Similar Search Results

Forecasting volatility of the US oil market

Haugom, Erik; Langeland, Henrik; Molnár, Peter; … - In: Journal of banking & finance 47 (2014), pp. 1-14

Persistent link: https://www.econbiz.de/10010506517

A parsimonious quantile regression model to forecast day-ahead value-at-risk

Haugom, Erik; Ray, Rina; Ullrich, Carl J.; Veka, Steinar; … - In: Finance research letters 16 (2016), pp. 196-207

Persistent link: https://www.econbiz.de/10011656176

High-low range in GARCH models of stock return volatility

Molnár, Peter - In: Applied economics 48 (2016) 49/51, pp. 4977-4991

Persistent link: https://www.econbiz.de/10011641414

Forecasting spot price volatility using the short-term forward curve

Haugom, Erik; Ullrich, Carl J. - In: Energy economics 34 (2012) 6, pp. 1826-1833

Persistent link: https://www.econbiz.de/10009687854

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

Forecasting Spot Price Volatility Using the Short-Term Forward Curve

Haugom, Erik; Ullrich, Carl J. - 2011

This paper uses high-frequency real-time spot prices and day-ahead forward prices from the eastern hub of the Pennsylvania-New Jersey-Maryland (PJM) electricity market to calculate, describe, and forecast realized spot price volatility. Using Heterogeneous Autoregressive models of realized...

Persistent link: https://www.econbiz.de/10014188484

Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression

Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78

Persistent link: https://www.econbiz.de/10011326305

Performance of value-at-risk averaging in the Nordic power futures market

Sveinsson, Jørgen Andersen; Frydenberg, Stein; … - In: The journal of energy markets 13 (2020) 3, pp. 25-55

Persistent link: https://www.econbiz.de/10012662208

Value-at-risk in the European energy market : a comparison of parametric, historical simulation and quantile regression value-at-risk

Westgaard, Sjur; Arhus, Gisle Hoel; Frydenberg, Marina; … - In: The journal of risk model validation 13 (2019) 4, pp. 43-69

Persistent link: https://www.econbiz.de/10012373160

Estimating value-at-risk using quantile regression and implied volatilities

Lange, Petter Eilif de; Risstad, Morten; Westgaard, Sjur - In: The journal of risk model validation 16 (2022) 1, pp. 53-76

Persistent link: https://www.econbiz.de/10014540547