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2017
1 Benth, Fred Espen; Eriksson, Marcus Karl Viren; Westgaard, Sjur.
Optimal management of green certificates in the Swedish-Norwegian market. Journal of Energy Markets 2017 ;Volum 10.(2) s. 1-39
NTNU UiO Untitled
 
2 Frydenberg, Stein; Westgaard, Sjur; Hrafnkelsson, Kjartan; Bromseth, Vegard Strand.
Hedge Fund Strategies and Time- Varying Alphas and Betas. Journal of Wealth Management 2017 ;Volum 2017.(Spring) s. -
NTNU Untitled
 
3 Frydenberg, Stein; Westgaard, Sjur; Mohanty, Sunil; Ådland, Roar Os; Ekrem, Hilde; Kristensen, Cecilie.
Modelling shipping stock returns: A quantile regression approach. 2017 Commodity Markets Winter Workshop; 2017-03-01 - 2017-03-03
NHH NTNU Untitled
 
2016
4 Hagfors, Lars Ivar; Bunn, Derek; Kristoffersen, Eline; Staver, Tiril Toftdahl; Westgaard, Sjur.
Modeling the UK electricity price distributions using quantile regression. Energy 2016 ;Volum 102. s. 231-243
NTNU Untitled
 
5 Hagfors, Lars Ivar; Kamperud, Hilde Hørthe; Paraschiv, Florentina; Prokozcuk, Marcel; Sator, Alma; Westgaard, Sjur.
Prediction of extreme price occurrences in the German day-ahead electricity market. Quantitative finance (Print) 2016 ;Volum 16.(12) s. 1929-1948
NTNU Untitled
 
6 Hagfors, Lars Ivar; Paraschiv, Florentina; Molnar, Peter; Westgaard, Sjur.
Using quantile regression to analyze the effect of renewables on EEX price formation. Renewable Energy and Environmental Sustainability 2016 ;Volum 32.(1) s. -
NTNU Untitled
 
7 Haugom, Erik; Ray, Rina; Ullrich, Carl J.; Veka, Steinar Svartskuren; Westgaard, Sjur.
A parsimonious quantile regression model to forecast day-ahead value-at-risk. Finance Research Letters 2016 ;Volum 16. s. 196-207
HIL NTNU NMBU Untitled
 
8 Tjaaland, Sturla Horpestad; Westgaard, Sjur; Osmundsen, Petter; Frydenberg, Stein.
Oil and Gas Risk Factor Sensitivities for U.S. Energy Companies. Journal of Energy and Development 2016 ;Volum 41.(1 and 2) s. 135-173
NTNU UIS NMBU Untitled
 
2015
9 Birkelund, Ole Henrik; Haugom, Erik; Molnar, Peter; Opdal, Martin; Westgaard, Sjur.
A comparison of implied and realized volatility in the Nordic power forward market. Energy Economics 2015 ;Volum 48. s. 288-294
HIL NTNU Untitled
 
10 Bunn, Derek; Andresen, Arne; Chen, Dipeng; Westgaard, Sjur.
Analysis and Forecasting of Electricity Price Risks with Quantile Factor Models. Energy Journal 2015 ;Volum 37.(1) s. 169-190
NTNU Untitled
 
11 Dahlen, Kai Erik; Solibakke, Per Bjarte; Westgaard, Sjur; Næss, Arvid.
On the Estimation of Extreme Values for Risk Assessment and Management: The ACER Method. International journal of business 2015 ;Volum 20.(1) s. 33-51
HIM NTNU Untitled
 
12 Fleten, Stein-Erik; Huisman, Ronald; Kilic, Mehtap; Pennings, Enrico; Westgaard, Sjur.
Electricity futures prices: time-varying sensitivity to fundamentals. Journal of Energy Markets 2015 ;Volum 8.(4) s. -
NTNU Untitled
 
13 Hagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek.
Modelling the UK Electricity Market using Quantile Regression. RISKY-RES project workshop; 2015-01-15 - 2015-01-16
NTNU NMBU Untitled
 
14 Hagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek.
Modelling the UK Electricity Price Distributions using Quantile Regression. Commodity Market Workshop 2015; 2015-05-20 - 2015-05-21
NTNU NMBU Untitled
 
15 Hagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek; Kristoffersen, Eline; Toftdahl Staver, Tiril.
Modelling the UK Electricity Market using Quantile Regression. 2nd International Conference on "Energy, Sustainability and Climate Change"; 2015-06-21 - 2015-06-27
NTNU NMBU Untitled
 
