Sjur Westgaard
Om
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
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.
volum 16 (3).
Vitenskapelig artikkel
2022
-
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.
volum 15 (12).
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.
volum 16 (1).
Vitenskapelig artikkel
-
De Lange, Petter Eilif;
Risstad, Morten;
Westgaard, Sjur.
(2022)
Term Premia in Norwegian Government Bond Yields.
Beta.
volum 36 (1).
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.
volum 14 (3).
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.
volum 25 (2).
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.
volum 60.
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.
volum 36 (1).
Vitenskapelig artikkel
-
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.
volum 15 (3).
Vitenskapelig artikkel
-
Tran, Vu Le;
Westgaard, Sjur;
Lavrutich, Maria.
(2022)
Stock markets during COVID-19.
Beta.
volum 36 (1).
Vitenskapelig oversiktsartikkel/review
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.
volum 313.
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.
volum 14 (4).
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.
volum 67.
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.
volum 13 (3).
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.
volum 214.
Vitenskapelig artikkel
2019
-
Westgaard, Sjur;
Paraschiv, Florentina;
Ekern, Lina Lasessen;
Naustdal, Ingrid;
Roald, Malene.
(2019)
Forecasting Price Distributions in the German Electricity Market.
International Financial Markets, Volume 1.
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.
volum 13 (4).
Vitenskapelig artikkel
2018
-
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.
volum 32 (1).
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.
volum 54 (8).
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
-
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
-
Schütz, Peter;
Westgaard, Sjur.
(2018)
Optimal hedging strategies for salmon producers.
Journal of Commodity Markets.
volum 12.
Vitenskapelig artikkel
2017
-
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.
Real Options in Energy and Commodity Markets.
Vitenskapelig Kapittel/Artikkel/Konferanseartikkel
-
Benth, Fred Espen;
Eriksson, Marcus Karl Viren;
Westgaard, Sjur.
(2017)
Optimal management of green certificates in the Swedish-Norwegian market.
Journal of Energy Markets.
volum 10 (2).
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.
volum 19 (4).
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.
volum 10 (2).
Vitenskapelig artikkel
-
Westgaard, Sjur;
Steen, Marie Gotteberg.
(2017)
Is Beta Dead for Commodities?.
Journal of Investing.
volum 26 (4).
Vitenskapelig artikkel
2016
-
Hagfors, Lars Ivar;
Bunn, Derek;
Kristoffersen, Eline;
Staver, Tiril Toftdahl;
Westgaard, Sjur.
(2016)
Modeling the UK electricity price distributions using quantile regression.
Energy.
volum 102.
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).
volum 16 (12).
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.
volum 32 (1).
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.
volum 16.
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.
volum 41 (1 and 2).
Vitenskapelig artikkel
2015
-
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.
volum 48.
Vitenskapelig artikkel
-
Bunn, Derek;
Andresen, Arne;
Chen, Dipeng;
Westgaard, Sjur.
(2015)
Analysis and Forecasting of Electricity Price Risks with Quantile Factor Models.
Energy Journal.
volum 37 (1).
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.
volum 20 (1).
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.
volum 8 (4).
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.
volum 40 (1-2).
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.
volum 9 (2).
Vitenskapelig artikkel
2014
-
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.
volum 38 (2).
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.
volum 7 (4).
Vitenskapelig artikkel
-
Haugom, Erik;
Langeland, Henrik Søyland;
Molnar, Peter;
Westgaard, Sjur.
(2014)
Forecasting volatility of the U.S. oil market.
Journal of Banking & Finance.
volum 47 (1).
Vitenskapelig artikkel
-
Haugom, Erik;
Lien, Gudbrand;
Veka, Steinar Svartskuren;
Westgaard, Sjur.
(2014)
Covariance estimation using high-frequency data: Sensitivities of estimation methods.
Economic Modelling.
volum 43.
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.
volum 38 (4).
Vitenskapelig artikkel
-
Westgaard, Sjur.
(2014)
Energy Spread Modeling Using Copulas.
Energy Pricing Models : Recent Advances, Methods, and Tools.
Vitenskapelig Kapittel/Artikkel/Konferanseartikkel
-
Westgaard, Sjur;
Veka, Steinar Svartskuren;
Haugom, Erik;
Lien, Gudbrand.
