Sjur Westgaard

Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology

NO-7491 Trondheim

Norway

SCHOLARLY PAPERS

25

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3,028

SSRN CITATIONS
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Top 6,856

in Total Papers Citations

31

CROSSREF CITATIONS

160

Scholarly Papers (25)

1.

Economic and Financial Risk Factors and Tanker Shipping Stock Returns

Number of pages: 28 Posted: 13 Mar 2007 Last Revised: 14 Sep 2008
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, NTNU Business School - Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 476 (82,806)
Citation 1

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Tanker shipping, stock returns, fleet size, freight rates

2.

Capital Structure, Business Risk, and Default Probability

Number of pages: 42 Posted: 28 Mar 2007
Sjur Westgaard, Suzan Hol and Nico van der Wijst
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology and Norwegian University of Science and Technology
Downloads 465 (85,244)

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3.

Determinants of Excess (Credit) Spreads: Evidence from the US Bond Market from 1919 to 2006

Number of pages: 30 Posted: 26 Mar 2007
Snorre Lindset and Sjur Westgaard
Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 348 (118,660)
Citation 3

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Credit risk, excess spreads, structural model, long time

4.

Forecasting Volatility of the U.S. Oil Market

Number of pages: 46 Posted: 17 Nov 2015
Inland Norway University of Applied Sciences, Norwegian University of Science and Technology (NTNU), University of Stavanger and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 319 (130,681)
Citation 10

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oil prices, realized volatility, implied volatility, volatility forecasting

5.

Renewable Energy and Electricity Prices: Indirect Empirical Evidence from Hydro Power

IEB Working Paper N. 2013/024
Number of pages: 22 Posted: 16 Oct 2013
Ronald Huisman, Victoria Stradnic and Sjur Westgaard
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 265 (157,823)
Citation 144

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Energy policies, sustainable energy, market clearing price, supply curve model

6.

Default Risk and its Greeks under an Objective Probability Measure

Number of pages: 30 Posted: 26 Mar 2007
Suzan Hol, Sjur Westgaard, Nico van der Wijst and Tom Farmen
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, Norwegian University of Science and Technology and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 229 (182,007)

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7.

Electricity Futures Prices: Time Varying Sensitivity to Fundamentals

Journal of Energy Markets, 2015, IEB Working Paper N. 2014/21
Number of pages: 29 Posted: 25 Jul 2014
Norwegian University of Science and Technology (NTNU), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 198 (208,337)
Citation 24

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electricity futures prices, prices of fossil fuels, time-varying coefficients, statespace model

8.

Estimation and Application of Fully Parametric Multifactor Quantile Regression with Dynamic Coefficients

University of St. Gallen, School of Finance Research Paper No. 2016/07
Number of pages: 28 Posted: 04 Mar 2016
Florentina Paraschiv, Derek W. Bunn and Sjur Westgaard
Zeppelin University, Chair of Finance, London Business School and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 144 (272,608)

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Quantile Regression, Dynamic Coefficients, Parametric Estimation, Electricity Prices

9.

An Empirical Test of Option Based Default Probabilities using Payment Behavior and Auditor Notes

Number of pages: 29 Posted: 27 Mar 2007
Tom Farmen, Nico van der Wijst and Sjur Westgaard
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, Norwegian University of Science and Technology and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 142 (275,584)

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G12, G33

10.

Estimating and Evaluating Value-at-Risk forecasts based on Realized Variance: Empirical Evidence from ICE Brent Crude Oil Futures

Number of pages: 32 Posted: 31 Aug 2012 Last Revised: 18 Feb 2013
Erik Haugom, Steinar Veka, Gudbrand Lien and Sjur Westgaard
Inland Norway University of Applied Sciences, Independent, Inland School of Business and Social Sciencesaffiliation not provided to SSRN and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 130 (294,747)

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High-frequency, realized volatility, oil prices, Value-at-Risk, Percentile-percentile plot

The Forecasting Power of Medium-Term Futures Contracts

Journal of Energy Markets, Forthcoming
Number of pages: 20 Posted: 16 Nov 2015
Inland Norway University of Applied Sciences, Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU), University of Stavanger and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 71 (439,315)

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electricity, risk premium, forward premium, futures, Nord Pool

The Forecasting Power of Medium-Term Futures Contracts

Journal of Energy Markets, Vol. 7, No. 4, 2014
Number of pages: 24 Posted: 06 Jun 2016
Inland Norway University of Applied Sciences, Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU), University of Stavanger and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
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Citation 1
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futures prices, Nordic power market

12.

A Comparison of Implied and Realized Volatility in the Nordic Power Forward Market

Number of pages: 16 Posted: 17 Nov 2015
Norwegian University of Science and Technology, Inland Norway University of Applied Sciences, University of Stavanger, Norwegian University of Science and Technology and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 70 (437,263)
Citation 3

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Implied volatility, realized volatility, electricity, forwards, options

13.

