Sjur Westgaard
About
I am a MSc and PhD in Industrial Economics from Norwegian University of Science and Technology and a MSc in Finance from Norwegian School of Business and Economics. I have worked as an investment portfolio manager for an insurance company, a project manager for a consultant company, and as a credit analyst for an international bank. I am now a Professor at the Norwegian University of Science and Technology and has also an adjunct position at Lillehammer University College. My teaching involves economics and finance, and economic and financial forecasting. My main research interests covers financial risk management and forecasting for financial institutions and industry corporations. I have been a project manager for several research projects involving power companies and the Norwegian Research Council. I am one of the founders and editors of Journal of Commodity Markets. I am also an associate editor in Journal of Energy Markets and have previously been an associate editor of Journal of Banking and Finance.
Publications
2024
-
Gunnarson, Elias;
Isern, Håkon Ramon;
Kaloudis, Aristidis;
Vigdel, Benjamin;
Westgaard, Sjur.
(2024)
Prediction of realized volatility and implied volatility indices using AI and machine learning: A review.
International Review of Financial Analysis
Academic literature review
2023
-
de Lange, Petter Eilif;
Risstad, Morten;
Semmen, Kristian;
Westgaard, Sjur.
(2023)
Term Premia in Norwegian Interest Rate Swaps.
Journal of Risk and Financial Management
Academic article
-
Risstad, Morten;
Thodesen, Airin;
Thune, Kristian August;
Westgaard, Sjur.
(2023)
On the Exchange Rate Dynamics of the Norwegian Krone.
Journal of Risk and Financial Management
Academic article
-
Oust, Are;
Westgaard, Sjur;
Waage, Jens Erik;
Yemane, Nahom Kidane.
(2023)
Assessing the Explanatory Power of Dwelling Condition in Automated Valuation Models.
Journal of Real Estate Research
Academic article
2022
-
Fiskin, Cemile Solak;
Turgut, Ozgu;
Westgaard, Sjur;
Cerit, A. Güldem.
(2022)
Time series forecasting of domestic shipping market: Comparison of SARIMAX, ANN-based models and SARIMAX-ANN hybrid model.
International Journal of Shipping and Transport Logistics
Academic article
-
De Lange, Petter Eilif;
Risstad, Morten;
Westgaard, Sjur.
(2022)
Estimating value-at-risk using quantile regression and implied volatilities.
Journal of Risk Model Validation
Academic article
-
Myrland, Caroline Aarvold;
De Lange, Petter Eilif;
Westgaard, Sjur;
Schlingloff, André.
(2022)
Examining classical capital structure models of debt utilization decisions in Norwegian SME shipping companies.
Beta
Academic article
-
De Lange, Petter Eilif;
Melsom, Borger Christopher;
Vennerød, Christian Bakke;
Westgaard, Sjur.
(2022)
Explainable AI for Credit Assessment in Banks.
Journal of Risk and Financial Management
Academic article
-
Mohanty, Sunil K.;
Frydenberg, Stein;
Osmundsen, Petter;
Westgaard, Sjur;
Skjøld, Christian Chartcai.
(2022)
Risk factors in stock returns of U.S. oil and gas companies: evidence from quantile regression analysis.
Review of Quantitative Finance and Accounting
Academic article
-
Melsom, Borger Christopher;
Vennerød, Christian Bakke;
De Lange, Petter Eilif;
Hjelkrem, Lars Ole;
Westgaard, Sjur.
(2022)
Explainable artificial intelligence for credit scoring in banking.
Journal of Risk
Academic article
-
De Lange, Petter Eilif;
Risstad, Morten;
Westgaard, Sjur.
(2022)
Term Premia in Norwegian Government Bond Yields.
Beta
Academic article
-
Tran, Vu Le;
Westgaard, Sjur;
Lavrutich, Maria.
(2022)
Stock markets during COVID-19.
Beta
Academic literature review
-
Pimentel, Rita;
Risstad, Morten;
Westgaard, Sjur.
(2022)
Predicting interest rate distributions using PCA & quantile regression.
Digital Finance
Academic article
-
Schönheit, David;
Homann, Lasse Claas Mathis;
Möst, Dominik;
Westgaard, Sjur.
(2022)
Measuring the effect of corrective short-term updates for wind energy forecasts on intraday electricity prices.
Journal of Energy Markets
Academic article
2021
-
Westgaard, Sjur;
Frydenberg, Stein;
Mohanty, Sunil K..
(2021)
Fourteen large commodity trading disasters: What happened and what can we learn?.
Journal of Commodity Markets
Academic literature review
-
Chen, Jilong;
Ewald, Christian Oliver;
Ouyang, Ruolan;
Westgaard, Sjur;
Xiao, Xiaoxia.
(2021)
Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil.
Annals of Operations Research
Academic article
-
Mohanty, Sunil K.;
Ådland, Roar Os;
Westgaard, Sjur;
Frydenberg, Stein;
Lillienskiold, Hilde;
Kristensen, Cecilie.
(2021)
Modelling Stock Returns and Risk Management in the Shipping Industry.
Journal of Risk and Financial Management
Academic article
2020
-
Sveinsson, Jørgen Andersen;
Frydenberg, Stein;
Westgaard, Sjur;
Aaløkken, Maurits Mogenssøn.
(2020)
Performance of value-at-risk averaging in the Nordic power futures market.
Journal of Energy Markets
Academic article
-
Westgaard, Sjur;
Fleten, Stein-Erik;
Negash, Ahlmahz;
Botterud, Audun;
Bogaard, Katinka;
Verling, Trude Haugsvær.
(2020)
Performing price scenario analysis and stress testing using quantile regression: A case study of the Californian electricity market.
Energy
Academic article
-
Sebastião, Helder;
Godinho, Pedro;
Westgaard, Sjur.
(2020)
Using Machine Learning to Profit on the Risk Premium of the Nordic Electricity Futures.
Scientific Annals of Economics and Business
Academic article
2019
-
Westgaard, Sjur;
Paraschiv, Florentina;
Ekern, Lina Lasessen;
Naustdal, Ingrid;
Roald, Malene.
(2019)
Forecasting Price Distributions in the German Electricity Market.
Routledge
Academic chapter/article/Conference paper
-
Westgaard, Sjur;
Århus, Gisle Hoel;
Frydenberg, Marina;
Frydenberg, Stein.
(2019)
Value-at-risk in the European energy market:
a comparison of parametric, historical
simulation and quantile regression
value-at-risk.
Journal of Risk Model Validation
Academic article
2018
-
Henriksen, Tom Erik Sønsteng;
Pichler, Alois;
Westgaard, Sjur;
Frydenberg, Stein.
(2018)
Can commodities dominate stock and bond portfolios?.
Annals of Operations Research
Academic article
-
Schütz, Peter;
Westgaard, Sjur.
(2018)
Optimal hedging strategies for salmon producers.
Journal of Commodity Markets
Academic article
-
Haugom, Erik;
Hoff, Guttorm Andre;
Molnar, Peter;
Mortensen, Maria;
Westgaard, Sjur.
(2018)
The Forward Premium in the Nord Pool Power Market.
