This paper investigates the forward premium of futures contracts in the Nordic power market for the time period from January 2004 to December 2013. We find that futures prices are biased predictors of the subsequent spot prices and that there is a significant forward premium in the Nord Pool...

This paper studies existence of structural breaks in the average return and volatility of the Bitcoin price. We utilize a Bayesian change point model to detect structural breaks and to partition the time series into segments. We find that structural breaks in average returns and volatility of...

This paper studies the comovement between volatility of the equity market and the oil market, both for implied and realized volatilities. The wavelet methodology enables us to study this relationship on various time scales. We find that there is a strong comovement between the volatilities of...

We examine the impact of political risks and financial development on investments in the petroleum industry utilizing a unique dataset of investments in individual oil and gas fields around the world. We find that the expected time to investment is shorter in countries that are politically...

We study the relationship between Bitcoin and commodities by assessing the ability of Bitcoin to act as a diversifier, hedge, or safe haven against daily movements in commodities in general, and energy commodities in particular. We focus on energy commodities because energy, in the form of...

The dynamic conditional correlation (DCC) model by Engle (2002) is one of the most popular multivariate volatility models. This model is based solely on closing prices. It has been documented in the literature that the high and low prices of a given day can be used to obtain an efficient...

We study the impact of fuel prices, emission allowances, demand, past prices, wind and solar production on hourly day-ahead electricity prices in Germany over the period from January 2015 until June 2018. Working within a linear regression, ARX-EGARCH and quantile regression framework we compare...