This study investigates whether weekly futures prices, covering the time period 1996-2013, are unbiased predictors of future spot price in the Nordic power market. The results give no clear evidence of bias in the futures prices, except for during the winter period from 2003-2009. In this period...

We examine the information content of the CBOE Crude Oil Volatility Index (OVX) when forecasting realized volatility in the WTI futures market. Additionally, we study whether other market variables, such as volume, open interest, daily returns, bid-ask spread and the slope of the futures curve,...

Cooper and Nyborg (2008) derive a tax-adjusted discount rate formula under a constant proportion leverage policy, investor taxes and risky debt. However, their analysis assumes zero recovery in default. We extend their framework to allow for positive recovery rates. We also allow for differences...

We investigate whether data from Google Trends can be used to forecast stock returns. Previous studies have found that high Google search volumes predict high returns for the first one to two weeks, with subsequent price reversal. By using a more recent dataset that covers the period from 2008...

We suggest a simple and general way to improve the GARCH volatility models using the intraday range between the highest and the lowest price to proxy volatility. We illustrate the method by modifying a GARCH(1,1) model to a Range-GARCH(1,1) model. Our empirical analysis conducted on stocks,...

This paper investigates the most traded VIX exchange traded products (ETPs) with focus on their performance, price discovery, hedging ability and trading strategy. The VIX ETPs track their benchmark indices well. They are therefore exposed to the same time-decay (high negative expected returns)...

We study which variables can explain and predict the return, volatility and trading volume of Bitcoin. The considered variables are return, volatility, trading volume, transaction volume, change in the number of unique Bitcoin addresses, the VIX index and Google searches for “Bitcoin”. We...

The observation that price declines usually lead to volatility increases is known as the asymmetric volatility effect and has become a stylized fact about the financial markets. We study asymmetric volatility effect in 19 equity indices from North America, Latin America, Europe, Asia and...