Emerging markets finance & trade
Academic article
-
Negash, Ahlmazh I.;
Westgaard, Sjur.
(2018)
Evaluating Optimal Cost-Effectiveness of Demand Response in Wholesale Markets.
IEEE Power & Energy Society General Meeting
Academic literature review
-
De Lange, Petter Eilif;
Aamo, Per Egil;
Westgaard, Sjur.
(2018)
The Norwegian financial bond market : A comprehensive market review with an empirical analysis of the main drivers of spreads.
Beta
Academic article
-
Nguyen, Quynh Trang;
Næss, Arvid;
Westgaard, Sjur.
(2018)
VaR Estimation for Crude Oil Data via Different Approaches: Historical Simulations, EVT Model, and ACER Method.
Norwegian University of Science and Technology, Department of Mathematical Sciences
Masters thesis
2017
-
Westgaard, Sjur;
Osmundsen, Petter;
Stenslet, Lord Olav Daniel;
Ringheim, Jo Kogstad.
(2017)
Modeling superior predictors for crude oil prices.
Journal of Energy Markets
Academic article
-
Benth, Fred Espen;
Eriksson, Marcus Karl Viren;
Westgaard, Sjur.
(2017)
Optimal management of green certificates in the Swedish-Norwegian market.
Journal of Energy Markets
Academic article
-
Frydenberg, Stein;
Hrafnkelsson, Kjartan;
Bromseth, Vegard Strand;
Westgaard, Sjur.
(2017)
Hedge Fund Strategies and Time-Varying Alphas and Betas.
The journal of wealth management
Academic article
-
Westgaard, Sjur;
Steen, Marie Gotteberg.
(2017)
Is Beta Dead for Commodities?.
Journal of Investing
Academic article
-
Benth, Fred Espen;
Eriksson, Marcus Karl Viren;
Westgaard, Sjur.
(2017)
Stochastic Volatility Modeling of Emission Allowances Futures Prices in the European Union Emission Trading System Market.
World Scientific
Academic chapter/article/Conference paper
2016
-
Hagfors, Lars Ivar;
Kamperud, Hilde Hørthe;
Paraschiv, Florentina;
Prokozcuk, Marcel;
Sator, Alma;
Westgaard, Sjur.
(2016)
Prediction of extreme price occurrences in the German day-ahead electricity market.
Quantitative finance (Print)
Academic article
-
Tjaaland, Sturla Horpestad;
Westgaard, Sjur;
Osmundsen, Petter;
Frydenberg, Stein.
(2016)
Oil and Gas Risk Factor Sensitivities for U.S. Energy Companies.
Journal of Energy and Development
Academic article
-
Haugom, Erik;
Ray, Rina;
Ullrich, Carl J.;
Veka, Steinar Svartskuren;
Westgaard, Sjur.
(2016)
A parsimonious quantile regression model to forecast day-ahead value-at-risk.
Finance Research Letters
Academic article
-
Hagfors, Lars Ivar;
Paraschiv, Florentina;
Molnar, Peter;
Westgaard, Sjur.
(2016)
Using quantile regression to analyze the effect of renewables on EEX price formation.
Renewable Energy and Environmental Sustainability
Academic article
-
Hagfors, Lars Ivar;
Bunn, Derek;
Kristoffersen, Eline;
Staver, Tiril Toftdahl;
Westgaard, Sjur.
(2016)
Modeling the UK electricity price distributions using quantile regression.
Energy
Academic article
2015
-
Dahlen, Kai Erik;
Solibakke, Per Bjarte;
Westgaard, Sjur;
Næss, Arvid.
(2015)
On the Estimation of Extreme Values for Risk Assessment and Management: The ACER Method.
International journal of business
Academic article
-
Birkelund, Ole Henrik;
Haugom, Erik;
Molnar, Peter;
Opdal, Martin;
Westgaard, Sjur.
(2015)
A comparison of implied and realized volatility in the Nordic power forward market.
Energy Economics
Academic article
-
Huisman, Ronald;
Michels, David;
Westgaard, Sjur.
(2015)
HYDRO RESERVOIR LEVELS AND POWER PRICE DYNAMICS: EMPIRICAL INSIGHT ON THE NONLINEAR INFLUENCE OF FUEL AND EMISSION COST ON NORD POOL DAY-AHEAD ELECTRICITY PRICES.
Journal of Energy and Development
Academic article
-
Fleten, Stein-Erik;
Huisman, Ronald;
Kilic, Mehtap;
Pennings, Enrico;
Westgaard, Sjur.
(2015)
Electricity futures prices: time-varying sensitivity to fundamentals.
Journal of Energy Markets
Academic article
-
Bunn, Derek;
Andresen, Arne;
Chen, Dipeng;
Westgaard, Sjur.
(2015)
Analysis and Forecasting of Electricity Price Risks with Quantile Factor Models.
Energy Journal
Academic article
-
Steen, Marie;
Westgaard, Sjur;
Gjølberg, Ole.
(2015)
Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression.
Journal of Risk Model Validation
Academic article
2014
-
Frydenberg, Stein;
Onochie, Joseph I.;
Westgaard, Sjur;
Midtsund, Nora;
Ueland, Hanna.
(2014)
Long-term relationships between electricity and oil, gas and coal future prices — evidence from Nordic countries, Continental Europe and the United Kingdom.
Opec Energy Review
Academic article
-
Haugom, Erik;
Langeland, Henrik Søyland;
Molnar, Peter;
Westgaard, Sjur.
(2014)
Forecasting volatility of the U.S. oil market.
Journal of Banking & Finance
Academic article
-
Haugom, Erik;
Hoff, Guttorm Andre;
Mortensen, Maria;
Molnar, Peter;
Westgaard, Sjur.
(2014)
The forecasting power of medium-term futures contracts.
Journal of Energy Markets
Academic article
-
Haugom, Erik;
Veka, Steinar Svartskuren;
Lien, Gudbrand;
Westgaard, Sjur.
(2014)
Estimating and evaluating Value-at-Risk forecasts based on realized variance: empirical evidence from ICE Brent Crude oil futures.
Opec Energy Review
Academic article
-
Haugom, Erik;
Lien, Gudbrand;
Veka, Steinar Svartskuren;
Westgaard, Sjur.
(2014)
Covariance estimation using high-frequency data: Sensitivities of estimation methods.
Economic Modelling
Academic article
-
Westgaard, Sjur;
Veka, Steinar Svartskuren;
Haugom, Erik;
Lien, Gudbrand.
(2014)
A note on the risk characteristics of european energy futures markets :.
Beta
Academic article
-
Westgaard, Sjur.
(2014)
Energy Spread Modeling Using Copulas
.
Palgrave Macmillan
Academic chapter/article/Conference paper
2013
-
Frydenberg, Stein;
Reiakvam, Oddvar Hallset;
Thyness, Stian Borgen;
Westgaard, Sjur.
(2013)
Hedge Funds—Risk Exposure in Different Quantiles and Market Sentiments.
Journal of Investing
Academic article
-
Arvesen, Øystein;
Medbø, Vegard Gjelsvik;
Fleten, Stein-Erik;
Tomasgard, Asgeir;
Westgaard, Sjur.
