Y
Yannick Le Pen
Researcher at Paris Dauphine University
Publications - 32
Citations - 559
Yannick Le Pen is an academic researcher from Paris Dauphine University. The author has contributed to research in topics: Futures contract & Speculation. The author has an hindex of 13, co-authored 32 publications receiving 510 citations. Previous affiliations of Yannick Le Pen include University of Paris & University of Nantes.
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On the non-convergence of energy intensities: Evidence from a pair-wise econometric approach
TL;DR: In this paper, the authors evaluate the convergence of energy intensities for a group of 97 countries in the period 1971-2003, using a pair-wise approach to testing for output and growth convergence.
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Options introduction and volatility in the EU ETS
TL;DR: In this article, the authors identify a potential destabilizing effect of the introduction of options on the underlying market (EU ETS futures) by instrumenting various GARCH models, endogenous break tests, and rolling window estimations.
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Volatility Transmission and Volatility Impulse Response Functions in European Electricity Forward Markets
Yannick Le Pen,Benoît Sévi +1 more
TL;DR: In this paper, the authors apply the Volatility Impulse Response Function (VIRF) to quantify the impact of shocks on expected conditional volatility and find evidence of return and volatility spillovers between the German, the Dutch and the British forward electricity markets.
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Volatility transmission and volatility impulse response functions in European electricity forward markets
TL;DR: In this paper, the authors apply the Volatility Impulse Response Function (VIRF) to quantify the impact of shocks on expected conditional volatility and find evidence of return and volatility spillovers between the German, the Dutch and the British forward electricity markets.
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Futures trading and the excess comovement of commodity prices
Yannick Le Pen,Benoît Sévi +1 more
TL;DR: In this paper, the issue of the excess co-movement of commodity prices was investigated, and it was shown that commodity prices remain correlated even after adjusting for the impact of fundamentals.