(2014)
A note on the risk characteristics of european energy futures markets :.
Beta.
volum 28 (1).
Vitenskapelig artikkel
2013
-
Arvesen, Øystein;
Medbø, Vegard Gjelsvik;
Fleten, Stein-Erik;
Tomasgard, Asgeir;
Westgaard, Sjur.
(2013)
Linepack storage valuation under price uncertainty.
Energy.
volum 52.
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.
volum 22 (3).
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.
volum 5 (3).
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.
volum 6 (4).
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.
volum 5 (2).
Vitenskapelig artikkel
-
Westgaard, Sjur.
(2012)
Decision Support Modeling in Energy Markets: Part 1 : LETTER FROM THE GUEST EDITOR.
Journal of Energy Markets.
volum 5 (2).
Leder
-
Westgaard, Sjur.
(2012)
Decision Support Modeling in Energy Markets: Part 2 : LETTER FROM THE GUEST EDITOR.
Journal of Energy Markets.
volum 5 (3).
Leder
2011
-
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
-
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.
volum 33 (6).
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.
volum 20 (1).
Vitenskapelig artikkel
-
Solibakke, Per Bjarte;
Westgaard, Sjur;
Lien, Gudbrand.
(2011)
Carbon stochastic volatility model estimation and inference : forecasting (un-)conditional moments.
Economics & Finance Review.
volum 1 (6).
Vitenskapelig artikkel
-
Westgaard, Sjur;
Estenstad, Maria;
Seim, Maria Anglevik;
Frydenberg, Stein.
(2011)
Co-integration of ICE Gas oil and Crude oil futures.
Energy Economics.
volum 33 (2).
Vitenskapelig artikkel
-
Westgaard, Sjur;
Frydenberg, Stein.
(2011)
Hedgefond - avkastning og risiko 1992-2011.
Praktisk økonomi & finans.
volum 27 (3).
Vitenskapelig artikkel
2010
-
Andresen, Arne;
Koekebakker, Steen;
Westgaard, Sjur.
(2010)
Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution.
Journal of Energy Markets.
volum 3 (3).
Vitenskapelig artikkel
-
Haug, Espen Gaarder;
Frydenberg, Stein;
Westgaard, Sjur.
(2010)
Distribution and Statistical Behavior of Implied Volatility.
Business Valuation Review.
volum 29 (4).
Vitenskapelig artikkel
-
Myklebust, Jogeir Stave;
Tomasgard, Asgeir;
Westgaard, Sjur.
(2010)
Forecasting gas component prices with multivariate structural time series models.
Opec Energy Review.
volum 34 (2).
Vitenskapelig artikkel
2008
-
Frydenberg, Stein;
Lindset, Snorre;
Westgaard, Sjur.
(2008)
Hedge Fund Return Statistics 1994-2005.
Journal of Investing.
volum 17 (1).
Vitenskapelig artikkel
-
Helbæk, Morten;
Westgaard, Sjur.
(2008)
Statistikk : kort og godt.
Universitetsforlaget. 2008. ISBN 9788215012070.
Lærebok
-
Talberg, Magnus;
Winge, Christian;
Frydenberg, Stein;
Westgaard, Sjur.
(2008)
Capital Structure Across Industries.
International Journal of the Economics of Business.
volum 15 (2).
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.
volum 25 (1).
Vitenskapelig artikkel
-
Westgaard, Sjur;
Faria, Eduardo;
Fleten, Stein-Erik.
(2008)
Price dynamics of natural gas components: Empirical evidence.
Journal of Energy Markets.
volum 1 (3).
Vitenskapelig artikkel
-
Westgaard, Sjur;
Faria, Eduardo;
Fleten, Stein-Erik.
(2008)
Price dynamics of natural gas components: empirical evidence.
Journal of Energy Markets.
volum 1 (3).
Vitenskapelig artikkel
2007
-
Helbæk, Morten;
Westgaard, Sjur.
(2007)
Statistikk- Kort og godt.
Universitetsforlaget. 2007. ISBN 978-82-15-01207-0.
Lærebok
2006
-
Frydenberg, Stein;
Westgaard, Sjur;
Grøneng, Magnus Slåttekjær;
Nygård, Geir Ø..
(2006)
Hedgefonds - Sett med et norsk perspektiv.
Beta.
volum 2.
