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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SSRN CITATIONS
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Top 17,410

in Total Papers Citations

51

CROSSREF CITATIONS

29

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 524 (100,424)
Citation 1

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Tanker shipping, stock returns, fleet size, freight rates

2.

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 513 (103,307)
Citation 10

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oil prices, realized volatility, implied volatility, volatility forecasting

3.

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 512 (103,307)

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4.

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 390 (142,200)
Citation 91

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

5.

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 374 (149,021)
Citation 3

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Credit risk, excess spreads, structural model, long time

6.

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 272 (208,907)
Citation 24

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

7.

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 266 (213,635)

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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 193 (289,794)

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Quantile Regression, Dynamic Coefficients, Parametric Estimation, Electricity Prices

9.

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 Sciences and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 171 (322,662)

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

10.

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 163 (336,149)

Abstract:

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G12, G33

11.

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 98 (495,674)

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

12.

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 Centre, Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 93 (512,815)
Citation 4

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EnergyMarkets, Fundamental Analysis, Spikes, EPEX

13.

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 89 (527,116)
Citation 6

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Implied volatility, realized volatility, electricity, forwards, options

14.

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 86 (538,378)

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

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 80 (562,376)
Citation 1

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

16.

Stock Markets during COVID-19

Number of pages: 31 Posted: 22 Jun 2022
Vu Le Tran, Sjur Westgaard and Maria Lavrutich
Gjensidige Pensjonsforsikring AS, Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology and Norwegian University of Science and Technology
Downloads 60 (656,097)

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COVID-19, Asset Pricing, Stock Markets, Investment, ESG, Monetary Policy

17.

Risk Reporting to the Board of Directors: Comparison of Norwegian Power Companies and Banks

The Journal of Energy Markets, Volume 5, Number 3, Fall 2012
Number of pages: 21 Posted: 06 Jan 2023
Terje Berg and Sjur Westgaard
Norwegian University of Science and Technology (NTNU) - NTNU Business School and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 18 (973,601)

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Risk reporting, ERM, Strategy, Compliance, Power companies, Banks

18.

A Combination Approach to Forecasting Precious Metals Correlations

Posted: 10 Apr 2024
Cass Business School, City, University of london, Bayes Business School (formerly Cass), City, University of London, Bayes Business School, City University London - The Business School and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology

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Precious metals correlations, forecast combinations, Value at Risk, macroeconomic fundamentals, structural breaks

19.

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

20.

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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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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