Show simple item record

dc.contributor.authorLien, Gudbrand
dc.contributor.authorHaugom, Erik
dc.contributor.authorWestgaard, Sjur
dc.contributor.authorSolibakke, Per Bjarte
dc.date.accessioned2019-09-24T07:49:08Z
dc.date.available2019-09-24T07:49:08Z
dc.date.created2013-02-25T11:23:02Z
dc.date.issued2012
dc.identifier.citationJournal of Energy and Power Engineering. 2012, 6 (4), 570-579.nb_NO
dc.identifier.issn1934-8975
dc.identifier.urihttp://hdl.handle.net/11250/2618373
dc.description.abstractThe 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 data for two of the most liquid contracts at the Nord Pool exchange has made it possible to apply new and promising methods for analyzing volatility and correlation. The concepts of realized volatility and realized correlation are applied, and this study statistically describes the distribution (both distributional properties and temporal dependencies) of electricity forward data from 2005 to 2009. The main findings show that the logarithmic realized volatility is approximately normally distributed, while realized correlation seems not to be. Further, realized volatility and realized correlation have a long-memory feature. There also seems to be a high correlation between realized correlation and volatilities and positive relations between trading volume and realized volatility and between trading volume and realized correlation. These results are to a large extent consistent with earlier studies of stylized facts of other financial and commodity markets.nb_NO
dc.language.isoengnb_NO
dc.relation.urihttp://davidpublishing.org/DownLoad/?id=5560
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.no*
dc.titleCovariance estimation using high-frequency data : an analysis of Nord Pool electricity forward datanb_NO
dc.typeJournal articlenb_NO
dc.description.versionpublishedVersionnb_NO
dc.source.pagenumber570-579nb_NO
dc.source.volume6nb_NO
dc.source.journalJournal of Energy and Power Engineeringnb_NO
dc.source.issue4nb_NO
dc.identifier.cristin1014018
dc.relation.projectNorges forskningsråd: 199904nb_NO
cristin.unitcode211,5,0,0
cristin.unitnameAvdeling for økonomi og samfunnsvitenskap
cristin.ispublishedtrue
cristin.fulltextoriginal
cristin.qualitycode0


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record

Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal