Peter Molnár

University of Stavanger

UiS Business School

Stavanger, 4036

Norway

SCHOLARLY PAPERS

39

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5,264

SSRN CITATIONS
Rank 6,139

SSRN RANKINGS

Top 6,139

in Total Papers Citations

131

CROSSREF CITATIONS

80

Scholarly Papers (39)

1.

VIX Exchange Traded Products: Price Discovery, Hedging and Trading Strategy

Journal of Futures Markets, Forthcoming
Number of pages: 25 Posted: 24 Mar 2016
Christoffer Bordonado, Peter Molnár and Sven Samdal
Norwegian University of Science and Technology (NTNU), University of Stavanger and Norwegian University of Science and Technology (NTNU)
Downloads 852 (33,377)
Citation 1

Abstract:

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VIX, exchange traded products, volatility, trading strategy

2.

Google Searches and Stock Returns

International Review of Financial Analysis, Forthcoming
Number of pages: 17 Posted: 31 Mar 2016
Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU), University of Stavanger and Norwegian University of Science and Technology (NTNU)
Downloads 462 (74,084)
Citation 15

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Google search, stock returns

3.

Price Discovery on Bitcoin Exchanges

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 35 Posted: 20 Nov 2015
Norwegian University of Science and Technology (NTNU), University of Stavanger, Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU)
Downloads 457 (75,083)
Citation 17

Abstract:

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Bitcoin, price discovery, information share

4.

On the Hedge and Safe Haven Properties of Bitcoin: Is it Really More than a Diversifier?

Finance Research Letters, Forthcoming
Number of pages: 12 Posted: 15 Oct 2016
Université Saint Esprit de Kaslik (USEK), University of Stavanger, Université Saint Esprit de Kaslik (USEK), Montpellier Business School and Norwegian University of Science and Technology (NTNU)
Downloads 431 (80,515)
Citation 47

Abstract:

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Bitcoin, cryptocurrency, diversifier, hedge, safe haven, DCC

5.

Bitcoin for Energy Commodities Before and After the December 2013 Crash: Diversifier, Hedge or Safe Haven?

Applied Economics, Forthcoming
Number of pages: 15 Posted: 02 Mar 2017
Elie Bouri, Naji P Jalkh, Peter Molnár and David Roubaud
Université Saint Esprit de Kaslik (USEK), Independent, University of Stavanger and Montpellier Business School
Downloads 387 (91,218)
Citation 13

Abstract:

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cryptocurrency, Bitcoin crash, commodities, energy commodities, diversifier, hedge, safe haven

6.

High-Low Range in GARCH Models of Stock Return Volatility

Applied Economics, Forthcoming
Number of pages: 29 Posted: 23 Mar 2016
Peter Molnár
University of Stavanger
Downloads 325 (111,184)
Citation 2

Abstract:

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volatility, high, low, range, GARCH

7.

Forecasting Volatility of the U.S. Oil Market

Number of pages: 46 Posted: 17 Nov 2015
Lillehammer University College, Norwegian University of Science and Technology (NTNU), University of Stavanger and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 239 (152,755)
Citation 10

Abstract:

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oil prices, realized volatility, implied volatility, volatility forecasting

8.

What Can Explain the Price, Volatility and Trading Volume of Bitcoin?

Number of pages: 22 Posted: 28 Aug 2018 Last Revised: 30 Aug 2018
Halvor Aalborg, Peter Molnár and Jon Erik de Vries
University of Stavanger - Business School, University of Stavanger and University of Stavanger
Downloads 199 (181,659)
Citation 4

Abstract:

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Bitcoin, Return, Volatility, Trading Volume, Google Searches

9.

Implied Volatility Index for the Norwegian Equity Market

Forthcoming, International Review of Financial Analysis
Number of pages: 26 Posted: 02 Aug 2016
Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU), University of Stavanger and Norwegian University of Science and Technology (NTNU)
Downloads 186 (193,132)
Citation 1

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Implied volatility, OBX index, VIX, volatility forecasting, leverage effect

10.

