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,...

In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied volatility index with a fixed time to maturity. This index is compared to a realized volatility time series calculated from high-frequency data. The results show that the implied...

In this article we examine the properties of estimates of realized volatility at various intra-daily sampling frequencies for Brent Crude oil futures traded at the IntercontinentalExchange (ICE). The estimates of realized volatility are subsequently modeled and forecasted to predict day-ahead...

Futures on fresh farmed salmon traded at the Fish Pool market in Norway are analysed in the context of the Capital Asset Pricing Model (CAPM) and a Fama & French three-factor model where contracts are separated based on their maturities. Looking into 1 month; 6 months and 12 months contracts, we...

Inspired by the initial success and eventual failure of Einar Aas' trading strategy exploiting dynamical patterns in the spread between Nordic and German electricity futures, we investigate the question whether there is evidence for possible arbitrage from engaging in both markets simultaneously...

In this paper, we evaluate a fast-track ticket alternative in the alpine skiing industry. Using data from a survey of skiers at a major ski resort in Norway, we estimate price-response functions and optimal fast-track ticket prices. We also analyse (using regression analysis) the main...