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  1. Ansatte

Språkvelger

English

Sjur Westgaard

Last ned pressefoto
Last ned pressefoto
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Sjur Westgaard

Professor
Institutt for industriell økonomi og teknologiledelse

sjur.westgaard@ntnu.no
73593183 91897096 73412951 1143 Sentralbygg 1 Gløshaugen, Trondheim
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Om Publikasjoner Undervisning Formidling

Om

CV

Jeg har en master og phd grad fra industriell økonomi NTNU og en master innen bedriftsøkonomisk analyse fra NHH. Jeg har jobbet som porteføljeforvalter for et forsikringsselskap, prosjektleder for et datafirma samt kredittanalytiker for en internasjonal bank. Jeg er nå fulltids professor ved NTNU og professor II ved HINN. Min undervisning dekker bedriftsøkonomi, samfunnsøkonomi, finans, samt  prognosermodellering innen økonomi og finans. Mitt forskningsområde er finansiell risikostyring  for finansinsitusjoner og industrielle selskaper. Jeg har vært prosjektleder for flere prosjekter med kraftselskaper og NFR. Jeg har forøvrig vært med å starte journalen Journal of Commodity Markets der jeg er en av redaktørene. Jeg er også assosiert redaktør i Journal of Energy Markets og har tidligere vært assosiert redaktør i Journal of Banking and Finance.

Publikasjoner

  • Kronologisk
  • Etter kategori
  • Se alle publikasjoner i Cristin

2025

  • Duarte Pimentel, Rita; Risstad, Morten; Rogde, Sondre; Rygg, Erlend Stegavik; Vinje, Jacob; Westgaard, Sjur. (2025) Option pricing with deep learning: a long short-term memory approach. Decisions in Economics and Finance (DAF)
    Vitenskapelig artikkel
  • Vinje, Jacob; Rygg, Erlend Stegavik; Wu, Cassandra; Risstad, Morten; Duarte Pimentel, Rita; Westgaard, Sjur. (2025) Merged LSTM-MLP for option valuation. Quantitative finance (Print)
    Vitenskapelig artikkel

2024

  • Gunnarsson, Elias Søvik; Isern, Håkon Ramon; Kaloudis, Aristidis; Risstad, Morten; Vigdel, Benjamin; Westgaard, Sjur. (2024) Prediction of realized volatility and implied volatility indices using AI and machine learning: A review. International Review of Financial Analysis
    Vitenskapelig oversiktsartikkel/review

2023

  • de Lange, Petter Eilif; Risstad, Morten; Semmen, Kristian; Westgaard, Sjur. (2023) Term Premia in Norwegian Interest Rate Swaps. Journal of Risk and Financial Management
    Vitenskapelig artikkel
  • Risstad, Morten; Thodesen, Airin; Thune, Kristian August; Westgaard, Sjur. (2023) On the Exchange Rate Dynamics of the Norwegian Krone. Journal of Risk and Financial Management
    Vitenskapelig artikkel
  • Oust, Are; Westgaard, Sjur; Waage, Jens Erik; Yemane, Nahom Kidane. (2023) Assessing the Explanatory Power of Dwelling Condition in Automated Valuation Models. Journal of Real Estate Research
    Vitenskapelig artikkel

2022

  • Myrland, Caroline Aarvold; De Lange, Petter Eilif; Westgaard, Sjur; Schlingloff, André. (2022) Examining classical capital structure models of debt utilization decisions in Norwegian SME shipping companies. Beta
    Vitenskapelig artikkel
  • De Lange, Petter Eilif; Melsom, Borger Christopher; Vennerød, Christian Bakke; Westgaard, Sjur. (2022) Explainable AI for Credit Assessment in Banks. Journal of Risk and Financial Management
    Vitenskapelig artikkel
  • Mohanty, Sunil K.; Frydenberg, Stein; Osmundsen, Petter; Westgaard, Sjur; Skjøld, Christian Chartcai. (2022) Risk factors in stock returns of U.S. oil and gas companies: evidence from quantile regression analysis. Review of Quantitative Finance and Accounting
    Vitenskapelig artikkel
  • Melsom, Borger Christopher; Vennerød, Christian Bakke; De Lange, Petter Eilif; Hjelkrem, Lars Ole; Westgaard, Sjur. (2022) Explainable artificial intelligence for credit scoring in banking. Journal of Risk
    Vitenskapelig artikkel
  • De Lange, Petter Eilif; Risstad, Morten; Westgaard, Sjur. (2022) Term Premia in Norwegian Government Bond Yields. Beta
    Vitenskapelig artikkel
  • Tran, Vu Le; Westgaard, Sjur; Lavrutich, Maria. (2022) Stock markets during COVID-19. Beta
    Vitenskapelig oversiktsartikkel/review
  • Pimentel, Rita; Risstad, Morten; Westgaard, Sjur. (2022) Predicting interest rate distributions using PCA & quantile regression. Digital Finance
    Vitenskapelig artikkel
  • Schönheit, David; Homann, Lasse Claas Mathis; Möst, Dominik; Westgaard, Sjur. (2022) Measuring the effect of corrective short-term updates for wind energy forecasts on intraday electricity prices. Journal of Energy Markets
    Vitenskapelig artikkel
  • Fiskin, Cemile Solak; Turgut, Ozgu; Westgaard, Sjur; Cerit, A. Güldem. (2022) Time series forecasting of domestic shipping market: Comparison of SARIMAX, ANN-based models and SARIMAX-ANN hybrid model. International Journal of Shipping and Transport Logistics
    Vitenskapelig artikkel
  • De Lange, Petter Eilif; Risstad, Morten; Westgaard, Sjur. (2022) Estimating value-at-risk using quantile regression and implied volatilities. Journal of Risk Model Validation
    Vitenskapelig artikkel

2021

  • Chen, Jilong; Ewald, Christian Oliver; Ouyang, Ruolan; Westgaard, Sjur; Xiao, Xiaoxia. (2021) Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil. Annals of Operations Research
    Vitenskapelig artikkel
  • Mohanty, Sunil K.; Ådland, Roar Os; Westgaard, Sjur; Frydenberg, Stein; Lillienskiold, Hilde; Kristensen, Cecilie. (2021) Modelling Stock Returns and Risk Management in the Shipping Industry. Journal of Risk and Financial Management
    Vitenskapelig artikkel
  • Westgaard, Sjur; Frydenberg, Stein; Mohanty, Sunil K.. (2021) Fourteen large commodity trading disasters: What happened and what can we learn?. Journal of Commodity Markets
    Vitenskapelig oversiktsartikkel/review

2020

  • Sebastião, Helder; Godinho, Pedro; Westgaard, Sjur. (2020) Using Machine Learning to Profit on the Risk Premium of the Nordic Electricity Futures. Scientific Annals of Economics and Business
    Vitenskapelig artikkel
  • Sveinsson, Jørgen Andersen; Frydenberg, Stein; Westgaard, Sjur; Aaløkken, Maurits Mogenssøn. (2020) Performance of value-at-risk averaging in the Nordic power futures market. Journal of Energy Markets
    Vitenskapelig artikkel
  • Westgaard, Sjur; Fleten, Stein-Erik; Negash, Ahlmahz; Botterud, Audun; Bogaard, Katinka; Verling, Trude Haugsvær. (2020) Performing price scenario analysis and stress testing using quantile regression: A case study of the Californian electricity market. Energy
    Vitenskapelig artikkel

