Using data from 214 hydro-power projects in Norway we study whether investors in renewable energy projects exert discretion about the timing of investment decisions. We know from interviews with these investors that they do not use the real options model; however, we would like to learn whether...

This is the first comprehensive study on the forecasting of the realized volatility of non-ferrous metal futures. Based on 8.5 years of intraday data on copper, zinc, nickel, lead and aluminum, we explore a variety of extensions of the univariate heterogeneous autoregressive (HAR) model and seek...

Weekends and holidays lead to gaps in daily financial data. Standard models ignore these irregularities. Because this issue is particularly important for persistent time series, we focus on volatility modelling, specifically modelling of realized volatility. We suggest a simple way of adjusting...

We study the relation between gasoline prices and Google searches for the term “gasoline prices”. Utilizing the framework of a vector autoregressive model and Granger causality, we find a two-way relationship between gasoline prices and Google searches. In both directions, the relation is...

We study structural breaks in the European Union Trading System's emission allowance price process during Phase II and Phase III, covering the years 2008 to 2016. We find that there is a structural break between Phase II and Phase III. However, there are several regimes within each of these...

We apply heterogenous autoregressive (HAR) models – including nine univariate, two multivariate and three combination models – to high-frequency data to predict the one-day forward volatilities of two strategically linked commodities, gold and silver. We provide evidence that it is difficult...

This paper investigates volatility forecasting for crude oil and natural gas. The main objective of our research is to determine whether the heterogeneous autoregressive (HAR) model of Corsi (2009) can be outperformed by harnessing information from a related energy commodity. We find that on...

We study the relationship of the VIX index and the exchange traded note VXX on various time scales. We find that changes of VIX and VXX are correlated only contemporaneously on time scales of days, but VIX leads VXX on time scales of months. Next, we construct a simple joint model for VXX and...

We investigate the impact of monetary policy announcements on stock market volatility in the U.S., Canada, Japan, the U.K., Germany, France and Italy during the 2006-2016 period. More specifically, we study the impact of policy rate and quantitative easing announcements of domestic and foreign...