 2011. pages 2634-2656. Elsevier. DOI http://dx.doi.org/10.1016/j.econmod.2011.08.003. Chevallier, Julien. A model of carbon price interactions with macroeconomic and energy dynamics. Energy Economics. Volume 33. n 6. 2011. pages 1295 1312. Elsevier. DOI http://dx.doi.org/10.1016/j.eneco.2011.07.012. Chevallier, Julien. Wavelet packet transforms analysis applied to carbon prices. Economics Bulletin. Volume 31. n 2. 2011. pages 1731-1747. Economics Bulletin. Chevallier, Julien. Anticipating correlations between EUAs and CERs : a dynamic conditional correlation GARCH model. Economics Bulletin. Volume 31. n 1. 2011. pages 255-272. Economics Bulletin. Sévi, Benoît ; Chevallier, Julien. On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting. Annals of Finance. Volume 7. n 1. 2011. pages 1-29. Springer. DOI http://dx.doi.org/10.1007/s10436-009-0142-x. Chevallier, Julien ; Etner, Johanna ; Jouvet, Pierre-André. Bankable emission permits under uncertainty and optimal risk-management rules. Research in Economics. Volume 65. n 4. 2011. pages 332-339. Elsevier. DOI http://dx.doi.org/10.1016/j.rie.2011.01.004. Chevallier, Julien. Detecting instability in the volatility of carbon prices. Energy Economics. Volume 33. n 1. 2011. pages 99-110. Elsevier. DOI http://dx.doi.org/10.1016/j.eneco.2010.09.006. Hervé-Mignucci, Morgan ; Mansanet-Bataller, Maria ; Chevallier, Julien ; Alberola, Emilie. EUA and scer Phase II Price Drivers: Unveiling the reasons for the existence of the EUA-sCER spread. Energy Policy. Volume 39. n 3. 2011. pages 1056-1069. Elsevier. DOI http://dx.doi.org/10.1016/j.enpol.2010.10.047. Chevallier, Julien. Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model. Economic Modelling. Volume 28. n 1-2. 2011. pages 557-567. Elsevier. DOI http://dx.doi.org/10.1016/j.econmod.2010.06.016. Book chapters Chevallier, Julien. The European Carbon Market (2005-2007): Banking, Pricing and Risk-Hedging Strategies. Markandya, Anil; Gonzalez-Eguino, Mikel; Galarraga, Ibon. Handbook of Sustainable Energy. Londres. 2011. pages 395-414. Chevallier, Julien. The Clean Development Mechanism: A Stepping Stone Towards World Carbon Markets?. Markandya, Anil; Gonzalez-Eguino, Mikel; Galarraga, Ibon. Handbook of Sustainable Energy. Londres. 2011. pages 415-440. Chevallier, Julien. Intertemporal Emissions Trading and Market Power : A Dominant Firm with Competitive Fringe Model. Pickl, S.; Hansjürgens, Bernd; Letmathe, P.; Antes, Ralf. Climate Change, Emission Trading and Business Strategies. Berlin. 2011. Chevallier, Julien. Recent Developments in Carbon Futures and Options Markets under the EU ETS. Tavidze, Albert. Progress in Economics Research.. 2011. pages 127-140.