2019

  • Westgaard, Sjur; Paraschiv, Florentina; Ekern, Lina Lasessen; Naustdal, Ingrid; Roald, Malene. (2019) Forecasting Price Distributions in the German Electricity Market. Routledge
    Vitenskapelig Kapittel/Artikkel/Konferanseartikkel
  • Westgaard, Sjur; Århus, Gisle Hoel; Frydenberg, Marina; Frydenberg, Stein. (2019) Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk. Journal of Risk Model Validation
    Vitenskapelig artikkel

2018

  • Nguyen, Quynh Trang; Næss, Arvid; Westgaard, Sjur. (2018) VaR Estimation for Crude Oil Data via Different Approaches: Historical Simulations, EVT Model, and ACER Method. Norwegian University of Science and Technology, Department of Mathematical Sciences
    Mastergradsoppgave
  • Henriksen, Tom Erik Sønsteng; Pichler, Alois; Westgaard, Sjur; Frydenberg, Stein. (2018) Can commodities dominate stock and bond portfolios?. Annals of Operations Research
    Vitenskapelig artikkel
  • Schütz, Peter; Westgaard, Sjur. (2018) Optimal hedging strategies for salmon producers. Journal of Commodity Markets
    Vitenskapelig artikkel
  • Haugom, Erik; Hoff, Guttorm Andre; Molnar, Peter; Mortensen, Maria; Westgaard, Sjur. (2018) The Forward Premium in the Nord Pool Power Market. Emerging markets finance & trade
    Vitenskapelig artikkel
  • Negash, Ahlmazh I.; Westgaard, Sjur. (2018) Evaluating Optimal Cost-Effectiveness of Demand Response in Wholesale Markets. IEEE Power & Energy Society General Meeting
    Vitenskapelig oversiktsartikkel/review
  • De Lange, Petter Eilif; Aamo, Per Egil; Westgaard, Sjur. (2018) The Norwegian financial bond market : A comprehensive market review with an empirical analysis of the main drivers of spreads. Beta
    Vitenskapelig artikkel

2017

  • Westgaard, Sjur; Osmundsen, Petter; Stenslet, Lord Olav Daniel; Ringheim, Jo Kogstad. (2017) Modeling superior predictors for crude oil prices. Journal of Energy Markets
    Vitenskapelig artikkel
  • Benth, Fred Espen; Eriksson, Marcus Karl Viren; Westgaard, Sjur. (2017) Optimal management of green certificates in the Swedish-Norwegian market. Journal of Energy Markets
    Vitenskapelig artikkel
  • Frydenberg, Stein; Hrafnkelsson, Kjartan; Bromseth, Vegard Strand; Westgaard, Sjur. (2017) Hedge Fund Strategies and Time-Varying Alphas and Betas. The journal of wealth management
    Vitenskapelig artikkel
  • Westgaard, Sjur; Steen, Marie Gotteberg. (2017) Is Beta Dead for Commodities?. Journal of Investing
    Vitenskapelig artikkel
  • Benth, Fred Espen; Eriksson, Marcus Karl Viren; Westgaard, Sjur. (2017) Stochastic Volatility Modeling of Emission Allowances Futures Prices in the European Union Emission Trading System Market. World Scientific
    Vitenskapelig Kapittel/Artikkel/Konferanseartikkel

2016

  • Hagfors, Lars Ivar; Kamperud, Hilde Hørthe; Paraschiv, Florentina; Prokozcuk, Marcel; Sator, Alma; Westgaard, Sjur. (2016) Prediction of extreme price occurrences in the German day-ahead electricity market. Quantitative finance (Print)
    Vitenskapelig artikkel
  • Tjaaland, Sturla Horpestad; Westgaard, Sjur; Osmundsen, Petter; Frydenberg, Stein. (2016) Oil and Gas Risk Factor Sensitivities for U.S. Energy Companies. Journal of Energy and Development
    Vitenskapelig artikkel
  • Haugom, Erik; Ray, Rina; Ullrich, Carl J.; Veka, Steinar Svartskuren; Westgaard, Sjur. (2016) A parsimonious quantile regression model to forecast day-ahead value-at-risk. Finance Research Letters
    Vitenskapelig artikkel
  • Hagfors, Lars Ivar; Paraschiv, Florentina; Molnar, Peter; Westgaard, Sjur. (2016) Using quantile regression to analyze the effect of renewables on EEX price formation. Renewable Energy and Environmental Sustainability
    Vitenskapelig artikkel
  • Hagfors, Lars Ivar; Bunn, Derek; Kristoffersen, Eline; Staver, Tiril Toftdahl; Westgaard, Sjur. (2016) Modeling the UK electricity price distributions using quantile regression. Energy
    Vitenskapelig artikkel

2015

  • Dahlen, Kai Erik; Solibakke, Per Bjarte; Westgaard, Sjur; Næss, Arvid. (2015) On the Estimation of Extreme Values for Risk Assessment and Management: The ACER Method. International journal of business
    Vitenskapelig artikkel
  • Birkelund, Ole Henrik; Haugom, Erik; Molnar, Peter; Opdal, Martin; Westgaard, Sjur. (2015) A comparison of implied and realized volatility in the Nordic power forward market. Energy Economics
    Vitenskapelig artikkel
  • Huisman, Ronald; Michels, David; Westgaard, Sjur. (2015) HYDRO RESERVOIR LEVELS AND POWER PRICE DYNAMICS: EMPIRICAL INSIGHT ON THE NONLINEAR INFLUENCE OF FUEL AND EMISSION COST ON NORD POOL DAY-AHEAD ELECTRICITY PRICES. Journal of Energy and Development
    Vitenskapelig artikkel
  • Fleten, Stein-Erik; Huisman, Ronald; Kilic, Mehtap; Pennings, Enrico; Westgaard, Sjur. (2015) Electricity futures prices: time-varying sensitivity to fundamentals. Journal of Energy Markets
    Vitenskapelig artikkel
  • Bunn, Derek; Andresen, Arne; Chen, Dipeng; Westgaard, Sjur. (2015) Analysis and Forecasting of Electricity Price Risks with Quantile Factor Models. Energy Journal
    Vitenskapelig artikkel
  • Steen, Marie; Westgaard, Sjur; Gjølberg, Ole. (2015) Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression. Journal of Risk Model Validation
    Vitenskapelig artikkel

2014

  • Haugom, Erik; Langeland, Henrik Søyland; Molnar, Peter; Westgaard, Sjur. (2014) Forecasting volatility of the U.S. oil market. Journal of Banking & Finance
    Vitenskapelig artikkel
  • Frydenberg, Stein; Onochie, Joseph I.; Westgaard, Sjur; Midtsund, Nora; Ueland, Hanna. (2014) Long-term relationships between electricity and oil, gas and coal future prices — evidence from Nordic countries, Continental Europe and the United Kingdom. Opec Energy Review
    Vitenskapelig artikkel
  • Haugom, Erik; Hoff, Guttorm Andre; Mortensen, Maria; Molnar, Peter; Westgaard, Sjur. (2014) The forecasting power of medium-term futures contracts. Journal of Energy Markets
    Vitenskapelig artikkel
  • Haugom, Erik; Veka, Steinar Svartskuren; Lien, Gudbrand; Westgaard, Sjur. (2014) Estimating and evaluating Value-at-Risk forecasts based on realized variance: empirical evidence from ICE Brent Crude oil futures. Opec Energy Review
    Vitenskapelig artikkel
  • Haugom, Erik; Lien, Gudbrand; Veka, Steinar Svartskuren; Westgaard, Sjur. (2014) Covariance estimation using high-frequency data: Sensitivities of estimation methods. Economic Modelling
    Vitenskapelig artikkel
  • Westgaard, Sjur; Veka, Steinar Svartskuren; Haugom, Erik; Lien, Gudbrand. (2014) A note on the risk characteristics of european energy futures markets :. Beta
    Vitenskapelig artikkel
  • Westgaard, Sjur. (2014) Energy Spread Modeling Using Copulas . Palgrave Macmillan
    Vitenskapelig Kapittel/Artikkel/Konferanseartikkel

