2024

• Gunnarson, Elias; Isern, Håkon Ramon; Kaloudis, Aristidis; Risstad, Morten; Vigdel, Benjamin; Westgaard, Sjur. (2024) Prediction of realized volatility and implied volatility indices using AI and machine learning: A review. International Review of Financial Analysis
  Academic literature review

2023

• de Lange, Petter Eilif; Risstad, Morten; Semmen, Kristian; Westgaard, Sjur. (2023) Term Premia in Norwegian Interest Rate Swaps. Journal of Risk and Financial Management
  Academic article
• Risstad, Morten; Thodesen, Airin; Thune, Kristian August; Westgaard, Sjur. (2023) On the Exchange Rate Dynamics of the Norwegian Krone. Journal of Risk and Financial Management
  Academic article
• Oust, Are; Westgaard, Sjur; Waage, Jens Erik; Yemane, Nahom Kidane. (2023) Assessing the Explanatory Power of Dwelling Condition in Automated Valuation Models. Journal of Real Estate Research
  Academic article

2022

• Fiskin, Cemile Solak; Turgut, Ozgu; Westgaard, Sjur; Cerit, A. Güldem. (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
  Academic article
• De Lange, Petter Eilif; Risstad, Morten; Westgaard, Sjur. (2022) Estimating value-at-risk using quantile regression and implied volatilities. Journal of Risk Model Validation
  Academic article
• Myrland, Caroline Aarvold; De Lange, Petter Eilif; Westgaard, Sjur; Schlingloff, André. (2022) Examining classical capital structure models of debt utilization decisions in Norwegian SME shipping companies. Beta
  Academic article
• De Lange, Petter Eilif; Melsom, Borger Christopher; Vennerød, Christian Bakke; Westgaard, Sjur. (2022) Explainable AI for Credit Assessment in Banks. Journal of Risk and Financial Management
  Academic article
• Mohanty, Sunil K.; Frydenberg, Stein; Osmundsen, Petter; Westgaard, Sjur; Skjøld, Christian Chartcai. (2022) Risk factors in stock returns of U.S. oil and gas companies: evidence from quantile regression analysis. Review of Quantitative Finance and Accounting
  Academic article
• Melsom, Borger Christopher; Vennerød, Christian Bakke; De Lange, Petter Eilif; Hjelkrem, Lars Ole; Westgaard, Sjur. (2022) Explainable artificial intelligence for credit scoring in banking. Journal of Risk
  Academic article
• De Lange, Petter Eilif; Risstad, Morten; Westgaard, Sjur. (2022) Term Premia in Norwegian Government Bond Yields. Beta
  Academic article
• Tran, Vu Le; Westgaard, Sjur; Lavrutich, Maria. (2022) Stock markets during COVID-19. Beta
  Academic literature review
• Pimentel, Rita; Risstad, Morten; Westgaard, Sjur. (2022) Predicting interest rate distributions using PCA & quantile regression. Digital Finance
  Academic article
• Schönheit, David; Homann, Lasse Claas Mathis; Möst, Dominik; Westgaard, Sjur. (2022) Measuring the effect of corrective short-term updates for wind energy forecasts on intraday electricity prices. Journal of Energy Markets
  Academic article

2021

• Westgaard, Sjur; Frydenberg, Stein; Mohanty, Sunil K.. (2021) Fourteen large commodity trading disasters: What happened and what can we learn?. Journal of Commodity Markets
  Academic literature review
• Chen, Jilong; Ewald, Christian Oliver; Ouyang, Ruolan; Westgaard, Sjur; Xiao, Xiaoxia. (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
  Academic article
• Mohanty, Sunil K.; Ådland, Roar Os; Westgaard, Sjur; Frydenberg, Stein; Lillienskiold, Hilde; Kristensen, Cecilie. (2021) Modelling Stock Returns and Risk Management in the Shipping Industry. Journal of Risk and Financial Management
  Academic article

2020

• Sveinsson, Jørgen Andersen; Frydenberg, Stein; Westgaard, Sjur; Aaløkken, Maurits Mogenssøn. (2020) Performance of value-at-risk averaging in the Nordic power futures market. Journal of Energy Markets
  Academic article
• Westgaard, Sjur; Fleten, Stein-Erik; Negash, Ahlmahz; Botterud, Audun; Bogaard, Katinka; Verling, Trude Haugsvær. (2020) Performing price scenario analysis and stress testing using quantile regression: A case study of the Californian electricity market. Energy
  Academic article
• Sebastião, Helder; Godinho, Pedro; Westgaard, Sjur. (2020) Using Machine Learning to Profit on the Risk Premium of the Nordic Electricity Futures. Scientific Annals of Economics and Business
  Academic article