16 Hagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek; Toftdahl Staver, Tiril; Kristoffersen, Eline.
Modelling the UK Electricity Market using Quantile Regression. Energy Finance Conference 2015; 2015-09-09 - 2015-09-11
NTNU NMBU Untitled
 
17 Hagfors, Lars Ivar; Westgaard, Sjur; Paraschiv, Florentina.
Using Quantile Regression to Analyze the Effect of Renewableson EEX Price Formation. RISKY-RES Workshop; 2015-10-24 - 2015-10-25
NTNU NMBU Untitled
 
18 Hagfors, Lars Ivar; Westgaard, Sjur; Paraschiv, Florentina.
Using quantile regression to analyze the effect of renewables on EEX price formation. World Renewable Energy Congress XIV; 2015-06-08 - 2015-06-12
NTNU NMBU Untitled
 
19 Huisman, Ronald; Michels, David; Westgaard, Sjur.
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 2015 ;Volum 40.(1-2) s. 149-187
NTNU NMBU Untitled
 
20 Steen, Marie; Westgaard, Sjur; Gjølberg, Ole.
Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression. Journal of Risk Model Validation 2015 ;Volum 9.(2) s. 49-78
NTNU NMBU Untitled
 
21 Steen, Marie; Westgaard, Sjur; Gjølberg, Ole.
Commodity Value-at-Risk modeling: Comparing RiskMetricsTM, historic simulation and quantile regression. FIBE, NHH Bergen; 2015-01-08 - 2015-01-09
NMBU Untitled
 
2014
22 Frydenberg, Stein; Onochie, Joseph I.; Westgaard, Sjur; Midtsund, Nora; Ueland, Hanna.
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 2014 ;Volum 38.(2) s. 216-242
NTNU Untitled
 
23 Hagfors, Lars Ivar; Westgaard, Sjur.
Modelling the UK Electricity Market using Quantile Regression. 7th International Accounting and Finance Doctoral Symposium 2014; 2014-06-16 - 2014-06-18
NTNU NMBU Untitled
 
24 Haugom, Erik; Hoff, Guttorm Andre; Mortensen, Maria; Molnar, Peter; Westgaard, Sjur.
The forecasting power of medium-term futures contracts. Journal of Energy Markets 2014 ;Volum 7.(4) s. 1-23
HIL NTNU Untitled
 
25 Haugom, Erik; Langeland, Henrik Søyland; Molnar, Peter; Westgaard, Sjur.
Forecasting volatility of the U.S. oil market. Journal of Banking & Finance 2014 ;Volum 47.(1) s. 1-14
HIL NTNU Untitled
 
26 Haugom, Erik; Lien, Gudbrand; Veka, Steinar Svartskuren; Westgaard, Sjur.
Covariance estimation using high-frequency data: Sensitivities of estimation methods. Economic Modelling 2014 ;Volum 43. s. 416-425
HIL NTNU Untitled
 
27 Haugom, Erik; Veka, Steinar Svartskuren; Lien, Gudbrand; Westgaard, Sjur.
Estimating and evaluating Value-at-Risk forecasts based on realized variance: empirical evidence from ICE Brent Crude oil futures. Opec Energy Review 2014 ;Volum 38.(4) s. 373-397
HIL NTNU Untitled
 
28 Westgaard, Sjur.
Energy Spread Modeling Using Copulas. I: Energy Pricing Models : Recent Advances, Methods, and Tools. Palgrave Macmillan 2014 ISBN 978-1-137-37734-0. s. 97-114
NTNU NMBU Untitled
 
29 Westgaard, Sjur; Kringhaug, Glenn.
... men ingeniørene haler innpå. Finansavisen [Avis] 2014-08-04
NTNU Untitled
 
30 Westgaard, Sjur; Veka, Steinar Svartskuren; Haugom, Erik; Lien, Gudbrand.
A note on the risk characteristics of european energy futures markets :. Beta. Scandinavian Journal of Business Research 2014 ;Volum 28.(1) s. 5-19
HIL NTNU Untitled
 
2013
31 Arvesen, Øystein; Medbø, Vegard Gjelsvik; Fleten, Stein-Erik; Tomasgard, Asgeir; Westgaard, Sjur.
Linepack storage valuation under price uncertainty. Energy 2013 ;Volum 52. s. 155-164
NTNU Untitled
 
32 Frydenberg, Stein; Reiakvam, Oddvar Hallset; Thyness, Stian Borgen; Westgaard, Sjur.
Hedge Funds—Risk Exposure in Different Quantiles and Market Sentiments. Journal of Investing 2013 ;Volum 22.(3) s. 107-134
NTNU Untitled
 
