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A parsimonious quantile regression model to forecast day-ahead value-at-risk

Haugom, Erik; Ray, Rina; Ullrich, Carl J.; Veka, Steinar; … - In: Finance research letters 16 (2016), pp. 196-207

Persistent link: https://www.econbiz.de/10011656176

Market efficiency and risk premia in short-term forward prices

Haugom, Erik; Ullrich, Carl J. - In: Energy economics 34 (2012) 6, pp. 1931-1941

Persistent link: https://www.econbiz.de/10009688923

Structural estimation of switching costs for peaking power plants

Fleten, Stein-Erik; Haugom, Erik; Pichler, Alois; … - In: European journal of operational research : EJOR 285 (2020) 1, pp. 23-33

Persistent link: https://www.econbiz.de/10012239464

Long term oil prices

Haugom, Erik; Mydland, Ørjan; Pichler, Alois - In: Energy economics 58 (2016), pp. 84-94

Persistent link: https://www.econbiz.de/10011698813

Forecasting gas component prices with multivariate structural time series models

Myklebust, Jogeir; Tomasgard, Asgeir; Westgaard, Sjur - In: OPEC energy review 34 (2010) 2, pp. 82-106

Persistent link: https://www.econbiz.de/10008989781

Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression

Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78

Persistent link: https://www.econbiz.de/10011326305

Optimal Management of Green Certificates in the Swedish-Norwegian Market

Benth, Fred Espen - 2014

We propose and investigate a valuation model for the income of selling tradeable green certificates (TGCs) in the Swedish-Norwegian market, formulated as a singular stochastic control problem. Our model takes into account the production rate of renewable energy from a "typical" plant, the...

Persistent link: https://www.econbiz.de/10013048393

Time series forecasting of domestic shipping market : comparison of SARIMAX, ANN-based models and SARIMAX-ANN hybrid model

Solak Fiskin, Cemile; Turgut, Ozgu; Westgaard, Sjur; … - In: International journal of shipping and transport … 14 (2022) 3, pp. 193-221

Persistent link: https://www.econbiz.de/10013257773

Is beta dead for commodities?

Westgaard, Sjur; Steen, Marie - In: The journal of investing 26 (2017) 4, pp. 16-26

Persistent link: https://www.econbiz.de/10011932167

Can commodities dominate stock and bond portfolios?

Henriksen, Tom Erik Sønsteng; Pichler, Alois; … - In: Application of operations research to financial markets, (pp. 155-177). 2019

Persistent link: https://www.econbiz.de/10012157408