Vis enkel innførsel

A comparison of implied and realized volatility in the Nordic power forward market

dc.contributor.authorBirkelund, Ole Henrik
dc.contributor.authorHaugom, Erik
dc.contributor.authorMolnar, Peter
dc.contributor.authorOpdal, Martin
dc.contributor.authorWestgaard, Sjur
dc.date.accessioned2017-10-03T07:08:15Z
dc.date.available2017-10-03T07:08:15Z
dc.date.created2015-03-02T10:42:06Z
dc.date.issued2015
dc.identifier.citationEnergy Economics. 2015, 48 288-294.nb_NO
dc.identifier.issn0140-9883
dc.identifier.urihttp://hdl.handle.net/11250/2457870
dc.description.abstractIn 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 calculated from high-frequency data. The results show that the implied volatility has a positive bias against the realized volatility measure indicating that there is a risk premium imposed by option traders. The results are consistent with previous research in other markets.nb_NO
dc.language.isoengnb_NO
dc.publisherElseviernb_NO
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.no*
dc.subjectImplisitt volatilitetnb_NO
dc.subjectImplied volatilitynb_NO
dc.subjectVolatilitetnb_NO
dc.subjectRealized volatilitynb_NO
dc.titleA comparison of implied and realized volatility in the Nordic power forward marketnb_NO
dc.typeJournal articlenb_NO
dc.typePeer reviewednb_NO
dc.description.versionacceptedVersionnb_NO
dc.source.pagenumber288-294nb_NO
dc.source.volume48nb_NO
dc.source.journalEnergy Economicsnb_NO
dc.identifier.doi10.1016/j.eneco.2014.12.021
dc.identifier.cristin1228615
dc.relation.projectNorges forskningsråd: 228811nb_NO
dc.description.localcode© 2015. This is the authors’ accepted and refereed manuscript to the article. LOCKED until 16.1.2018 due to copyright restrictions. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/nb_NO
cristin.unitcode194,60,25,0
cristin.unitnameInstitutt for industriell økonomi og teknologiledelse
cristin.ispublishedtrue
cristin.fulltextpostprint
cristin.qualitycode1


Tilhørende fil(er)

Thumbnail
Filnavn:
BirkelindHaugomMolnarOpdalWest ...
Størrelse:
525.1Kb
Format:
PDF
Åpne

Denne innførselen finnes i følgende samling(er)

Vis enkel innførsel

Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
Med mindre annet er angitt, så er denne innførselen lisensiert som Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal