Blar i NTNU Handelshøyskolen på forfatter "Westgaard, Sjur"

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    • Assessing the explanatory power of dwelling condition in automated valuation models 

      Oust, Are; Westgaard, Sjur; Waage, Jens Erik; Yemane, Nahome Kidane (Peer reviewed; Journal article, 2023)
      This study investigates the role of dwelling-condition attributes in automated valuation models (AVMs) by utilizing detailed dwelling-condition assessment reports in Norway. A hedonic linear regression model, a gradient ...

    • 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 ...

    • 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. ...

    • Forecasting Price Distributions in the German Electricity Market 

      Westgaard, Sjur; Paraschiv, Florentina; Ekern, Lina Lasessen; Naustdal, Ingrid; Roald, Malene (Chapter, 2018)
      Electricity price distributional forecasts are crucial to energy risk management. In this paper we model and forecast Value at Risk (VaR) for the German EPEX spot price using variable selection with quantile regression, ...

    • Fundamental investeringsstrategi: En følge av idiosynkratisk volatilitets-paradoksets asymmetriske arbitrasje? 

      Hjertø, Frederick G.; Holan, Martin A. (Master thesis, 2018)
      Several researchers argue that fundamental investment strategies consistently outperform the market, without increasing risk. We investigate whether an accounting-based fundamental analysis (Fscore) strategy can be used ...

    • 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 ...

    • 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 ...