Navigation

  • Skip to Content
NTNU Home NTNU Home

ntnu.edu

  • Studies
    • Master's programmes in English
    • For exchange students
    • PhD opportunities
    • All programmes of study
    • Courses
    • Financing
    • Language requirements
    • Application process
    • Academic calendar
    • FAQ
  • Research and innovation
    • NTNU research
    • Research excellence
    • Strategic research areas
    • Innovation resources
    • PhD opportunities
  • Life and housing
    • Student in Trondheim
    • Student in Gjøvik
    • Student in Ålesund
    • For researchers
    • Life and housing
  • About NTNU
    • Contact us
    • Faculties and departments
    • Libraries
    • International researcher support
    • Vacancies
    • About NTNU
    • Maps
  1. Employees

Språkvelger

Norsk

Sjur Westgaard

Download press photo
Download press photo
Foto:

Sjur Westgaard

Professor
Department of Industrial Economics and Technology Management

sjur.westgaard@ntnu.no
+4773593183 +4791897096 +4773412951 1143 Sentralbygg 1 Gløshaugen, Trondheim
Twitter Google Scholar
About Publications Teaching Outreach

About

CV

I am a MSc and PhD in Industrial Economics from Norwegian University of Science and Technology and a MSc in Finance from Norwegian School of Business and Economics. I have worked as an investment portfolio manager for an insurance company, a project manager for a consultant company, and as a credit analyst for an international bank. I am now a Professor at the Norwegian University of Science and Technology and has also an adjunct position at Lillehammer University College. My teaching involves economics and finance, and economic and financial forecasting. My main research interests covers financial risk management and forecasting for financial institutions and industry corporations. I have been a project manager for several research projects involving power companies and the Norwegian Research Council. I am one of the founders and editors of Journal of Commodity Markets. I am also an associate editor in Journal of Energy Markets and have previously been an associate editor of Journal of Banking and Finance.

Publications

  • Chronological
  • By category
  • See all publications in Cristin

2025

  • Duarte Pimentel, Rita; Risstad, Morten; Rogde, Sondre; Rygg, Erlend Stegavik; Vinje, Jacob; Westgaard, Sjur. (2025) Option pricing with deep learning: a long short-term memory approach. Decisions in Economics and Finance (DAF)
    Academic article
  • Vinje, Jacob; Rygg, Erlend Stegavik; Wu, Cassandra; Risstad, Morten; Duarte Pimentel, Rita; Westgaard, Sjur. (2025) Merged LSTM-MLP for option valuation. Quantitative finance (Print)
    Academic article

2024

  • Gunnarsson, Elias Søvik; 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

  • 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
  • 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

2021

  • 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
  • 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

2020

  • 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
  • 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

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

  • 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
  • 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

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

  • Haugom, Erik; Langeland, Henrik Søyland; Molnar, Peter; Westgaard, Sjur. (2014) Forecasting volatility of the U.S. oil market. Journal of Banking & Finance
    Academic article
  • 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; 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
  • 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
  • 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

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

Journal publications

  • Duarte Pimentel, Rita; Risstad, Morten; Rogde, Sondre; Rygg, Erlend Stegavik; Vinje, Jacob; Westgaard, Sjur. (2025) Option pricing with deep learning: a long short-term memory approach. Decisions in Economics and Finance (DAF)
    Academic article
  • Vinje, Jacob; Rygg, Erlend Stegavik; Wu, Cassandra; Risstad, Morten; Duarte Pimentel, Rita; Westgaard, Sjur. (2025) Merged LSTM-MLP for option valuation. Quantitative finance (Print)
    Academic article
  • Gunnarsson, Elias Søvik; 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • Haugom, Erik; Langeland, Henrik Søyland; Molnar, Peter; Westgaard, Sjur. (2014) Forecasting volatility of the U.S. oil market. Journal of Banking & Finance
    Academic article
  • 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; 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
  • 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
  • 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
  • Westgaard, Sjur; Estenstad, Maria; Seim, Maria Anglevik; Frydenberg, Stein. (2011) Co-integration of ICE Gas oil and Crude oil futures. Energy Economics
    Academic article
  • 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
  • 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
  • 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
  • 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
  • Haug, Espen Gaarder; Frydenberg, Stein; Westgaard, Sjur. (2010) Distribution and Statistical Behavior of Implied Volatility. Business Valuation Review
    Academic article
  • 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
  • Frydenberg, Stein; Westgaard, Sjur; Grøneng, Magnus Slåttekjær; Nygård, Geir Ø.. (2006) Hedgefonds - Sett med et norsk perspektiv. Beta
    Academic article
  • Westgaard, Sjur. (2005) What can modern statistical and mathematical techniques add to the analysis and prediction of bankruptcy?. Beta
    Academic article
  • 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
  • Westgaard, Sjur. (1998) Styring av markedsrisiko i finansielle organisasjoner. Magma forskning og viten
    Academic article
  • Westgaard, Sjur. (1997) Kapitalforvaltning i et livselskap. Praktisk økonomi og ledelse
    Academic article