2013

  • Frydenberg, Stein; Reiakvam, Oddvar Hallset; Thyness, Stian Borgen; Westgaard, Sjur. (2013) Hedge Funds—Risk Exposure in Different Quantiles and Market Sentiments. Journal of Investing
    Vitenskapelig artikkel
  • Arvesen, Øystein; Medbø, Vegard Gjelsvik; Fleten, Stein-Erik; Tomasgard, Asgeir; Westgaard, Sjur. (2013) Linepack storage valuation under price uncertainty. Energy
    Vitenskapelig artikkel

2012

  • Berg, Terje; Westgaard, Sjur. (2012) Risk reporting to the board of directors: comparison of norwegian power companies and banks. Journal of Energy Markets
    Vitenskapelig artikkel
  • Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur; Higgs, Helen. (2012) Time-varying dependency in European energy markets: an analysis of Nord Pool, European Energy Exchange and Intercontinental Exchange energy commodities. Journal of Energy Markets
    Vitenskapelig artikkel
  • Lien, Gudbrand; Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte. (2012) Covariance estimation using high-frequency data : an analysis of Nord Pool electricity forward data. Journal of Energy and Power Engineering
    Vitenskapelig artikkel
  • Westgaard, Sjur. (2012) Decision Support Modeling in Energy Markets: Part 2 : LETTER FROM THE GUEST EDITOR. Journal of Energy Markets
    Leder
  • Westgaard, Sjur. (2012) Decision Support Modeling in Energy Markets: Part 1 : LETTER FROM THE GUEST EDITOR. Journal of Energy Markets
    Leder

2011

  • Westgaard, Sjur; Estenstad, Maria; Seim, Maria Anglevik; Frydenberg, Stein. (2011) Co-integration of ICE Gas oil and Crude oil futures. Energy Economics
    Vitenskapelig artikkel
  • Jokic, Aleksander Vang; Westgaard, Sjur. (2011) Volatilitetssmilet for europeiske opsjoner RCL ved to ulike prosesser for aksjeprisen. Institutt for samfunnsøkonomi
    Mastergradsoppgave
  • Nitteberg, Morten Bergendahl; Westgaard, Sjur. (2011) Implied Risk-Neutral Densities. An application to the WTI Crude Oil market. Institutt for samfunnsøkonomi
    Mastergradsoppgave
  • Øverås, Roar; Westgaard, Sjur. (2011) Variance Risk Premiums on the S&P500, Nasdaq 100, Euro Stoxx 50, FTSE 100, SMI, DAX and the United States Oil Fund. Institutt for samfunnsøkonomi
    Mastergradsoppgave
  • Sandvik, Sjur Hordvik; Frydenberg, Stein; Westgaard, Sjur; Heitmann, Rolv Kristian. (2011) Hedge Fund Performance in Bull and Bear Markets: Alpha Creation and Risk Exposure. Journal of Investing
    Vitenskapelig artikkel
  • Westgaard, Sjur; Frydenberg, Stein. (2011) Hedgefond - avkastning og risiko 1992-2011. Praktisk økonomi & finans
    Vitenskapelig artikkel
  • Solibakke, Per Bjarte; Westgaard, Sjur; Lien, Gudbrand. (2011) Carbon stochastic volatility model estimation and inference : forecasting (un-)conditional moments. Economics & Finance Review
    Vitenskapelig artikkel
  • Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte; Lien, Gudbrand. (2011) Realized volatility and the influence of market measures on predictability : an analysis of Nord Pool forward electricity data. Energy Economics
    Vitenskapelig artikkel
  • Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte; Lien, Gudbrand. (2011) Modelling day-ahead Nord Pool forward-price volatility: realized rolatility versus GARCH models. International Research Journal of Finance and Economics
    Vitenskapelig artikkel

2010

  • Myklebust, Jogeir Stave; Tomasgard, Asgeir; Westgaard, Sjur. (2010) Forecasting gas component prices with multivariate structural time series models. Opec Energy Review
    Vitenskapelig artikkel
  • Andresen, Arne; Koekebakker, Steen; Westgaard, Sjur. (2010) Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution. Journal of Energy Markets
    Vitenskapelig artikkel
  • Becker, Denis Mike; Fleten, Stein-Erik; Westgaard, Sjur. (2010) Quantitative Models for Planning and Management of ICT Services under Uncertainty. Doktoravhandlinger ved NTNU (261)
    Doktorgradsavhandling
  • Haug, Espen Gaarder; Frydenberg, Stein; Westgaard, Sjur. (2010) Distribution and Statistical Behavior of Implied Volatility. Business Valuation Review
    Vitenskapelig artikkel

2008

  • Helbæk, Morten; Westgaard, Sjur. (2008) Statistikk : kort og godt. Universitetsforlaget Universitetsforlaget
    Lærebok
  • Westgaard, Sjur; Faria, Eduardo; Fleten, Stein-Erik. (2008) Price dynamics of natural gas components: Empirical evidence. Journal of Energy Markets
    Vitenskapelig artikkel
  • Westgaard, Sjur; Eidet, Amund; Frydenberg, Stein; Grosås, Thor Christian. (2008) Investigating the Capital Structure of UK Real Estate Companies. Journal of Property Research
    Vitenskapelig artikkel
  • Talberg, Magnus; Winge, Christian; Frydenberg, Stein; Westgaard, Sjur. (2008) Capital Structure Across Industries. International Journal of the Economics of Business
    Vitenskapelig artikkel
  • Westgaard, Sjur; Faria, Eduardo; Fleten, Stein-Erik. (2008) Price dynamics of natural gas components: empirical evidence. Journal of Energy Markets
    Vitenskapelig artikkel
  • Frydenberg, Stein; Lindset, Snorre; Westgaard, Sjur. (2008) Hedge Fund Return Statistics 1994-2005. Journal of Investing
    Vitenskapelig artikkel

2007

  • Helbæk, Morten; Westgaard, Sjur. (2007) Statistikk- Kort og godt. Universitetsforlaget Universitetsforlaget
    Lærebok

2006

  • Frydenberg, Stein; Westgaard, Sjur; Grøneng, Magnus Slåttekjær; Nygård, Geir Ø.. (2006) Hedgefonds - Sett med et norsk perspektiv. Beta
    Vitenskapelig artikkel

2005

  • Westgaard, Sjur. (2005) What can modern statistical and mathematical techniques add to the analysis and prediction of bankruptcy?. Beta
    Vitenskapelig artikkel

2003

  • Hol, Suzan; Westgaard, Sjur; Wijst, Dominicus van der. (2003) Firm Financial Structure and Bankruptcy Prediction: Numerical Simulations. Working Paper Series for Department of Industrial Economics, NTNU (6)
    Rapport
  • Hol, Suzan; Westgaard, Sjur; Wijst, Dominicus van der. (2003) Firm Financial Structure and Bankruptcy Prediction: Theoretical Derivations. Working Paper Series for Department of Industrial Economics, NTNU (5)
    Rapport
  • Hol, Suzan; Westgaard, Sjur; Wijst, Dominicus van der. (2003) Firm Financial Structure and Bankruptcy Prediction: Empirical Tests. Working Paper Series of Department of Industrial Economics, NTNU (7)
    Rapport

2001

  • Westgaard, Sjur; Wijst, Dominicus van der. (2001) Default Probabilities in a corporate bank portfolio: A logistic model approach. European Journal of Operational Research
    Vitenskapelig artikkel

