Blar i Publikasjoner fra Cristin på forfatter "Solibakke, Per Bjarte"
-
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 ... -
Intercontinental variations of the import trade pattern of Norway : applications to best linear unbiased estimable functions of hierarchical econometric model,
Tesfay, Yohannes Yebabe; Solibakke, Per Bjarte (Peer reviewed; Journal article, 2017)This paper’s main purpose is an analysis of the intercontinental variations of Norwegian import expenditures based on yearly import data from 1988 to 2014. We estimate functions for the best linear unbiased estimator (BLUE) ... -
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 ... -
On the Estimation of Extreme Values for Risk Assessment and Management: The ACER Method
Dahlen, Kai Erik; Solibakke, Per Bjarte; Westgaard, Sjur; Næss, Arvid (Peer reviewed; Journal article, 2015)In this paper we use an Average Conditional Exceedance Rate (ACER) method to model the tail of the price change distribution of daily spot prices in the Nordic electricity market, Nord Pool Spot. We use an AR-GARCH model ... -
Structure of the Norwegian imports trade concentration : the seemingly unrelated autoregressive regression modelling approach
Tesfay, Yohannes Yebabe; Solibakke, Per Bjarte (Peer reviewed; Journal article, 2016)Purpose: This article is proposed to analyse the structure of the trade concentration index (HHI) of Norwegian imports across continents. Design/ Methodology/ Approach: The paper analyse the concentration index (HHI) by ...