Books

  • Helbæk, Morten; Westgaard, Sjur. (2008) Statistikk : kort og godt. Universitetsforlaget Universitetsforlaget
    Textbook
  • Helbæk, Morten; Westgaard, Sjur. (2007) Statistikk- Kort og godt. Universitetsforlaget Universitetsforlaget
    Textbook

Part of book/report

  • 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
  • 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
  • Westgaard, Sjur. (2014) Energy Spread Modeling Using Copulas . Palgrave Macmillan
    Academic chapter/article/Conference paper

Report

  • 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
  • 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
  • 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
  • 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

Teaching

Courses

  • TIØ4317 - Empiriske og kvantitative metoder i finans
  • IØ8304 - Prognosemodeller i økonomi og finans
  • TIØ4900 - Investering, finans, økonomistyring, masteroppgave
  • TIØ4550 - Investering, finans og økonomistyring, fordypningsprosjekt
  • IØ8816 - Maskinlæring og numeriske teknikker i finansiell økonometri
  • TIØ4146 - Finans for teknisk-naturvitenskapelige studenter
  • IØ6502 - Økonomistyring for beslutningstakere
  • IDS4001 - Industrielle markeder og prognoser
  • TIØ4557 - Investering, finans og økonomistyring fordypningsemne

Outreach

2024

  • Academic lecture
    Frydenberg, Stein; Westgaard, Sjur; Nautnes, Hans; Nordjordet, Ingrid; Mohanty, Sunil K.. (2024) Estimating Risk Exposures of U.S Oil and Gas companies: A Regime Switching Approach. NTNU Business School NTNU Business School Conference 2024 , Trondheim 2024-10-23 - 2024-10-24
  • Academic lecture
    Frydenberg, Stein; Hagen, Daniel; Westgaard, Sjur; Aas, Ola. (2024) The introduction of the NordLink and changes of the impact of fundamental variables on electricity prices in South Norway (NO2) and Germany (EPEX)?. PhD Workshop in Banking and Finance , Trondheim 2024-05-28 -

2020

  • Academic lecture
    Frydenberg, Stein; Mohanty, Sunil; Westgaard, Sjur; Ådland, Roar Os; Ekrem, Hilde; Kristensen, Cecilie. (2020) Modelling Shipping Stock Returns and Risk Management: A Quantile Regression Value at Risk Approach. NTNU Business School Conference 2020-10-14 - 2020-10-15

2019

  • Academic lecture
    Schütz, Peter; Westgaard, Sjur. (2019) Optimal Hedging Strategies for Salmon Producers. Technische Universität Berlin 6th International Conference on Continuous Optimization , Berlin 2019-08-05 - 2019-08-08
  • Academic lecture
    Frydenberg, Stein; Westgaard, Sjur; Mohanty, S.; Ådland, Roar Os; Ekrem, Hilde; Kristensen, Cecilie. (2019) Modelling Shipping Stocks Return. Sjur westgaard, Petter de Lange, Stein Frydenberg Workshop on Banking and Finance Trondheim NTNU 20th and 21th May 2019 , NTNU Trondheim 2019-05-20 - 2019-05-21

2018

  • Academic lecture
    Schütz, Peter; Westgaard, Sjur. (2018) Optimal Hedging for Salmon Producers. XV Conference on Computational Management Science (CMS 2018) , Trondheim 2018-05-29 - 2018-05-31

2017

  • Academic lecture
    Frydenberg, Stein; Westgaard, Sjur; Mohanty, Sunil; Ådland, Roar Os; Ekrem, Hilde; Kristensen, Cecilie. (2017) Modelling shipping stock returns: A quantile regression approach . 2017 Commodity Markets Winter Workshop , Lillehammer 2017-03-01 - 2017-03-03
  • Academic lecture
    Schütz, Peter; Westgaard, Sjur. (2017) Optimal hedging strategies for salmon producers. Commodity and Energy Markets Association Commodity and Energy Markets 2017 , Oxford 2017-06-14 - 2017-06-15

