Blar i NTNU Open på forfatter "Andresen, Arne"

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    • Analysis and Forecasting of Electricity Price Risks with Quantile Factor Models 

      Bunn, Derek; Andresen, Arne; Chen, Dipeng; Westgaard, Sjur (Journal article, 2015)
      Forecasting quantile and value-at-risk levels for commodity prices is methodologically challenging because of the distinctive stochastic properties of the price density functions, volatility clustering and the importance ...

    • Econometric Modeling of Electricity Markets 

      Andresen, Arne (Doktoravhandlinger ved NTNU, 1503-8181; 2013:12, Doctoral thesis, 2013)

    • 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 ...

    • Multi-factor models and the risk premiums: a simulation study 

      Andresen, Arne; Sollie, Johan Magne (Journal article; Peer reviewed, 2013)
      The estimation of commodity spot price models often involves the estimation of risk premiums. We show in a simulation study that the market prices of risk cannot be accurately estimated using two popular estimation techniques; ...

    • Romlig interpolering av nedbør 

      Andresen, Arne (Master thesis, 2006)
      I denne oppgaven brukes enkel kriging til å interpolere nedbørsmålinger med tidsoppløsning ett døgn hentet fra 28 nedbørsstasjoner som befinner seg på og omkring Hardangervidda. Historiske tidsserier fra nedbørsstasjonene ...