We examine the information content of the CBOE Crude Oil Volatility Index (OVX) when
forecasting realized volatility in the WTI futures market. Additionally, we study whether other …

Analysis and management of credit risk has taken on an increased importance in recent
years. New regulations force banks and other financial institutions to make a credible effort to …

The purpose of this article is to examine the capital structure across different industries for
companies quoted on a stock exchange and headquartered in the United States. The paper …

Forecasting quantile and value-at-risk levels for commodity prices is methodologically
challenging because of the distinctive stochastic properties of the price density functions, volatility …

In this paper we develop fundamental quantile regression models for the UK electricity price
in each trading period. Intraday properties of price risk, as represented by the predictive …

Banks’ credit scoring models are required by financial authorities to be explainable. This paper
proposes an explainable artificial intelligence (XAI) model for predicting credit default on …

Understanding the mechanisms that drive extreme negative and positive prices in day-ahead
electricity prices is crucial for managing risk and market design. In this paper, we consider …

This is the first paper to utilize intra-daily high-frequency data and to apply known market
measures for the prediction of volatility in the Nord Pool electricity forward market. The work is …

This paper presents a discrete random-field model for forward prices driven by the multivariate
normal inverse Gaussian distribution. The model captures the idiosyncratic risk and …

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 …