(2013)
Linepack storage valuation under price uncertainty.
Energy
Academic article
2012
-
Berg, Terje;
Westgaard, Sjur.
(2012)
Risk reporting to the board of directors: comparison of norwegian power companies and banks.
Journal of Energy Markets
Academic article
-
Veka, Steinar;
Lien, Gudbrand;
Westgaard, Sjur;
Higgs, Helen.
(2012)
Time-varying dependency in European energy markets: an analysis of Nord Pool, European Energy Exchange and Intercontinental Exchange energy commodities.
Journal of Energy Markets
Academic article
-
Lien, Gudbrand;
Haugom, Erik;
Westgaard, Sjur;
Solibakke, Per Bjarte.
(2012)
Covariance estimation using high-frequency data : an analysis of Nord Pool electricity forward data.
Journal of Energy and Power Engineering
Academic article
-
Westgaard, Sjur.
(2012)
Decision Support Modeling in Energy Markets: Part 2 : LETTER FROM THE GUEST EDITOR.
Journal of Energy Markets
Editorial
-
Westgaard, Sjur.
(2012)
Decision Support Modeling in Energy Markets: Part 1 : LETTER FROM THE GUEST EDITOR.
Journal of Energy Markets
Editorial
2011
-
Westgaard, Sjur;
Estenstad, Maria;
Seim, Maria Anglevik;
Frydenberg, Stein.
(2011)
Co-integration of ICE Gas oil and Crude oil futures.
Energy Economics
Academic article
-
Jokic, Aleksander Vang;
Westgaard, Sjur.
(2011)
Volatilitetssmilet for europeiske opsjoner RCL ved to ulike prosesser for aksjeprisen.
Institutt for samfunnsøkonomi
Masters thesis
-
Nitteberg, Morten Bergendahl;
Westgaard, Sjur.
(2011)
Implied Risk-Neutral Densities. An application to the WTI Crude Oil market.
Institutt for samfunnsøkonomi
Masters thesis
-
Øverås, Roar;
Westgaard, Sjur.
(2011)
Variance Risk Premiums on the S&P500, Nasdaq 100, Euro Stoxx 50, FTSE 100, SMI, DAX and the United States Oil Fund.
Institutt for samfunnsøkonomi
Masters thesis
-
Sandvik, Sjur Hordvik;
Frydenberg, Stein;
Westgaard, Sjur;
Heitmann, Rolv Kristian.
(2011)
Hedge Fund Performance in Bull and Bear Markets: Alpha Creation and Risk Exposure.
Journal of Investing
Academic article
-
Haugom, Erik;
Westgaard, Sjur;
Solibakke, Per Bjarte;
Lien, Gudbrand.
(2011)
Modelling day-ahead Nord Pool forward-price volatility: realized rolatility versus GARCH models.
International Research Journal of Finance and Economics
Academic article
-
Westgaard, Sjur;
Frydenberg, Stein.
(2011)
Hedgefond - avkastning og risiko 1992-2011.
Praktisk økonomi & finans
Academic article
-
Solibakke, Per Bjarte;
Westgaard, Sjur;
Lien, Gudbrand.
(2011)
Carbon stochastic volatility model estimation and inference : forecasting (un-)conditional moments.
Economics & Finance Review
Academic article
-
Haugom, Erik;
Westgaard, Sjur;
Solibakke, Per Bjarte;
Lien, Gudbrand.
(2011)
Realized volatility and the influence of market measures on predictability : an analysis of Nord Pool forward electricity data.
Energy Economics
Academic article
2010
-
Myklebust, Jogeir Stave;
Tomasgard, Asgeir;
Westgaard, Sjur.
(2010)
Forecasting gas component prices with multivariate structural time series models.
Opec Energy Review
Academic article
-
Andresen, Arne;
Koekebakker, Steen;
Westgaard, Sjur.
(2010)
Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution.
Journal of Energy Markets
Academic article
-
Becker, Denis Mike;
Fleten, Stein-Erik;
Westgaard, Sjur.
(2010)
Quantitative Models for Planning and Management of ICT Services under Uncertainty.
Doktoravhandlinger ved NTNU (261)
Doctoral dissertation
-
Haug, Espen Gaarder;
Frydenberg, Stein;
Westgaard, Sjur.
(2010)
Distribution and Statistical Behavior of Implied Volatility.
Business Valuation Review
Academic article
2008
-
Helbæk, Morten;
Westgaard, Sjur.
(2008)
Statistikk : kort og godt.
Universitetsforlaget
Universitetsforlaget
Textbook
-
Westgaard, Sjur;
Faria, Eduardo;
Fleten, Stein-Erik.
(2008)
Price dynamics of natural gas components: Empirical evidence.
Journal of Energy Markets
Academic article
-
Westgaard, Sjur;
Eidet, Amund;
Frydenberg, Stein;
Grosås, Thor Christian.
(2008)
Investigating the Capital Structure of UK Real Estate Companies.
Journal of Property Research
Academic article
-
Talberg, Magnus;
Winge, Christian;
Frydenberg, Stein;
Westgaard, Sjur.
(2008)
Capital Structure Across Industries.
International Journal of the Economics of Business
Academic article
-
Westgaard, Sjur;
Faria, Eduardo;
Fleten, Stein-Erik.
(2008)
Price dynamics of natural gas components: empirical evidence.
Journal of Energy Markets
Academic article
-
Frydenberg, Stein;
Lindset, Snorre;
Westgaard, Sjur.
(2008)
Hedge Fund Return Statistics 1994-2005.
Journal of Investing
Academic article
2007
-
Helbæk, Morten;
Westgaard, Sjur.
(2007)
Statistikk- Kort og godt.
Universitetsforlaget
Universitetsforlaget
Textbook
2006
-
Frydenberg, Stein;
Westgaard, Sjur;
Grøneng, Magnus Slåttekjær;
Nygård, Geir Ø..
(2006)
Hedgefonds - Sett med et norsk perspektiv.
Beta
Academic article
2005
-
Westgaard, Sjur.
(2005)
What can modern statistical and mathematical techniques add to the analysis and prediction of bankruptcy?.
Beta
Academic article
2003
-
Hol, Suzan;
Westgaard, Sjur;
Wijst, Dominicus van der.
(2003)
Firm Financial Structure and Bankruptcy Prediction: Numerical Simulations.
Working Paper Series for Department of Industrial Economics, NTNU (6)
Report
-
Hol, Suzan;
Westgaard, Sjur;
Wijst, Dominicus van der.
(2003)
Firm Financial Structure and Bankruptcy Prediction: Theoretical Derivations.
Working Paper Series for Department of Industrial Economics, NTNU (5)
Report
-
Hol, Suzan;
Westgaard, Sjur;
Wijst, Dominicus van der.
(2003)
Firm Financial Structure and Bankruptcy Prediction: Empirical Tests.
Working Paper Series of Department of Industrial Economics, NTNU (7)
Report
2001
-
Westgaard, Sjur;
Wijst, Dominicus van der.
(2001)
Default Probabilities in a corporate bank portfolio: A logistic model approach.
European Journal of Operational Research
Academic article
1998
-
Westgaard, Sjur.