2019

• Westgaard, Sjur; Paraschiv, Florentina; Ekern, Lina Lasessen; Naustdal, Ingrid; Roald, Malene. (2019) Forecasting Price Distributions in the German Electricity Market. Routledge
  Academic chapter/article/Conference paper
• Westgaard, Sjur; Århus, Gisle Hoel; Frydenberg, Marina; Frydenberg, Stein. (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
  Academic article

2018

• Henriksen, Tom Erik Sønsteng; Pichler, Alois; Westgaard, Sjur; Frydenberg, Stein. (2018) Can commodities dominate stock and bond portfolios?. Annals of Operations Research
  Academic article
• Schütz, Peter; Westgaard, Sjur. (2018) Optimal hedging strategies for salmon producers. Journal of Commodity Markets
  Academic article
• Haugom, Erik; Hoff, Guttorm Andre; Molnar, Peter; Mortensen, Maria; Westgaard, Sjur. (2018) The Forward Premium in the Nord Pool Power Market. Emerging markets finance & trade
  Academic article
• Negash, Ahlmazh I.; Westgaard, Sjur. (2018) Evaluating Optimal Cost-Effectiveness of Demand Response in Wholesale Markets. IEEE Power & Energy Society General Meeting
  Academic literature review
• De Lange, Petter Eilif; Aamo, Per Egil; Westgaard, Sjur. (2018) The Norwegian financial bond market : A comprehensive market review with an empirical analysis of the main drivers of spreads. Beta
  Academic article
• Nguyen, Quynh Trang; Næss, Arvid; Westgaard, Sjur. (2018) VaR Estimation for Crude Oil Data via Different Approaches: Historical Simulations, EVT Model, and ACER Method. Norwegian University of Science and Technology, Department of Mathematical Sciences
  Masters thesis

2017

• Westgaard, Sjur; Osmundsen, Petter; Stenslet, Lord Olav Daniel; Ringheim, Jo Kogstad. (2017) Modeling superior predictors for crude oil prices. Journal of Energy Markets
  Academic article
• Benth, Fred Espen; Eriksson, Marcus Karl Viren; Westgaard, Sjur. (2017) Optimal management of green certificates in the Swedish-Norwegian market. Journal of Energy Markets
  Academic article
• Frydenberg, Stein; Hrafnkelsson, Kjartan; Bromseth, Vegard Strand; Westgaard, Sjur. (2017) Hedge Fund Strategies and Time-Varying Alphas and Betas. The journal of wealth management
  Academic article
• Westgaard, Sjur; Steen, Marie Gotteberg. (2017) Is Beta Dead for Commodities?. Journal of Investing
  Academic article
• Benth, Fred Espen; Eriksson, Marcus Karl Viren; Westgaard, Sjur. (2017) Stochastic Volatility Modeling of Emission Allowances Futures Prices in the European Union Emission Trading System Market. World Scientific
  Academic chapter/article/Conference paper

2016

• Hagfors, Lars Ivar; Kamperud, Hilde Hørthe; Paraschiv, Florentina; Prokozcuk, Marcel; Sator, Alma; Westgaard, Sjur. (2016) Prediction of extreme price occurrences in the German day-ahead electricity market. Quantitative finance (Print)
  Academic article
• Tjaaland, Sturla Horpestad; Westgaard, Sjur; Osmundsen, Petter; Frydenberg, Stein. (2016) Oil and Gas Risk Factor Sensitivities for U.S. Energy Companies. Journal of Energy and Development
  Academic article
• Haugom, Erik; Ray, Rina; Ullrich, Carl J.; Veka, Steinar Svartskuren; Westgaard, Sjur. (2016) A parsimonious quantile regression model to forecast day-ahead value-at-risk. Finance Research Letters
  Academic article
• Hagfors, Lars Ivar; Paraschiv, Florentina; Molnar, Peter; Westgaard, Sjur. (2016) Using quantile regression to analyze the effect of renewables on EEX price formation. Renewable Energy and Environmental Sustainability
  Academic article
• Hagfors, Lars Ivar; Bunn, Derek; Kristoffersen, Eline; Staver, Tiril Toftdahl; Westgaard, Sjur. (2016) Modeling the UK electricity price distributions using quantile regression. Energy
  Academic article