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: Empirical Tests.
2003. Working Paper Series of Department of Industrial Economics, NTNU (7).
Rapport
-
Hol, Suzan;
Westgaard, Sjur;
Wijst, Dominicus van der.
(2003)
Firm Financial Structure and Bankruptcy Prediction: Numerical Simulations.
2003. 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.
2003. Working Paper Series for Department of Industrial Economics, NTNU (5).
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.
volum 135.
Vitenskapelig artikkel
1998
-
Westgaard, Sjur.
(1998)
Styring av markedsrisiko i finansielle organisasjoner.
Magma - Tidsskrift for økonomi og ledelse.
Vitenskapelig artikkel
1997
-
Westgaard, Sjur.
(1997)
Kapitalforvaltning i et livselskap.
Praktisk økonomi og ledelse.
volum 2.
Vitenskapelig artikkel
Tidsskriftspublikasjoner
-
de Lange, Petter Eilif;
Risstad, Morten;
Semmen, Kristian;
Westgaard, Sjur.
(2023)
Term Premia in Norwegian Interest Rate Swaps.
Journal of Risk and Financial Management.
volum 16 (3).
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.
volum 15 (12).
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.
volum 16 (1).
Vitenskapelig artikkel
-
De Lange, Petter Eilif;
Risstad, Morten;
Westgaard, Sjur.
(2022)
Term Premia in Norwegian Government Bond Yields.
Beta.
volum 36 (1).
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.
volum 14 (3).
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.
volum 25 (2).
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.
volum 60.
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.
volum 36 (1).
Vitenskapelig artikkel
-
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.
volum 15 (3).
Vitenskapelig artikkel
-
Tran, Vu Le;
Westgaard, Sjur;
Lavrutich, Maria.
(2022)
Stock markets during COVID-19.
Beta.
volum 36 (1).
Vitenskapelig oversiktsartikkel/review
-
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.
volum 313.
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.
volum 14 (4).
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.
volum 67.
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.
volum 13 (3).
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.
volum 214.
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.
volum 13 (4).
Vitenskapelig artikkel
-
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.
volum 32 (1).
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.
volum 54 (8).
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
-
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
-
Schütz, Peter;
Westgaard, Sjur.
(2018)
Optimal hedging strategies for salmon producers.
Journal of Commodity Markets.
volum 12.
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.
volum 10 (2).
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.
volum 19 (4).
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.
volum 10 (2).
Vitenskapelig artikkel
-
Westgaard, Sjur;
Steen, Marie Gotteberg.
(2017)
Is Beta Dead for Commodities?.
Journal of Investing.
volum 26 (4).
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.
volum 102.
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).
volum 16 (12).
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.
volum 32 (1).
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.
volum 16.
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.
volum 41 (1 and 2).
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.
volum 48.
Vitenskapelig artikkel
-
Bunn, Derek;
Andresen, Arne;
Chen, Dipeng;
Westgaard, Sjur.
(2015)
Analysis and Forecasting of Electricity Price Risks with Quantile Factor Models.
Energy Journal.
volum 37 (1).
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.
volum 20 (1).
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.
volum 8 (4).
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.
volum 40 (1-2).
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.
volum 9 (2).
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.
volum 38 (2).
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.
volum 7 (4).
Vitenskapelig artikkel
-
Haugom, Erik;
Langeland, Henrik Søyland;
Molnar, Peter;
Westgaard, Sjur.
(2014)
Forecasting volatility of the U.S. oil market.
Journal of Banking & Finance.
volum 47 (1).
Vitenskapelig artikkel
-
Haugom, Erik;
Lien, Gudbrand;
Veka, Steinar Svartskuren;
Westgaard, Sjur.
(2014)
Covariance estimation using high-frequency data: Sensitivities of estimation methods.
Economic Modelling.
volum 43.
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.
volum 38 (4).
Vitenskapelig artikkel
-
Westgaard, Sjur;
Veka, Steinar Svartskuren;
Haugom, Erik;
Lien, Gudbrand.
(2014)
A note on the risk characteristics of european energy futures markets :.
Beta.
volum 28 (1).
Vitenskapelig artikkel
-
Arvesen, Øystein;
Medbø, Vegard Gjelsvik;
Fleten, Stein-Erik;
Tomasgard, Asgeir;
Westgaard, Sjur.