Chevallier, Julien ; Etner, Johanna ; Jouvet, Pierre-André. Firms' Banking and Pooling in the EU ETS (2005-2007). Luo, Zongwei. Advanced Analytics for Green and Sustainable Economic Development: Supply Chain Models and Financial Technologies.. 2011. pages 34-49. Chevallier, Julien. Price relationships in the EU emissions trading system. Luo, Zongwei. Green Finance and Sustainability : Environmentally-Aware Business Models and Technologies.. 2011. pages 212-220. Conference Contributions Sévi, Benoît ; Le Pen, Yannick ; Chevallier, Julien ; Bunn, Derek. The Relation Between Oil and Gas Returns: a Factor Analysis. 34th IAEE International Conference : "Institutions, Efficiency and Evolving Energy Technologies". Stockholm. Suède. 2011. Chevallier, Julien ; Ielpo, Florian ; Sévi, Benoît. Do jumps help in forecasting the density of returns?. EEA-ESEM. Oslo. Norvège. 2011. Chevallier, Julien ; Chèze, Benoît ; Gastineau, Pascal. Forecasting world and regional air tra?c in the mid-term (2025): An econometric analysis of air tra?c determinants using dynamic panel-data models. 60e Congrès AFSE. Paris (Nanterre). France. 2011. Working Papers Chevallier, Julien. Carbon Price Drivers : An Updated Literature Review. Université Paris-Dauphine. 2011. 2010 Chevallier, Julien. On the Use of Clean Development Mechanism Credits for Compliance in the EU Emissions Trading Scheme. Journal of Interdisciplinary Economics. 2010. Sage. Chevallier, Julien. Intertemporal Emissions Trading and Allocation Rules: Gainers, Losers and the Spectre of Market Power. International Journal of Ecological Economics and Statistics. Volume 18. n S10. 2010. pages 1-19. Chevallier, Julien ; Sévi, Benoît. Jump-robust estimation of realized volatility in the EU emissions trading scheme. The Journal of Energy Markets. Volume 3. n 2. 2010. pages 49-67. Financial Publishing Ltd. Chevallier, Julien. Modelling risk premia in CO2 allowances spot and futures prices. Economic Modelling. Volume 27. n 3. 2010. pages 717-729. Elsevier. DOI http://dx.doi.org/ 10.1016/j.econmod.2010.01.012. Chevallier, Julien. The impact of Australian ETS news on wholesale spot electricity prices : an exploratory analysis. Energy Policy. Volume 38. n 8. 2010. pages 3910-3921. Elsevier. DOI http://dx.doi.org/10.1016/j.enpol.2010.03.014. Chevallier, Julien. Spéculation et marchés dérivés du pétrole. Revue d'economie financière. Volume 98. n 3. 2010. pages 353-371. Association d'économie financière. Chevallier, Julien. Carbon Capture and Storage (CCS) Technologies and Economic Investment Opportunities in the UK. Global Business and Economics Review. Volume 12. n 3. 2010. pages 252-265. Inderscience. DOI http://dx.doi.org/10.1504/gber.2010.034896. Chevallier, Julien. Volatility forecasting of carbon prices using factor models. Economics Bulletin. Volume 30. n 2. 2010. pages 1642-1660. Vanderbilt University (Nashville). Chevallier, Julien. EUAs and CERs : Vector autoregression, impulse response function and cointegration analysis. Economics Bulletin. Volume 30. n 1. 2010. pages 558-576. Economics Bulletin. Chevallier, Julien. A note on cointegrating and vector autoregressive relationships between CO2 allowances spot and futures prices. Economics Bulletin. Volume 30. n 2. 2010. pages 1564-1584. Vanderbilt University. Book chapters Alberola, Emilie ; Chevallier, Julien ; Chèze, Benoît. The EU ETS : CO2 prices drivers during the learning experience (2005-2007). Mazzanti, Massimiliano; Montini, Anna. Environmental Efficiency, Innovation and Economic Performances. Londres. 2010. pages 227-233. Curriculum vitae : CHEVALLIER Julien Page 6/10