2015

  • Academic lecture
    Hagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek; Toftdahl Staver, Tiril; Kristoffersen, Eline. (2015) Modelling the UK Electricity Market using Quantile Regression. CASS Business School Energy Finance Conference 2015 , London 2015-09-09 - 2015-09-11
  • Academic lecture
    Hagfors, Lars Ivar; Westgaard, Sjur; Paraschiv, Florentina. (2015) Using Quantile Regression to Analyze the Effect of Renewableson EEX Price Formation. NTNU RISKY-RES Workshop , Trondheim 2015-10-24 - 2015-10-25
  • Academic lecture
    Hagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek; Kristoffersen, Eline; Toftdahl Staver, Tiril. (2015) Modelling the UK Electricity Market using Quantile Regression. Orthodoxos Akadimia Kritis Crete, Greece 2nd International Conference on "Energy, Sustainability and Climate Change" , Crete 2015-06-21 - 2015-06-27
  • Academic lecture
    Hagfors, Lars Ivar; Westgaard, Sjur; Paraschiv, Florentina. (2015) Using quantile regression to analyze the effect of renewables on EEX price formation. Univerisy Politechnica of Bucharest, Romania World Renewable Energy Congress XIV , Bucharest 2015-06-08 - 2015-06-12
  • Academic lecture
    Steen, Marie; Westgaard, Sjur; Gjølberg, Ole. (2015) Commodity Value-at-Risk modeling: Comparing RiskMetricsTM, historic simulation and quantile regression. Norges Handelshøyskole FIBE, NHH Bergen , Bergen 2015-01-08 - 2015-01-09
  • Academic lecture
    Hagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek. (2015) Modelling the UK Electricity Market using Quantile Regression. RISKY-RES RISKY-RES project workshop , Trondheim 2015-01-15 - 2015-01-16
  • Academic lecture
    Hagfors, Lars Ivar; Westgaard, Sjur; Bunn, Derek. (2015) Modelling the UK Electricity Price Distributions using Quantile Regression. Journal of Commodity Markets Commodity Market Workshop 2015 , Oslo 2015-05-20 - 2015-05-21

2014

  • Interview
    Westgaard, Sjur; Kringhaug, Glenn. (2014) ... men ingeniørene haler innpå. Finansavisen Finansavisen [Newspaper] 2014-08-04
  • Academic lecture
    Hagfors, Lars Ivar; Westgaard, Sjur. (2014) Modelling the UK Electricity Market using Quantile Regression. Handelshøyskolen i Trondheim 7th International Accounting and Finance Doctoral Symposium 2014 , Trondheim 2014-06-16 - 2014-06-18

2013

  • Academic lecture
    Haugom, Erik; Ray, Rina; Ullrich, Carl J.; Veka, Steinar; Westgaard, Sjur. (2013) A simple quantile regression model to forecast Value-at-Risk. Energy Economics and Finance Seminar 2013-05-24 - 2013-05-25

2012

  • Poster
    Berg, Terje; Westgaard, Sjur. (2012) Risk Reporting to the Board of Directors – Comparison of Norwegian Power Companies and Banks. American Accounting Association American Accounting Association Midyear Meeting , Houston, Texas 2012-01-06 - 2012-01-07
  • Academic lecture
    Berg, Terje; Westgaard, Sjur; Frydenberg, Stein. (2012) Risk-adjusted Stock Returns and Accounting Based Performance Measures – Evidence from US listed Electric Utilities 2001 – 2010. Molde University College Workshop on Energy Economics and Management , Molde 2012-05-21 - 2012-05-22
  • Academic lecture
    Haugom, Erik; Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur. (2012) Evaluating the effect of intra-daily sampling frequency on Value-at-Risk predictions: Empirical evidence from high-frequency ICE oil futures. Energy & Finance Conference 2012 , Trondheim 2012-10-04 - 2012-10-05
  • Academic lecture
    Haugom, Erik; Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur. (2012) Evaluating the effect of intra-daily sampling frequency on Value-at-Risk predictions: Empirical evidence from high-frequency ICE oil futures. ElCarbonRisk Seminar , Molde 2012-05-20 - 2012-05-21
  • Academic lecture
    Haugom, Erik; Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur. (2012) Evaluating the effect of intra-daily sampling frequency on Value-at-Risk predictions: Empirical evidence from high-frequency ICE oil futures. PhD-course ‘New Directions in Quantitative Finance Research’ , Høgskolen i Lillehammer 2012-08-20 - 2012-08-24