Tax-Adjusted Discount Rates: A General Formula under Constant Leverage Ratios

Swiss Finance Institute Research Paper No. 11-17
Number of pages: 17 Posted: 08 May 2011
Peter Molnár and Kjell G. Nyborg
University of Stavanger and University of Zurich - Department of Banking and Finance
Downloads 166 (213,011)
Citation 2

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tax-adjusted discount rates, tax shields, risky debt, cost of debt, personal taxes, partial default

11.

Properties of Range-Based Volatility Estimators

International Review of Financial Analysis, Volume 23, June 2012, Pages 20–29
Number of pages: 25 Posted: 16 Nov 2015
Peter Molnár
University of Stavanger
Downloads 149 (233,112)
Citation 4

Abstract:

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volatility, high, low, range

12.

What Daily Data Can Tell Us About Mutual Funds: Evidence from Norway

Journal of Banking and Finance, Vol. 55, 2015
Number of pages: 45 Posted: 18 Apr 2015
Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU) and University of Stavanger
Downloads 139 (246,682)
Citation 1

Abstract:

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mutual funds, performance, persistence

13.

Volatility Forecasting of Strategically Linked Commodity ETFs: Gold - Silver

Number of pages: 21 Posted: 09 Sep 2016 Last Revised: 11 Sep 2016
Stefan Lyocsa and Peter Molnár
Masaryk University - Department of finance and University of Stavanger
Downloads 119 (277,559)
Citation 1

Abstract:

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realized volatility, forecasting, gold, silver, ETF

14.

The Effect of Non-Trading Days on Volatility Forecasts in Equity Markets

Forthcoming, Finance Research Letters
Number of pages: 19 Posted: 15 Jul 2017
Stefan Lyocsa and Peter Molnár
Masaryk University - Department of finance and University of Stavanger
Downloads 90 (334,737)

Abstract:

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realized volatility, volatility forecasting, non-trading days

15.

The Use of Real Options Theory in Scandinavia's Largest Companies

Number of pages: 24 Posted: 17 Nov 2015
Norwegian University of Science and Technology, Sør-Trøndelag University College, University of Stavanger and Norwegian University of Science and Technology
Downloads 87 (341,946)
Citation 1

Abstract:

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real options, capital budgeting, survey

16.

Electricity Consumption Modelling: A Case of Germany

Number of pages: 32 Posted: 09 Feb 2016 Last Revised: 11 Feb 2016
University of Science and Technology (NTNU), Charles University in Prague - CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute) and University of Stavanger
Downloads 80 (359,346)
Citation 1

Abstract:

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electricity demand, electricity consumption, electricity load, forecasting

17.

A Comparison of Implied and Realized Volatility in the Nordic Power Forward Market

Number of pages: 16 Posted: 17 Nov 2015
Norwegian University of Science and Technology, Lillehammer University College, University of Stavanger, Norwegian University of Science and Technology and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 68 (393,549)
Citation 3

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Implied volatility, realized volatility, electricity, forwards, options

18.

Green Electricity Investment Timing in Practice: Real Options or Net Present Value?

Forthcoming, Energy
Number of pages: 27 Posted: 01 Oct 2016
Norwegian University of Science and Technology (NTNU), CICERO Center for International Climate and Environmental Research - Oslo, University of Stavanger and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 67 (396,657)

Abstract:

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renewable energy, investments, real options, subsidies

The Forecasting Power of Medium-Term Futures Contracts

Journal of Energy Markets, Forthcoming
Number of pages: 20 Posted: 16 Nov 2015
Lillehammer University College, Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU), University of Stavanger and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 67 (401,635)

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electricity, risk premium, forward premium, futures, Nord Pool

The Forecasting Power of Medium-Term Futures Contracts

Journal of Energy Markets, Vol. 7, No. 4, 2014
Number of pages: 24 Posted: 06 Jun 2016
Lillehammer University College, Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU), University of Stavanger and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 0
Citation 1
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futures prices, Nordic power market

20.

