Blar i NTNU Open på forfatter "Westgaard, Sjur"
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Predicting monthly bulk shipping freight rates
Ringheim, Jo Kogstad; Stenslet, Lord Olav Daniel (Master thesis, 2017)The main purpose of this thesis is to provide best possible one-month forecasts of both dry bulk (Baltic Dry Index) and tanker (Baltic Dirty Tanker Index) freight rates. In order to find superior leading rate predictors, ... -
Predicting Shipping Freight Rate Movements Using Recurrent Neural Networks and AIS Data - On the tanker route between the Arabian Gulf and Singapore
Århus, Gisle Hoel; Salen, Stian Røyset (Master thesis, 2018)The purpose of this thesis is twofold. Firstly, we want to predict shipping freight rates in the liquid crude oil tanker market, applying a machine learning technique suitable for processing time-series (sequential) data, ... -
Predicting the Distribution of the Atlantic Salmon Spot Price Using Quantile Regression
Sandaker, Kristian; Mjaugeto, Paal Olav Warbo; Steinshamn, Kjartan Berge (Master thesis, 2017)The growth in salmon farming production has outperformed the average growth in aquaculture production during the last decades. Alongside this growth, the industry has strengthened its presence in the capital markets. ... -
Prediction of realized volatility and implied volatility indices using AI and machine learning: A review
Gunnarsson, Elias Søvik; Isern, Håkon Ramon; Kaloudis, Aris; Risstad, Morten; Vigdel, Benjamin; Westgaard, Sjur (Journal article; Peer reviewed, 2024)In this systematic literature review, we examine the existing studies predicting realized volatility and implied volatility indices using artificial intelligence and machine learning. We survey the literature in order to ... -
Price-Volatility Modeling in the US Natural Gas Market
Rikter-Svendsen, Torstein; Kielland, Cecilie Nilsen; Heineman, Bjørn (Master thesis, 2012)Understanding price-volatility in the natural gas market is important as it affects new investments and the behavior of market participants. In this paper the volatility of US natural gas prices is investigated using daily ... -
Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil
Chen, Jilong; Ewald, Christian Oliver; Ouyang, Ruolan; Westgaard, Sjur; Xiao, Xiaoxia (Peer reviewed; Journal article, 2021)In this paper we introduce a three factor model to price commodity futures contracts. This model allows both the spot price volatility and convenience yield to be stochastic, nevertheless futures prices can be obtained ... -
Real Options Approach to Analyse the Attractiveness of Different Grid Solutions for Offshore Wind Projects: A Case Study from Norway
Hodt, Ane Bakken; Hodt, June Bakken (Master thesis, 2022)På veien mot klimanøytralitet og etablering av ny grønn industri i Norge, har den norske regjeringen nylig avslørt planer for hvordan en storskala utbygging av havvind på norsk kontinentalsokkel skal realiseres. Formålet ... -
Risk - A Cost to Allocate?: An Emipirical Study of Business Practice
Forland, Sven Ivar; Upadhyay, Varun (Master thesis, 2011)The combination of risk management and cost allocation in order to allocate risk in a sensible manner is a field with not much existing theory. The ABC (Activity Based Costing) model seems as an appropriate cost allocation ... -
Risk factor analysis across business segments in the US equity market
Alvestad, Sveinung; Glover, Dan Erik Harlem (Master thesis, 2012)This report examines whether the excess total return to shareholders could be projected by common accounting and market ratios using regression analysis. Our four most important results indicate that; 1) growth stocks ... -
Risk factors in stock returns of U.S. oil and gas companies: evidence from quantile regression analysis
Mohanty, Sunil K.; Frydenberg, Stein; Osmundsen, Petter; Westgaard, Sjur; Skjøld, Christian (Journal article; Peer reviewed, 2022) -
Risk Modelling in Energy Markets: A Value at Risk and Expected Shortfall Approach
Almli, Eldar Nikolai; Rege, Torstein (Master thesis, 2011)Value at risk (VaR) and Expected Shortfall (ES) are commonly used risk measures in the financial literature. They have however not been applied to a great extent on energy derivatives. This paper compares the performance ... -
Risk modelling using Vine Copulas: Modelling an energy company portfolio
Haukaas, Magnus Solli; Huse, Paul Ingebrigt; Benterud, Jostein Larsen (Master thesis, 2013)In this paper, a method for calculating Value-at-Risk using GARCH and Vine Copulamodelling with various marginals is implemented and tested on a set of eight electricity futures. The forecasts from this model are then ... -
Risk Parity Stock Optimization Using Principal Component Quantile Simulation
Fagerholt, Anders Loe; Aanonsen, Bård Ø. (Master thesis, 2016)Today's portfolio optimization models are often too sensitive to stochastic input parameters and the use of outdated risk measures, resulting in poor risk adjusted return. This thesis presents a solution to avoid these ... -
Risk Premium in the Nordic Power Market: A Quantile Regression Analysis
Ringstad, Andreas Won Chul; Aga, Kjetil (Master thesis, 2013)Electricity is a highly volatile commodity and the risk premium affects marketparticipants who use financial contracts. In this thesis, the risk premium in theNordic electricity market is investigated using data from 2009 ... -
Spread Trading in Brent Crude Futures - A stochastic approach to intraday calendar spread trading
Haugland, Daniel Vårdal; Abelvik-Engmark, August (Master thesis, 2018)In this thesis, we propose an intradaily spread trading strategy based on a stochastic process model. We go on to examine whether this strategy can be profitably applied in Brent Crude oil futures markets over the Jan-2015 ... -
Stochastic Volatility Modeling of Emission Allowances Futures Prices in the European Union Emission Trading System Market
Benth, Fred Espen; Eriksson, Marcus Karl Viren; Westgaard, Sjur (Chapter, 2017)We conduct an empirical investigation of the logreturns of the futures prices of the European Union Emission Trading System emission certificates traded in the Nord Pool market between 2005 and 2013. We observe heaviness, ... -
Stock markets during COVID-19
Tran, Vu Le; Westgaard, Sjur; Lavrutich, Maria (Peer reviewed; Journal article, 2022)This paper reviews the literature that addresses the stock pricing implications of the COVID-19 outbreak. Stock prices dropped substantially in March 2020 as a reaction to the onset of the COVID-19 pandemic; however, they ... -
Stock Return Prediction Using Artificial Neural Networks and Google Search Volumes
Teisberg, Cecilie; Håkegård, Rakel (Master thesis, 2018)We investigate the predictability of abnormal stock returns using artificial neural networks, and examine whether Google search volume data can enhance such predictions. Our results show that the neural network models ... -
Temporal variations in the tail indices of German natural gas prices
Sæther, Bjarne (Master thesis, 2022)Naturgass er en viktig innsatsfaktor for oppvarming og elektrisitetsproduksjon i Tyskland. I de senere årene har prisene på naturgass steget mye og volatiliteten har økt. Kombinasjonen av lavere hjemlig naturgassproduksjon ... -
Term Premia in Norwegian Government Bond Yields
De Lange, Petter Eilif; Risstad, Morten; Westgaard, Sjur (Peer reviewed; Journal article, 2022)The typically observed upward sloping nominal yield curve implies that investors demand positive risk premia – or term premia – to hold long-term nominal bonds. Fundamentally, the term premium is compensation to investors ...