1998

  • Westgaard, Sjur. (1998) Styring av markedsrisiko i finansielle organisasjoner. Magma forskning og viten
    Vitenskapelig artikkel

1997

  • Westgaard, Sjur. (1997) Kapitalforvaltning i et livselskap. Praktisk økonomi og ledelse
    Vitenskapelig artikkel

Tidsskriftspublikasjoner

  • Duarte Pimentel, Rita; Risstad, Morten; Rogde, Sondre; Rygg, Erlend Stegavik; Vinje, Jacob; Westgaard, Sjur. (2025) Option pricing with deep learning: a long short-term memory approach. Decisions in Economics and Finance (DAF)
    Vitenskapelig artikkel
  • Vinje, Jacob; Rygg, Erlend Stegavik; Wu, Cassandra; Risstad, Morten; Duarte Pimentel, Rita; Westgaard, Sjur. (2025) Merged LSTM-MLP for option valuation. Quantitative finance (Print)
    Vitenskapelig artikkel
  • Gunnarsson, Elias Søvik; Isern, Håkon Ramon; Kaloudis, Aristidis; Risstad, Morten; Vigdel, Benjamin; Westgaard, Sjur. (2024) Prediction of realized volatility and implied volatility indices using AI and machine learning: A review. International Review of Financial Analysis
    Vitenskapelig oversiktsartikkel/review
  • de Lange, Petter Eilif; Risstad, Morten; Semmen, Kristian; Westgaard, Sjur. (2023) Term Premia in Norwegian Interest Rate Swaps. Journal of Risk and Financial Management
    Vitenskapelig artikkel
  • Risstad, Morten; Thodesen, Airin; Thune, Kristian August; Westgaard, Sjur. (2023) On the Exchange Rate Dynamics of the Norwegian Krone. Journal of Risk and Financial Management
    Vitenskapelig artikkel
  • Oust, Are; Westgaard, Sjur; Waage, Jens Erik; Yemane, Nahom Kidane. (2023) Assessing the Explanatory Power of Dwelling Condition in Automated Valuation Models. Journal of Real Estate Research
    Vitenskapelig artikkel
  • Myrland, Caroline Aarvold; De Lange, Petter Eilif; Westgaard, Sjur; Schlingloff, André. (2022) Examining classical capital structure models of debt utilization decisions in Norwegian SME shipping companies. Beta
    Vitenskapelig artikkel
  • De Lange, Petter Eilif; Melsom, Borger Christopher; Vennerød, Christian Bakke; Westgaard, Sjur. (2022) Explainable AI for Credit Assessment in Banks. Journal of Risk and Financial Management
    Vitenskapelig artikkel
  • Mohanty, Sunil K.; Frydenberg, Stein; Osmundsen, Petter; Westgaard, Sjur; Skjøld, Christian Chartcai. (2022) Risk factors in stock returns of U.S. oil and gas companies: evidence from quantile regression analysis. Review of Quantitative Finance and Accounting
    Vitenskapelig artikkel
  • Melsom, Borger Christopher; Vennerød, Christian Bakke; De Lange, Petter Eilif; Hjelkrem, Lars Ole; Westgaard, Sjur. (2022) Explainable artificial intelligence for credit scoring in banking. Journal of Risk
    Vitenskapelig artikkel
  • De Lange, Petter Eilif; Risstad, Morten; Westgaard, Sjur. (2022) Term Premia in Norwegian Government Bond Yields. Beta
    Vitenskapelig artikkel
  • Tran, Vu Le; Westgaard, Sjur; Lavrutich, Maria. (2022) Stock markets during COVID-19. Beta
    Vitenskapelig oversiktsartikkel/review
  • Pimentel, Rita; Risstad, Morten; Westgaard, Sjur. (2022) Predicting interest rate distributions using PCA & quantile regression. Digital Finance
    Vitenskapelig artikkel
  • Schönheit, David; Homann, Lasse Claas Mathis; Möst, Dominik; Westgaard, Sjur. (2022) Measuring the effect of corrective short-term updates for wind energy forecasts on intraday electricity prices. Journal of Energy Markets
    Vitenskapelig artikkel
  • Fiskin, Cemile Solak; Turgut, Ozgu; Westgaard, Sjur; Cerit, A. Güldem. (2022) Time series forecasting of domestic shipping market: Comparison of SARIMAX, ANN-based models and SARIMAX-ANN hybrid model. International Journal of Shipping and Transport Logistics
    Vitenskapelig artikkel
  • De Lange, Petter Eilif; Risstad, Morten; Westgaard, Sjur. (2022) Estimating value-at-risk using quantile regression and implied volatilities. Journal of Risk Model Validation
    Vitenskapelig artikkel
  • Chen, Jilong; Ewald, Christian Oliver; Ouyang, Ruolan; Westgaard, Sjur; Xiao, Xiaoxia. (2021) Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil. Annals of Operations Research
    Vitenskapelig artikkel
  • Mohanty, Sunil K.; Ådland, Roar Os; Westgaard, Sjur; Frydenberg, Stein; Lillienskiold, Hilde; Kristensen, Cecilie. (2021) Modelling Stock Returns and Risk Management in the Shipping Industry. Journal of Risk and Financial Management
    Vitenskapelig artikkel
  • Westgaard, Sjur; Frydenberg, Stein; Mohanty, Sunil K.. (2021) Fourteen large commodity trading disasters: What happened and what can we learn?. Journal of Commodity Markets
    Vitenskapelig oversiktsartikkel/review
  • Sebastião, Helder; Godinho, Pedro; Westgaard, Sjur. (2020) Using Machine Learning to Profit on the Risk Premium of the Nordic Electricity Futures. Scientific Annals of Economics and Business
    Vitenskapelig artikkel
  • Sveinsson, Jørgen Andersen; Frydenberg, Stein; Westgaard, Sjur; Aaløkken, Maurits Mogenssøn. (2020) Performance of value-at-risk averaging in the Nordic power futures market. Journal of Energy Markets
    Vitenskapelig artikkel
  • Westgaard, Sjur; Fleten, Stein-Erik; Negash, Ahlmahz; Botterud, Audun; Bogaard, Katinka; Verling, Trude Haugsvær. (2020) Performing price scenario analysis and stress testing using quantile regression: A case study of the Californian electricity market. Energy
    Vitenskapelig artikkel
  • Westgaard, Sjur; Århus, Gisle Hoel; Frydenberg, Marina; Frydenberg, Stein. (2019) Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk. Journal of Risk Model Validation
    Vitenskapelig artikkel
  • Henriksen, Tom Erik Sønsteng; Pichler, Alois; Westgaard, Sjur; Frydenberg, Stein. (2018) Can commodities dominate stock and bond portfolios?. Annals of Operations Research
    Vitenskapelig artikkel
  • Schütz, Peter; Westgaard, Sjur. (2018) Optimal hedging strategies for salmon producers. Journal of Commodity Markets
    Vitenskapelig artikkel
  • Haugom, Erik; Hoff, Guttorm Andre; Molnar, Peter; Mortensen, Maria; Westgaard, Sjur. (2018) The Forward Premium in the Nord Pool Power Market. Emerging markets finance & trade
    Vitenskapelig artikkel
  • Negash, Ahlmazh I.; Westgaard, Sjur. (2018) Evaluating Optimal Cost-Effectiveness of Demand Response in Wholesale Markets. IEEE Power & Energy Society General Meeting
    Vitenskapelig oversiktsartikkel/review
  • De Lange, Petter Eilif; Aamo, Per Egil; Westgaard, Sjur. (2018) The Norwegian financial bond market : A comprehensive market review with an empirical analysis of the main drivers of spreads. Beta
    Vitenskapelig artikkel
  • Westgaard, Sjur; Osmundsen, Petter; Stenslet, Lord Olav Daniel; Ringheim, Jo Kogstad. (2017) Modeling superior predictors for crude oil prices. Journal of Energy Markets
    Vitenskapelig artikkel
  • Benth, Fred Espen; Eriksson, Marcus Karl Viren; Westgaard, Sjur. (2017) Optimal management of green certificates in the Swedish-Norwegian market. Journal of Energy Markets
    Vitenskapelig artikkel
  • Frydenberg, Stein; Hrafnkelsson, Kjartan; Bromseth, Vegard Strand; Westgaard, Sjur. (2017) Hedge Fund Strategies and Time-Varying Alphas and Betas. The journal of wealth management
    Vitenskapelig artikkel
  • Westgaard, Sjur; Steen, Marie Gotteberg. (2017) Is Beta Dead for Commodities?. Journal of Investing
    Vitenskapelig artikkel
  • Hagfors, Lars Ivar; Kamperud, Hilde Hørthe; Paraschiv, Florentina; Prokozcuk, Marcel; Sator, Alma; Westgaard, Sjur. (2016) Prediction of extreme price occurrences in the German day-ahead electricity market. Quantitative finance (Print)
    Vitenskapelig artikkel
  • Tjaaland, Sturla Horpestad; Westgaard, Sjur; Osmundsen, Petter; Frydenberg, Stein. (2016) Oil and Gas Risk Factor Sensitivities for U.S. Energy Companies. Journal of Energy and Development
    Vitenskapelig artikkel
  • Haugom, Erik; Ray, Rina; Ullrich, Carl J.; Veka, Steinar Svartskuren; Westgaard, Sjur. (2016) A parsimonious quantile regression model to forecast day-ahead value-at-risk. Finance Research Letters
    Vitenskapelig artikkel