(1998)
Styring av markedsrisiko i finansielle organisasjoner.
Magma forskning og viten
Academic article
1997
-
Westgaard, Sjur.
(1997)
Kapitalforvaltning i et livselskap.
Praktisk økonomi og ledelse
Academic article
Journal publications
-
Gunnarson, Elias;
Isern, Håkon Ramon;
Kaloudis, Aristidis;
Vigdel, Benjamin;
Westgaard, Sjur.
(2024)
Prediction of realized volatility and implied volatility indices using AI and machine learning: A review.
International Review of Financial Analysis
Academic literature review
-
de Lange, Petter Eilif;
Risstad, Morten;
Semmen, Kristian;
Westgaard, Sjur.
(2023)
Term Premia in Norwegian Interest Rate Swaps.
Journal of Risk and Financial Management
Academic article
-
Risstad, Morten;
Thodesen, Airin;
Thune, Kristian August;
Westgaard, Sjur.
(2023)
On the Exchange Rate Dynamics of the Norwegian Krone.
Journal of Risk and Financial Management
Academic article
-
Oust, Are;
Westgaard, Sjur;
Waage, Jens Erik;
Yemane, Nahom Kidane.
(2023)
Assessing the Explanatory Power of Dwelling Condition in Automated Valuation Models.
Journal of Real Estate Research
Academic article
-
Fiskin, Cemile Solak;
Turgut, Ozgu;
Westgaard, Sjur;
Cerit, A. Güldem.
(2022)
Time series forecasting of domestic shipping market: Comparison of SARIMAX, ANN-based models and SARIMAX-ANN hybrid model.
International Journal of Shipping and Transport Logistics
Academic article
-
De Lange, Petter Eilif;
Risstad, Morten;
Westgaard, Sjur.
(2022)
Estimating value-at-risk using quantile regression and implied volatilities.
Journal of Risk Model Validation
Academic article
-
Myrland, Caroline Aarvold;
De Lange, Petter Eilif;
Westgaard, Sjur;
Schlingloff, André.
(2022)
Examining classical capital structure models of debt utilization decisions in Norwegian SME shipping companies.
Beta
Academic article
-
De Lange, Petter Eilif;
Melsom, Borger Christopher;
Vennerød, Christian Bakke;
Westgaard, Sjur.
(2022)
Explainable AI for Credit Assessment in Banks.
Journal of Risk and Financial Management
Academic article
-
Mohanty, Sunil K.;
Frydenberg, Stein;
Osmundsen, Petter;
Westgaard, Sjur;
Skjøld, Christian Chartcai.
(2022)
Risk factors in stock returns of U.S. oil and gas companies: evidence from quantile regression analysis.
Review of Quantitative Finance and Accounting
Academic article
-
Melsom, Borger Christopher;
Vennerød, Christian Bakke;
De Lange, Petter Eilif;
Hjelkrem, Lars Ole;
Westgaard, Sjur.
(2022)
Explainable artificial intelligence for credit scoring in banking.
Journal of Risk
Academic article
-
De Lange, Petter Eilif;
Risstad, Morten;
Westgaard, Sjur.
(2022)
Term Premia in Norwegian Government Bond Yields.
Beta
Academic article
-
Tran, Vu Le;
Westgaard, Sjur;
Lavrutich, Maria.
(2022)
Stock markets during COVID-19.
Beta
Academic literature review
-
Pimentel, Rita;
Risstad, Morten;
Westgaard, Sjur.
(2022)
Predicting interest rate distributions using PCA & quantile regression.
Digital Finance
Academic article
-
Schönheit, David;
Homann, Lasse Claas Mathis;
Möst, Dominik;
Westgaard, Sjur.
(2022)
Measuring the effect of corrective short-term updates for wind energy forecasts on intraday electricity prices.
Journal of Energy Markets
Academic article
-
Westgaard, Sjur;
Frydenberg, Stein;
Mohanty, Sunil K..
(2021)
Fourteen large commodity trading disasters: What happened and what can we learn?.
Journal of Commodity Markets
Academic literature review
-
Chen, Jilong;
Ewald, Christian Oliver;
Ouyang, Ruolan;
Westgaard, Sjur;
Xiao, Xiaoxia.
(2021)
Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil.
Annals of Operations Research
Academic article
-
Mohanty, Sunil K.;
Ådland, Roar Os;
Westgaard, Sjur;
Frydenberg, Stein;
Lillienskiold, Hilde;
Kristensen, Cecilie.
(2021)
Modelling Stock Returns and Risk Management in the Shipping Industry.
Journal of Risk and Financial Management
Academic article
-
Sveinsson, Jørgen Andersen;
Frydenberg, Stein;
Westgaard, Sjur;
Aaløkken, Maurits Mogenssøn.
(2020)
Performance of value-at-risk averaging in the Nordic power futures market.
Journal of Energy Markets
Academic article
-
Westgaard, Sjur;
Fleten, Stein-Erik;
Negash, Ahlmahz;
Botterud, Audun;
Bogaard, Katinka;
Verling, Trude Haugsvær.
(2020)
Performing price scenario analysis and stress testing using quantile regression: A case study of the Californian electricity market.
Energy
Academic article
-
Sebastião, Helder;
Godinho, Pedro;
Westgaard, Sjur.
(2020)
Using Machine Learning to Profit on the Risk Premium of the Nordic Electricity Futures.
Scientific Annals of Economics and Business
Academic article
-
Westgaard, Sjur;
Århus, Gisle Hoel;
Frydenberg, Marina;
Frydenberg, Stein.
(2019)
Value-at-risk in the European energy market:
a comparison of parametric, historical
simulation and quantile regression
value-at-risk.
Journal of Risk Model Validation
Academic article
-
Henriksen, Tom Erik Sønsteng;
Pichler, Alois;
Westgaard, Sjur;
Frydenberg, Stein.
(2018)
Can commodities dominate stock and bond portfolios?.
Annals of Operations Research
Academic article
-
Schütz, Peter;
Westgaard, Sjur.
(2018)
Optimal hedging strategies for salmon producers.
Journal of Commodity Markets
Academic article
-
Haugom, Erik;
Hoff, Guttorm Andre;
Molnar, Peter;
Mortensen, Maria;
Westgaard, Sjur.
(2018)
The Forward Premium in the Nord Pool Power Market.
Emerging markets finance & trade
Academic article
-
Negash, Ahlmazh I.;
Westgaard, Sjur.
(2018)
Evaluating Optimal Cost-Effectiveness of Demand Response in Wholesale Markets.
IEEE Power & Energy Society General Meeting
Academic literature review
-
De Lange, Petter Eilif;
Aamo, Per Egil;
Westgaard, Sjur.
(2018)
The Norwegian financial bond market : A comprehensive market review with an empirical analysis of the main drivers of spreads.
Beta
Academic article
-
Westgaard, Sjur;
Osmundsen, Petter;
Stenslet, Lord Olav Daniel;
Ringheim, Jo Kogstad.
(2017)
Modeling superior predictors for crude oil prices.
Journal of Energy Markets
Academic article
-
Benth, Fred Espen;
Eriksson, Marcus Karl Viren;
Westgaard, Sjur.
