Browsing NTNU Open by Author "Westgaard, Sjur"
Now showing items 61-80 of 115
-
Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution
Andresen, Arne; Koekebakker, Steen; Westgaard, Sjur (Journal article; Peer reviewed, 2010)This paper presents a discrete random-field model for forward prices driven by the multivariate normal inverse Gaussian distribution. The model captures the idiosyncratic risk and adequately addresses the heavy tails ... -
Modeling superior predictors for crude oil prices
Westgaard, Sjur; Osmundsen, Petter; Stenslet, Lord Olav Daniel; Ringheim, Jo Kogstad (Journal article; Peer reviewed, 2017)A common perception in the literature is that oil price dynamics are most adequately explained by fundamental supply-and-demand factors. We use a general-to-specific approach and find that financial indicators are even ... -
Modeling the Impact of Financial and Macroeconomic Variables on the Oil Price: - a VAR, Impulse Response and Markov Regime Switching Analysis
Frydenberg, Marina; Bostrøm, Ingvild Grøtte (Master thesis, 2018)Oil is of great importance for the world economy, as it is the worlds largest contributor to the global energy consumption. The oil price movements are closely monitored because a sudden drop can cause ripples through the ... -
Modeling the UK Electricity Market Using Quantile Regression: Scenario analysis of non-linear sensitivities to fundamental variables
Staver, Tiril Toftdal; Kristoffersen, Eline (Master thesis, 2014)This paper develops fundamental quantile regression models for the UK electricity price in each trading period. The sample covers half hourly data from 2005 to 2012. From our analysis we are able to show how the sensitivity ... -
Modeling the UK electricity price distributions using quantile regression
Hagfors, Lars Ivar; Bunn, Derek; Kristoffersen, Eline; Staver, Tiril Toftdahl; Westgaard, Sjur (Journal article; Peer reviewed, 2016)In this paper we develop fundamental quantile regression models for the UK electricity price in each trading period. Intraday properties of price risk, as represented by the predictive distribution rather than expected ... -
Modelling day-ahead Nord Pool forward-price volatility: realized rolatility versus GARCH models
Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte; Lien, Gudbrand (Journal article, 2011)The argument that better volatility estimates can be obtained by using standard time-series techniques on non-parametric volatility measures constructed from high- frequency intradaily returns has been prevalent over the ... -
Modelling EURNOK Returns using Genetic Programming Symbolic Regression
Myrseth, Mika Løset; Røstum, Silje Mangersnes; Vestrum, Benedicte Chen (Master thesis, 2023)Denne masteroppgaven undersøker ikke-lineære sammenhenger mellom den norske kronen og makroøkonomiske faktorer for å bedre forstå bevegelser i kronekursen. Genetic Programming Symbolic Regression (GPSR) brukes til å utvikle ... -
Modelling Stock Returns and Risk Management in the Shipping Industry
Mohanty, Sunil K.; Ådland, Roar Os; Westgaard, Sjur; Frydenberg, Stein; Lillienskiold, Hilde; Kristensen, Cecilie (Peer reviewed; Journal article, 2021)We estimate the impact of macroeconomic risk factors on shipping stock returns, using a quantile regression (QR) model. We regress the excess return of a portfolio for the container, dry bulk, chemical/gas, oil tanker, and ... -
The Norwegian financial bond market : A comprehensive market review with an empirical analysis of the main drivers of spreads
De Lange, Petter Eilif; Aamo, Per Egil; Westgaard, Sjur (Peer reviewed; Journal article, 2018)In this paper, we examine the Norwegian financial bond market, i.e. the market for bonds issued by Norwegian banks. We describe the market by characterizing the market participants in the different securities on both the ... -
Oil and Gas Risk Factor Sensitivities for US Energy Companies
Westgaard, Sjur; Osmundsen, Petter; Frydenberg, Stein; Tjaaland, sturla (Journal article; Peer reviewed, 2016) -