  • Hagfors, Lars Ivar; Paraschiv, Florentina; Molnar, Peter; Westgaard, Sjur. (2016) Using quantile regression to analyze the effect of renewables on EEX price formation. Renewable Energy and Environmental Sustainability
    Vitenskapelig artikkel
  • Hagfors, Lars Ivar; Bunn, Derek; Kristoffersen, Eline; Staver, Tiril Toftdahl; Westgaard, Sjur. (2016) Modeling the UK electricity price distributions using quantile regression. Energy
    Vitenskapelig artikkel
  • Dahlen, Kai Erik; Solibakke, Per Bjarte; Westgaard, Sjur; Næss, Arvid. (2015) On the Estimation of Extreme Values for Risk Assessment and Management: The ACER Method. International journal of business
    Vitenskapelig artikkel
  • Birkelund, Ole Henrik; Haugom, Erik; Molnar, Peter; Opdal, Martin; Westgaard, Sjur. (2015) A comparison of implied and realized volatility in the Nordic power forward market. Energy Economics
    Vitenskapelig artikkel
  • Huisman, Ronald; Michels, David; Westgaard, Sjur. (2015) HYDRO RESERVOIR LEVELS AND POWER PRICE DYNAMICS: EMPIRICAL INSIGHT ON THE NONLINEAR INFLUENCE OF FUEL AND EMISSION COST ON NORD POOL DAY-AHEAD ELECTRICITY PRICES. Journal of Energy and Development
    Vitenskapelig artikkel
  • Fleten, Stein-Erik; Huisman, Ronald; Kilic, Mehtap; Pennings, Enrico; Westgaard, Sjur. (2015) Electricity futures prices: time-varying sensitivity to fundamentals. Journal of Energy Markets
    Vitenskapelig artikkel
  • Bunn, Derek; Andresen, Arne; Chen, Dipeng; Westgaard, Sjur. (2015) Analysis and Forecasting of Electricity Price Risks with Quantile Factor Models. Energy Journal
    Vitenskapelig artikkel
  • Steen, Marie; Westgaard, Sjur; Gjølberg, Ole. (2015) Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression. Journal of Risk Model Validation
    Vitenskapelig artikkel
  • Haugom, Erik; Langeland, Henrik Søyland; Molnar, Peter; Westgaard, Sjur. (2014) Forecasting volatility of the U.S. oil market. Journal of Banking & Finance
    Vitenskapelig artikkel
  • Frydenberg, Stein; Onochie, Joseph I.; Westgaard, Sjur; Midtsund, Nora; Ueland, Hanna. (2014) Long-term relationships between electricity and oil, gas and coal future prices — evidence from Nordic countries, Continental Europe and the United Kingdom. Opec Energy Review
    Vitenskapelig artikkel
  • Haugom, Erik; Hoff, Guttorm Andre; Mortensen, Maria; Molnar, Peter; Westgaard, Sjur. (2014) The forecasting power of medium-term futures contracts. Journal of Energy Markets
    Vitenskapelig artikkel
  • Haugom, Erik; Veka, Steinar Svartskuren; Lien, Gudbrand; Westgaard, Sjur. (2014) Estimating and evaluating Value-at-Risk forecasts based on realized variance: empirical evidence from ICE Brent Crude oil futures. Opec Energy Review
    Vitenskapelig artikkel
  • Haugom, Erik; Lien, Gudbrand; Veka, Steinar Svartskuren; Westgaard, Sjur. (2014) Covariance estimation using high-frequency data: Sensitivities of estimation methods. Economic Modelling
    Vitenskapelig artikkel
  • Westgaard, Sjur; Veka, Steinar Svartskuren; Haugom, Erik; Lien, Gudbrand. (2014) A note on the risk characteristics of european energy futures markets :. Beta
    Vitenskapelig artikkel
  • Frydenberg, Stein; Reiakvam, Oddvar Hallset; Thyness, Stian Borgen; Westgaard, Sjur. (2013) Hedge Funds—Risk Exposure in Different Quantiles and Market Sentiments. Journal of Investing
    Vitenskapelig artikkel
  • Arvesen, Øystein; Medbø, Vegard Gjelsvik; Fleten, Stein-Erik; Tomasgard, Asgeir; Westgaard, Sjur. (2013) Linepack storage valuation under price uncertainty. Energy
    Vitenskapelig artikkel
  • Berg, Terje; Westgaard, Sjur. (2012) Risk reporting to the board of directors: comparison of norwegian power companies and banks. Journal of Energy Markets
    Vitenskapelig artikkel
  • Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur; Higgs, Helen. (2012) Time-varying dependency in European energy markets: an analysis of Nord Pool, European Energy Exchange and Intercontinental Exchange energy commodities. Journal of Energy Markets
    Vitenskapelig artikkel
  • Lien, Gudbrand; Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte. (2012) Covariance estimation using high-frequency data : an analysis of Nord Pool electricity forward data. Journal of Energy and Power Engineering
    Vitenskapelig artikkel
  • Westgaard, Sjur. (2012) Decision Support Modeling in Energy Markets: Part 2 : LETTER FROM THE GUEST EDITOR. Journal of Energy Markets
    Leder
  • Westgaard, Sjur. (2012) Decision Support Modeling in Energy Markets: Part 1 : LETTER FROM THE GUEST EDITOR. Journal of Energy Markets
    Leder
  • Westgaard, Sjur; Estenstad, Maria; Seim, Maria Anglevik; Frydenberg, Stein. (2011) Co-integration of ICE Gas oil and Crude oil futures. Energy Economics
    Vitenskapelig artikkel
  • Sandvik, Sjur Hordvik; Frydenberg, Stein; Westgaard, Sjur; Heitmann, Rolv Kristian. (2011) Hedge Fund Performance in Bull and Bear Markets: Alpha Creation and Risk Exposure. Journal of Investing
    Vitenskapelig artikkel
  • Westgaard, Sjur; Frydenberg, Stein. (2011) Hedgefond - avkastning og risiko 1992-2011. Praktisk økonomi & finans
    Vitenskapelig artikkel
  • Solibakke, Per Bjarte; Westgaard, Sjur; Lien, Gudbrand. (2011) Carbon stochastic volatility model estimation and inference : forecasting (un-)conditional moments. Economics & Finance Review
    Vitenskapelig artikkel
  • Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte; Lien, Gudbrand. (2011) Realized volatility and the influence of market measures on predictability : an analysis of Nord Pool forward electricity data. Energy Economics
    Vitenskapelig artikkel
  • Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte; Lien, Gudbrand. (2011) Modelling day-ahead Nord Pool forward-price volatility: realized rolatility versus GARCH models. International Research Journal of Finance and Economics
    Vitenskapelig artikkel
  • Myklebust, Jogeir Stave; Tomasgard, Asgeir; Westgaard, Sjur. (2010) Forecasting gas component prices with multivariate structural time series models. Opec Energy Review
    Vitenskapelig artikkel
  • Andresen, Arne; Koekebakker, Steen; Westgaard, Sjur. (2010) Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution. Journal of Energy Markets
    Vitenskapelig artikkel
  • Haug, Espen Gaarder; Frydenberg, Stein; Westgaard, Sjur. (2010) Distribution and Statistical Behavior of Implied Volatility. Business Valuation Review
    Vitenskapelig artikkel
  • Westgaard, Sjur; Faria, Eduardo; Fleten, Stein-Erik. (2008) Price dynamics of natural gas components: Empirical evidence. Journal of Energy Markets
    Vitenskapelig artikkel
  • Westgaard, Sjur; Eidet, Amund; Frydenberg, Stein; Grosås, Thor Christian. (2008) Investigating the Capital Structure of UK Real Estate Companies. Journal of Property Research
    Vitenskapelig artikkel
  • Talberg, Magnus; Winge, Christian; Frydenberg, Stein; Westgaard, Sjur. (2008) Capital Structure Across Industries. International Journal of the Economics of Business
    Vitenskapelig artikkel
  • Westgaard, Sjur; Faria, Eduardo; Fleten, Stein-Erik. (2008) Price dynamics of natural gas components: empirical evidence. Journal of Energy Markets
    Vitenskapelig artikkel
  • Frydenberg, Stein; Lindset, Snorre; Westgaard, Sjur. (2008) Hedge Fund Return Statistics 1994-2005. Journal of Investing
    Vitenskapelig artikkel
  • Frydenberg, Stein; Westgaard, Sjur; Grøneng, Magnus Slåttekjær; Nygård, Geir Ø.. (2006) Hedgefonds - Sett med et norsk perspektiv. Beta
    Vitenskapelig artikkel
  • Westgaard, Sjur. (2005) What can modern statistical and mathematical techniques add to the analysis and prediction of bankruptcy?. Beta
    Vitenskapelig artikkel
  • Westgaard, Sjur; Wijst, Dominicus van der. (2001) Default Probabilities in a corporate bank portfolio: A logistic model approach. European Journal of Operational Research
    Vitenskapelig artikkel
  • Westgaard, Sjur. (1998) Styring av markedsrisiko i finansielle organisasjoner. Magma forskning og viten
    Vitenskapelig artikkel
  • Westgaard, Sjur. (1997) Kapitalforvaltning i et livselskap. Praktisk økonomi og ledelse
    Vitenskapelig artikkel