2011

  • Academic lecture
    Berg, Terje; Westgaard, Sjur. (2011) Risk Reporting to the Board of Directors – Comparison of Norwegian Power Companies and Banks. NTNU Trondheim Summer Energy Workshop , Trondheim 2011-06-29 - 2011-06-30
  • Academic lecture
    Berg, Terje; Westgaard, Sjur. (2011) Risk Reporting to the Board of Directors – Comparison of Norwegian Power Companies and Banks. NTNU Staff seminar , Trondheim 2011-05-18 - 2011-05-18
  • Academic lecture
    Berg, Terje; Westgaard, Sjur. (2011) Accounting based performance – Evidence from Norwegian listed companies. Trondheim Business School 2nd Workshop on Management Accounting , Trondheim 2011-11-08 - 2012-11-10

2010

  • Academic lecture
    Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte; Lien, Gudbrand. (2010) Modelling day ahead Nord Pool forward price volatility : Realized volatility versus GARCH models. European Energy Market 7th International Conference on the European Energy Market, EEM , Madrid 2010-06-23 - 2010-06-25
  • Academic lecture
    Solibakke, Per Bjarte; Westgaard, Sjur. (2010) Stochastic volatility models for EEX BASE and PEAK LOAD forward contracts using Bayesian M-H algorithm. Norges Handelshøyskole FIBE 2010 , Bergen 2010-01-07 - 2010-01-08
  • Academic lecture
    Lien, Gudbrand; Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte. (2010) Covariance estimation using high-frequency data : analysis of Nord Pool electricity forward data. European Energy Market 7th International Conference on the European Energy Market, EEM , Madrid 2010-06-23 - 2010-06-25

2009

  • Academic lecture
    Andresen, Arne; Westgaard, Sjur. (2009) Modeling electricity forward prices and pricing options on electricity forwards using the multivariate normal inverse Gaussian distribution. Conference on Energy Finance , University of Agder, Kristiansand 2009-09-24 - 2009-09-25
  • Academic lecture
    Haugom, Erik; Westgaard, Sjur; Lien, Gudbrand; Solibakke, Per Bjarte. (2009) Predicting realized volatility for electricity prices using unobservable component models. Cass Business School, City University London 7th OxMetrics User Conference , London 2009-09-14 - 2009-09-15
  • Popular scientific lecture
    Fleten, Stein-Erik; Westgaard, Sjur. (2009) Price and decision support modeling in electricity markets. Sjur Westgaard, Stein-Erik Fleten 1. NTNU-IØT Energy Seminar , Trondheim 2009-02-12 - 2009-02-13

2008

  • Academic lecture
    Westgaard, Sjur; Yaffee, Robert A.; Heddy, Merrill A.; Hjemgaard, Kai; Bore, Bjørn Helge. (2008) Forecasting Volatility of UK natural gas futures. 28th International Sympoisum on Forecasting , Nice, France 2008-06-22 - 2008-06-25
  • Academic lecture
    Westgaard, Sjur; Yaffee, Robert A.; Heddy, Merrill A.; Hjemgaard, Kai; Bore, Bjørn Helge. (2008) Forecasting Volatility and Value at risk for UK Gas Future Prices. Oxmetrics conference , London, UK 2008-09-16 - 2008-09-18
  • Academic lecture
    Westgaard, Sjur; Yaffee, Robert A.; Heddy, Merrill A.; Hjemgaard, Kai; Bore, Bjørn Helge. (2008) Forecasting Volatility and Value at risk for UK Gas Future. UK Energy Research Center St Annes College utenTitteltekst , Oxford University, UK 2008-07-08 - 2008-07-10
  • Poster
    Westgaard, Sjur. (2008) Stochastic Properties of Gas Component Prices. Seminar, Institutt for industriell økonomi og teknologiledelse , Trondheim, NTNU 2008-03-23 - 2008-03-23
  • Interview
    Westgaard, Sjur. (2008) Gode alternativer. [Newspaper] 2008-01-08
  • Interview
    Westgaard, Sjur. (2008) Åpner opp for svindel. [Newspaper] 2008-06-12
  • Interview
    Westgaard, Sjur. (2008) Hedgefond i fri dressur. [Newspaper] 2008-06-12

