Blar i NTNU Open på forfatter "Haugom, Erik"
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A comparison of implied and realized volatility in the Nordic power forward market
Birkelund, Ole Henrik; Haugom, Erik; Molnar, Peter; Opdal, Martin; Westgaard, Sjur (Journal article; Peer reviewed, 2015)In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied volatility index with a fixed time to maturity. This index is compared to a realized volatility time series ... -
A New Quantile Regression Model to forecast one-day-ahead Value-at-Risk
Steine, Sturla Aavik; Eliassen, Markus Thorsø (Master thesis, 2014)This master thesis focuses on the problem of forecasting volatility and Value-at-Risk (VaR) in the nancial markets. There are numerous methods for calculating VaR. However, research in this area has not currently reached ... -
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 ... -
Determinants of the forward premium in the Nord pool electricity market
Haugom, Erik; Molnar, Peter; Tysdahl, Magne Ødegaard (Peer reviewed; Journal article, 2020)Nord Pool is the leading power market in Europe. It has been documented that the forward contracts traded in this market exhibit a significant forward premium, which could be a sign of market inefficiency. Efficient power ... -
Effektene av implisitt volatilitet på predikasjon av realisert volatilitet på forwards i det nordiske kraftmarkedet
Opdal, Martin; Birkelund, Ole Henrik (Master thesis, 2014)I denne oppgaven blir implisitt og realisert volatilitet på forwards i det Nordiske kraftmarkedet studert. Først blir en indeks for implisitt volatilitet konstruert med en fast tidshorisont. Denne indeksen blir så sammenlignet ... -
Forecasting volatility of the U.S. oil market
Haugom, Erik; Langeland, Henrik Søyland; Molnar, Peter; Westgaard, Sjur (Journal article; Peer reviewed, 2014)We examine the information content of the CBOE Crude Oil Volatility Index (OVX) when forecasting realized volatility in the WTI futures market. Additionally, we study whether other market variables, such as volume, open ... -
Modelling and forecasting electricity price variability
Haugom, Erik (Doktoravhandlinger ved NTNU, 1503-8181; 2012:264, Doctoral thesis, 2012) -
Modelling and predicting the Distribution of Risk Premia in Mid-Term Electricity Futures
Tysdahl, Magne Ødegaard (Master thesis, 2015)This thesis examines risk premia in mid-term electricity futures traded in the Nordic electricity market Nord Pool using a time series of 8 years worth of data. Using OLS and quantile regression the relationship between ... -
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 ... -
Observed switches and derived profitability indicators for peaking power plants: Northeast U.S. 2001–2009
Fleten, Stein-Erik; Haugom, Erik; Pichler, Alois; Ullrich, Carl J. (Journal article; Peer reviewed, 2019)The data are related to the research article “Structural estimation of switching costs for peaking power plants,” https://doi.org/10.1016/j.ejor.2019.03.031. Fleten et al., 2019 We display the operating status of peaking ... -
Structural Estimation of Switching Costs for Peaking Power Plants
Fleten, Stein-Erik; Haugom, Erik; Pichler, Alois; Ullrich, Carl J. (Journal article; Peer reviewed, 2019)We estimates costs associated with mothballing, restarting, abandoning and maintaining peaking power plants. We develop a real options model to explain switching and maintenance behavior of plant managers. The constrained ... -
The forecasting power of medium-term futures contracts
Haugom, Erik; Hoff, Guttorm Andre; Mortensen, Maria; Molnar, Peter; Westgaard, Sjur (Journal article; Peer reviewed, 2014)This study investigates whether weekly futures prices, covering the time period 1996–2013, are unbiased predictors of future spot price in the Nordic power market. The results give no clear evidence of bias in the futures ... -
The Forward Premium in the Nord Pool Power Market
Haugom, Erik; Hoff, Guttorm Andre; Molnar, Peter; Mortensen, Maria; Westgaard, Sjur (Journal article; Peer reviewed, 2018)This article investigates the forward premium of futures contracts in the Nordic power market for the time period from January 2004 to December 2013. We find that futures prices are biased predictors of the subsequent spot ... -
The real options to shutdown, startup, and abandon: U.S. electricity industry evidence
Fleten, Stein-Erik; Haugom, Erik; Ullrich, Carl J. (Journal article, 2017)The purpose of this paper is to examine empirically the partially irreversible decisions to shutdown, startup, and abandon existing production assets under cash flow uncertainty and regulatory uncertainty. We use detailed ...