Risk management in the oil industry: can information on long-run equilibrium prices be utilized?

O Gjolberg, T Johnsen - Energy Economics, 1999 - Elsevier
We analyze co-movements between the prices of crude oil and major refined products during
the period 1992–1998. Specifically, we explore the existence of long-run equilibrium price …

Is there a relationship between Morningstar's ESG ratings and mutual fund performance?

M Steen, JT Moussawi, O Gjolberg - Journal of Sustainable …, 2020 - Taylor & Francis
We analyze the relationship between Morningstar’s ESG ratings and the performance of
146 mutual funds domiciled in Norway. Dividing the sample into ESG quintiles, we find no …

Real options in the forest: what if prices are mean-reverting?

O Gjolberg, AG Guttormsen - Forest Policy and Economics, 2002 - Elsevier
When solving the Faustmann problem in a stochastic setting, it is typically assumed that prices
follow a random walk process. In the present paper, we instead assume that timber prices …

Are commodity markets characterized by herd behaviour?

M Steen, O Gjolberg - Applied Financial Economics, 2013 - Taylor & Francis
Twenty years ago, Pindyck and Rotemberg concluded that commodity prices exhibited
excessive co-movements and that commodity markets were characterized by herd behaviour. …

Price relationships in the petroleum market: an analysis of crude oil and refined product prices

F Asche, O Gjølberg, T Völker - Energy economics, 2003 - Elsevier
In this paper the relationships between crude oil and refined product prices are investigated
in a multivariate framework. This allows us to test several (partly competing) assumptions of …

[PDF][PDF] The biased short-term futures price at Nord Pool: can it really be a risk premium

O Gjolberg, TL Brattested - The Journal of Energy Markets, 2011 - researchgate.net
We analyze the forecasting performance of the four-week and six-week futures prices in the
Nordic power market (Nord Pool), from 1995 to 2008. We find that short-term futures have …

[PDF][PDF] Electricity futures: Inventories and price relationships at Nord Pool

O Gjolberg, T Johnsen - Norwegian School of Economics and Business …, 2001 - Citeseer
Electricity is a non-storable commodity for consumers, while hydropower producers may store
future electricity as water in their reservoirs. Consequently, there is an asymmetry between …

Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression

M Steen, S Westgaard, O Gjølberg - 2015 - ntnuopen.ntnu.no
Commodities constitute a nonhomogeneous asset class. Return distributions differ widely
across different commodities, both in terms of tail fatness and skewness. These are features …

Testing the central market hypothesis: a multivariate analysis of Tanzanian sorghum markets

F Asche, O Gjølberg, AG Guttormsen - Agricultural Economics, 2012 - Wiley Online Library
The central market hypothesis is important in the analysis of market integration because it
implies a specific market structure while avoiding a simultaneity problem. However, despite its …

The Nordic Futures Market for Power: Finally Mature and Efficient?

E Smith-Meyer, O Gjolberg - Journal of Energy Markets …, 2016 - papers.ssrn.com
A number of studies have found nearby futures prices in the Nordic power market to be
biased forecasts, overshooting subsequent spot prices. This could be due to a persistent risk …