Blar i NTNU Open på forfatter "Sollie, Johan Magne"

Viser treff 1-3 av 3

    • Modelling of commodity prices: Dynamics and risk premiums 

      Sollie, Johan Magne (Doktoravhandlinger ved NTNU, 1503-8181; 2013:233, Doctoral thesis, 2013)

    • Multi-factor models and the risk premiums: a simulation study 

      Andresen, Arne; Sollie, Johan Magne (Journal article; Peer reviewed, 2013)
      The estimation of commodity spot price models often involves the estimation of risk premiums. We show in a simulation study that the market prices of risk cannot be accurately estimated using two popular estimation techniques; ...

    • The overnight risk premium in electricity forward contracts 

      Fleten, Stein-Erik; Hagen, Liv Aune; Nygård, Maria Tandberg; Smith-Sivertsen, Ragnhild Brita; Sollie, Johan Magne (Journal article; Peer reviewed, 2015)
      We analyze the risk premium on electricity forward contracts traded for the Nordic and German/Austrian electricity markets. We argue that finding risk premiums by analyzing overnight returns is more relevant than the ...