CURRENT WORKING PAPERS

• Considering real-time demand to forecast the U.S. natural gas price in real-time: The role of temperature data, Arthur Thomas, Zakaria Moussa and Benoît Sévi (2023). Including temperature data in a Bayesian VAR significantly improves real-time forecasts of the real price of Henry-Hub natural gas price at horizons going from 1 to 12 months.

• On the efficiency of the CME-NYMEX oil option market: Evidence from a fractional cointegration analysis, Gilles de Truchis and Benoît Sévi. Long-run relationship between realized and implied volatility supports the efficiency hypothesis in the WTI market.

• The asymmetric hedgers' reaction to price changes in commodity markets: Evidence from mixed frequency data, Marie Bessec, Yannick Le Pen, and Benoît Sévi.

SOME PUBLISHED AND FORTHCOMING PAPERS (full list of publications in vitae)

• Editorial for the Special Issue of the Journal of Banking & Finance on Asset Pricing and Factor Investing, Emilios Galariotis, Joëlle Miffre and Benoît Sévi (2024), Journal of Banking & Finance 162. Editorial following the SI we managed after the Annual AFFI Conference in Nantes in May 2021.

• 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 (2022), Energy Journal 43.  A simple time series model using only gas prices and the spark ratio provides significant forecast improvements compared to predictions released by operators.

• The contribution of jumps to forecasting the density of returns, Christophe Chorro, Florian Ielpo and Benoît Sévi (2020). Journal of Economic Dynamics & Control 113. Considering jumps apart from the diffusive part of volatility helps to predict the density of returns for various asset classes.

• Informed trading in the WTI oil futures markets, Olivier Rousse and Benoît Sévi (2019), Energy Journal 40, 139-160. [slides] Suspicious trading pattern consistent with informed trading in the two hours before the weekly EIA-DOE announcement.

• Futures trading and the excess comovement of commodity prices, Yannick Le Pen and Benoît Sévi (2018). [slides] [data] Review of Finance 22, 381-418. Index of speculative intensity in 8 unrelated commodity markets can explain most of the residual comovements after considering fundamentals through factors.

• Fundamental and financial influences on the co-movement of oil and gas prices, Derek Bunn, Julien Chevallier, Yannick Le Pen, and Benoît Sévi (2017), Energy Journal 38, 201-228. Speculation in oil and gas markets explain significant part of comovements between both energy commodities.

• Forecasting the volatility of crude oil futures using intraday data, Benoît Sévi (2014), European Journal of Operational Research 235, 643-659.

• On the stochastic properties of carbon futures prices, Julien Chevallier and Benoît Sévi (2014), Environmental and Resource Economics 58, 127-153.

• Options introduction and volatility in the EU ETS, Julien Chevallier, Yannick Le Pen, and Benoît Sévi (2011), Resource and Energy Economics 33, 855-880.

• Volatility transmission and volatility impulse response functions in European electricity forward markets, Yannick Le Pen and Benoît Sévi (2010), Energy Economics 32, 758-770.

• On the non-convergence of energy intensities: Evidence from a pair-wise econometric approach, Yannick Le Pen and Benoît Sévi (2010), Ecological Economics 69, 641-650.

• The newsboy problem under multiplicative background risk, Benoît Sévi (2010), European Journal of Operational Research 200, 918-923.

• Risk preferences and forward trading: the case of quantity uncertainty (in French), Benoît Sévi (2007), Louvain Economic Review 73, 217-228.