33 Haugom, Erik; Ray, Rina; Ullrich, Carl J.; Veka, Steinar; Westgaard, Sjur.
A simple quantile regression model to forecast Value-at-Risk. Energy Economics and Finance Seminar; 2013-05-24 - 2013-05-25
HIL NMBU Untitled
 
2012
34 Berg, Terje; Westgaard, Sjur.
Risk Reporting to the Board of Directors – Comparison of Norwegian Power Companies and Banks. American Accounting Association Midyear Meeting; 2012-01-06 - 2012-01-07
BI NTNU Untitled
 
35 Berg, Terje; Westgaard, Sjur.
Risk reporting to the board of directors: comparison of norwegian power companies and banks. Journal of Energy Markets 2012 ;Volum 5.(3) s. 45-63
BI NTNU Untitled
 
36 Berg, Terje; Westgaard, Sjur; Frydenberg, Stein.
Risk-adjusted Stock Returns and Accounting Based Performance Measures – Evidence from US listed Electric Utilities 2001 – 2010. Workshop on Energy Economics and Management; 2012-05-21 - 2012-05-22
BI NTNU Untitled
 
37 Haugom, Erik; Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur.
Evaluating the effect of intra-daily sampling frequency on Value-at-Risk predictions: Empirical evidence from high-frequency ICE oil futures. ElCarbonRisk Seminar; 2012-05-20 - 2012-05-21
HIL NTNU Untitled
 
38 Haugom, Erik; Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur.
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’; 2012-08-20 - 2012-08-24
HIL NTNU Untitled
 
39 Haugom, Erik; Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur.
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; 2012-10-04 - 2012-10-05
HIL NTNU Untitled
 
40 Lien, Gudbrand; Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte.
Covariance estimation using high-frequency data : an analysis of Nord Pool electricity forward data. Journal of Energy and Power Engineering 2012 ;Volum 6.(4) s. 570-579
HIL HIM NTNU Untitled
 
41 Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur; Higgs, Helen.
Time-varying dependency in European energy markets: an analysis of Nord Pool, European Energy Exchange and Intercontinental Exchange energy commodities. Journal of Energy Markets 2012 ;Volum 5.(2) s. 3-32
HIL NTNU Untitled
 
42 Westgaard, Sjur.
Decision Support Modeling in Energy Markets: Part 1 : LETTER FROM THE GUEST EDITOR. Journal of Energy Markets 2012 ;Volum 5.(2)
NTNU Untitled
 
43 Westgaard, Sjur.
Decision Support Modeling in Energy Markets: Part 2 : LETTER FROM THE GUEST EDITOR. Journal of Energy Markets 2012 ;Volum 5.(3)
NTNU Untitled
 
2011
44 Berg, Terje; Westgaard, Sjur.
Accounting based performance – Evidence from Norwegian listed companies. 2nd Workshop on Management Accounting; 2011-11-08 - 2012-11-10
BI NTNU Untitled
 
45 Berg, Terje; Westgaard, Sjur.
Risk Reporting to the Board of Directors – Comparison of Norwegian Power Companies and Banks. Trondheim Summer Energy Workshop; 2011-06-29 - 2011-06-30
BI NTNU Untitled
 
46 Berg, Terje; Westgaard, Sjur.
Risk Reporting to the Board of Directors – Comparison of Norwegian Power Companies and Banks. Staff seminar; 2011-05-18 - 2011-05-18
BI NTNU Untitled
 
47 Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte; Lien, Gudbrand.
Modelling day-ahead Nord Pool forward-price volatility: realized rolatility versus GARCH models. International Research Journal of Finance and Economics 2011 (67) s. 31-45
HIL HIM NTNU Untitled
 
48 Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte; Lien, Gudbrand.
Realized volatility and the influence of market measures on predictability : an analysis of Nord Pool forward electricity data. Energy Economics 2011 ;Volum 33.(6) s. 1206-1215
HIL HIM NTNU Untitled
 
49 Jokic, Aleksander Vang.
Volatilitetssmilet for europeiske opsjoner RCL ved to ulike prosesser for aksjeprisen. NTNU: Institutt for samfunnsøkonomi 2011
NTNU Untitled
 
50 Nitteberg, Morten Bergendahl.
Implied Risk-Neutral Densities. An application to the WTI Crude Oil market. NTNU: Institutt for samfunnsøkonomi 2011
NTNU Untitled
 
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