(2013)
Linepack storage valuation under price uncertainty.
Energy.
volum 52.
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.
volum 22 (3).
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.
volum 5 (3).
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.
volum 6 (4).
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.
volum 5 (2).
Vitenskapelig artikkel
-
Westgaard, Sjur.
(2012)
Decision Support Modeling in Energy Markets: Part 1 : LETTER FROM THE GUEST EDITOR.
Journal of Energy Markets.
volum 5 (2).
Leder
-
Westgaard, Sjur.
(2012)
Decision Support Modeling in Energy Markets: Part 2 : LETTER FROM THE GUEST EDITOR.
Journal of Energy Markets.
volum 5 (3).
Leder
-
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
-
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.
volum 33 (6).
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.
volum 20 (1).
Vitenskapelig artikkel
-
Solibakke, Per Bjarte;
Westgaard, Sjur;
Lien, Gudbrand.
(2011)
Carbon stochastic volatility model estimation and inference : forecasting (un-)conditional moments.
Economics & Finance Review.
volum 1 (6).
Vitenskapelig artikkel
-
Westgaard, Sjur;
Estenstad, Maria;
Seim, Maria Anglevik;
Frydenberg, Stein.
(2011)
Co-integration of ICE Gas oil and Crude oil futures.
Energy Economics.
volum 33 (2).
Vitenskapelig artikkel
-
Westgaard, Sjur;
Frydenberg, Stein.
(2011)
Hedgefond - avkastning og risiko 1992-2011.
Praktisk økonomi & finans.
volum 27 (3).
Vitenskapelig artikkel
-
Andresen, Arne;
Koekebakker, Steen;
Westgaard, Sjur.
(2010)
Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution.
Journal of Energy Markets.
volum 3 (3).
Vitenskapelig artikkel
-
Haug, Espen Gaarder;
Frydenberg, Stein;
Westgaard, Sjur.
(2010)
Distribution and Statistical Behavior of Implied Volatility.
Business Valuation Review.
volum 29 (4).
Vitenskapelig artikkel
-
Myklebust, Jogeir Stave;
Tomasgard, Asgeir;
Westgaard, Sjur.
(2010)
Forecasting gas component prices with multivariate structural time series models.
Opec Energy Review.
volum 34 (2).
Vitenskapelig artikkel
-
Frydenberg, Stein;
Lindset, Snorre;
Westgaard, Sjur.
(2008)
Hedge Fund Return Statistics 1994-2005.
Journal of Investing.
volum 17 (1).
Vitenskapelig artikkel
-
Talberg, Magnus;
Winge, Christian;
Frydenberg, Stein;
Westgaard, Sjur.
(2008)
Capital Structure Across Industries.
International Journal of the Economics of Business.
volum 15 (2).
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.
volum 25 (1).
Vitenskapelig artikkel
-
Westgaard, Sjur;
Faria, Eduardo;
Fleten, Stein-Erik.
(2008)
Price dynamics of natural gas components: Empirical evidence.
Journal of Energy Markets.
volum 1 (3).
Vitenskapelig artikkel
-
Westgaard, Sjur;
Faria, Eduardo;
Fleten, Stein-Erik.
(2008)
Price dynamics of natural gas components: empirical evidence.
Journal of Energy Markets.
volum 1 (3).
Vitenskapelig artikkel
-
Frydenberg, Stein;
Westgaard, Sjur;
Grøneng, Magnus Slåttekjær;
Nygård, Geir Ø..
(2006)
Hedgefonds - Sett med et norsk perspektiv.
Beta.
volum 2.
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.
volum 135.
Vitenskapelig artikkel
-
Westgaard, Sjur.
(1998)
Styring av markedsrisiko i finansielle organisasjoner.
Magma - Tidsskrift for økonomi og ledelse.
Vitenskapelig artikkel
-
Westgaard, Sjur.
(1997)
Kapitalforvaltning i et livselskap.
Praktisk økonomi og ledelse.
volum 2.
Vitenskapelig artikkel
Bøker
-
Helbæk, Morten;
Westgaard, Sjur.
(2008)
Statistikk : kort og godt.
Universitetsforlaget. 2008. ISBN 9788215012070.
Lærebok
-
Helbæk, Morten;
Westgaard, Sjur.
(2007)
Statistikk- Kort og godt.
