Birkelund, Ole Henrik; Haugom, Erik; Molnár, Peter; … - In: Energy Economics 48 (2015) C, pp. 288-294
-frequency data. The results show that the implied volatility has a positive bias against the realized volatility measure indicating …In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied … volatility index with a fixed time to maturity. This index is compared to a realized volatility time series calculated from high …