Bitcoin is an open source peer-to-peer electronic money and payment system. It is traded at several exchanges and high-frequency trade data are publicly available. We study the contributions of Bitcoin exchanges to price discovery. Our results show that Mt.Gox and BTC-e are the market leaders...

Volatility is not directly observable and must be estimated. Estimator based on daily close data is imprecise. Range-based volatility estimators provide significantly more precision, but still remain noisy volatility estimates, something that is sometimes forgotten when these estimators are used...

We survey the CFOs of 1500 largest companies from Norway, Denmark and Sweden (500 from each country) about their capital budgeting process with focus on the real options analysis. Only 6% of the respondents use real options, whereas the most used technique, the net present value, is used by 74%...

We study multiunit uniform price auctions where the seller is allowed to decrease the quantity supplied in order to maximize his profit. We show that he never chooses to do so in equilibrium. However, the existence of this option eliminates such equilibria where objects for sale are sold for too...

This paper studies the performance and persistence of Norwegian mutual funds utilizing a new data set of daily returns. Daily data allow us to evaluate the performance over short time horizons in a reliable manner, which is important because the risk exposure of funds can change over time. We...

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...

We introduce and evaluate the NOVIX - an implied volatility index for the Norwegian equity index OBX. NOVIX is created according to the VIX methodology. We compare the NOVIX to the German VDAX-NEW and the U.S. VIX and find that NOVIX has similar properties as these two indices. We also evaluate...

Investment in renewable energy production in Norway is since the 1st of January 2012 subsidized through a market for green certificates common with Sweden. We study how the prospects of a future green certificates scheme affected the expectations of investors investing in small hydropower plants...

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...

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...