(2017)
Optimal management of green certificates in the Swedish-Norwegian market.
Journal of Energy Markets
Academic article
-
Frydenberg, Stein;
Hrafnkelsson, Kjartan;
Bromseth, Vegard Strand;
Westgaard, Sjur.
(2017)
Hedge Fund Strategies and Time-Varying Alphas and Betas.
The journal of wealth management
Academic article
-
Westgaard, Sjur;
Steen, Marie Gotteberg.
(2017)
Is Beta Dead for Commodities?.
Journal of Investing
Academic article
-
Hagfors, Lars Ivar;
Kamperud, Hilde Hørthe;
Paraschiv, Florentina;
Prokozcuk, Marcel;
Sator, Alma;
Westgaard, Sjur.
(2016)
Prediction of extreme price occurrences in the German day-ahead electricity market.
Quantitative finance (Print)
Academic article
-
Tjaaland, Sturla Horpestad;
Westgaard, Sjur;
Osmundsen, Petter;
Frydenberg, Stein.
(2016)
Oil and Gas Risk Factor Sensitivities for U.S. Energy Companies.
Journal of Energy and Development
Academic article
-
Haugom, Erik;
Ray, Rina;
Ullrich, Carl J.;
Veka, Steinar Svartskuren;
Westgaard, Sjur.
(2016)
A parsimonious quantile regression model to forecast day-ahead value-at-risk.
Finance Research Letters
Academic article
-
Hagfors, Lars Ivar;
Paraschiv, Florentina;
Molnar, Peter;
Westgaard, Sjur.
(2016)
Using quantile regression to analyze the effect of renewables on EEX price formation.
Renewable Energy and Environmental Sustainability
Academic article
-
Hagfors, Lars Ivar;
Bunn, Derek;
Kristoffersen, Eline;
Staver, Tiril Toftdahl;
Westgaard, Sjur.
(2016)
Modeling the UK electricity price distributions using quantile regression.
Energy
Academic article
-
Dahlen, Kai Erik;
Solibakke, Per Bjarte;
Westgaard, Sjur;
Næss, Arvid.
(2015)
On the Estimation of Extreme Values for Risk Assessment and Management: The ACER Method.
International journal of business
Academic article
-
Birkelund, Ole Henrik;
Haugom, Erik;
Molnar, Peter;
Opdal, Martin;
Westgaard, Sjur.
(2015)
A comparison of implied and realized volatility in the Nordic power forward market.
Energy Economics
Academic article
-
Huisman, Ronald;
Michels, David;
Westgaard, Sjur.
(2015)
HYDRO RESERVOIR LEVELS AND POWER PRICE DYNAMICS: EMPIRICAL INSIGHT ON THE NONLINEAR INFLUENCE OF FUEL AND EMISSION COST ON NORD POOL DAY-AHEAD ELECTRICITY PRICES.
Journal of Energy and Development
Academic article
-
Fleten, Stein-Erik;
Huisman, Ronald;
Kilic, Mehtap;
Pennings, Enrico;
Westgaard, Sjur.
(2015)
Electricity futures prices: time-varying sensitivity to fundamentals.
Journal of Energy Markets
Academic article
-
Bunn, Derek;
Andresen, Arne;
Chen, Dipeng;
Westgaard, Sjur.
(2015)
Analysis and Forecasting of Electricity Price Risks with Quantile Factor Models.
Energy Journal
Academic article
-
Steen, Marie;
Westgaard, Sjur;
Gjølberg, Ole.
(2015)
Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression.
Journal of Risk Model Validation
Academic article
-
Frydenberg, Stein;
Onochie, Joseph I.;
Westgaard, Sjur;
Midtsund, Nora;
Ueland, Hanna.
(2014)
Long-term relationships between electricity and oil, gas and coal future prices — evidence from Nordic countries, Continental Europe and the United Kingdom.
Opec Energy Review
Academic article
-
Haugom, Erik;
Langeland, Henrik Søyland;
Molnar, Peter;
Westgaard, Sjur.
(2014)
Forecasting volatility of the U.S. oil market.
Journal of Banking & Finance
Academic article
-
Haugom, Erik;
Hoff, Guttorm Andre;
Mortensen, Maria;
Molnar, Peter;
Westgaard, Sjur.
(2014)
The forecasting power of medium-term futures contracts.
Journal of Energy Markets
Academic article
-
Haugom, Erik;
Veka, Steinar Svartskuren;
Lien, Gudbrand;
Westgaard, Sjur.
(2014)
Estimating and evaluating Value-at-Risk forecasts based on realized variance: empirical evidence from ICE Brent Crude oil futures.
Opec Energy Review
Academic article
-
Haugom, Erik;
Lien, Gudbrand;
Veka, Steinar Svartskuren;
Westgaard, Sjur.
(2014)
Covariance estimation using high-frequency data: Sensitivities of estimation methods.
Economic Modelling
Academic article
-
Westgaard, Sjur;
Veka, Steinar Svartskuren;
Haugom, Erik;
Lien, Gudbrand.
(2014)
A note on the risk characteristics of european energy futures markets :.
Beta
Academic article
-
Frydenberg, Stein;
Reiakvam, Oddvar Hallset;
Thyness, Stian Borgen;
Westgaard, Sjur.
(2013)
Hedge Funds—Risk Exposure in Different Quantiles and Market Sentiments.
Journal of Investing
Academic article
-
Arvesen, Øystein;
Medbø, Vegard Gjelsvik;
Fleten, Stein-Erik;
Tomasgard, Asgeir;
Westgaard, Sjur.
(2013)
Linepack storage valuation under price uncertainty.
Energy
Academic article
-
Berg, Terje;
Westgaard, Sjur.
(2012)
Risk reporting to the board of directors: comparison of norwegian power companies and banks.
Journal of Energy Markets
Academic article
-
Veka, Steinar;
Lien, Gudbrand;
Westgaard, Sjur;
Higgs, Helen.
(2012)
Time-varying dependency in European energy markets: an analysis of Nord Pool, European Energy Exchange and Intercontinental Exchange energy commodities.
Journal of Energy Markets
Academic article
-
Lien, Gudbrand;
Haugom, Erik;
Westgaard, Sjur;
Solibakke, Per Bjarte.
(2012)
Covariance estimation using high-frequency data : an analysis of Nord Pool electricity forward data.
Journal of Energy and Power Engineering
Academic article
-
Westgaard, Sjur.
(2012)
Decision Support Modeling in Energy Markets: Part 2 : LETTER FROM THE GUEST EDITOR.
Journal of Energy Markets
Editorial
-
Westgaard, Sjur.
(2012)
Decision Support Modeling in Energy Markets: Part 1 : LETTER FROM THE GUEST EDITOR.
Journal of Energy Markets
Editorial
-
Westgaard, Sjur;
Estenstad, Maria;
Seim, Maria Anglevik;
Frydenberg, Stein.
(2011)
Co-integration of ICE Gas oil and Crude oil futures.
Energy Economics
Academic article
-
Sandvik, Sjur Hordvik;
Frydenberg, Stein;
Westgaard, Sjur;
Heitmann, Rolv Kristian.