Universitetsforlaget. 2007. ISBN 978-82-15-01207-0.
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.
International Financial Markets, Volume 1.
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.
Real Options in Energy and Commodity Markets.
Vitenskapelig Kapittel/Artikkel/Konferanseartikkel
-
Westgaard, Sjur.
(2014)
Energy Spread Modeling Using Copulas.
Energy Pricing Models : Recent Advances, Methods, and Tools.
Vitenskapelig Kapittel/Artikkel/Konferanseartikkel
Rapport
-
Hol, Suzan;
Westgaard, Sjur;
Wijst, Dominicus van der.
(2003)
Firm Financial Structure and Bankruptcy Prediction: Empirical Tests.
2003. Working Paper Series of Department of Industrial Economics, NTNU (7).
Rapport
-
Hol, Suzan;
Westgaard, Sjur;
Wijst, Dominicus van der.
(2003)
Firm Financial Structure and Bankruptcy Prediction: Numerical Simulations.
2003. 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.
2003. Working Paper Series for Department of Industrial Economics, NTNU (5).
Rapport
Undervisning
Emner
- IØ8304 - Prognosemodeller i økonomi og finans
- TIØ4317 - Empiriske og kvantitative metoder i finans
- TIØ4900 - Investering, finans, økonomistyring, masteroppgave
- TIØ4295 - Bedriftsøkonomi
- TIØ4550 - Investering, finans og økonomistyring, fordypningsprosjekt
- IØ8816 - Maskinlæring og numeriske teknikker i finansiell økonometri
- TIØ4105 - Industriell økonomisk styring
- TIØ4557 - Investering, finans og økonomistyring fordypningsemne
- IDS4001 - Industrielle markeder og prognoser
Formidling
2020
-
Vitenskapelig foredragFrydenberg, 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 foredragFrydenberg, Stein; Westgaard, Sjur; Mohanty, S.; Ådland, Roar Os; Ekrem, Hilde; Kristensen, Cecilie. (2019) Modelling Shipping Stocks Return. Workshop on Banking and Finance Trondheim NTNU 20th and 21th May 2019 . Sjur westgaard, Petter de Lange, Stein Frydenberg; NTNU Trondheim. 2019-05-20 - 2019-05-21.
-
Vitenskapelig foredragSchütz, Peter; Westgaard, Sjur. (2019) Optimal Hedging Strategies for Salmon Producers. 6th International Conference on Continuous Optimization . Technische Universität Berlin; Berlin. 2019-08-05 - 2019-08-08.
2018
-
Vitenskapelig foredragSchütz, 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 foredragFrydenberg, 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 foredragSchütz, Peter; Westgaard, Sjur. (2017) Optimal hedging strategies for salmon producers. Commodity and Energy Markets 2017 . Commodity and Energy Markets Association; Oxford. 2017-06-14 - 2017-06-15.
2015
-
Vitenskapelig foredragHagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek. (2015) Modelling the UK Electricity Market using Quantile Regression. RISKY-RES project workshop . RISKY-RES; Trondheim. 2015-01-15 - 2015-01-16.
-
Vitenskapelig foredragHagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek. (2015) Modelling the UK Electricity Price Distributions using Quantile Regression. Commodity Market Workshop 2015 . Journal of Commodity Markets; Oslo. 2015-05-20 - 2015-05-21.
-
Vitenskapelig foredragHagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek; Kristoffersen, Eline; Toftdahl Staver, Tiril. (2015) Modelling the UK Electricity Market using Quantile Regression. 2nd International Conference on "Energy, Sustainability and Climate Change" . Orthodoxos Akadimia Kritis Crete, Greece; Crete. 2015-06-21 - 2015-06-27.
-
Vitenskapelig foredragHagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek; Toftdahl Staver, Tiril; Kristoffersen, Eline. (2015) Modelling the UK Electricity Market using Quantile Regression. Energy Finance Conference 2015 . CASS Business School; London. 2015-09-09 - 2015-09-11.
-
Vitenskapelig foredragHagfors, Lars Ivar; Westgaard, Sjur; Paraschiv, Florentina. (2015) Using Quantile Regression to Analyze the Effect of Renewableson EEX Price Formation. RISKY-RES Workshop . NTNU; Trondheim. 2015-10-24 - 2015-10-25.
