Browsing Discussion papers (FOR) by Author "Koekebakker, Steen"

Now showing items 1-2 of 2

    • 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 ...

    • 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 ...