Browsing Bidrag fra ansatte by Author "Haugom, Erik"

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Covariance estimation using high-frequency data : an analysis of Nord Pool electricity forward data

Lien, Gudbrand; Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte (Journal article, 2012)

The modeling of volatility and correlation is important in order to calculate hedge ratios, value at risk estimates, CAPM betas, derivate pricing and risk management in general. Recent access to intra-daily high-frequency ...
Modelling day-ahead Nord Pool forward-price volatility: realized rolatility versus GARCH models

Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte; Lien, Gudbrand (Journal article, 2011)

The argument that better volatility estimates can be obtained by using standard time-series techniques on non-parametric volatility measures constructed from high- frequency intradaily returns has been prevalent over the ...