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 study we examine three widely used realized correlation estimators for natural gas, gasoil, and crude oil futures using data from IntercontinentalExchange (ICE). The objective is to illustrate sensitivities of estimation methods on the resulting realized correlation estimates. The...

This is the first paper to utilize intra-daily high-frequency data and to apply known market measures for the prediction of volatility in the Nord Pool electricity forward market. The work is based on recent methods of separating realized volatility into two components: continuous and jump...