(2011)
Hedge Fund Performance in Bull and Bear Markets: Alpha Creation and Risk Exposure.
Journal of Investing
Academic article
-
Haugom, Erik;
Westgaard, Sjur;
Solibakke, Per Bjarte;
Lien, Gudbrand.
(2011)
Modelling day-ahead Nord Pool forward-price volatility: realized rolatility versus GARCH models.
International Research Journal of Finance and Economics
Academic article
-
Westgaard, Sjur;
Frydenberg, Stein.
(2011)
Hedgefond - avkastning og risiko 1992-2011.
Praktisk økonomi & finans
Academic article
-
Solibakke, Per Bjarte;
Westgaard, Sjur;
Lien, Gudbrand.
(2011)
Carbon stochastic volatility model estimation and inference : forecasting (un-)conditional moments.
Economics & Finance Review
Academic article
-
Haugom, Erik;
Westgaard, Sjur;
Solibakke, Per Bjarte;
Lien, Gudbrand.
(2011)
Realized volatility and the influence of market measures on predictability : an analysis of Nord Pool forward electricity data.
Energy Economics
Academic article
-
Myklebust, Jogeir Stave;
Tomasgard, Asgeir;
Westgaard, Sjur.
(2010)
Forecasting gas component prices with multivariate structural time series models.
Opec Energy Review
Academic article
-
Andresen, Arne;
Koekebakker, Steen;
Westgaard, Sjur.
(2010)
Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution.
Journal of Energy Markets
Academic article
-
Haug, Espen Gaarder;
Frydenberg, Stein;
Westgaard, Sjur.
(2010)
Distribution and Statistical Behavior of Implied Volatility.
Business Valuation Review
Academic article
-
Westgaard, Sjur;
Faria, Eduardo;
Fleten, Stein-Erik.
(2008)
Price dynamics of natural gas components: Empirical evidence.
Journal of Energy Markets
Academic article
-
Westgaard, Sjur;
Eidet, Amund;
Frydenberg, Stein;
Grosås, Thor Christian.
(2008)
Investigating the Capital Structure of UK Real Estate Companies.
Journal of Property Research
Academic article
-
Talberg, Magnus;
Winge, Christian;
Frydenberg, Stein;
Westgaard, Sjur.
(2008)
Capital Structure Across Industries.
International Journal of the Economics of Business
Academic article
-
Westgaard, Sjur;
Faria, Eduardo;
Fleten, Stein-Erik.
(2008)
Price dynamics of natural gas components: empirical evidence.
Journal of Energy Markets
Academic article
-
Frydenberg, Stein;
Lindset, Snorre;
Westgaard, Sjur.
(2008)
Hedge Fund Return Statistics 1994-2005.
Journal of Investing
Academic article
-
Frydenberg, Stein;
Westgaard, Sjur;
Grøneng, Magnus Slåttekjær;
Nygård, Geir Ø..
(2006)
Hedgefonds - Sett med et norsk perspektiv.
Beta
Academic article
-
Westgaard, Sjur.
(2005)
What can modern statistical and mathematical techniques add to the analysis and prediction of bankruptcy?.
Beta
Academic article
-
Westgaard, Sjur;
Wijst, Dominicus van der.
(2001)
Default Probabilities in a corporate bank portfolio: A logistic model approach.
European Journal of Operational Research
Academic article
-
Westgaard, Sjur.
(1998)
Styring av markedsrisiko i finansielle organisasjoner.
Magma forskning og viten
Academic article
-
Westgaard, Sjur.
(1997)
Kapitalforvaltning i et livselskap.
Praktisk økonomi og ledelse
Academic article
Books
-
Helbæk, Morten;
Westgaard, Sjur.
(2008)
Statistikk : kort og godt.
Universitetsforlaget
Universitetsforlaget
Textbook
-
Helbæk, Morten;
Westgaard, Sjur.
(2007)
Statistikk- Kort og godt.
Universitetsforlaget
Universitetsforlaget
Textbook
Part of book/report
-
Westgaard, Sjur;
Paraschiv, Florentina;
Ekern, Lina Lasessen;
Naustdal, Ingrid;
Roald, Malene.
(2019)
Forecasting Price Distributions in the German Electricity Market.
Routledge
Academic chapter/article/Conference paper
-
Benth, Fred Espen;
Eriksson, Marcus Karl Viren;
Westgaard, Sjur.
(2017)
Stochastic Volatility Modeling of Emission Allowances Futures Prices in the European Union Emission Trading System Market.
World Scientific
Academic chapter/article/Conference paper
-
Westgaard, Sjur.
(2014)
Energy Spread Modeling Using Copulas
.
Palgrave Macmillan
Academic chapter/article/Conference paper
Report
-
Nguyen, Quynh Trang;
Næss, Arvid;
Westgaard, Sjur.
(2018)
VaR Estimation for Crude Oil Data via Different Approaches: Historical Simulations, EVT Model, and ACER Method.
Norwegian University of Science and Technology, Department of Mathematical Sciences
Masters thesis
-
Jokic, Aleksander Vang;
Westgaard, Sjur.
(2011)
Volatilitetssmilet for europeiske opsjoner RCL ved to ulike prosesser for aksjeprisen.
Institutt for samfunnsøkonomi
Masters thesis
-
Nitteberg, Morten Bergendahl;
Westgaard, Sjur.
(2011)
Implied Risk-Neutral Densities. An application to the WTI Crude Oil market.
Institutt for samfunnsøkonomi
Masters thesis
-
Øverås, Roar;
Westgaard, Sjur.
(2011)
Variance Risk Premiums on the S&P500, Nasdaq 100, Euro Stoxx 50, FTSE 100, SMI, DAX and the United States Oil Fund.
Institutt for samfunnsøkonomi
Masters thesis
-
Becker, Denis Mike;
Fleten, Stein-Erik;
Westgaard, Sjur.
(2010)
Quantitative Models for Planning and Management of ICT Services under Uncertainty.
Doktoravhandlinger ved NTNU (261)
Doctoral dissertation
-
Hol, Suzan;
Westgaard, Sjur;
Wijst, Dominicus van der.
(2003)
Firm Financial Structure and Bankruptcy Prediction: Numerical Simulations.
Working Paper Series for Department of Industrial Economics, NTNU (6)
Report
-
Hol, Suzan;
Westgaard, Sjur;
Wijst, Dominicus van der.
(2003)
Firm Financial Structure and Bankruptcy Prediction: Theoretical Derivations.
Working Paper Series for Department of Industrial Economics, NTNU (5)
Report
-
Hol, Suzan;
Westgaard, Sjur;
Wijst, Dominicus van der.
(2003)
Firm Financial Structure and Bankruptcy Prediction: Empirical Tests.