Bøker

  • Helbæk, Morten; Westgaard, Sjur. (2008) Statistikk : kort og godt. Universitetsforlaget Universitetsforlaget
    Lærebok
  • Helbæk, Morten; Westgaard, Sjur. (2007) Statistikk- Kort og godt. Universitetsforlaget Universitetsforlaget
    Lærebok

Del av bok/rapport

  • Westgaard, Sjur; Paraschiv, Florentina; Ekern, Lina Lasessen; Naustdal, Ingrid; Roald, Malene. (2019) Forecasting Price Distributions in the German Electricity Market. Routledge
    Vitenskapelig Kapittel/Artikkel/Konferanseartikkel
  • Benth, Fred Espen; Eriksson, Marcus Karl Viren; Westgaard, Sjur. (2017) Stochastic Volatility Modeling of Emission Allowances Futures Prices in the European Union Emission Trading System Market. World Scientific
    Vitenskapelig Kapittel/Artikkel/Konferanseartikkel
  • Westgaard, Sjur. (2014) Energy Spread Modeling Using Copulas . Palgrave Macmillan
    Vitenskapelig Kapittel/Artikkel/Konferanseartikkel

Rapport

  • Nguyen, Quynh Trang; Næss, Arvid; Westgaard, Sjur. (2018) VaR Estimation for Crude Oil Data via Different Approaches: Historical Simulations, EVT Model, and ACER Method. Norwegian University of Science and Technology, Department of Mathematical Sciences
    Mastergradsoppgave
  • Jokic, Aleksander Vang; Westgaard, Sjur. (2011) Volatilitetssmilet for europeiske opsjoner RCL ved to ulike prosesser for aksjeprisen. Institutt for samfunnsøkonomi
    Mastergradsoppgave
  • Nitteberg, Morten Bergendahl; Westgaard, Sjur. (2011) Implied Risk-Neutral Densities. An application to the WTI Crude Oil market. Institutt for samfunnsøkonomi
    Mastergradsoppgave
  • Øverås, Roar; Westgaard, Sjur. (2011) Variance Risk Premiums on the S&P500, Nasdaq 100, Euro Stoxx 50, FTSE 100, SMI, DAX and the United States Oil Fund. Institutt for samfunnsøkonomi
    Mastergradsoppgave
  • Becker, Denis Mike; Fleten, Stein-Erik; Westgaard, Sjur. (2010) Quantitative Models for Planning and Management of ICT Services under Uncertainty. Doktoravhandlinger ved NTNU (261)
    Doktorgradsavhandling
  • Hol, Suzan; Westgaard, Sjur; Wijst, Dominicus van der. (2003) Firm Financial Structure and Bankruptcy Prediction: Numerical Simulations. Working Paper Series for Department of Industrial Economics, NTNU (6)
    Rapport
  • Hol, Suzan; Westgaard, Sjur; Wijst, Dominicus van der. (2003) Firm Financial Structure and Bankruptcy Prediction: Theoretical Derivations. Working Paper Series for Department of Industrial Economics, NTNU (5)
    Rapport
  • Hol, Suzan; Westgaard, Sjur; Wijst, Dominicus van der. (2003) Firm Financial Structure and Bankruptcy Prediction: Empirical Tests. Working Paper Series of Department of Industrial Economics, NTNU (7)
    Rapport

Undervisning

Emner

  • TIØ4317 - Empiriske og kvantitative metoder i finans
  • IØ8304 - Prognosemodeller i økonomi og finans
  • TIØ4900 - Investering, finans, økonomistyring, masteroppgave
  • TIØ4550 - Investering, finans og økonomistyring, fordypningsprosjekt
  • IØ8816 - Maskinlæring og numeriske teknikker i finansiell økonometri
  • TIØ4146 - Finans for teknisk-naturvitenskapelige studenter
  • IØ6502 - Økonomistyring for beslutningstakere
  • TIØ4557 - Investering, finans og økonomistyring fordypningsemne
  • IDS4001 - Industrielle markeder og prognoser