Bayesian Change Point Analysis of Bitcoin Returns

Number of pages: 6 Posted: 23 Mar 2018
Sven Thies and Peter Molnár
University of Bremen and University of Stavanger
Downloads 64 (406,165)
Citation 3

Abstract:

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Bitcoin, return, volatility, regimes, Bayesian change point model

21.

SEO Cost Differences between Europe and U.S.

Number of pages: 44 Posted: 18 Nov 2015
Svein Krakstad and Peter Molnár
University of Stavanger and University of Stavanger
Downloads 55 (437,174)

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SEOs, investment banks, fees, underpricing, bookbuilding

22.

Characteristics of Norwegian Rights Issues

Number of pages: 11 Posted: 18 Nov 2015
Svein Krakstad and Peter Molnár
University of Stavanger and University of Stavanger
Downloads 53 (444,488)
Citation 1

Abstract:

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SEOs, rights, announcement effects, bookbuilding

23.

Applying Copulas Functions for Wind and Hydro Complementarity Evaluation: A Brazilian Case

Number of pages: 6 Posted: 16 Nov 2015
Peter Molnár, Luiz Steinle Camargo and Dorel Ramos
University of Stavanger, University of São Paulo (USP) and University of São Paulo (USP)
Downloads 50 (455,863)
Citation 1

Abstract:

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Complementarity, copula, hydro, wind

24.

Do Political Risks Harm Development of Oil Fields?

Journal of Economic Behavior & Organization, Forthcoming
Number of pages: 40 Posted: 26 Jan 2018
Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU), Masaryk University and University of Stavanger
Downloads 49 (459,745)

Abstract:

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investments, oil and gas, political risks, financial development

25.

The Forward Premium in the Nord Pool Power Market

Emerging Markets Finance and Trade, Forthcoming
Number of pages: 24 Posted: 30 Apr 2018
Lillehammer University College, Norwegian University of Science and Technology (NTNU), University of Stavanger, Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 47 (467,888)

Abstract:

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Electricity Price, Nord Pool, Forward Premium, Futures Price, Spot Price

26.

Uniform Price Auctions with Profit Maximizing Seller

Economics Bulletin, Forthcoming
Number of pages: 7 Posted: 20 Nov 2015
Peter Molnár
University of Stavanger
Downloads 46 (472,067)

Abstract:

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Uniform auction, underpricing, profit maximizing seller

27.

Volatility Forecasting of Non-Ferrous Metal Futures: Covariances, Covariates or Combinations?

Number of pages: 35 Posted: 22 Sep 2017
Stefan Lyocsa, Peter Molnár and Neda Todorova
Masaryk University - Department of finance, University of Stavanger and Griffith University
Downloads 44 (480,550)
Citation 1

Abstract:

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Industrial metals, LME futures market, Volatility forecasting, Multivariate HAR, Volatility spillovers, Bayesian model averaging

28.

Google Searches and Gasoline Prices

in proceedings of the 14th International Conference on the European Energy Market (EEM), 2017, Forthcoming
Number of pages: 5 Posted: 20 Jun 2017
Peter Molnár and Milan Bašta
University of Stavanger and University of Economics, Prague - Faculty of Informatics and Statistics
Downloads 43 (484,950)
Citation 1

Abstract:

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gasoline prices, Google searches, Granger causality

29.

Long-Term Dynamics of the VIX Index and Its Tradable Counterpart VXX

Forthcoming in Journal of Futures Markets
Number of pages: 27 Posted: 01 Nov 2018
Milan Bašta and Peter Molnár
University of Economics, Prague - Faculty of Informatics and Statistics and University of Stavanger
Downloads 41 (493,756)

Abstract:

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Implied Volatility, VIX, VXX, Predictability, Comovement

30.

