phd_chap1_20260731/main.tex
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spb/phd_thesis
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PhD thesis — Three essays on high-frequency return and volatility dynamics in commodities and financial futures markets (Université Laval).
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Seeing Through the ETF: Indicative NAV and Commodity Volatility Transmission
phd_chap2_20260731/main.tex · article
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includes: sections/01_introduction, sections/03_data, sections/04_methods, sections/05_results, sections/06_conclusion, tables/tables, figures/figures
these-ulaval/main.tex
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includes: preamble, pages-liminaires/resume, pages-liminaires/abstract, pages-liminaires/remerciements, pages-liminaires/avant-propos, introduction/introduction, chapitre1/chapitre1, chapitre2/chapitre2, chapitre3/chapitre3, conclusion/conclusion, annexes/annexe-preuves, annexes/annexe-additionnel
PHD_chapitre3_theses_20260731/chapitre3.tex
PHD_chapitre3_theses_20260731/chapitre3.tex · article
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includes: sections/01_introduction, sections/02_data, sections/03_methodology, sections/04_results, sections/05_conclusion, tables/tables, figures/figures, appendices/appendix_proofs, appendices/appendix_additional
- phd_chap1_20260731/main.tex89.0 KB
- phd_chap2_20260731/main.tex4.0 KB
- these-ulaval/main.tex3.9 KB
- PHD_chapitre3_theses_20260731/chapitre3.tex3.3 KB
- phd_chap1_20260731/figures.tex1.3 KB
- phd_chap1_20260731/tables.tex81.7 KB
- these-ulaval/preamble.tex3.1 KB
- PHD_chapitre3_theses_20260731/figures/figures.tex5.0 KB
- PHD_chapitre3_theses_20260731/sections/01_introduction.tex11.0 KB
- PHD_chapitre3_theses_20260731/sections/02_data.tex8.5 KB
- PHD_chapitre3_theses_20260731/sections/03_methodology.tex31.9 KB
- PHD_chapitre3_theses_20260731/sections/04_results.tex14.7 KB
- PHD_chapitre3_theses_20260731/sections/05_conclusion.tex10.0 KB
- PHD_chapitre3_theses_20260731/tables/tableD1_desc_1min_returns.tex1.7 KB
- PHD_chapitre3_theses_20260731/tables/tableD3_desc_rolling.tex2.0 KB
- PHD_chapitre3_theses_20260731/tables/tableP_panel_beta_novelty.tex1.3 KB
- PHD_chapitre3_theses_20260731/tables/tableP_panel_beta_stance.tex1.3 KB
- PHD_chapitre3_theses_20260731/tables/tableP_panel_logrv_novelty.tex1.4 KB
- PHD_chapitre3_theses_20260731/tables/tableP_panel_logrv_stance.tex1.4 KB
- PHD_chapitre3_theses_20260731/tables/tableP_panel_return_novelty.tex1.2 KB
- PHD_chapitre3_theses_20260731/tables/tableP_panel_return_stance.tex1.2 KB
- PHD_chapitre3_theses_20260731/tables/tableP_panel_rv_novelty.tex1.3 KB
- PHD_chapitre3_theses_20260731/tables/tableP_panel_rv_stance.tex1.3 KB
- PHD_chapitre3_theses_20260731/tables/tableR_delta_beta_30min.tex1.6 KB
- PHD_chapitre3_theses_20260731/tables/tableR_delta_log_rv_30min.tex1.8 KB
- PHD_chapitre3_theses_20260731/tables/tableR_delta_rv_30min.tex1.5 KB
- PHD_chapitre3_theses_20260731/tables/tableR_irf_novelty_abn_h.tex1.7 KB
