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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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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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Volatility and price jumps in agricultural futures prices : evidence from wheat options
Koekebakker, Steen; Lien, Gudbrand - In: American journal of agricultural economics 86 (2004) 4, pp. 1018-1031
Persistent link: https://www.econbiz.de/10002388555
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Trading time seasonality in electricity futures
Størdal, Ståle; Ewald, Christian; Lien, Gudbrand; … - In: Journal of commodity markets 31 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014477808
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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
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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