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Browsing Institutt for samfunnsøkonomi by Author 
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Browsing Institutt for samfunnsøkonomi by Author "Westgaard, Sjur"

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    • Implied Risk-Neutral Densities: An application to the WTI Crude Oil market 

      Nitteberg, Morten Bergendahl (Master thesis, 2011)
    • Modeling the UK Electricity Market Using Quantile Regression: Scenario analysis of non-linear sensitivities to fundamental variables 

      Staver, Tiril Toftdal; Kristoffersen, Eline (Master thesis, 2014)
      This paper develops fundamental quantile regression models for the UK electricity price in each trading period. The sample covers half hourly data from 2005 to 2012. From our analysis we are able to show how the sensitivity ...
    • Variance Risk Premiums on the S&P 500, Nasdaq 100, Euro Stoxx 50, FTSE 100, SMI, DAX and the United States Oil Fund 

      Øverås, Roar (Master thesis, 2011)
      In this thesis I investigate the variance risk premiums, defined as the difference between the markets implied variance and subsequent realised variance, in equity index and oil futures markets. I describe how the square ...

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