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 propose a simple one-factor quantile regression model based on realized volatility to forecast Value-at-Risk (VaR). The model only uses daily realized volatility as input and thus simplifies estimation substantially compared with most other methodologies currently used to...

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...