Sjur Westgaard

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

NO-7491 Trondheim

Norway

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 16,927

SSRN RANKINGS

Top 16,927

in Total Papers Downloads

2,166

CITATIONS
Rank 40,116

SSRN RANKINGS

Top 40,116

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 (52,938)
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 (54,676)

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 (71,160)
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 (116,631)
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 (178,733)

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 (194,931)

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 (143,763)
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 (182,045)

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), Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 32 (379,082)

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), Norwegian University of Science and Technology (NTNU) 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 (345,279)

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 (390,749)

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 (521,842)

Abstract:

13.

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

Quantitative Finance, Vol. 16(12), 2016
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 (445,222)

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 (293,599)

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), Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 0 (246,147)

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, Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 0 (409,745)

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: