Narrow search
Showing 1 - 4 of 4
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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