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Realized volatility and the influence of market measures on predictability : analysis of Nord Pool forward electricity data

Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte; … - In: Energy economics 33 (2011) 6, pp. 1206-1215

Persistent link: https://www.econbiz.de/10009510923

Australian evidence on the role of interregional flows, production capacity, and generation mix in wholesale electricity prices and price volatility

Higgs, Helen; Lien, Gudbrand; Worthington, Andrew Charles - In: Economic analysis and policy : EAP ; journal of the … 48 (2015), pp. 172-181

Persistent link: https://www.econbiz.de/10011484007

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

Volatility and price jumps in agricultural futures prices : evidence from wheat options

Koekebakker, Steen; Lien, Gudbrand - In: American journal of agricultural economics 86 (2004) 4, pp. 1018-1031

Persistent link: https://www.econbiz.de/10002388555

Trading Time Seasonality in Commodity Futures : An Opportunity for Arbitrage in the Natural Gas and Crude Oil Markets?

Ewald, Christian-Oliver; Haugom, Erik; Lien, Gudbrand; … - 2021

For fixed maturity, under the no-arbitrage assumption, futures prices should follow a martingale with respect to the trading time, at least under the pricing measure. Therefore, a prominent display of trading time seasonality under the physical measure raises warning signs and can only occur by...

Persistent link: https://www.econbiz.de/10013245244

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