Browsing NTNU Open by Author "Solibakke, Per Bjarte"
Now showing items 1-20 of 23
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All eyes on the Money A multiple case study of Norwegian Banks work against money laundering
Krogsæter, Ole Kristian; Thorisdottir, Berglind Thora Røstad (Master thesis, 2022)Denne oppgaven utforsker hvordan implementeringen av Hvitvaskingsloven (loven) fra 2018 pågår i de norske bankene, og om implementeringen har endret bankenes posisjon i samfunnet. Tidligere forskning har sett på implementering ... -
Bootstrapped Nonlinear Impulse-Response Analysis: The FTSE100 (UK) and the NDX100 (US) Indices 2012-2021
Solibakke, Per Bjarte (Peer reviewed; Journal article, 2021)This paper presents bootstrapped nonlinear impulse response function analyses for general step ahead mean and volatility densities. From strictly (ergodic and) stationary series and BIC optimal non-linear model coefficients ... -
Brunstad AS Entering the French Market.
Solevåg, Kristine Mjelde (Master thesis, 2016)International marketing has become an important part of businesses around the world. There are several different entry strategies available, and a number of factors must be considered to be able to choose the right strategy ... -
Constant relative risk aversion utility and consumption CAPM: discount factors and risk aversions for Norway, Sweden, and the UK
Solibakke, Per Bjarte (Journal article; Peer reviewed, 2024)This paper applies the newly suggested Markov chained Monte Carlo Surface Sampling Algorithm of Zappa estimating European discount factors and relative risk aversions for the CRRA utility functions based on the consumption ... -
Covariance estimation using high-frequency data : an analysis of Nord Pool electricity forward data
Lien, Gudbrand; Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte (Journal article, 2012)The modeling of volatility and correlation is important in order to calculate hedge ratios, value at risk estimates, CAPM betas, derivate pricing and risk management in general. Recent access to intra-daily high-frequency ... -
Derivation of econometric estimable functions of intra-trade industry: the case of the Norwegian intra-continental import trade pattern
Tesfay, Yohannes Yebabe; Solibakke, Per Bjarte (Journal article; Peer reviewed, 2017)This paper evaluates the item based Norwegian intra-continental trade pattern. The paper derives the best linear unbiased estimator (BLUE) of estimable functions of the two-stage non-full rank hierarchical linear econometric ... -
Empirical Study of Day-Ahead Electricity Spot-Price Forecasting: Insights into a Novel Loss Function for Training Neural Networks
Loutfi, Ahmad Amine; Sun, Mengtao; Loutfi, Ijlal; Solibakke, Per Bjarte (Peer reviewed; Journal article, 2022)Within deregulated economies, large electricity volumes are traded in daily spot markets, which are highly volatile. To develop profitable trading strategies, all stakeholders must be empowered with robust forecasting ... -
Essays on the IFRS based Financial Accounting Research
Kainth, Akarsh (Doctoral theses at NTNU;2023:169, Doctoral thesis, 2023)SAMMENDRAG Internasjonale regnskapsstandarder (IFRS) er kjent for å forbedre transparens, kvalitet på finansiell rapportering og internasjonal sammenstilling av finansielle rapporter. Siden EU innførte krav om bruk av ... -
Forecasting Stochastic Volatility Characteristics for the Finan-cial Fossil Oil Market Densities
Solibakke, Per Bjarte (Peer reviewed; Journal article, 2021)This paper builds and implements multifactor stochastic volatility models for the international oil/energy markets (Brent oil and WTI oil) for the period 2011-2021. The main objective is step ahead volatility predictions ... -
The ICE Carbon (EUC) and Brent Oil Contracts: Volatility (Co-)Movements and Forecasts
Solibakke, Per Bjarte (Chapter, 2021)This research looks at the conditional mean and volatility densities for the nearest maturities of renewable Carbon and fossil Brent Oil Futures contracts. The primary goal is to characterize the features of volatility ... -
Intercontinental variations of the import trade pattern of Norway: applications to best linear unbiased estimable functions of hierarchical econometric model
Tesfay, Yohannes Yebabe; Solibakke, Per Bjarte (Journal article; Peer reviewed, 2017)This paper’s main purpose is an analysis of the intercontinental variations of Norwegian import expenditures based on yearly import data from 1988 to 2014. We estimate functions for the best linear unbiased estimator (BLUE) ... -
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 volatility in financial electricity contracts
Holan, Magnus Ofstad; Ekornesvåg, Christian H. (Master thesis, 2020)Når finansmarkedene priser en opsjon, er det eneste ukjente parametere den fremtidige volatiliteten til det underliggende verdipapiret. Prisen til et verdipapir svinger relativt sakte når markedsforholdene er rolige, og ... -
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 ... -
Projecting and Forecasting Stochastic Volatility Characteristics for the Nasdaq OMX Nordic/Baltic Financial Electricity Markets
Solibakke, Per Bjarte (Journal article, 2021)This paper builds, implements and interprets multifactor stochastic volatility models for the Nordic/Baltic electricity markets. The main objective is step ahead volatility projections followed by volatility forecasts and ... -
Projecting and Forecasting the Latent Volatility for the Nasdaq OMX Nordic/Baltic Financial Electricity Market Applying Stochastic Volatility Market Characteristics
Solibakke, Per Bjarte (Journal article; Peer reviewed, 2022) -
Step-ahead Spot Price Densities using daily Synchronous Price and Wind Forecast Changes
Solibakke, Per Bjarte (Peer reviewed; Journal article, 2020)This paper uses non‐linear methodologies to follow the synchronously reported relationship between the Nordic/Baltic electric daily spot auction prices and geographical relevant wind forecasts in MWh from early 2013 to ... -
Stochastic Volatility Models Predictive Relevance for Equity Markets
Solibakke, Per Bjarte (Book, 2020)This paper builds and implements multifactor stochastic volatility models where the main objective is step ahead volatility prediction and to de-scribe its relevance for the equity markets. The paper outlines stylised ... -
Stochastic Volatility Models Predictive Relevance for Equity Markets
Solibakke, Per Bjarte (Book, 2020) -
Structure of the Norwegian imports trade concentration : the seemingly unrelated autoregressive regression modelling approach
Tesfay, Yohannes Yebabe; Solibakke, Per Bjarte (Peer reviewed; Journal article, 2016)Purpose: This article is proposed to analyse the structure of the trade concentration index (HHI) of Norwegian imports across continents. Design/ Methodology/ Approach: The paper analyse the concentration index (HHI) by ...