2015

• Dahlen, Kai Erik; Solibakke, Per Bjarte; Westgaard, Sjur; Næss, Arvid. (2015) On the Estimation of Extreme Values for Risk Assessment and Management: The ACER Method. International journal of business
  Academic article
• Birkelund, Ole Henrik; Haugom, Erik; Molnar, Peter; Opdal, Martin; Westgaard, Sjur. (2015) A comparison of implied and realized volatility in the Nordic power forward market. Energy Economics
  Academic article
• Huisman, Ronald; Michels, David; Westgaard, Sjur. (2015) HYDRO RESERVOIR LEVELS AND POWER PRICE DYNAMICS: EMPIRICAL INSIGHT ON THE NONLINEAR INFLUENCE OF FUEL AND EMISSION COST ON NORD POOL DAY-AHEAD ELECTRICITY PRICES. Journal of Energy and Development
  Academic article
• Fleten, Stein-Erik; Huisman, Ronald; Kilic, Mehtap; Pennings, Enrico; Westgaard, Sjur. (2015) Electricity futures prices: time-varying sensitivity to fundamentals. Journal of Energy Markets
  Academic article
• Bunn, Derek; Andresen, Arne; Chen, Dipeng; Westgaard, Sjur. (2015) Analysis and Forecasting of Electricity Price Risks with Quantile Factor Models. Energy Journal
  Academic article
• Steen, Marie; Westgaard, Sjur; Gjølberg, Ole. (2015) Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression. Journal of Risk Model Validation
  Academic article

2014

• Frydenberg, Stein; Onochie, Joseph I.; Westgaard, Sjur; Midtsund, Nora; Ueland, Hanna. (2014) 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
  Academic article
• Haugom, Erik; Langeland, Henrik Søyland; Molnar, Peter; Westgaard, Sjur. (2014) Forecasting volatility of the U.S. oil market. Journal of Banking & Finance
  Academic article
• Haugom, Erik; Hoff, Guttorm Andre; Mortensen, Maria; Molnar, Peter; Westgaard, Sjur. (2014) The forecasting power of medium-term futures contracts. Journal of Energy Markets
  Academic article
• Haugom, Erik; Veka, Steinar Svartskuren; Lien, Gudbrand; Westgaard, Sjur. (2014) Estimating and evaluating Value-at-Risk forecasts based on realized variance: empirical evidence from ICE Brent Crude oil futures. Opec Energy Review
  Academic article
• Haugom, Erik; Lien, Gudbrand; Veka, Steinar Svartskuren; Westgaard, Sjur. (2014) Covariance estimation using high-frequency data: Sensitivities of estimation methods. Economic Modelling
  Academic article
• Westgaard, Sjur; Veka, Steinar Svartskuren; Haugom, Erik; Lien, Gudbrand. (2014) A note on the risk characteristics of european energy futures markets :. Beta
  Academic article
• Westgaard, Sjur. (2014) Energy Spread Modeling Using Copulas . Palgrave Macmillan
  Academic chapter/article/Conference paper

2013

• Frydenberg, Stein; Reiakvam, Oddvar Hallset; Thyness, Stian Borgen; Westgaard, Sjur. (2013) Hedge Funds—Risk Exposure in Different Quantiles and Market Sentiments. Journal of Investing
  Academic article
• Arvesen, Øystein; Medbø, Vegard Gjelsvik; Fleten, Stein-Erik; Tomasgard, Asgeir; Westgaard, Sjur. (2013) Linepack storage valuation under price uncertainty. Energy
  Academic article

2012

• Berg, Terje; Westgaard, Sjur. (2012) Risk reporting to the board of directors: comparison of norwegian power companies and banks. Journal of Energy Markets
  Academic article
• Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur; Higgs, Helen. (2012) Time-varying dependency in European energy markets: an analysis of Nord Pool, European Energy Exchange and Intercontinental Exchange energy commodities. Journal of Energy Markets
  Academic article
• Lien, Gudbrand; Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte. (2012) Covariance estimation using high-frequency data : an analysis of Nord Pool electricity forward data. Journal of Energy and Power Engineering
  Academic article
• Westgaard, Sjur. (2012) Decision Support Modeling in Energy Markets: Part 2 : LETTER FROM THE GUEST EDITOR. Journal of Energy Markets
  Editorial
• Westgaard, Sjur. (2012) Decision Support Modeling in Energy Markets: Part 1 : LETTER FROM THE GUEST EDITOR. Journal of Energy Markets
  Editorial

