Browsing NTNU Open by Author "Frydenberg, Marina"
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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 ... -
Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk
Westgaard, Sjur; Århus, Gisle Hoel; Frydenberg, Marina; Frydenberg, Stein (Journal article; Peer reviewed, 2019)This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market. We make in-sample, one-day-ahead VaR forecasts using one ...