Blar i NTNU Open på forfatter "Kristensen, Cecilie"
-
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. ...