- PHD_chapitre3_theses_20260731/tables/tableR_irf_novelty_ret_h.tex1.7 KB
- PHD_chapitre3_theses_20260731/tables/tableR_irf_stance_abn_h.tex1.8 KB
- PHD_chapitre3_theses_20260731/tables/tableR_irf_stance_ret_h.tex1.7 KB
- PHD_chapitre3_theses_20260731/tables/tableR_irf_stance_x_novelty_abn_h.tex1.8 KB
- PHD_chapitre3_theses_20260731/tables/tableR_irf_stance_x_novelty_ret_h.tex1.7 KB
- PHD_chapitre3_theses_20260731/tables/tableR_log_rv_ratio_30min.tex1.5 KB
- PHD_chapitre3_theses_20260731/tables/tableR_robustness_30min_A.tex5.7 KB
- PHD_chapitre3_theses_20260731/tables/tableR_robustness_30min_B.tex4.9 KB
- PHD_chapitre3_theses_20260731/tables/tableR_rv_ratio_30min.tex1.5 KB
- PHD_chapitre3_theses_20260731/tables/tables.tex1.2 KB
- phd_chap2_20260731/figures/figures.tex4.6 KB
- phd_chap2_20260731/sections/01_introduction.tex9.9 KB
- phd_chap2_20260731/sections/03_data.tex10.8 KB
- PHD_chapitre3_theses_20260731/master.bib13.3 KB
- phd_chap1_20260731/master.bib75.6 KB
- phd_chap2_20260731/master.bib19.3 KB
- these-ulaval/bib/these.bib83.9 KB
Figures 68
confidence_distribution.png
PDF figure
figD1_return_density.pdf
PDF figure
figD3_intraday_vol_pattern.pdf
PDF figure
figD5_acf_returns.pdf
PDF figure
figD6_stance_novelty_scatter.pdf
PDF figure
figD7_semantic_timeseries.pdf
PDF figure
figD8b_log_rv_distribution.pdf
PDF figure
figR10_irf_abn_h_stance_x_novelty.pdf
PDF figure
figR10_irf_ret_h_novelty.pdf
PDF figure
figR10_irf_ret_h_stance.pdf
PDF figure
figR10b_irf_placebo_novelty.pdf
PDF figure
figR10b_irf_placebo_stance.pdf
PDF figure
figR6a_rv_reg_heatmap_30min.pdf
PDF figure
figR8_drift_by_stance.pdf
PDF figure
figR9_drift_by_novelty.pdf
PDF figure
figRob2_multimethod_heatmap.pdf
PDF figure
figRob_subperiod_heatmap.pdf
novelty_comparison.png
pca_axis_quality.png
scatter_comparison.png
tone_comparison.png
PDF figure
gas__ung_ng__irf.pdf
PDF figure
gas_rv.pdf
gas_rv.png
PDF figure
gold__gld_gc__irf.pdf
PDF figure
gold_rv.pdf
gold_rv.png
PDF figure
oil__uso_cl__irf.pdf
PDF figure
oil_rv.pdf
oil_rv.png
PDF figure
silver__slv_si__irf.pdf
PDF figure
silver_rv.pdf
silver_rv.png
pi_cl.png
pi_gc.png
pi_hg.png
pi_ng.png
pi_pa.png
pi_si.png
PDF figure
gas__ung_ng__irf.pdf
PDF figure
gas_rv.pdf
PDF figure
gold__gld_gc__irf.pdf
PDF figure
gold_rv.pdf
PDF figure
oil__uso_cl__irf.pdf
PDF figure
oil_rv.pdf
PDF figure
silver__slv_si__irf.pdf
PDF figure
silver_rv.pdf
confidence_distribution.png
PDF figure
figD1_return_density.pdf
PDF figure
figD3_intraday_vol_pattern.pdf
PDF figure
figD5_acf_returns.pdf
PDF figure
figD6_stance_novelty_scatter.pdf
PDF figure
figD7_semantic_timeseries.pdf
PDF figure
figD8b_log_rv_distribution.pdf
PDF figure
figR10_irf_abn_h_stance_x_novelty.pdf
PDF figure
figR10_irf_ret_h_novelty.pdf
PDF figure
figR10_irf_ret_h_stance.pdf
PDF figure
figR10b_irf_placebo_novelty.pdf
PDF figure
figR10b_irf_placebo_stance.pdf
PDF figure
figR6a_rv_reg_heatmap_30min.pdf
Tables 48
- PHD_chapitre3_theses_20260731/tables/tableD1_desc_1min_returns.tex1.7 KB
- PHD_chapitre3_theses_20260731/tables/tableD3_desc_rolling.tex2.0 KB
- PHD_chapitre3_theses_20260731/tables/tableP_panel_beta_novelty.tex1.3 KB