2011

• Westgaard, Sjur; Estenstad, Maria; Seim, Maria Anglevik; Frydenberg, Stein. (2011) Co-integration of ICE Gas oil and Crude oil futures. Energy Economics
  Academic article
• Jokic, Aleksander Vang; Westgaard, Sjur. (2011) Volatilitetssmilet for europeiske opsjoner RCL ved to ulike prosesser for aksjeprisen. Institutt for samfunnsøkonomi
  Masters thesis
• Nitteberg, Morten Bergendahl; Westgaard, Sjur. (2011) Implied Risk-Neutral Densities. An application to the WTI Crude Oil market. Institutt for samfunnsøkonomi
  Masters thesis
• Øverås, Roar; Westgaard, Sjur. (2011) Variance Risk Premiums on the S&P500, Nasdaq 100, Euro Stoxx 50, FTSE 100, SMI, DAX and the United States Oil Fund. Institutt for samfunnsøkonomi
  Masters thesis
• Sandvik, Sjur Hordvik; Frydenberg, Stein; Westgaard, Sjur; Heitmann, Rolv Kristian. (2011) Hedge Fund Performance in Bull and Bear Markets: Alpha Creation and Risk Exposure. Journal of Investing
  Academic article
• Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte; Lien, Gudbrand. (2011) Modelling day-ahead Nord Pool forward-price volatility: realized rolatility versus GARCH models. International Research Journal of Finance and Economics
  Academic article
• Westgaard, Sjur; Frydenberg, Stein. (2011) Hedgefond - avkastning og risiko 1992-2011. Praktisk økonomi & finans
  Academic article
• Solibakke, Per Bjarte; Westgaard, Sjur; Lien, Gudbrand. (2011) Carbon stochastic volatility model estimation and inference : forecasting (un-)conditional moments. Economics & Finance Review
  Academic article
• Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte; Lien, Gudbrand. (2011) Realized volatility and the influence of market measures on predictability : an analysis of Nord Pool forward electricity data. Energy Economics
  Academic article

2010

• Myklebust, Jogeir Stave; Tomasgard, Asgeir; Westgaard, Sjur. (2010) Forecasting gas component prices with multivariate structural time series models. Opec Energy Review
  Academic article
• Andresen, Arne; Koekebakker, Steen; Westgaard, Sjur. (2010) Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution. Journal of Energy Markets
  Academic article
• Becker, Denis Mike; Fleten, Stein-Erik; Westgaard, Sjur. (2010) Quantitative Models for Planning and Management of ICT Services under Uncertainty. Doktoravhandlinger ved NTNU (261)
  Doctoral dissertation
• Haug, Espen Gaarder; Frydenberg, Stein; Westgaard, Sjur. (2010) Distribution and Statistical Behavior of Implied Volatility. Business Valuation Review
  Academic article

2008

• Helbæk, Morten; Westgaard, Sjur. (2008) Statistikk : kort og godt. Universitetsforlaget Universitetsforlaget
  Textbook
• Westgaard, Sjur; Faria, Eduardo; Fleten, Stein-Erik. (2008) Price dynamics of natural gas components: Empirical evidence. Journal of Energy Markets
  Academic article
• Westgaard, Sjur; Eidet, Amund; Frydenberg, Stein; Grosås, Thor Christian. (2008) Investigating the Capital Structure of UK Real Estate Companies. Journal of Property Research
  Academic article
• Talberg, Magnus; Winge, Christian; Frydenberg, Stein; Westgaard, Sjur. (2008) Capital Structure Across Industries. International Journal of the Economics of Business
  Academic article
• Westgaard, Sjur; Faria, Eduardo; Fleten, Stein-Erik. (2008) Price dynamics of natural gas components: empirical evidence. Journal of Energy Markets
  Academic article
• Frydenberg, Stein; Lindset, Snorre; Westgaard, Sjur. (2008) Hedge Fund Return Statistics 1994-2005. Journal of Investing
  Academic article

2007

• Helbæk, Morten; Westgaard, Sjur. (2007) Statistikk- Kort og godt. Universitetsforlaget Universitetsforlaget
  Textbook

2006

• Frydenberg, Stein; Westgaard, Sjur; Grøneng, Magnus Slåttekjær; Nygård, Geir Ø.. (2006) Hedgefonds - Sett med et norsk perspektiv. Beta
  Academic article

2005

• Westgaard, Sjur. (2005) What can modern statistical and mathematical techniques add to the analysis and prediction of bankruptcy?. Beta
  Academic article

2003

• Hol, Suzan; Westgaard, Sjur; Wijst, Dominicus van der. (2003) Firm Financial Structure and Bankruptcy Prediction: Numerical Simulations. Working Paper Series for Department of Industrial Economics, NTNU (6)
  Report
• Hol, Suzan; Westgaard, Sjur; Wijst, Dominicus van der. (2003) Firm Financial Structure and Bankruptcy Prediction: Theoretical Derivations. Working Paper Series for Department of Industrial Economics, NTNU (5)
  Report
• Hol, Suzan; Westgaard, Sjur; Wijst, Dominicus van der. (2003) Firm Financial Structure and Bankruptcy Prediction: Empirical Tests. Working Paper Series of Department of Industrial Economics, NTNU (7)
  Report

2001

• Westgaard, Sjur; Wijst, Dominicus van der. (2001) Default Probabilities in a corporate bank portfolio: A logistic model approach. European Journal of Operational Research
  Academic article

1998

• Westgaard, Sjur. (1998) Styring av markedsrisiko i finansielle organisasjoner. Magma forskning og viten
  Academic article

1997

• Westgaard, Sjur. (1997) Kapitalforvaltning i et livselskap. Praktisk økonomi og ledelse
  Academic article