Working Papers Chevallier, Julien. Carbon Prices during the EU ETS Phase II: Dynamics and Volume Analysis. Université Paris-Dauphine. 2010. Books Alberola, Emilie ; Chevallier, Julien. Finance Carbone : Comment les marchés du carbone peuvent-ils aider à lutter contre le changement climatique?. Sarrebruck. Editions Universitaires Européennes. 2010. pages 76. ISBN 978-613-1-55325-7. Reports Chevallier, Julien. Etudes économétriques récentes réalisées à partir des données de la CFTC. Ministère de l'economie, de l'industrie et de l'emploi. 2010. Lasserre, Frédéric ; Laffitte, Michel ; Chevalier, Jean-Marie ; Baule, Frédéric ; Chevallier, Julien ; Odonnat, Ivan ; Viellefond, Edouard. Rapport du groupe de travail sur la volatilité des prix du pétrole. Ministère de l'economie, de l'industrie et de l'emploi. 2010. 2009 Chèze, Benoît ; Chevallier, Julien ; Alberola, Emilie. Emissions Compliances and Carbon Prices under the EU ETS: A Country 446-462. Elsevier. DOI http://dx.doi.org/10.1016/j.jpolmod.2008.12.004. Chevallier, Julien ; Alberola, Emilie. Les déterminants du prix du carbone sur le marché européen des quotas. Economies et Chevallier, Julien. Emissions Trading: What Makes It Work?. International Journal of Climate Change Strategies and Manage http://dx.doi.org/10.1108/17568690911002915. Chevallier, Julien. Modelling the convenience yield in carbon prices using daily and realized measures. International Review o Chevallier, Julien. Re-examining the concept of sustainable development in light of climate change. IUP Journal of Environme Chevallier, Julien ; Jouvet, Pierre-André ; Michel, Philippe ; Rotillon, Gilles. Economic Consequences of Permits Allocation Ru Alberola, Emilie ; Chevallier, Julien. Banking and Borrowing in the EU ETS: An Econometric Appraisal of the 2005-2007 Intert pages 1-16. Nova Publishers. Chevallier, Julien. Carbon futures and macroeconomic risk factors : a view from the EU ETS. Energy Economics. Volume 31. http://dx.doi.org/10.1016/j.eneco.2009.02.008. Chevallier, Julien. Energy Risk Management with Carbon Assets. International Journal of Global Energy Issues. Volume 32. n http://dx.doi.org/10.1504/ijgei.2009.032335. Hervé-Mignucci, Morgan ; Chevallier, Julien ; Alberola, Emilie ; Mansanet-Bataller, Maria. EUAs and CERs : moving in lockste Chevallier, Julien ; Alberola, Emilie. European carbon prices and banking restrictions : evidence from phase I (2005-2007). Th Chevallier, Julien. Econometric Analysis of Carbon Markets. Modern Energy Review. Volume 3. n 1. 2009. pages 5-6. Touch Chevallier, Julien ; Ielpo, Florian ; Mercier, Ludovic. Risk aversion and institutional information disclosure on the European car pages 15-28. Elsevier. DOI http://dx.doi.org/10.1016/j.enpol.2008.07.030. Curriculum vitae : CHEVALLIER Julien Page 7/10

Conference Contributions Chevallier, Julien ; Le Pen, Yannick ; Sévi, Benoît. Options introduction and volatility in the EU ETS. 32nd IAEE International Conference. San Francisco. États-Unis. 2009. 2008 Chevallier, Julien. Strategic manipulation on Emissions Trading Banking Program with fixed horizon. Economics Bulletin. Volume 17. n 14. 2008. pages 1-9. Economics Bulletin. Alberola, Emilie ; Chevallier, Julien ; Chèze, Benoît. The EU emissions trading scheme : The effects of industrial production and CO2 emissions on carbon prices. Economie internationale. Volume 4. n 116. 2008. pages 93-125. Documentation française. Alberola, Emilie ; Chevallier, Julien ; Chèze, Benoît. Price drivers and structural breaks in European carbon prices 2005-07. Energy Policy. Volume 36. n 2. 2008. pages 787-797. Elsevier. DOI http://dx.doi.org/10.1016/j.enpol.2007.10.029. Book chapters Chevallier, Julien. Emissions trading. Philander, S. George. Encyclopedia of global warming and climate change. Los Angeles. 2008. Conference Contributions Alberola, Emilie ; Chevallier, Julien ; Chèze, Benoît. Disentangling the Effects of EU Industrial Production and CO2 Emissions on Carbon Prices. ENVECON 2008. Londres. Royaume-Uni. 2008. 2007 Conference Contributions Chevallier, Julien ; Alberola, Emilie ; Chèze, Benoît. European carbon prices fundamentals in 2005-2007: the effects of energy markets, temperatures and sectorial production. Royal Economic Society third PhD Presentation Meeting. London. Royaume-Uni. 2008. 2006 Conference Contributions Chevallier, Julien. Intertemporal Emissions Trading and Allocation Rules: Gainers, Losers and the Spectre of Market Power. Workshop Permit Trading in Different Applications 2006. Halle-Wittenberg. Allemagne. 2006. Curriculum vitae : CHEVALLIER Julien Page 8/10

Chevallier, Julien. A differential game of intertemporal emissions trading with market power. 56ème Congrès annuel de l'afse (Association Française de Science Economique). Paris. France. 2007. Curriculum vitae : CHEVALLIER Julien Page 9/10

Curriculum vitae : CHEVALLIER Julien Page 10/10