2007

  • Academic lecture
    Westgaard, Sjur; Lindset, Snorre. (2007) Determinants of excess credit spread: US Corporate Bond Market 1919-2006. NHH FIBE , BERGEN 2007-01-03 - 2007-12-31
  • Academic lecture
    Frydenberg, Stein; Westgaard, Sjur; Grøneng, Magnus; Nygaard, Geir Øivind. (2007) Analysis of Hedge Fund Styles using Stochastic Dominance as Decision Criteria. FIBE XXIV , Bergen, Norges handelshøgskole 2007-01-04 - 2007-01-05

2006

  • Academic lecture
    Westgaard, Sjur. (2006) Hedge Fund Return Statistics 1994-2006. MFS Multinational Finance Society Conference 2006 , Edinburgh 2006-06-24 - 2006-06-27
  • Academic lecture
    Frydenberg, Stein; Westgaard, Sjur; Lindset, Snorre. (2006) HEDGE FUND RETURN STATISTICS 1994-2005. University of Rome Tor Vergata XV Tor Vergata International Conference on Banking and Finance , Roma 2006-12-13 - 2006-12-15

2005

  • Academic lecture
    Farmen, Tom E .S .; Westgaard, Sjur. (2005) Default risk and its greeks under an objective probability measure. Isma center University of Reading Seminar Phd , Isma center University of Reading 2005-02-15 - 2005-02-15
  • Academic lecture
    Westgaard, Sjur. (2005) Default risk and its greeks under an objective probability measure. Isma center University of Reading Seminar Phd , Isma center University of Reading 2005-02-15 - 2005-02-15

2004

  • Academic lecture
    Farmen, Tom E .S .; Westgaard, Sjur. (2004) Portefølje teori og kapitalverdimodellen. Høgskolen i Sør-Trøndelag, TØH Gjesteforelesning , Trondheim 2004-11-11 -
  • Academic lecture
    Farmen, Tom E .S .; Westgaard, Sjur. (2004) Default risks and its Greeks under an Objective Default Probability Measure. University of Malta in Rome Fagseminar/Gjesteforelesning , Roma 2004-12-10 - 2004-12-10

2003

  • Academic lecture
    Farmen, Tom E .S .; Fleten, Stein-Erik; Westgaard, Sjur; Wijst, Dominicus van der. (2003) Default probabilities and their sensivity in an option pricing framwork. Seminar, faggruppen for investering 2003-08-01 -
  • Academic lecture
    Westgaard, Sjur. (2003) Default probabilities and option pricing framework. Stockholm School of Economics , Stockholm, Sweden 2003-11-22 -

2002

  • Academic lecture
    Hol, Suzan; Westgaard, Sjur; Wijst, Dominicus van der. (2002) Default Probability Prediction based on Capital Structure Theory. 9th Symposium on Finance, Banking, and Insurance , Karlsruhe, Tyskland 2002-12-13 -
  • Academic lecture
    Hol, Suzan; Wijst, Dominicus van der; Westgaard, Sjur. (2002) Capital structure theory and the prediction of bankruptcy. XXXI EURO Working Group on Financial Modeling , Agia Napa, Cyprus 2002-11-09 -
  • Academic lecture
    Farmen, Tom E .S .; Fleten, Stein-Erik; Wijst, Dominicus van der; Westgaard, Sjur. (2002) Default probabilities and option pricing models. XXXI Meeting EURO Working Group on Financial Modeling , Agia Napa, Cyprus 2002-11-09 -

NTNU – Norwegian University of Science and Technology

  • For employees
  • |
  • For students
  • |
  • Intranet
  • |
  • Blackboard

Studies

  • Master's programmes in English
  • For exchange students
  • PhD opportunities
  • Courses
  • Career development
  • Continuing education
  • Application process

News

  • NTNU News
  • Vacancies

About NTNU

  • About the university
  • Libraries
  • NTNU's strategy
  • Research excellence
  • Strategic research areas
  • Organizational chart

Contact

  • Contact NTNU
  • Employees
  • Find experts
  • Press contacts
  • Researcher support
  • Maps

NTNU in three cities

  • NTNU in Gjøvik
  • NTNU in Trondheim
  • NTNU in Ålesund

About this website

  • Use of cookies
  • Accessibility statement
  • Privacy policy
  • Editorial responsibility
Facebook Instagram Linkedin Snapchat Tiktok Youtube
Sign In
NTNU logo