Working Paper Series of Department of Industrial Economics, NTNU (7)
Report
Teaching
Courses
- TIØ4317 - Empiriske og kvantitative metoder i finans
- TIØ4900 - Investering, finans, økonomistyring, masteroppgave
- IØ8304 - Prognosemodeller i økonomi og finans
- TIØ4550 - Investering, finans og økonomistyring, fordypningsprosjekt
- IØ8816 - Maskinlæring og numeriske teknikker i finansiell økonometri
- IØ6502 - Økonomistyring for beslutningstakere
- TIØ4557 - Investering, finans og økonomistyring fordypningsemne
- IDS4001 - Industrielle markeder og prognoser
Knowledge Transfer
2024
-
Academic lectureFrydenberg, Stein; Westgaard, Sjur; Nautnes, Hans; Nordjordet, Ingrid; Mohanty, Sunil K.. (2024) Estimating Risk Exposures of U.S Oil and Gas companies: A Regime Switching Approach. NTNU Business School NTNU Business School Conference 2024 , Trondheim 2024-10-23 - 2024-10-24
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Academic lectureFrydenberg, Stein; Hagen, Daniel; Westgaard, Sjur; Aas, Ola. (2024) The introduction of the NordLink and changes of the impact of fundamental variables on electricity prices in South Norway (NO2) and Germany (EPEX)?. PhD Workshop in Banking and Finance , Trondheim 2024-05-28 -
2020
-
Academic lectureFrydenberg, Stein; Mohanty, Sunil; Westgaard, Sjur; Ådland, Roar Os; Ekrem, Hilde; Kristensen, Cecilie. (2020) Modelling Shipping Stock Returns and Risk Management: A Quantile Regression Value at Risk Approach. NTNU Business School Conference 2020-10-14 - 2020-10-15
2019
-
Academic lectureSchütz, Peter; Westgaard, Sjur. (2019) Optimal Hedging Strategies for Salmon Producers. Technische Universität Berlin 6th International Conference on Continuous Optimization , Berlin 2019-08-05 - 2019-08-08
-
Academic lectureFrydenberg, Stein; Westgaard, Sjur; Mohanty, S.; Ådland, Roar Os; Ekrem, Hilde; Kristensen, Cecilie. (2019) Modelling Shipping Stocks Return. Sjur westgaard, Petter de Lange, Stein Frydenberg Workshop on Banking and Finance Trondheim NTNU 20th and 21th May 2019 , NTNU Trondheim 2019-05-20 - 2019-05-21
2018
-
Academic lectureSchütz, Peter; Westgaard, Sjur. (2018) Optimal Hedging for Salmon Producers. XV Conference on Computational Management Science (CMS 2018) , Trondheim 2018-05-29 - 2018-05-31
2017
-
Academic lectureFrydenberg, Stein; Westgaard, Sjur; Mohanty, Sunil; Ådland, Roar Os; Ekrem, Hilde; Kristensen, Cecilie. (2017) Modelling shipping stock returns: A quantile regression approach . 2017 Commodity Markets Winter Workshop , Lillehammer 2017-03-01 - 2017-03-03
-
Academic lectureSchütz, Peter; Westgaard, Sjur. (2017) Optimal hedging strategies for salmon producers. Commodity and Energy Markets Association Commodity and Energy Markets 2017 , Oxford 2017-06-14 - 2017-06-15
2015
-
Academic lectureHagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek; Toftdahl Staver, Tiril; Kristoffersen, Eline. (2015) Modelling the UK Electricity Market using Quantile Regression. CASS Business School Energy Finance Conference 2015 , London 2015-09-09 - 2015-09-11
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Academic lectureHagfors, Lars Ivar; Westgaard, Sjur; Paraschiv, Florentina. (2015) Using Quantile Regression to Analyze the Effect of Renewableson EEX Price Formation. NTNU RISKY-RES Workshop , Trondheim 2015-10-24 - 2015-10-25
-
Academic lectureHagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek; Kristoffersen, Eline; Toftdahl Staver, Tiril. (2015) Modelling the UK Electricity Market using Quantile Regression. Orthodoxos Akadimia Kritis Crete, Greece 2nd International Conference on "Energy, Sustainability and Climate Change" , Crete 2015-06-21 - 2015-06-27
-
Academic lectureHagfors, Lars Ivar; Westgaard, Sjur; Paraschiv, Florentina. (2015) Using quantile regression to analyze the effect of renewables on EEX price formation. Univerisy Politechnica of Bucharest, Romania World Renewable Energy Congress XIV , Bucharest 2015-06-08 - 2015-06-12
-
Academic lectureSteen, Marie; Westgaard, Sjur; Gjølberg, Ole. (2015) Commodity Value-at-Risk modeling: Comparing RiskMetricsTM, historic simulation and quantile regression. Norges Handelshøyskole FIBE, NHH Bergen , Bergen 2015-01-08 - 2015-01-09
-
Academic lectureHagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek. (2015) Modelling the UK Electricity Market using Quantile Regression. RISKY-RES RISKY-RES project workshop , Trondheim 2015-01-15 - 2015-01-16
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Academic lectureHagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek. (2015) Modelling the UK Electricity Price Distributions using Quantile Regression. Journal of Commodity Markets Commodity Market Workshop 2015 , Oslo 2015-05-20 - 2015-05-21
2014
-
InterviewWestgaard, Sjur; Kringhaug, Glenn. (2014) ... men ingeniørene haler innpå. Finansavisen Finansavisen [Newspaper] 2014-08-04
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Academic lectureHagfors, Lars Ivar; Westgaard, Sjur. (2014) Modelling the UK Electricity Market using Quantile Regression. Handelshøyskolen i Trondheim 7th International Accounting and Finance Doctoral Symposium 2014 , Trondheim 2014-06-16 - 2014-06-18
2013
-
Academic lectureHaugom, Erik; Ray, Rina; Ullrich, Carl J.; Veka, Steinar; Westgaard, Sjur. (2013) A simple quantile regression model to forecast Value-at-Risk. Energy Economics and Finance Seminar 2013-05-24 - 2013-05-25
2012
-
PosterBerg, Terje; Westgaard, Sjur. (2012) Risk Reporting to the Board of Directors – Comparison of Norwegian Power Companies and Banks. American Accounting Association American Accounting Association Midyear Meeting , Houston, Texas 2012-01-06 - 2012-01-07
-
Academic lectureBerg, Terje; Westgaard, Sjur; Frydenberg, Stein. (2012) Risk-adjusted Stock Returns and Accounting Based Performance Measures – Evidence from US listed Electric Utilities 2001 – 2010. Molde University College Workshop on Energy Economics and Management , Molde 2012-05-21 - 2012-05-22
-
Academic lectureHaugom, Erik; Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur. (2012) Evaluating the effect of intra-daily sampling frequency on Value-at-Risk predictions: Empirical evidence from high-frequency ICE oil futures. Energy & Finance Conference 2012 , Trondheim 2012-10-04 - 2012-10-05
-
Academic lectureHaugom, Erik; Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur. (2012) Evaluating the effect of intra-daily sampling frequency on Value-at-Risk predictions: Empirical evidence from high-frequency ICE oil futures. ElCarbonRisk Seminar , Molde 2012-05-20 - 2012-05-21
-
Academic lectureHaugom, Erik; Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur. (2012) Evaluating the effect of intra-daily sampling frequency on Value-at-Risk predictions: Empirical evidence from high-frequency ICE oil futures. PhD-course ‘New Directions in Quantitative Finance Research’ , Høgskolen i Lillehammer 2012-08-20 - 2012-08-24