-
Vitenskapelig foredragHagfors, Lars Ivar; Westgaard, Sjur; Paraschiv, Florentina. (2015) Using quantile regression to analyze the effect of renewables on EEX price formation. World Renewable Energy Congress XIV . Univerisy Politechnica of Bucharest, Romania; Bucharest. 2015-06-08 - 2015-06-12.
-
Vitenskapelig foredragSteen, Marie; Westgaard, Sjur; Gjølberg, Ole. (2015) Commodity Value-at-Risk modeling: Comparing RiskMetricsTM, historic simulation and quantile regression. FIBE, NHH Bergen . Norges Handelshøyskole; Bergen. 2015-01-08 - 2015-01-09.
2014
-
Vitenskapelig foredragHagfors, Lars Ivar; Westgaard, Sjur. (2014) Modelling the UK Electricity Market using Quantile Regression. 7th International Accounting and Finance Doctoral Symposium 2014 . Handelshøyskolen i Trondheim; Trondheim. 2014-06-16 - 2014-06-18.
-
IntervjuWestgaard, Sjur; Kringhaug, Glenn. (2014) ... men ingeniørene haler innpå. Finansavisen [Avis]. 2014-08-04.
2013
-
Vitenskapelig foredragHaugom, 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
-
PosterBerg, Terje; Westgaard, Sjur. (2012) Risk Reporting to the Board of Directors – Comparison of Norwegian Power Companies and Banks. American Accounting Association Midyear Meeting . American Accounting Association; Houston, Texas. 2012-01-06 - 2012-01-07.
-
Vitenskapelig foredragBerg, Terje; Westgaard, Sjur; Frydenberg, Stein. (2012) Risk-adjusted Stock Returns and Accounting Based Performance Measures – Evidence from US listed Electric Utilities 2001 – 2010. Workshop on Energy Economics and Management . Molde University College; Molde. 2012-05-21 - 2012-05-22.
-
Vitenskapelig foredragHaugom, 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 foredragHaugom, 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.
-
Vitenskapelig foredragHaugom, 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.
2011
-
Vitenskapelig foredragBerg, Terje; Westgaard, Sjur. (2011) Accounting based performance – Evidence from Norwegian listed companies. 2nd Workshop on Management Accounting . Trondheim Business School; Trondheim. 2011-11-08 - 2012-11-10.
-
Vitenskapelig foredragBerg, Terje; Westgaard, Sjur. (2011) Risk Reporting to the Board of Directors – Comparison of Norwegian Power Companies and Banks. Staff seminar . NTNU; Trondheim. 2011-05-18 - 2011-05-18.
-
Vitenskapelig foredragBerg, Terje; Westgaard, Sjur. (2011) Risk Reporting to the Board of Directors – Comparison of Norwegian Power Companies and Banks. Trondheim Summer Energy Workshop . NTNU; Trondheim. 2011-06-29 - 2011-06-30.
2010
-
Vitenskapelig foredragHaugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte; Lien, Gudbrand. (2010) Modelling day ahead Nord Pool forward price volatility : Realized volatility versus GARCH models. 7th International Conference on the European Energy Market, EEM . European Energy Market; Madrid. 2010-06-23 - 2010-06-25.
-
Vitenskapelig foredragLien, Gudbrand; Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte. (2010) Covariance estimation using high-frequency data : analysis of Nord Pool electricity forward data. 7th International Conference on the European Energy Market, EEM . European Energy Market; Madrid. 2010-06-23 - 2010-06-25.
-
Vitenskapelig foredragSolibakke, Per Bjarte; Westgaard, Sjur. (2010) Stochastic volatility models for EEX BASE and PEAK LOAD forward contracts using Bayesian M-H algorithm. FIBE 2010 . Norges Handelshøyskole; Bergen. 2010-01-07 - 2010-01-08.
2009
-
Vitenskapelig foredragAndresen, 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.
-
Populærvitenskapelig foredragFleten, Stein-Erik; Westgaard, Sjur. (2009) Price and decision support modeling in electricity markets. 1. NTNU-IØT Energy Seminar . Sjur Westgaard, Stein-Erik Fleten; Trondheim. 2009-02-12 - 2009-02-13.
