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Forecasting Volatility of the U.S. Oil Market

Haugom, Erik - 2015

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,...

Persistent link: https://www.econbiz.de/10013011882

Covariance estimation using high-frequency data: Sensitivities of estimation methods

Haugom, Erik; Lien, Gudbrand; Veka, Steinar; Westgaard, Sjur - In: Economic modelling 43 (2014), pp. 416-425

Persistent link: https://www.econbiz.de/10010503037

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

Economies of scale in Norwegian electricity distribution : a quantile regression approach

Mydland, Ørjan; Haugom, Erik; Lien, Gudbrand - In: Applied economics 50 (2018) 40, pp. 4360-4372

Persistent link: https://www.econbiz.de/10012060853

Optimal prices for alpine ski passes

Malasevska, Iveta; Haugom, Erik - In: Tourism management : research, policies, practice 64 (2018), pp. 291-302

Persistent link: https://www.econbiz.de/10011774993

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

Modeling superior predictors for crude oil prices

Westgaard, Sjur; Osmundsen, Petter; Stenslet, Daniel; … - In: The journal of energy markets 10 (2017) 2, pp. 77-99

Persistent link: https://www.econbiz.de/10011999445

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