Browsing Øvrige samlinger by Journals "Journal of Energy and Power Engineering"
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Covariance estimation using high-frequency data : an analysis of Nord Pool electricity forward data
(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 ...