Prediction of Extreme Price Occurrences in the German Day-Ahead Electricity Market

Quantitative Finance, Vol. 16(12), 2016, University of St.Gallen, School of Finance Research Paper No. 2017/2
Number of pages: 28 Posted: 21 Dec 2016
Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU), Zeppelin University, Chair of Finance, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 62 (465,205)
Citation 4

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EnergyMarkets, Fundamental Analysis, Spikes, EPEX

Optimal Management of Green Certificates in the Swedish-Norwegian Market

Number of pages: 26 Posted: 28 Aug 2014
Fred Espen Benth, Marcus Eriksson and Sjur Westgaard
University of Oslo, University of Oslo and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 61 (475,801)

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Green certificates, Optimal decision rule, Empirical analysis, NIG distribution

Optimal Management of Green Certificates in the Swedish–Norwegian Market

Journal of Energy Markets, Forthcoming
Number of pages: 39 Posted: 15 Jun 2017
Fred Espen Benth, Marcus Eriksson and Sjur Westgaard
University of Oslo, University of Oslo and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
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green certificates, optimal decision rule, empirical analysis, normal inverse Gaussian (NIG) distribution, singular stochastic control, dynamic programming

15.

The Forward Premium in the Nord Pool Power Market

Emerging Markets Finance and Trade, Forthcoming
Number of pages: 24 Posted: 30 Apr 2018
Inland Norway University of Applied Sciences, Norwegian University of Science and Technology (NTNU), University of Stavanger, Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 48 (521,879)

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Electricity Price, Nord Pool, Forward Premium, Futures Price, Spot Price

16.

Estimating value-at-risk using quantile regression and implied volatilities

Journal of Risk Model Validation, Vol. 16, No. 1, 2022
Posted: 29 Apr 2022
Petter de Lange, Sjur Westgaard and Morten Risstad
affiliation not provided to SSRN, Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology and affiliation not provided to SSRN

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foreign exchange (FX),over-the-counter foreign exchange (OTC FX) options,quantile regression (QR),implied volatility,value-at-risk (VaR)

17.

Performance of Value-at-Risk Averaging in the Nordic Power Futures Market

Journal of Energy Markets, Vol. 13, No. 3, 2020
Number of pages: 31 Posted: 16 Oct 2020
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, NTNU Business School - Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
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value-at-risk (VaR), model averaging, Nordic electricity market; RiskMetrics, GARCH, filtered historical simulation (FHS), Cornish–Fisher, quantile regression

18.

Can Commodities Dominate Stock and Bond Portfolios?

Henriksen, T.E.S., Pichler, A., Westgaard, S. et al. Can commodities dominate stock and bond portfolios?. Ann Oper Res 282, 155–177 (2019). Doi.org/10.1007/s10479-018-2996-7
Posted: 24 Nov 2019 Last Revised: 14 Feb 2020
NTNU Business School - Norwegian University of Science and Technology (NTNU), NMBU School of Economics and Business, Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology and affiliation not provided to SSRN

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Commodities, Stochastic Dominance, Asset Allocation

19.

Hedge Fund Performance in Bull and Bear Markets: Alpha Creation and Risk Exposure

Journal of Investing, Spring 2011.
Posted: 24 Jan 2019
NTNU Business School - Norwegian University of Science and Technology (NTNU), Independent, Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology and Independent

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20.

Modeling Superior Predictors for Crude Oil Prices

Journal of Energy Markets, 10(2), 1–22 (2017)
Number of pages: 22 Posted: 10 Jun 2017
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, University of Stavanger, Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU)
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general-to-specific, stepwise selection, forecast evaluation, futures spreads, bond spreads, PHLX Oil Service Sector (OSX) index

21.

Investigating the Capital Structure of UK Real Estate Companies

Journal of Property Research, Vol. 25, No. 1, pp. 61-87, 2008
Posted: 20 Oct 2008
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, affiliation not provided to SSRN, Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology and NTNU Business School - Norwegian University of Science and Technology (NTNU)

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Capital structure, trade-off theory, pecking order, unlisted companies

22.

Capital Structure across Industries

International Journal of the Economics of Business, Vol. 15, No. 2, 2008
Posted: 14 Sep 2008
affiliation not provided to SSRN, affiliation not provided to SSRN, NTNU Business School - Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology

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Capital Structure; Static Trade-off; Pecking Order; Industry Effects

23.

Default Probabilities in a Corporate Bank Portfolio: A Logistic Model Approach

Published in European Journal of Operational Research, Vol. 135, pp. 338-349, 2001
Posted: 28 Mar 2007
Sjur Westgaard and Nico van der Wijst
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology and Norwegian University of Science and Technology

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24.

Hedge Fund Return Statistics 1994-2005

Journal of Investing, Spring 2008
Posted: 26 Mar 2007 Last Revised: 14 Sep 2008
Stein Frydenberg, Snorre Lindset and Sjur Westgaard
NTNU Business School - Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology

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Hedge Fund, Risk, Returns, Distribution

25.

What Can Modern Statistical and Mathematical Techniques Add to the Analysis and Prediction of Bankruptcy?

Scandinavian Journal of Business Research, No. 2, 2005
Posted: 26 Mar 2007
Sjur Westgaard
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology

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