• A bit risky? A comparison between Bitcoin and other assets using an intraday Value at Risk approach 

      Valstad, Ole Christian Andreas; Vagstad, Kristian (Master thesis, 2014)
      The promising cryptocurrency Bitcoin has attracted a lot of attention recently, but the high volatility of the Bitcoin price has so far been a barrier to widespread adoption. Given the way Bitcoin transactions work, users ...
    • 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 Study of Internet Search Volume's Contribution to Day-Ahead Volatility Forecasts 

      Dagsvik, Thomas Emil; Aalen, Sindre Pemmer (Master thesis, 2016)
      We investigate whether day-ahead forecasts of individual stocks' volatility can be improved with Internet search volume data. We extend Heterogenous Autoregressive models of Realized Volatility (HAR-RV models) with past ...
    • Applying Copulas Functions for Wind and Hydro Complementarity Evaluation: a Brazilian Case 

      Molnar, Peter; Steinle Camargo, Luiz Armando; Soares Ramos, Dorel (Chapter, 2015)
      Wind energy has been expanding in many countries typically hydro electricity producers in the last decades and some investments take advantage from the complementarity among hydro and wind productions as a strategy to ...
    • Capital Flows in the Norwegian Mutual Fund Market 

      Hansen, Thomas; Steffensen, Lars Kristian (Master thesis, 2013)
      This paper investigates monthly capital inflows, outflows and net flows for Norwegian mutual funds. The data set contains equity, bond, and money market funds registered at some point in the period 2006 - 2012 on Oslo Stock ...
    • Determinants of oil and gas investments on the Norwegian Continental Shelf 

      Berntsen, Martin A.S; Bøe, Kristine; Jordal, Therese; Molnar, Peter (Journal article; Peer reviewed, 2018)
      This paper studies the investment decisions by oil and gas companies operating on the Norwegian Continental Shelf. We account for the heterogeneity across the fields by including field-specific variables, including geological ...
    • 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 ...
    • Do political risks harm development of oil fields? 

      Bøe, Kristine; Jordal, Therese; Mikula, Stepan; Molnar, Peter (Journal article; Peer reviewed, 2018)
      We examine the impact of political risks and financial development on investments in the petroleum industry utilizing a unique dataset of investments in individual oil and gas fields around the world. We find that the ...
    • The earnings announcement premium and Google searches 

      Wille, Alexander (Master thesis, 2016)
      This paper examines the link between the earnings announcement premium and Google searches for company tickers prior to the announcements. We use Google searches as a proxy for information demand. The analysis are performed ...
    • Estimating Market Values of Football Players - An Empirical Analysis of the Relationship Between Google Trends, Players' Performances and Their Market Values 

      Neverlien, Gard Sebastian (Master thesis, 2016)
      Due to the ever-increasing interest and commercial value of football worldwide, especially in the big European leagues, the transfer fees associated with trading of football players between clubs are getting higher and ...
    • Forecasting the Price of Crude Oil: - The Predictive Power of Futures Prices and Realized Volatility 

      Olsvik, Magnus; Hoff, Kristian (Master thesis, 2015)
      This paper studies the predictability of the crude oil spot price using futures prices and realized volatility of spot prices. Over the short-term, the simple no-change forecast works better than forecasts based on futures ...
    • 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 ...
    • FX Markets and Google searches - an investigation of Structural Breaks 

      Kim, Young; Poulsson, Anton Emil Bergh (Master thesis, 2016)
      This paper studies the dynamics of volatilities and correlations calculated from high-frequency data for seven major currency pairs. We build our model upon the precise Heterogeneous Autoregresive (HAR) model of \citet{corsi}. ...
    • Google Searches and IPO Performance 

      Lillefjære, Kamilla Amalie; Ween, Ellen Blegen; Krogsrud, Vilde (Master thesis, 2016)
      We investigate the impact of retail investor attention, measured by Google Search Volume Index (SVI), on price revision, underpricing and post-IPO performance. We also investigate how these three IPO phenomena affect each ...
    • Green electricity investment timing in practice: Real options or net present value? 

      Fleten, Stein-Erik; Linnerud, Kristin; Molnar, Peter; Nygård, Maria Tandberg (Journal article; Peer reviewed, 2016)
      Using data from 214 hydropower projects in Norway we study whether investors in renewable energy projects exert discretion about the timing of investment decisions. We know from interviews with these investors that they ...
    • Impact of capital flows on the performance of Norwegian mutual funds 

      Haukeland, Karen Mosebø; Lund, Berit (Master thesis, 2015)
      This study investigates the relationship between fund performance and past capital flows, allowing for the possible impact of past performance and fund size. We use a unique data set consisting of daily returns, monthly ...
    • Impact of Political Stability and Property Rights Protection on Oil and Gas Investments: - A Cross-Country Analysis 

      Bøe, Kristine Skjong; Jordal, Therese (Master thesis, 2016)
      This paper documents a strong negative relationship between political risk and investments in the petroleum industry. Our unique data set, released for the purpose of this study only, allows us to study the timing of ...
    • Impact of wind and solar production on electricity prices: Quantile regression approach 

      Do, Linh Phuong Catherine; Lyocsa, Stefan; Molnar, Peter (Peer reviewed; Journal article, 2019)
      We study the impact of fuel prices, emission allowances, demand, past prices, wind and solar production on hourly day-ahead electricity prices in Germany over the period from January 2015 until June 2018. Working within a ...
    • Implied Volatility Indices and Volatility Forecasting 

      Guttormsen, Haakon Johnsrud; Bugge, Sebastian Andersen; Ringdal, Martin (Master thesis, 2016)
      This thesis consists of two articles that study volatility forecasts and the value of implied volatility indices. In the first paper, we construct implied volatility indices for all stocks in the Dow Jones Industrial ...
    • Investment in hydropower plants under uncertainty 

      Nygård, Maria Tandberg (Master thesis, 2013)
      Investment in renewable energy production in Norway is since the 1st of January 2012 granted subsidies through a market for elcertificates common with Sweden. The underlying purpose is to reach the Norwegian and Swedish ...