-
Vitenskapelig foredragHaugom, Erik; Westgaard, Sjur; Lien, Gudbrand; Solibakke, Per Bjarte. (2009) Predicting realized volatility for electricity prices using unobservable component models. 7th OxMetrics User Conference . Cass Business School, City University London; London. 2009-09-14 - 2009-09-15.
2008
-
IntervjuWestgaard, Sjur. (2008) Gode alternativer. null [Avis]. 2008-01-08.
-
IntervjuWestgaard, Sjur. (2008) Hedgefond i fri dressur. Dagens næringsliv null [Avis]. 2008-06-12.
-
PosterWestgaard, Sjur. (2008) Stochastic Properties of Gas Component Prices. Seminar, Institutt for industriell økonomi og teknologiledelse ; Trondheim, NTNU. 2008-03-23 - 2008-03-23.
-
IntervjuWestgaard, Sjur. (2008) Åpner opp for svindel. Dagens næringsliv null [Avis]. 2008-06-12.
-
Vitenskapelig foredragWestgaard, Sjur; Yaffee, Robert A.; Heddy, Merrill A.; Hjemgaard, Kai; Bore, Bjørn Helge. (2008) Forecasting Volatility and Value at risk for UK Gas Future. utenTitteltekst . UK Energy Research Center St Annes College; Oxford University, UK. 2008-07-08 - 2008-07-10.
-
Vitenskapelig foredragWestgaard, 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 foredragWestgaard, 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.
2007
-
Vitenskapelig foredragFrydenberg, 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.
-
Vitenskapelig foredragWestgaard, Sjur; Lindset, Snorre. (2007) Determinants of excess credit spread: US Corporate Bond Market 1919-2006. FIBE . NHH; BERGEN. 2007-01-03 - 2007-12-31.
2006
-
Vitenskapelig foredragWestgaard, Sjur. (2006) Hedge Fund Return Statistics 1994-2006. Multinational Finance Society Conference 2006 . MFS; Edinburgh. 2006-06-24 - 2006-06-27.
-
Vitenskapelig foredragFrydenberg, Stein; Westgaard, Sjur; Lindset, Snorre. (2006) HEDGE FUND RETURN STATISTICS 1994-2005. XV Tor Vergata International Conference on Banking and Finance . University of Rome Tor Vergata; Roma. 2006-12-13 - 2006-12-15.
2005
-
Vitenskapelig foredragFarmen, Tom E .S .; Westgaard, Sjur. (2005) Default risk and its greeks under an objective probability measure. Seminar Phd . Isma center University of Reading; Isma center University of Reading. 2005-02-15 - 2005-02-15.
-
Vitenskapelig foredragWestgaard, Sjur. (2005) Default risk and its greeks under an objective probability measure. Seminar Phd . Isma center University of Reading; Isma center University of Reading. 2005-02-15 - 2005-02-15.
2004
-
Vitenskapelig foredragFarmen, Tom E .S .; Westgaard, Sjur. (2004) Default risks and its Greeks under an Objective Default Probability Measure. Fagseminar/Gjesteforelesning . University of Malta in Rome; Roma. 2004-12-10 - 2004-12-10.
-
Vitenskapelig foredragFarmen, Tom E .S .; Westgaard, Sjur. (2004) Portefølje teori og kapitalverdimodellen. Gjesteforelesning . Høgskolen i Sør-Trøndelag, TØH; Trondheim. 2004-11-11.
2003
-
Vitenskapelig foredragFarmen, 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 foredragWestgaard, Sjur. (2003) Default probabilities and option pricing framework. [Mangler data] . Stockholm School of Economics; Stockholm, Sweden. 2003-11-22.
2002
-
Vitenskapelig foredragFarmen, 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 . [Mangler data]; Agia Napa, Cyprus. 2002-11-09.
-
Vitenskapelig foredragHol, Suzan; Westgaard, Sjur; Wijst, Dominicus van der. (2002) Default Probability Prediction based on Capital Structure Theory. 9th Symposium on Finance, Banking, and Insurance . [Mangler data]; Karlsruhe, Tyskland. 2002-12-13.
-
Vitenskapelig foredragHol, Suzan; Wijst, Dominicus van der; Westgaard, Sjur. (2002) Capital structure theory and the prediction of bankruptcy. XXXI EURO Working Group on Financial Modeling . [Mangler data]; Agia Napa, Cyprus. 2002-11-09.