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Modelling time-vaying conditionl correlations in the volatility of Tapus oil spot and forward returns
Manera, Matteo; McAleer, Michael; Grasso, Margherita - In: Applied financial economics 16 (2006) 7, pp. 525-533
Persistent link: https://www.econbiz.de/10003320406
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Pricing and hedging illiquid energy derivatives : an application to the JCC index
Scarpa, Elisa; Manera, Matteo - In: The journal of futures markets 28 (2008) 5, pp. 464-487
Persistent link: https://www.econbiz.de/10003699701
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Covariance estimation using high-frequency data: Sensitivities of estimation methods
Haugom, Erik; Lien, Gudbrand; Veka, Steinar; Westgaard, Sjur - In: Economic modelling 43 (2014), pp. 416-425
Persistent link: https://www.econbiz.de/10010503037
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Estimating and evaluating value-at-risk forecasts based on realized variance : empirical evidence from ICE Brent Crude oil futures
Haugom, Erik; Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur - In: OPEC energy review 38 (2014) 4, pp. 373-397
Persistent link: https://www.econbiz.de/10010495860
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Interpreting the oil risk premium : do oil price shocks matter?
Valenti, Daniele; Manera, Matteo; Sbuelz, Alessandro - In: Energy economics 91 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012518589
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Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures
Ewald, Christian; Hadina, Jelena; Haugom, Erik; Lien, … - In: Finance research letters 58 (2023) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10014582226
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Trading time seasonality in commodity futures : an opportunity for arbitrage in the natural gas and crude oil markets?
Ewald, Christian; Haugom, Erik; Lien, Gudbrand; … - In: Energy economics 115 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013541776