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Publications

NIBIOs employees contribute to several hundred scientific articles and research reports every year. You can browse or search in our collection which contains references and links to these publications as well as other research and dissemination activities. The collection is continously updated with new and historical material.

2012

Abstract

This study examines the comparative performance of the call and put implied volatility (IV) of at-the-money European-style SPX Index Options on the S&P 500 Price Index as a precursor to the ex-post realized volatility. The results confirm that implied volatility contains valuable information regarding the ex-post realized volatility during the last decade for the S&P 500 market. The empirical findings also indicate that the put implied volatility has a higher forecast performance. Furthermore, from the wavelet estimations it has been concluded that the long-run variation of the implied volatility is consistent and unbiased in explaining the long-run variations of the ex-post realized volatility. Wavelet estimations further reveal that in the long-run put and call implied volatility contain comparable information regarding the realized volatility of the market. However, in the short-run put implied volatility dynamics have better predictive ability.

Abstract

This Noragric Report was commissioned by the Norwegian Agency for Development Cooperation (Norad) under the framework agreement with UMB which is administrated by Noragric.

Abstract

The current IPCC guidelines define an estimate for the fraction of mineral fertilizer and animal waste (manure) lost to leaching and runoff (FracLEACH). The FracLEACH default is 30 %. In Norway, 18 % has been used based on calculations made in 1998 (Vagstad et al., 1998). The main purpose of this study was to give an updated estimate of nitrogen (N) leaching in relation to the amounts of N applied in agriculture (FracLEACH). The term losses in this report include both surface and subsurface runoff. The estimates of FracLEACH presented in this report were based on data from the Agricultural Environmental monitoring program (JOVA). The JOVA-program includes catchment and field study sites representing typical situations in Norwegian agriculture with regard to production system, management, intensity, soil, landscape, region and climate. Data from plot- scale study sites confirmed the level of N leaching from the agricultural areas within the JOVA catchments. The overall FracLEACH estimated in this study was 22 % of the N applied. This average covers a variation between sites from 16 % on grassland in Valdres to 44 % in intensive vegetable, potato and cereal production areas in the southernmost part of Norway. Runoff is the most significant parameter for the difference in FracLEACH between catchments. In addition, production system and to some degree soil type are important for FracLEACH. It is thus suggested to use different FracLEACH-values for the different production systems and adjust FracLEACH according to average runoff for the region.