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Friday morning parallell sessions:
Electricity forward prices (room Plenum 2)
chair: Majumdar Chitro
The influence of underlying fuels on electricity futures prices
presenter: M. Kilic
discussant: Michael Coulon
Forward price approximation for coupled European electricity markets
presenter: Michael Coulon
no discussant
The relationship between spot and forward and futures contract prices in the Nordic electricity market
presenter: Frode Kjærland
discussant: Anders Løland
Forecasting CfD prices using prior elicitation
presenter: Anders Løland
no discussant
High frequency data in energy sector (room Leangen gård)
chair: Gudbrand Lien
Covariance estimation using high-frequency data: Microstructure noise and sensitivities of estimation methods
presenter: Gudbrand Lien
no discussant
Evaluating the effect of intra-daily sampling frequency on Value-at-Risk predictions: Empirical evidence from high-frequency ICE oil futures
presenter: Erik Haugom
no dicussant
Modeling nad Forecasting Volatility of Energy Forwards: Evidence from Nordic Power Exchange
presenter: Kasper V. Olesen
discussant: Erik Haugom
Measuring volatility spillover between natural gas futures and forward contracts: a European perspective
presenter: Giovanni Urga
no discussant
Mathematical finance (room Munkholmen)
chair: Fred Espen Benth
Electricity Options and additional Information
presenter: Richard Biegler-König
discussant: Jukka Lempa
On the speed towards the mean for CARMA processes with applications to energy markets
presenter: Che Mohd Imran Che Taib
discussant: Heidar Eyjolfsson
Optimal portfolios in commodity futures markets
presenter: Jukka Lempa
discussant: Richard Biegler-König
A Fourier simulation scheme for Levy semistationary processes with applications to energy markets
presenter: Heidar Eyjolfsson
no discussant