- PHD_chapitre3_theses_20260731/tables/tableP_panel_beta_stance.tex1.3 KB
- PHD_chapitre3_theses_20260731/tables/tableP_panel_logrv_novelty.tex1.4 KB
- PHD_chapitre3_theses_20260731/tables/tableP_panel_logrv_stance.tex1.4 KB
- PHD_chapitre3_theses_20260731/tables/tableP_panel_return_novelty.tex1.2 KB
- PHD_chapitre3_theses_20260731/tables/tableP_panel_return_stance.tex1.2 KB
- PHD_chapitre3_theses_20260731/tables/tableP_panel_rv_novelty.tex1.3 KB
- PHD_chapitre3_theses_20260731/tables/tableP_panel_rv_stance.tex1.3 KB
- PHD_chapitre3_theses_20260731/tables/tableR_delta_beta_30min.tex1.6 KB
- PHD_chapitre3_theses_20260731/tables/tableR_delta_log_rv_30min.tex1.8 KB
- PHD_chapitre3_theses_20260731/tables/tableR_delta_rv_30min.tex1.5 KB
- PHD_chapitre3_theses_20260731/tables/tableR_irf_novelty_abn_h.tex1.7 KB
- PHD_chapitre3_theses_20260731/tables/tableR_irf_novelty_ret_h.tex1.7 KB
- PHD_chapitre3_theses_20260731/tables/tableR_irf_stance_abn_h.tex1.8 KB
- PHD_chapitre3_theses_20260731/tables/tableR_irf_stance_ret_h.tex1.7 KB
- PHD_chapitre3_theses_20260731/tables/tableR_irf_stance_x_novelty_abn_h.tex1.8 KB
- PHD_chapitre3_theses_20260731/tables/tableR_irf_stance_x_novelty_ret_h.tex1.7 KB
- PHD_chapitre3_theses_20260731/tables/tableR_log_rv_ratio_30min.tex1.5 KB
- PHD_chapitre3_theses_20260731/tables/tableR_robustness_30min_A.tex5.7 KB
- PHD_chapitre3_theses_20260731/tables/tableR_robustness_30min_B.tex4.9 KB
- PHD_chapitre3_theses_20260731/tables/tableR_rv_ratio_30min.tex1.5 KB
- PHD_chapitre3_theses_20260731/tables/tables.tex1.2 KB
- phd_chap2_20260731/tables/tables.tex35.8 KB
- these-ulaval/chapitre3/tables/tableD1_desc_1min_returns.tex1.7 KB
- these-ulaval/chapitre3/tables/tableD3_desc_rolling.tex2.0 KB
- these-ulaval/chapitre3/tables/tableP_panel_beta_novelty.tex1.3 KB
- these-ulaval/chapitre3/tables/tableP_panel_beta_stance.tex1.3 KB
- these-ulaval/chapitre3/tables/tableP_panel_logrv_novelty.tex1.4 KB
- these-ulaval/chapitre3/tables/tableP_panel_logrv_stance.tex1.4 KB
- these-ulaval/chapitre3/tables/tableP_panel_return_novelty.tex1.2 KB
- these-ulaval/chapitre3/tables/tableP_panel_return_stance.tex1.2 KB
- these-ulaval/chapitre3/tables/tableP_panel_rv_novelty.tex1.3 KB
- these-ulaval/chapitre3/tables/tableP_panel_rv_stance.tex1.3 KB
- these-ulaval/chapitre3/tables/tableR_delta_beta_30min.tex1.6 KB
- these-ulaval/chapitre3/tables/tableR_delta_log_rv_30min.tex1.8 KB
- these-ulaval/chapitre3/tables/tableR_delta_rv_30min.tex1.5 KB
- these-ulaval/chapitre3/tables/tableR_irf_novelty_abn_h.tex1.7 KB
- these-ulaval/chapitre3/tables/tableR_irf_novelty_ret_h.tex1.7 KB
Reproducibility checklist
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- no Declared environment (requirements / environment.yml / pyproject / lockfile)
- no Pinned dependencies (lockfile)
- no Container definition (Dockerfile / Apptainer)
- yes Pipeline entry point (Makefile / justfile / Snakefile / dvc.yaml) these-ulaval/Makefile
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- no Data directory or data access notes
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