Browsing NTNU Open by Author "Kristensen, Cecilie"

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    • 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 ...

    • Modelling the return distribution of shipping stocks using quantile regression 

      Ekrem, Hilde; Kristensen, Cecilie (Master thesis, 2016-09-21)
      This article models the risk profile of shipping stocks using the quantile regression approach. The method enables calculation and stress testing of Value-at-Risk (VaR) directly from the estimated conditional quantiles. ...