2011
-
Academic lectureBerg, Terje; Westgaard, Sjur. (2011) Risk Reporting to the Board of Directors – Comparison of Norwegian Power Companies and Banks. NTNU Trondheim Summer Energy Workshop , Trondheim 2011-06-29 - 2011-06-30
-
Academic lectureBerg, Terje; Westgaard, Sjur. (2011) Risk Reporting to the Board of Directors – Comparison of Norwegian Power Companies and Banks. NTNU Staff seminar , Trondheim 2011-05-18 - 2011-05-18
-
Academic lectureBerg, Terje; Westgaard, Sjur. (2011) Accounting based performance – Evidence from Norwegian listed companies. Trondheim Business School 2nd Workshop on Management Accounting , Trondheim 2011-11-08 - 2012-11-10
2010
-
Academic lectureHaugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte; Lien, Gudbrand. (2010) Modelling day ahead Nord Pool forward price volatility : Realized volatility versus GARCH models. European Energy Market 7th International Conference on the European Energy Market, EEM , Madrid 2010-06-23 - 2010-06-25
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Academic lectureSolibakke, Per Bjarte; Westgaard, Sjur. (2010) Stochastic volatility models for EEX BASE and PEAK LOAD forward contracts using Bayesian M-H algorithm. Norges Handelshøyskole FIBE 2010 , Bergen 2010-01-07 - 2010-01-08
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Academic lectureLien, Gudbrand; Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte. (2010) Covariance estimation using high-frequency data : analysis of Nord Pool electricity forward data. European Energy Market 7th International Conference on the European Energy Market, EEM , Madrid 2010-06-23 - 2010-06-25
2009
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Academic lectureAndresen, Arne; Westgaard, Sjur. (2009) Modeling electricity forward prices and pricing options on electricity forwards using the multivariate normal inverse Gaussian distribution. Conference on Energy Finance , University of Agder, Kristiansand 2009-09-24 - 2009-09-25
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Academic lectureHaugom, Erik; Westgaard, Sjur; Lien, Gudbrand; Solibakke, Per Bjarte. (2009) Predicting realized volatility for electricity prices using unobservable component models. Cass Business School, City University London 7th OxMetrics User Conference , London 2009-09-14 - 2009-09-15
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Popular scientific lectureFleten, Stein-Erik; Westgaard, Sjur. (2009) Price and decision support modeling in electricity markets. Sjur Westgaard, Stein-Erik Fleten 1. NTNU-IØT Energy Seminar , Trondheim 2009-02-12 - 2009-02-13
2008
-
Academic lectureWestgaard, Sjur; Yaffee, Robert A.; Heddy, Merrill A.; Hjemgaard, Kai; Bore, Bjørn Helge. (2008) Forecasting Volatility of UK natural gas futures. 28th International Sympoisum on Forecasting , Nice, France 2008-06-22 - 2008-06-25
-
Academic lectureWestgaard, Sjur; Yaffee, Robert A.; Heddy, Merrill A.; Hjemgaard, Kai; Bore, Bjørn Helge. (2008) Forecasting Volatility and Value at risk for UK Gas Future Prices. Oxmetrics conference , London, UK 2008-09-16 - 2008-09-18
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Academic lectureWestgaard, Sjur; Yaffee, Robert A.; Heddy, Merrill A.; Hjemgaard, Kai; Bore, Bjørn Helge. (2008) Forecasting Volatility and Value at risk for UK Gas Future. UK Energy Research Center St Annes College utenTitteltekst , Oxford University, UK 2008-07-08 - 2008-07-10
-
PosterWestgaard, Sjur. (2008) Stochastic Properties of Gas Component Prices. Seminar, Institutt for industriell økonomi og teknologiledelse , Trondheim, NTNU 2008-03-23 - 2008-03-23
-
Interview
-
Interview
-
Interview
2007
-
Academic lectureWestgaard, Sjur; Lindset, Snorre. (2007) Determinants of excess credit spread: US Corporate Bond Market 1919-2006. NHH FIBE , BERGEN 2007-01-03 - 2007-12-31
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Academic lectureFrydenberg, Stein; Westgaard, Sjur; Grøneng, Magnus; Nygaard, Geir Øivind. (2007) Analysis of Hedge Fund Styles using Stochastic Dominance as Decision Criteria. FIBE XXIV , Bergen, Norges handelshøgskole 2007-01-04 - 2007-01-05
2006
-
Academic lectureWestgaard, Sjur. (2006) Hedge Fund Return Statistics 1994-2006. MFS Multinational Finance Society Conference 2006 , Edinburgh 2006-06-24 - 2006-06-27
-
Academic lectureFrydenberg, Stein; Westgaard, Sjur; Lindset, Snorre. (2006) HEDGE FUND RETURN STATISTICS 1994-2005. University of Rome Tor Vergata XV Tor Vergata International Conference on Banking and Finance , Roma 2006-12-13 - 2006-12-15
2005
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Academic lectureFarmen, Tom E .S .; Westgaard, Sjur. (2005) Default risk and its greeks under an objective probability measure. Isma center University of Reading Seminar Phd , Isma center University of Reading 2005-02-15 - 2005-02-15
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Academic lectureWestgaard, Sjur. (2005) Default risk and its greeks under an objective probability measure. Isma center University of Reading Seminar Phd , Isma center University of Reading 2005-02-15 - 2005-02-15
2004
-
Academic lectureFarmen, Tom E .S .; Westgaard, Sjur. (2004) Portefølje teori og kapitalverdimodellen. Høgskolen i Sør-Trøndelag, TØH Gjesteforelesning , Trondheim 2004-11-11 -
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Academic lectureFarmen, Tom E .S .; Westgaard, Sjur. (2004) Default risks and its Greeks under an Objective Default Probability Measure. University of Malta in Rome Fagseminar/Gjesteforelesning , Roma 2004-12-10 - 2004-12-10
2003
-
Academic lectureFarmen, Tom E .S .; Fleten, Stein-Erik; Westgaard, Sjur; Wijst, Dominicus van der. (2003) Default probabilities and their sensivity in an option pricing framwork. Seminar, faggruppen for investering 2003-08-01 -
-
Academic lectureWestgaard, Sjur. (2003) Default probabilities and option pricing framework. Stockholm School of Economics , Stockholm, Sweden 2003-11-22 -
2002
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Academic lectureHol, Suzan; Westgaard, Sjur; Wijst, Dominicus van der. (2002) Default Probability Prediction based on Capital Structure Theory. 9th Symposium on Finance, Banking, and Insurance , Karlsruhe, Tyskland 2002-12-13 -
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Academic lectureHol, Suzan; Wijst, Dominicus van der; Westgaard, Sjur. (2002) Capital structure theory and the prediction of bankruptcy. XXXI EURO Working Group on Financial Modeling , Agia Napa, Cyprus 2002-11-09 -
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Academic lectureFarmen, Tom E .S .; Fleten, Stein-Erik; Wijst, Dominicus van der; Westgaard, Sjur. (2002) Default probabilities and option pricing models. XXXI Meeting EURO Working Group on Financial Modeling , Agia Napa, Cyprus 2002-11-09 -