Browsing NHH Brage by Author "Koekebakker, Steen"
Now showing items 1-4 of 4
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Forward curve dynamics in the Nordic electricity market
Koekebakker, Steen; Ollmar, Fridthjof (Discussion paper, Working paper, 2001-10)The purpose of this paper is to investigate the forward curve dynamics in an electricity market. Six years of price data on futures and forward contracts traded in the Nordic electricity market are analysed. For the forward ... -
Multivariate modeling and analysis of regional ocean freight rates
Ådland, Roar Os; Benth, Fred Espen; Koekebakker, Steen (Peer reviewed; Journal article, 2017)In this paper, we propose a new multivariate model for the dynamics of regional ocean freight rates. We show that a cointegrated system of regional spot freight rates can be decomposed into a common non-stationary market ... -
Valuation of Asian options and commodity contingent claims
Koekebakker, Steen (Doctoral thesis, 2002) -
Volatility and price jumps in agricultural futures prices : evidence from wheat options
Koekebakker, Steen; Lien, Gudbrand (Discussion paper, Working paper, 2003-01)Empirical evidence suggests that agricultural futures price movements have fat-tailed distributions and exhibit sudden and unexpected price jumps. There is also evidence that the volatility of futures prices contains a ...