Browsing NTNU Open by Author "Westgaard, Sjur"
Now showing items 1-20 of 78
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A Comparative Analysis of Price Drivers of Day-Ahead Electricity Prices in EPEX and Nord Pool
Sator, Alma; Kamperud, Hilde Hørthe (Master thesis, 2016)European energy markets have undergone, and will continue to undergo, large changes in coming years, as the share of renewable energy power production increases and markets become more interconnected. We analyze the ... -
A comparison of implied and realized volatility in the Nordic power forward market
Birkelund, Ole Henrik; Haugom, Erik; Molnar, Peter; Opdal, Martin; Westgaard, Sjur (Journal article; Peer reviewed, 2015)In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied volatility index with a fixed time to maturity. This index is compared to a realized volatility time series ... -
A Comparison of Selected Real Options Valuation Approaches to the Net Present Value Method for an Investment Opportunity in Onshore Wind: An analysis of the specific case of Stokkfjellet Wind Farm, Sør-Trøndelag, Norway
Myran, Ida O'Sullivan; Heggelund, Caroline (Master thesis, 2014)The industry standard among renewable energy companies is to value projects using the traditional discounted cash flow method. Unfortunately, discounted cash flows do not incorporate the value of flexibility. This makes ... -
A quantitative approach to asset allocation and trading
Bjørnsen, John Magne Skeisvoll; Heir, Håkon; Høsøien, Amund (Master thesis, 2012)This thesis evaluates and verifies technical trading strategies and risk management tools on the behalf of Holden Capital AS. The strategies are quantitatively formulated by constructing a complete base trading model. The ... -
A Study of the Performance of Value-At-Risk Averaging and Expected Shortfall Averaging in the Nordic Power Futures Market
Aaløkken, Maurits Mogenssøn; Sveinsson, Jørgen Andersen (Master thesis, 2019)I denne oppgaven undersøker vi hvordan kjente univariate risikomodeller brukt til Value-at-Risk(VaR) og Expected Shortfall(ES) presterer i det meget volatile markedet for fremtidskontrakter på strøm, for deretter å undersøke ... -
A Study of the Performance of Value-at-Risk Averaging and Expected Shortfall Averaging in the Nordic Power Futures Market
Aaløkken, Maurits Mogenssøn; Sveinsson, Jørgen Andersen (Master thesis, 2019)I denne oppgaven undersøker vi hvordan kjente univariate risikomodeller brukt til Value-at-Risk(VaR) og Expected Shortfall(ES) presterer i det meget volatile markedet for fremtidskontrakter på strøm, for deretter å undersøke ... -
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 ... -
Analysis of Hedge Ratios and Hedging Effectiveness of Atlantic Salmon Futures
Raknes, Silje Eidsheim (Master thesis, 2016)Over the years salmon farming has become one of the most important industries in Norway. Nevertheless, salmon is known to be a price-volatile commodity. In June 2006, an Atlantic salmon futures contract was listed on Fish ... -
Bruk av analyseteknikker og fastsettelse av avkastningskrav ved investeringsbeslutninger: En studie av praksis blant Norges største bedrifter
Osteby, Lise Korsemmoosor; Nesse, Line Graff (Master thesis, 2012)Frem til tidlig 2000-tallet ble det gjennomført flere studier som kartlegger praksis ved investeringsbeslutninger. Få av disse studiene fokuserte på den norske praksisen. I forbindelse med vår masteravhandling ønsket vi ... -
Can commodities dominate stock and bond portfolios?
Henriksen, Tom Erik Sønsteng; Pichler, Alois; Westgaard, Sjur; Frydenberg, Stein (Journal article; Peer reviewed, 2018)In this article we discuss whether commodities should be included as an asset class when establishing portfolios. By investigating second order stochastic dominance relations, we find that the stock and bond indices tend ... -
Can Google Search be Used as a Housing Bubble Indicator? - a US 2006/07 Bubble Case Study
Eidjord, Ole Martin (Master thesis, 2017)The aim of this paper is to operationalize five out of seven points in Shiller s (2010) asset-pricing bubble checklist, using Google Trends. Our approach is two folded. First, we test search terms, related to housing, ... -
Can The U.S. Stock Market Predict The U.K. Stock Market? - Evidence From S&P 500 and FTSE 100
Nergård, Christina Væting; Sommerseth, Martin Lysø; Waagbø, Sjur August (Master thesis, 2018)The purpose of the study is to investigate whether price movements in the U.S. stock market can be used predict price movements in the U.K. stock market. The stock markets are represented by the S&P 500 and the FTSE 100, ... -
Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression
Steen, Marie; Westgaard, Sjur; Gjølberg, Ole (Journal article; Peer reviewed, 2015)Commodities constitute a nonhomogeneous asset class. Return distributions differ widely across different commodities, both in terms of tail fatness and skewness. These are features that we need to take into account when ... -
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 ... -
Determinants of implied volatility and implied skewness for WTI crude oil
Tangen, Fredrik; Vasseng, Kristine (Master thesis, 2018)We analyze empirically what drives changes in the volatility smile for WTI crude oil, by calculating at-the-money implied volatility and a proxy for implied skewness on nearby future options from 25.07.2006 to 03.03.2016. ... -
Effektene av implisitt volatilitet på predikasjon av realisert volatilitet på forwards i det nordiske kraftmarkedet
Opdal, Martin; Birkelund, Ole Henrik (Master thesis, 2014)I denne oppgaven blir implisitt og realisert volatilitet på forwards i det Nordiske kraftmarkedet studert. Først blir en indeks for implisitt volatilitet konstruert med en fast tidshorisont. Denne indeksen blir så sammenlignet ... -
Electricity futures prices: time-varying sensitivity to fundamentals
Fleten, Stein-Erik; Huisman, Ronald; Kilic, Mehtap; Pennings, Enrico; Westgaard, Sjur (Journal article, 2015)This paper provides insight into the time-varying relation between electricity futures prices and fundamentals in the form of contract prices for fossil fuels. As supply curves are not constant and different producers have ... -
En vurdering av hvordan fundamentale faktorer påvirker elektrisitetsprisen - Kvantilregresjonsanalyse av NordPool
Weberg, Oda; Grøv, Karoline (Master thesis, 2014)I foreliggende oppgave er det undersøkt hvordan ulike fundamentale faktorer påvirker elektrisitetsprisen på NordPool. Ved å benytte kvantilregresjon har vi studert påvirkningen over hele prisdistribusjonene. Etter ... -
Essays on electricity price modelling
Hagfors, Lars Ivar (Doctoral theses at NTNU;2018:302, Doctoral thesis, 2018)This doctoral thesis consists of 6 separate research essays. The essays all use various econometric modelling techniques to examine different aspects of the move towards cleaner energy in Europe, from an economic point of ... -
Evaluating Optimal Cost-Effectiveness of Demand Response in Wholesale Markets
Negash, Ahlmazh I.; Westgaard, Sjur (Journal article; Peer reviewed, 2018)Economic demand response (DR) is intended to lower locational marginal prices (LMP) in wholesale energy markets during peak hours. DR resources are paid LMP and that cost is allocated to energy buyers. Market operators use ...