Formidling

2024

  • Vitenskapelig foredrag
    Frydenberg, Stein; Westgaard, Sjur; Nautnes, Hans; Nordjordet, Ingrid; Mohanty, Sunil K.. (2024) Estimating Risk Exposures of U.S Oil and Gas companies: A Regime Switching Approach. NTNU Business School NTNU Business School Conference 2024 , Trondheim 2024-10-23 - 2024-10-24
  • Vitenskapelig foredrag
    Frydenberg, Stein; Hagen, Daniel; Westgaard, Sjur; Aas, Ola. (2024) The introduction of the NordLink and changes of the impact of fundamental variables on electricity prices in South Norway (NO2) and Germany (EPEX)?. PhD Workshop in Banking and Finance , Trondheim 2024-05-28 -

2020

  • Vitenskapelig foredrag
    Frydenberg, Stein; Mohanty, Sunil; Westgaard, Sjur; Ådland, Roar Os; Ekrem, Hilde; Kristensen, Cecilie. (2020) Modelling Shipping Stock Returns and Risk Management: A Quantile Regression Value at Risk Approach. NTNU Business School Conference 2020-10-14 - 2020-10-15

2019

  • Vitenskapelig foredrag
    Schütz, Peter; Westgaard, Sjur. (2019) Optimal Hedging Strategies for Salmon Producers. Technische Universität Berlin 6th International Conference on Continuous Optimization , Berlin 2019-08-05 - 2019-08-08
  • Vitenskapelig foredrag
    Frydenberg, Stein; Westgaard, Sjur; Mohanty, S.; Ådland, Roar Os; Ekrem, Hilde; Kristensen, Cecilie. (2019) Modelling Shipping Stocks Return. Sjur westgaard, Petter de Lange, Stein Frydenberg Workshop on Banking and Finance Trondheim NTNU 20th and 21th May 2019 , NTNU Trondheim 2019-05-20 - 2019-05-21

2018

  • Vitenskapelig foredrag
    Schütz, Peter; Westgaard, Sjur. (2018) Optimal Hedging for Salmon Producers. XV Conference on Computational Management Science (CMS 2018) , Trondheim 2018-05-29 - 2018-05-31

2017

  • Vitenskapelig foredrag
    Frydenberg, Stein; Westgaard, Sjur; Mohanty, Sunil; Ådland, Roar Os; Ekrem, Hilde; Kristensen, Cecilie. (2017) Modelling shipping stock returns: A quantile regression approach . 2017 Commodity Markets Winter Workshop , Lillehammer 2017-03-01 - 2017-03-03
  • Vitenskapelig foredrag
    Schütz, Peter; Westgaard, Sjur. (2017) Optimal hedging strategies for salmon producers. Commodity and Energy Markets Association Commodity and Energy Markets 2017 , Oxford 2017-06-14 - 2017-06-15

2015

  • Vitenskapelig foredrag
    Hagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek; Toftdahl Staver, Tiril; Kristoffersen, Eline. (2015) Modelling the UK Electricity Market using Quantile Regression. CASS Business School Energy Finance Conference 2015 , London 2015-09-09 - 2015-09-11
  • Vitenskapelig foredrag
    Hagfors, Lars Ivar; Westgaard, Sjur; Paraschiv, Florentina. (2015) Using Quantile Regression to Analyze the Effect of Renewableson EEX Price Formation. NTNU RISKY-RES Workshop , Trondheim 2015-10-24 - 2015-10-25
  • Vitenskapelig foredrag
    Hagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek; Kristoffersen, Eline; Toftdahl Staver, Tiril. (2015) Modelling the UK Electricity Market using Quantile Regression. Orthodoxos Akadimia Kritis Crete, Greece 2nd International Conference on "Energy, Sustainability and Climate Change" , Crete 2015-06-21 - 2015-06-27
  • Vitenskapelig foredrag
    Hagfors, Lars Ivar; Westgaard, Sjur; Paraschiv, Florentina. (2015) Using quantile regression to analyze the effect of renewables on EEX price formation. Univerisy Politechnica of Bucharest, Romania World Renewable Energy Congress XIV , Bucharest 2015-06-08 - 2015-06-12
  • Vitenskapelig foredrag
    Steen, Marie; Westgaard, Sjur; Gjølberg, Ole. (2015) Commodity Value-at-Risk modeling: Comparing RiskMetricsTM, historic simulation and quantile regression. Norges Handelshøyskole FIBE, NHH Bergen , Bergen 2015-01-08 - 2015-01-09
  • Vitenskapelig foredrag
    Hagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek. (2015) Modelling the UK Electricity Market using Quantile Regression. RISKY-RES RISKY-RES project workshop , Trondheim 2015-01-15 - 2015-01-16
  • Vitenskapelig foredrag
    Hagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek. (2015) Modelling the UK Electricity Price Distributions using Quantile Regression. Journal of Commodity Markets Commodity Market Workshop 2015 , Oslo 2015-05-20 - 2015-05-21

2014

  • Intervju
    Westgaard, Sjur; Kringhaug, Glenn. (2014) ... men ingeniørene haler innpå. Finansavisen Finansavisen [Avis] 2014-08-04
  • Vitenskapelig foredrag
    Hagfors, Lars Ivar; Westgaard, Sjur. (2014) Modelling the UK Electricity Market using Quantile Regression. Handelshøyskolen i Trondheim 7th International Accounting and Finance Doctoral Symposium 2014 , Trondheim 2014-06-16 - 2014-06-18

2013

  • Vitenskapelig foredrag
    Haugom, Erik; Ray, Rina; Ullrich, Carl J.; Veka, Steinar; Westgaard, Sjur. (2013) A simple quantile regression model to forecast Value-at-Risk. Energy Economics and Finance Seminar 2013-05-24 - 2013-05-25

2012

  • Poster
    Berg, Terje; Westgaard, Sjur. (2012) Risk Reporting to the Board of Directors – Comparison of Norwegian Power Companies and Banks. American Accounting Association American Accounting Association Midyear Meeting , Houston, Texas 2012-01-06 - 2012-01-07
  • Vitenskapelig foredrag
    Berg, Terje; Westgaard, Sjur; Frydenberg, Stein. (2012) Risk-adjusted Stock Returns and Accounting Based Performance Measures – Evidence from US listed Electric Utilities 2001 – 2010. Molde University College Workshop on Energy Economics and Management , Molde 2012-05-21 - 2012-05-22
  • Vitenskapelig foredrag
    Haugom, Erik; Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur. (2012) Evaluating the effect of intra-daily sampling frequency on Value-at-Risk predictions: Empirical evidence from high-frequency ICE oil futures. Energy & Finance Conference 2012 , Trondheim 2012-10-04 - 2012-10-05
  • Vitenskapelig foredrag
    Haugom, Erik; Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur. (2012) Evaluating the effect of intra-daily sampling frequency on Value-at-Risk predictions: Empirical evidence from high-frequency ICE oil futures. ElCarbonRisk Seminar , Molde 2012-05-20 - 2012-05-21
  • Vitenskapelig foredrag
    Haugom, Erik; Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur. (2012) Evaluating the effect of intra-daily sampling frequency on Value-at-Risk predictions: Empirical evidence from high-frequency ICE oil futures. PhD-course ‘New Directions in Quantitative Finance Research’ , Høgskolen i Lillehammer 2012-08-20 - 2012-08-24

