Browsing Fakultet for økonomi (ØK) by Subject "Realized volatility"
Now showing items 1-1 of 1
-
A comparison of implied and realized volatility in the Nordic power forward market
(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 ...