Sjur Westgaard

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

NO-7491 Trondheim

Norway

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 17,070

SSRN RANKINGS

Top 17,070

in Total Papers Downloads

2,231

CITATIONS
Rank 40,188

SSRN RANKINGS

Top 40,188

in Total Papers Citations

4

Scholarly Papers (21)

1.

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 414 (54,327)
Citation 1

Abstract:

2.

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 370 (55,423)

Abstract:

Tanker shipping, stock returns, fleet size, freight rates

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 321 (73,129)
Citation 1

Abstract:

Credit risk, excess spreads, structural model, long time

4.

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 198 (118,894)
Citation 1

Abstract:

5.

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 120 (182,409)

Abstract:

G12, G33

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
Lillehammer University College, Independent, Lillehammer University College and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 113 (201,342)

Abstract:

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

Estimating and Evaluating Value‐at‐Risk Forecasts Based on Realized Variance: Empirical Evidence from ICE Brent Crude Oil Futures

OPEC Energy Review, Vol. 38, Issue 4, pp. 373-397, 2014
Number of pages: 25 Posted: 30 Dec 2014
Erik Haugom, Steinar Veka, Gudbrand Lien and Sjur Westgaard
Lillehammer University College, Independent, Lillehammer University College and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 0

Abstract:

7.

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 99 (143,164)
Citation 1

Abstract:

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

8.

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 42 (179,132)

Abstract:

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

The Forecasting Power of Medium-Term Futures Contracts

Journal of Energy Markets, Forthcoming
Number of pages: 20 Posted: 16 Nov 2015
Lillehammer University College, 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 32 (391,516)

Abstract:

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
Lillehammer University College, 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 0

Abstract:

futures prices, Nordic power market

10.

Optimal Management of Green Certificates in the Swedish-Norwegian Market

Number of pages: 26 Posted: 28 Aug 2014
University of Oslo, University of Oslo and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 28 (356,794)

Abstract:

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

11.

Forecasting Gas Component Prices with Multivariate Structural Time Series Models

OPEC Review, Vol. 31, No. 1, pp. 53-72, March 2007
Number of pages: 25 Posted: 15 Mar 2007
Jogeir Myklebust, Asgeir Tomasgard and Sjur Westgaard
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 27 (403,633)

Abstract:

12.

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, Vol. 38, Issue 2, pp. 216-242, 2014
Number of pages: 27 Posted: 04 Jun 2014
NTNU Business School - Norwegian University of Science and Technology (NTNU), CUNY Baruch College, Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU)
Downloads 1 (536,590)

Abstract:

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), Norwegian University of Science and Technology (NTNU) - Department of Economics, Leibniz 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 0 (390,381)

Abstract:

EnergyMarkets, Fundamental Analysis, Spikes, EPEX

14.

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
Norwegian University of Science and Technology (NTNU) - Department of Economics, London Business School and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 0 (272,772)

Abstract:

Quantile Regression, Dynamic Coefficients, Parametric Estimation, Electricity Prices

15.

Forecasting Volatility of the U.S. Oil Market

Number of pages: 46 Posted: 17 Nov 2015
Lillehammer University College, 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 0 (250,500)

Abstract:

oil prices, realized volatility, implied volatility, volatility forecasting

16.

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, Lillehammer University College, University of Stavanger, Norwegian University of Science and Technology and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 0 (403,633)

Abstract:

Implied volatility, realized volatility, electricity, forwards, options

17.

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)

Abstract:

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

18.

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

Abstract:

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

19.

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

Abstract:

20.

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

Abstract:

Hedge Fund, Risk, Returns, Distribution

21.

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

Abstract: