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...

Using recursive estimation and rolling windows over extended sample periods we examine the time-varying relationship between spot and short-term forward prices in the Pennsylvania–New Jersey–Maryland (PJM) wholesale electricity market. We examine theoretical models of forward risk premia in...

We use high frequency real time spot prices and day-ahead forward prices from the Pennsylvania–New Jersey–Maryland wholesale electricity market to calculate, describe, and forecast spot price volatility. We introduce the concept of forward realized volatility calculated from day-ahead...

This paper investigates determinants of capital structure in 308 UK real estate companies. The data panel consists of accounting data from the fiscal years 1998--2006. By using panel data regression we find the significant factors influencing the capital structure of the selected companies....

The monthly returns on UK real estate companies, which in the future may become REITs, are analysed over the period September 1996 to July 2006. The results indicate that the risk premiums on the UK real estate companies are significantly related to the risk premium on the stock market and to...

This paper provides insight in the time-varying relation between electricity futures prices and fundamentals in the form of prices of contracts for fossil fuels. As supply curves are not constant and different producers have different marginal costs of production, we argue that the relation...