Sjur Westgaard
Background and activities
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.
Courses
- IØ8304 - Forecasting methods in economics and finance
- TIØ4557 - Financial Engineering, Specialization Course
- TIØ4105 - Managerial Economics
- TIØ4295 - Managerial Economics
- TIØ4550 - Financial Engineering, Specialization Project
- IDS4001 - Industrial markets and forecast
- TIØ4900 - Financial Engineering, Master's Thesis
Scientific, academic and artistic work
A selection of recent journal publications, artistic productions, books, including book and report excerpts. See all publications in the database
Journal publications
- (2022) Estimating value-at-risk using quantile regression and implied volatilities. Journal of Risk Model Validation.
- (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. vol. 14 (3).
- (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.
- (2021) Modelling Stock Returns and Risk Management in the Shipping Industry. Journal of Risk and Financial Management. vol. 14 (4).
- (2021) Fourteen large commodity trading disasters: What happened and what can we learn?. Journal of Commodity Markets.
- (2020) Performance of value-at-risk averaging in the Nordic power futures market. Journal of Energy Markets. vol. 13 (3).
- (2020) Performing price scenario analysis and stress testing using quantile regression: A case study of the Californian electricity market. Energy. vol. 214.
- (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. vol. 13 (4).
- (2018) The Norwegian financial bond market : A comprehensive market review with an empirical analysis of the main drivers of spreads. Beta. vol. 32 (1).
- (2018) The Forward Premium in the Nord Pool Power Market. Emerging markets finance & trade. vol. 54 (8).
- (2018) Can commodities dominate stock and bond portfolios?. Annals of Operations Research.
- (2018) Evaluating Optimal Cost-Effectiveness of Demand Response in Wholesale Markets. IEEE Power & Energy Society General Meeting.
- (2018) Optimal hedging strategies for salmon producers. Journal of Commodity Markets. vol. 12.
- (2017) Optimal management of green certificates in the Swedish-Norwegian market. Journal of Energy Markets. vol. 10 (2).
- (2017) Hedge Fund Strategies and Time-Varying Alphas and Betas. The journal of wealth management. vol. 19 (4).
- (2017) Modeling superior predictors for crude oil prices. Journal of Energy Markets. vol. 10 (2).
- (2017) Is Beta Dead for Commodities?. Journal of Investing. vol. 26 (4).
- (2016) Modeling the UK electricity price distributions using quantile regression. Energy. vol. 102.
- (2016) Prediction of extreme price occurrences in the German day-ahead electricity market. Quantitative finance (Print). vol. 16 (12).
- (2016) Using quantile regression to analyze the effect of renewables on EEX price formation. Renewable Energy and Environmental Sustainability. vol. 32 (1).