Carl J. Ullrich

James Madison University - College of Business

Assistant Professor of Finance

Harrisonburg, VA 22807

United States

Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law

Assistant Professor of Finance

1016 Pamplin Hall (0221)

Blacksburg, VA 24060-0221

United States

SCHOLARLY PAPERS

6

DOWNLOADS

1,003

SSRN CITATIONS

7

CROSSREF CITATIONS

4

Scholarly Papers (6)

1.

Realized Volatility and Price Spikes in Electricity Markets: The Importance of Observation Frequency

EFA 2009 Bergen Meetings Paper
Number of pages: 46 Posted: 16 Feb 2009 Last Revised: 30 Jun 2009
Carl J. Ullrich
James Madison University - College of Business
Downloads 257 (141,578)
Citation 7

Abstract:

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realized volatility, bipower variation, observation frequency, electricity markets, price spikes

2.

Constrained Capacity and Equilibrium Forward Premia in Electricity Markets

Number of pages: 45 Posted: 08 Aug 2006 Last Revised: 21 Nov 2007
Carl J. Ullrich
James Madison University - College of Business
Downloads 197 (182,512)
Citation 6

Abstract:

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forward risk premium,forward pricing, nonstorable commodities

3.

Keeping the Lights On Until the Regulator Makes Up His Mind!

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 37 Posted: 17 Sep 2011 Last Revised: 19 Nov 2012
Stein-Erik Fleten, Erik Haugom and Carl J. Ullrich
Norwegian University of Science and Technology (NTNU), Lillehammer University College and James Madison University - College of Business
Downloads 187 (191,330)

Abstract:

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Real options, uncertainty, compound exchange options, spark spread, commodity prices

4.

Continuous-Time Models of Currency Volatility

Number of pages: 38 Posted: 04 Sep 2007
Carl J. Ullrich
James Madison University - College of Business
Downloads 140 (244,115)

Abstract:

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currency volatility, density approximations

5.

Forecasting Spot Price Volatility Using the Short-Term Forward Curve

Number of pages: 24 Posted: 05 Dec 2010 Last Revised: 27 Jan 2011
Erik Haugom and Carl J. Ullrich
affiliation not provided to SSRN and James Madison University - College of Business
Downloads 125 (266,402)
Citation 1

Abstract:

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Volatility forecasting, realized volatility, implied volatility, forward prices, electricity markets

6.

Regulatory Uncertainty, Corporate Expectations, and the Postponement of Investment: The Case of Electricity Market Deregulation

Number of pages: 34 Posted: 15 Oct 2011
Randall S. Billingsley and Carl J. Ullrich
Virginia Polytechnic Institute & State University - Pamplin College of Business and James Madison University - College of Business
Downloads 97 (317,791)

Abstract:

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investment, regulatory uncertainty, real options