Forward prices and more realistic Volatility for OLGA

Løland, Anders; Hobæk Haff, Ingrid

October 01, 2004

SAMBA

• Areas: Finance, Insurance and the Electricity Market
• Keywords: Volatility, innovations, jumps, seasonality, forward price, GARCH
• Page(s): 41
• Name and number of project: 220223
• Title: Forward prices and more realistic Volatility for OLGA
• Author(s): Løland, Anders; Hobæk Haff, Ingrid
• Report number: SAMBA/14/04
• Published date: October 01, 2004