Oil Price Realized Volatility Forecasts: The Role of Implied Volatility, Past Returns, Bid-Ask Spread and Slope of the Futures Curve
Langeland, Henrik Søyland (Master thesis, 2013)In this paper volatility forecasting in the WTI futures market is approached with a focus on identifying useful forecasting variables. A realized volatility (RV) time series based on high frequency data is constructed and ... -
On the Estimation of Extreme Values for Risk Assessment and Management: The ACER Method
Dahlen, Kai Erik; Solibakke, Per Bjarte; Westgaard, Sjur; Næss, Arvid (Journal article; Peer reviewed, 2015)In this paper we use an Average Conditional Exceedance Rate (ACER) method to model the tail of the price change distribution of daily spot prices in the Nordic electricity market, Nord Pool Spot. We use an AR-GARCH model ... -
On the Exchange Rate Dynamics of the Norwegian Krone
Risstad, Morten; Thodesen, Airin; Thune, Kristian August; Westgaard, Sjur (Peer reviewed; Journal article, 2023)Global energy production is undergoing a transition from fossils to renewables. At the same time, the Norwegian Oil Fund has grown exponentially in size and is now a major global investor. These events in combination are ... -
Optimal hedging strategies for salmon producers
Schütz, Peter; Westgaard, Sjur (Journal article; Peer reviewed, 2018)We study the optimal hedging decisions for a risk-averse salmon producer. The hedging decisions are determined using a multistage stochastic programming model. The objective is to maximize the weighted sum of expected ... -
Optimal management of green certificates in the Swedish-Norwegian market
Benth, Fred Espen; Eriksson, Marcus Karl Viren; Westgaard, Sjur (Journal article, 2017)We propose and investigate a valuation model for the income of selling tradeable green certificates (TGCs) in the Swedish–Norwegian market, formulated as a singular stochastic control problem. Our model takes into account ... -
Optimizing Hedging Strategies for Hydropower Producers Using Forwards: Investigating the Effects of Seasonality in the Price-Load Relationship for the Norwegian Electricity Market
Ek, Karen Marie Nebb; Thorbjørnsen, Ingrid S (Master thesis, 2014)When there is seasonality in the price or volume of a commodity, risk management strategies ought to be adjusted accordingly. Using the Norwegian electricity market as a case, this thesis examines the gains from implementing ... -
Pairs Trading in the Aluminum Market: A Cointegration Approach
Reiakvam, Oddvar Hallset; Thyness, Stian Borgen (Master thesis, 2011)This paper applies various ways of constructing statistical arbitrage trading rules for aluminum securities. The paper use daily observations of stocks, futures and two securities supposed to mirror the return of physical ... -
Performing price scenario analysis and stress testing using quantile regression: A case study of the Californian electricity market
Westgaard, Sjur; Fleten, Stein-Erik; Negash, Ahlmahz; Botterud, Audun; Bogaard, Katinka; Verling, Trude Haugsvær (Peer reviewed; Journal article, 2020)This paper uses quantile regression to demonstrate how electricity price distributions are linked to fundamental supply and demand variables. It investigates the California electricity market (zone SP15) for selected trading ... -
Predicting Distributions of Credit Spread Changes in the Era of Quantitative Easing
Zahl, Herman Marelius (Master thesis, 2022)Flere modeller for prediksjon av fremtidige fordelinger av kredittspread-endringer er spesifisert og testet. Modeller bestående av prinsipalkomponenter fra risikofri rentekurve og kredittspreadkurve viser seg å være ... -
Predicting interest rate distributions using PCA & quantile regression
Pimentel, Rita; Risstad, Morten; Westgaard, Sjur (Peer reviewed; Journal article, 2022)Principal component analysis (PCA) is well established as a powerful statistical technique in the realm of yield curve modeling. PCA based term structure models typically provide accurate fit to observed yields and explain ...