» Julien Chevallier

Julien Chevallier

Full Professor of Commodity Markets


2012: Tenured Associate Professor in Economics (Agrégation des Universités).
2008: Ph.D. in Economics (with Distinction), Université Paris Ouest Nanterre La Défense.
2009: Ph.D. Thesis Prize “Andrée Isoré” awarded by the Chancery of Paris Universities.
2008: Invited Researcher to the Center for Economic Performance, London School of Economics.
2005: M.Sc. in Economics, University of London, UK: The London School of Economics and Political Science.
2005: Alumnus of the Ecole Normale Supérieure de Cachan (Grande Ecole), Department of economics and management.
2004: Agrégation Externe in Economics and Management, Higher Education System.
2003: Diploma from the Institut d’Etudes Politiques (Sciences Po), Université de Strasbourg, Major: Economics and Finance (EcoFi). (with Merit).
2003: B.A. in Economics, Université Pierre-Mendès-France Grenoble, Major: Analysis of Economic Policies.

Research Areas

Cryptocurrencies, Empirical Finance, Applied Time-Series Econometrics, Commodity Markets

Teaching Areas

Alternative investments


Email: julien.chevallier@ipag.fr
Phone:+33 1 5363 3600
Campus: Paris

Dr. Julien Chevallier is a Full Professor of Economics (Professeur des Universités). He undertakes research and lectures on cryptocurrencies, empirical finance, applied time-series econometrics, and commodity markets. Dr. Chevallier received his Ph.D. in Economics from the University Paris West in 2008, and his M.Sc. in Economics from the London School of Economics in 2005. Dr. Chevallier has previously held visiting research positions at the Imperial College Business School (London), at the Centre for Economic Performance (London School of Economics), at Georgetown University, and at the World Bank (Washington DC). Dr. Chevallier is the author of the book Econometric Analysis of Carbon Markets (Springer), as well as the co-author of the Book The Economics of Commodity Markets (Wiley Finance). He has published articles in leading refereed journals, including the Journal of Empirical Finance; International Review of Financial Analysis; Quantitative Finance; Journal of Forecasting; Journal of International Financial Markets, Institutions & Money, and Annals of Operations Research. Furthermore, Dr. Chevallier currently serves as Associate Editor at Energy Economics among other appointments. His latest book (co-authored) is entitled Pricing and Forecasting Carbon Markets (Springer, 2017).

Guesmi, K., Abid, I., Créti, A., Chevallier, J. 2018. `Oil Price Risk and Financial Contagion’. The Energy Journal, 39(2), 97-115.

Chevallier, J., Nguyen, D.K., Siverskog, J. and Salah Uddin, G. 2018. `Market Integration and Financial Linkages among Stock Markets in Paci
c Basin Countries’. Journal of Empirical Finance, 46, 77-92.

Zhu, B., Ye, S., He, K., Chevallier, J. and Xie, R. 2018. `Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach’. Annals of Operations Research, forthcoming (pp-1-23).

Bunn, D., Chevallier, J., Le Pen, Y. and Sévi, B. 2017. `Fundamental and Financial Influences on the Co-Movement of Oil and Gas Prices’. The Energy Journal, 38(2), 201-228.

Branger, F., Quirion, P., and Chevallier, J., 2017. `Carbon leakage and competitiveness of cement and steel industries under the EU ETS: much ado about nothing’. The Energy Journal, 37(3), 63-88.

Zhang, Y.J., Chevallier, J. and Guesmi, K. 2017. `”De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets’. Energy Economics, 68, 228-239.

Aboura, S. and Chevallier, J. 2017. `A New Weighting-Scheme for Equity Indexes’. International Review of Financial Analysis, 54, 159-175.

Zhu, B. and Chevallier, J. 2017. `Pricing and Forecasting Carbon Markets: Models and Empirical Analyses‘. Editions: Springer. ISBN: 978-3-319-57617-6.

Zhu, B., Shi, X., Chevallier, J., Wei, Y.M. and Wang, P. 2016. `An adaptive multiscale ensemble learning paradigm for nonstationary and nonlinear energy price time series forecasting’. Journal of Forecasting, 35(7), 633-651.

Zhu, B., Wang, K., Chevallier, J., Wang, P., and Wei, Y.M. 2015. `Can China achieve its carbon intensity target by 2020 while sustaining economic growth?’. Ecological Economics, 119, 209-216.

Aboura, S. and Chevallier, J. 2015. `A cross-volatility index for hedging the country risk’. Journal of International Financial Markets, Institutions & Money, 38, 25-41.

Chevallier, J., Gatumel, M. and Ielpo, F. 2014. `Commodity Markets Through the Business Cycle’. Quantitative Finance, 14(9), 1597-1618.

Chevallier, J. and Ielpo, F. 2013. `The Economics of Commodity Markets‘. Editions: Wiley Finance (360 pages). ISBN: 978-1-119-96791-0.

Chevallier, J. 2011. `Econometric Analysis of Carbon Markets: The European Union Emissions Trading Scheme and the Clean Development Mechanism‘. Editions: Springer (226 pages). ISBN: 978-94-007-2411-2.

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.

2009-present: Full Professor of Economics (Professeur des Universités, 1st class)
2009-12: Assistant Professor of Economics (Maître de Conférences)
2008-09: Post-Doc, Imperial College Business School, London, UK
2005-08: Research Fellow-Teaching Assistant, Université Paris Ouest Nanterre La Défense