Structural Breaks in Emission Allowance Prices

in proceedings of the 14th International Conference on the European Energy Market (EEM), 2017, Forthcoming
Number of pages: 5 Posted: 20 Jun 2017
Peter Molnár and Sven Thies
University of Stavanger and University of Bremen
Downloads 41 (493,756)

Abstract:

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emission allowances, structural breaks, uncertainty, carbon prices

31.

Exploiting Dependence: Day-Ahead Volatility Forecasting for Crude Oil and Natural Gas Exchange-Traded Funds

Number of pages: 25 Posted: 24 May 2018
Stefan Lyocsa and Peter Molnár
Masaryk University - Department of finance and University of Stavanger
Downloads 38 (507,432)

Abstract:

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oil, natural gas, volatility forecasting, high-frequency data, ETF

32.

Asymmetric Volatility in Equity Markets Around the World

Forthcoming in North American Journal of Economics and Finance
Number of pages: 31 Posted: 08 Aug 2018
University of Stavanger - Business School, Masaryk University - Department of finance, University of Stavanger and University of Stavanger
Downloads 37 (512,119)
Citation 1

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asymmetric volatility, high-frequency, realized volatility, HAR, GARCH, forecasting

33.

Determinants of Oil and Gas Investments on the Norwegian Continental Shelf

Number of pages: 37 Posted: 12 Feb 2018
Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU) and University of Stavanger
Downloads 32 (537,363)

Abstract:

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oil exploration, investment timing, oil price

34.

Impact of Wind and Solar Production on Electricity Prices: Quantile Regression Approach

Number of pages: 38 Posted: 13 Aug 2019
University of Science and Technology (NTNU), Masaryk University - Department of finance and University of Stavanger
Downloads 22 (597,327)

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price modelling, wind, solar, renewables, quantile regression

35.

Range-Based DCC Models for Covariance and Value-at-Risk Forecasting

Number of pages: 34 Posted: 16 Sep 2019
Piotr Fiszeder, Marcin Fałdziński and Peter Molnár
Nicolaus Copernicus University, Nicolaus Copernicus University and University of Stavanger
Downloads 18 (624,122)
Citation 2

Abstract:

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volatility, dynamic conditional correlation, high-low range, covariance forecasting, value-at-risk

36.

Central Bank Announcements and Realized Volatility of Stock Markets in G7 Countries

Forthcoming in Journal of International Financial Markets, Institutions & Money
Number of pages: 33 Posted: 01 Nov 2018
Stefan Lyocsa, Peter Molnár and Tomáš Plíhal
Masaryk University - Department of finance, University of Stavanger and Masaryk University - Faculty of Economics and Administration
Downloads 13 (659,599)

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Target Interest Rate, Realized Volatility, Central Banks, High-Frequency Data, Monetary Policy

37.

Tax‐Adjusted Discount Rates: A General Formula Under Constant Leverage Ratios

European Financial Management, Vol. 19, Issue 3, pp. 419-428, 2013
Number of pages: 10 Posted: 05 Jun 2013
Peter Molnár and Kjell G. Nyborg
University of Stavanger and University of Zurich - Department of Banking and Finance
Downloads 1 (757,682)
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tax‐adjusted discount rates, tax shields, risky debt, cost of debt, personal taxes, partial default

38.

Oil Market Volatility and Stock Market Volatility

Posted: 22 Feb 2018
Milan Bašta and Peter Molnár
University of Economics, Prague - Faculty of Informatics and Statistics and University of Stavanger

Abstract:

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volatility, oil market, stock market, VIX, OVX, wavelets

39.

Green Certificates and Investments in Small Hydro Power Plants

Posted: 22 Apr 2016
Norwegian University of Science and Technology (NTNU), CICERO Center for International Climate and Environmental Research - Oslo, University of Stavanger and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology

Abstract:

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green certificates, renewable energy, uncertainty, real options