All Stories

  1. Stochastic volatility models for the Brent oil futures market: forecasting and extracting conditional moments

    Article • OPEC Energy Review, June 2015, Wiley

    Dr Per B Solibakke

  2. Spectral density estimation of European airlines load factors for Europe-Middle East and Europe-Far East flights

    Article • European Transport Research Review, April 2015, Springer Science + Business Media

    Dr Per B Solibakke

  3. SCIENTIFIC STOCHASTIC VOLATILITY MODELS FOR THE SALMON FORWARD MARKET: FORECASTING (UN-)CONDITIONAL MOMENTS

    Article • Aquaculture Economics & Management, July 2012, Taylor & Francis

    Dr Per B Solibakke

  4. Realized volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data

    Article • Energy Economics, November 2011, Elsevier

    Dr Per B Solibakke

  5. Market Risk Management with Stochastic Volatility Models

    Article • September 2011, IntechOpen

    Dr Per B Solibakke

  6. Modelling day ahead Nord Pool forward price volatility: Realized volatility versus GARCH models

    Article • June 2010, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Per B Solibakke

  7. Covariance estimation using high-frequency data: Analysis of Nord Pool electricity forward data

    Article • June 2010, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Per B Solibakke

  8. Determinants for European energy markets intra-day volatility using dynamic panel data models and GMM-type estimators

    Article • June 2010, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Per B Solibakke

  9. EEX base and peak load one-year forward contracts: Stochastic volatility

    Article • May 2009, Institute of Electrical & Electronics Engineers (IEEE)

    Dr Per B Solibakke

  10. Non-linear dependence and conditional heteroscedasticity in stock returns evidence from the norwegian thinly traded equity market

    Article • European Journal of Finance, April 2005, Taylor & Francis

    Dr Per B Solibakke

  11. Validity of discrete-time stochastic volatility models in non-synchronous equity markets

    Article • European Journal of Finance, October 2003, Taylor & Francis

    Dr Per B Solibakke

  12. Testing the univariate conditional CAPM in thinly traded markets

    Article • Applied Financial Economics, October 2002, Taylor & Francis

    Dr Per B Solibakke

  13. Calculating abnormal returns in event studies: controlling for non‐synchronous trading and volatility clustering in thinly traded markets

    Article • Managerial Finance, August 2002, Emerald

    Dr Per B Solibakke

  14. A stochastic volatility model specification with diagnostics for thinly traded equity markets

    Article • Journal of Multinational Financial Management, December 2001, Elsevier

    Dr Per B Solibakke

  15. Efficiently ARMA–GARCH estimated trading volume characteristics in thinly traded markets

    Article • Applied Financial Economics, October 2001, Taylor & Francis

    Dr Per B Solibakke

  16. Stochastic Volatility Models for the European Electricity Markets: Forecasting and Extracting Conditional Moments for Option Pricing and Implied Market Risk Premiums

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Dr Per B Solibakke