2011

  • Vitenskapelig foredrag
    Berg, Terje; Westgaard, Sjur. (2011) Risk Reporting to the Board of Directors – Comparison of Norwegian Power Companies and Banks. NTNU Trondheim Summer Energy Workshop , Trondheim 2011-06-29 - 2011-06-30
  • Vitenskapelig foredrag
    Berg, Terje; Westgaard, Sjur. (2011) Risk Reporting to the Board of Directors – Comparison of Norwegian Power Companies and Banks. NTNU Staff seminar , Trondheim 2011-05-18 - 2011-05-18
  • Vitenskapelig foredrag
    Berg, Terje; Westgaard, Sjur. (2011) Accounting based performance – Evidence from Norwegian listed companies. Trondheim Business School 2nd Workshop on Management Accounting , Trondheim 2011-11-08 - 2012-11-10

2010

  • Vitenskapelig foredrag
    Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte; Lien, Gudbrand. (2010) Modelling day ahead Nord Pool forward price volatility : Realized volatility versus GARCH models. European Energy Market 7th International Conference on the European Energy Market, EEM , Madrid 2010-06-23 - 2010-06-25
  • Vitenskapelig foredrag
    Solibakke, Per Bjarte; Westgaard, Sjur. (2010) Stochastic volatility models for EEX BASE and PEAK LOAD forward contracts using Bayesian M-H algorithm. Norges Handelshøyskole FIBE 2010 , Bergen 2010-01-07 - 2010-01-08
  • Vitenskapelig foredrag
    Lien, Gudbrand; Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte. (2010) Covariance estimation using high-frequency data : analysis of Nord Pool electricity forward data. European Energy Market 7th International Conference on the European Energy Market, EEM , Madrid 2010-06-23 - 2010-06-25

2009

  • Vitenskapelig foredrag
    Andresen, Arne; Westgaard, Sjur. (2009) Modeling electricity forward prices and pricing options on electricity forwards using the multivariate normal inverse Gaussian distribution. Conference on Energy Finance , University of Agder, Kristiansand 2009-09-24 - 2009-09-25
  • Vitenskapelig foredrag
    Haugom, Erik; Westgaard, Sjur; Lien, Gudbrand; Solibakke, Per Bjarte. (2009) Predicting realized volatility for electricity prices using unobservable component models. Cass Business School, City University London 7th OxMetrics User Conference , London 2009-09-14 - 2009-09-15
  • Populærvitenskapelig foredrag
    Fleten, Stein-Erik; Westgaard, Sjur. (2009) Price and decision support modeling in electricity markets. Sjur Westgaard, Stein-Erik Fleten 1. NTNU-IØT Energy Seminar , Trondheim 2009-02-12 - 2009-02-13

2008

  • Vitenskapelig foredrag
    Westgaard, Sjur; Yaffee, Robert A.; Heddy, Merrill A.; Hjemgaard, Kai; Bore, Bjørn Helge. (2008) Forecasting Volatility of UK natural gas futures. 28th International Sympoisum on Forecasting , Nice, France 2008-06-22 - 2008-06-25
  • Vitenskapelig foredrag
    Westgaard, Sjur; Yaffee, Robert A.; Heddy, Merrill A.; Hjemgaard, Kai; Bore, Bjørn Helge. (2008) Forecasting Volatility and Value at risk for UK Gas Future Prices. Oxmetrics conference , London, UK 2008-09-16 - 2008-09-18
  • Vitenskapelig foredrag
    Westgaard, Sjur; Yaffee, Robert A.; Heddy, Merrill A.; Hjemgaard, Kai; Bore, Bjørn Helge. (2008) Forecasting Volatility and Value at risk for UK Gas Future. UK Energy Research Center St Annes College utenTitteltekst , Oxford University, UK 2008-07-08 - 2008-07-10
  • Poster
    Westgaard, Sjur. (2008) Stochastic Properties of Gas Component Prices. Seminar, Institutt for industriell økonomi og teknologiledelse , Trondheim, NTNU 2008-03-23 - 2008-03-23
  • Intervju
    Westgaard, Sjur. (2008) Gode alternativer. [Avis] 2008-01-08
  • Intervju
    Westgaard, Sjur. (2008) Åpner opp for svindel. [Avis] 2008-06-12
  • Intervju
    Westgaard, Sjur. (2008) Hedgefond i fri dressur. [Avis] 2008-06-12

2007

  • Vitenskapelig foredrag
    Westgaard, Sjur; Lindset, Snorre. (2007) Determinants of excess credit spread: US Corporate Bond Market 1919-2006. NHH FIBE , BERGEN 2007-01-03 - 2007-12-31
  • Vitenskapelig foredrag
    Frydenberg, Stein; Westgaard, Sjur; Grøneng, Magnus; Nygaard, Geir Øivind. (2007) Analysis of Hedge Fund Styles using Stochastic Dominance as Decision Criteria. FIBE XXIV , Bergen, Norges handelshøgskole 2007-01-04 - 2007-01-05

2006

  • Vitenskapelig foredrag
    Westgaard, Sjur. (2006) Hedge Fund Return Statistics 1994-2006. MFS Multinational Finance Society Conference 2006 , Edinburgh 2006-06-24 - 2006-06-27
  • Vitenskapelig foredrag
    Frydenberg, Stein; Westgaard, Sjur; Lindset, Snorre. (2006) HEDGE FUND RETURN STATISTICS 1994-2005. University of Rome Tor Vergata XV Tor Vergata International Conference on Banking and Finance , Roma 2006-12-13 - 2006-12-15

2005

  • Vitenskapelig foredrag
    Farmen, Tom E .S .; Westgaard, Sjur. (2005) Default risk and its greeks under an objective probability measure. Isma center University of Reading Seminar Phd , Isma center University of Reading 2005-02-15 - 2005-02-15
  • Vitenskapelig foredrag
    Westgaard, Sjur. (2005) Default risk and its greeks under an objective probability measure. Isma center University of Reading Seminar Phd , Isma center University of Reading 2005-02-15 - 2005-02-15

2004

  • Vitenskapelig foredrag
    Farmen, Tom E .S .; Westgaard, Sjur. (2004) Portefølje teori og kapitalverdimodellen. Høgskolen i Sør-Trøndelag, TØH Gjesteforelesning , Trondheim 2004-11-11 -
  • Vitenskapelig foredrag
    Farmen, Tom E .S .; Westgaard, Sjur. (2004) Default risks and its Greeks under an Objective Default Probability Measure. University of Malta in Rome Fagseminar/Gjesteforelesning , Roma 2004-12-10 - 2004-12-10

2003

  • Vitenskapelig foredrag
    Farmen, Tom E .S .; Fleten, Stein-Erik; Westgaard, Sjur; Wijst, Dominicus van der. (2003) Default probabilities and their sensivity in an option pricing framwork. Seminar, faggruppen for investering 2003-08-01 -
  • Vitenskapelig foredrag
    Westgaard, Sjur. (2003) Default probabilities and option pricing framework. Stockholm School of Economics , Stockholm, Sweden 2003-11-22 -

2002

  • Vitenskapelig foredrag
    Hol, Suzan; Westgaard, Sjur; Wijst, Dominicus van der. (2002) Default Probability Prediction based on Capital Structure Theory. 9th Symposium on Finance, Banking, and Insurance , Karlsruhe, Tyskland 2002-12-13 -
  • Vitenskapelig foredrag
    Hol, Suzan; Wijst, Dominicus van der; Westgaard, Sjur. (2002) Capital structure theory and the prediction of bankruptcy. XXXI EURO Working Group on Financial Modeling , Agia Napa, Cyprus 2002-11-09 -
  • Vitenskapelig foredrag
    Farmen, Tom E .S .; Fleten, Stein-Erik; Wijst, Dominicus van der; Westgaard, Sjur. (2002) Default probabilities and option pricing models. XXXI Meeting EURO Working Group on Financial Modeling , Agia Napa, Cyprus 2002-11-09 -

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