Blar i Fakultet for økonomi (ØK) på forfatter "Århus, Gisle Hoel"
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Predicting Shipping Freight Rate Movements Using Recurrent Neural Networks and AIS Data - On the tanker route between the Arabian Gulf and Singapore
Århus, Gisle Hoel; Salen, Stian Røyset (Master thesis, 2018)The purpose of this thesis is twofold. Firstly, we want to predict shipping freight rates in the liquid crude oil tanker market, applying a machine learning technique suitable for processing time-series (sequential) data, ... -
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 ...