Background and activities
Scientific, academic and artistic work
A selection of recent journal publications, artistic productions, books, including book and report excerpts. See all publications in the database
- (2017) Hedge Fund Strategies and Time- Varying Alphas and Betas. Journal of Wealth Management. vol. 2017 (Spring).
- (2016) Oil and Gas Risk Factor sensitivities for U.S. Energy Companies. Journal of Energy and Development. vol. 41 (1 and 2).
- (2016) Modeling the UK electricity price distributions using quantile regression. Energy. vol. 102.
- (2016) Prediction of extreme price occurrences in the German day-ahead electricity market. Quantitative finance (Print). vol. 16 (12).
- (2016) A parsimonious quantile regression model to forecast day-ahead value-at-risk. Finance Research Letters. vol. 16.
- (2016) Oil and Gas Risk Factor Sensitivities for U.S. Energy Companies. Journal of Energy and Development. vol. 41 (1 and 2).
- (2015) A comparison of implied and realized volatility in the Nordic power forward market. Energy Economics. vol. 48.
- (2015) Analysis and Forecasting of Electricity Price Risks with Quantile Factor Models. Energy Journal. vol. 37 (1).
- (2015) On the Estimation of Extreme Values for Risk Assessment and Management: The ACER Method. International journal of business. vol. 20 (1).
- (2015) Electricity futures prices: time-varying sensitivity to fundamentals. Journal of Energy Markets. vol. 8 (4).
- (2015) HYDRO RESERVOIR LEVELS AND POWER PRICE DYNAMICS: EMPIRICAL INSIGHT ON THE NONLINEAR INFLUENCE OF FUEL AND EMISSION COST ON NORD POOL DAY-AHEAD ELECTRICITY PRICES. Journal of Energy and Development. vol. 40 (1-2).
- (2015) Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression. Journal of Risk Model Validation. vol. 9 (2).
- (2014) Long-term relationships between electricity and oil, gas and coal future prices — evidence from Nordic countries, Continental Europe and the United Kingdom. Opec Energy Review. vol. 38 (2).
- (2014) The forecasting power of medium-term futures contracts. Journal of Energy Markets. vol. 7 (4).
- (2014) Forecasting volatility of the U.S. oil market. Journal of Banking & Finance. vol. 47 (1).
- (2014) Covariance estimation using high-frequency data: Sensitivities of estimation methods. Economic Modelling. vol. 43.
- (2014) Estimating and evaluating Value-at-Risk forecasts based on realized variance: empirical evidence from ICE Brent Crude oil futures. Opec Energy Review. vol. 38 (4).
- (2014) A note on the risk characteristics of european energy futures markets :. Beta. Scandinavian Journal of Business Research. vol. 28 (1).
- (2013) Linepack storage valuation under price uncertainty. Energy. vol. 52.
- (2013) Hedge Funds—Risk Exposure in Different Quantiles and Market Sentiments. Journal of Investing. vol. 22 (3).