← All authors Sjur Westgaard Norwegian University of Science and Technology (per OpenAlex) · ORCID · OpenAlex
64 papers in scope · 63 published · 1 on the econ.EM arXiv · 1,343 citations · h-index 16 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Chao-Jun Li Stein Andreas Bethuelsen Samuel Modée Yushu Li Yan Liu Zacharias Psaradakis Martín Solà Demián Pouzo Shi Qiu Chukwuma Dim Linda Schilling Andrew Y. Chen Xinjie Ma Andreas Neuhierl Yu-Chang Chen Campbell R. Harvey Takuya Ura Ron Smith Haitian Xie Yanchun Jin Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 64)
working paper 2026 · arXiv
Special Issue of Quantitative Finance on ‘Business Analytics in Banking and Finance’
published 2025 · Quantitative Finance
with Christian-Oliver Ewald, Erik Haugom, Ståle Størdal
Ex ante and ex post risk premiums in electricity futures
published 2025 · Quantitative Finance · 1 citations
with M. Angeles Carnero, Stein-Erik Fleten, Ståle Størdal
Hedging grain price risk. Keep it simple! Econometric evidence from the grain markets, 1982–2024
published 2025 · Journal of commodity markets
with Marie Steen, Ole Gjølberg
Inflation Forecasting: LSTM Networks vs. Traditional Models for Accurate Predictions
published 2025 · Journal of risk and financial management · 3 citations
with Tormod Rygh, Camilla Vaage, Petter Eilif de Lange
Merged LSTM-MLP for option valuation
published 2025 · Quantitative Finance · 1 citations
with Jacob Vinje, Erlend Stegavik Rygg, Changzhi Wu, Morten Risstad, Rita Pimentel, Christian-Oliver Ewald
Option pricing with deep learning: a long short-term memory approach
published 2025 · Decisions in Economics and Finance · 4 citations
with Rita Pimentel, Morten Risstad, Sondre Rogde, Erlend Stegavik Rygg, Jacob Vinje, Changzhi Wu
Prediction of realized volatility and implied volatility indices using AI and machine learning: A review
published 2024 · International Review of Financial Analysis · 58 citations
with Elias Søvik Gunnarsson, Håkon Ramon Isern, Aris Kaloudis, Morten Risstad, Benjamin Vigdel
Assessing the Explanatory Power of Dwelling Condition in Automated Valuation Models
published 2023 · Journal of Real Estate Research · 10 citations
with Are Oust, Jens Erik Waage, Nahome Kidane Yemane
On the Exchange Rate Dynamics of the Norwegian Krone
published 2023 · Journal of risk and financial management · 2 citations
with Morten Risstad, Airin Thodesen, Kristian August Thune
Term Premia in Norwegian Interest Rate Swaps
published 2023 · Journal of risk and financial management
with Petter Eilif de Lange, Morten Risstad, Kristian Semmen
Explainable AI for Credit Assessment in Banks
published 2022 · Journal of risk and financial management · 90 citations
with Petter Eilif de Lange, Borger Melsom, Christian Bakke Vennerød
Risk factors in stock returns of U.S. oil and gas companies: evidence from quantile regression analysis
published 2022 · Review of Quantitative Finance and Accounting · 2 citations
with Sunil Mohanty, Stein Frydenberg, Petter Osmundsen, Christian Skjøld
Predicting interest rate distributions using PCA & quantile regression
published 2022 · Digital Finance · 6 citations
with Rita Pimentel, Morten Risstad
Term Premia in Norwegian Government Bond Yields
published 2022 · Beta · 2 citations
with Petter Eilif de Lange, Morten Risstad
Stock Markets During COVID-19
published 2022 · Beta
with Vu Le Tran, Maria Lavrutich
Explainable artificial intelligence for credit scoring in banking
published 2022 · The Journal of Risk · 14 citations
with Borger Melsom, Christian Bakke Vennerød, Petter Eilif de Lange, Lars Ole Hjelkrem
Estimating value-at-risk using quantile regression and implied volatilities
published 2022 · The Journal of Risk Model Validation · 2 citations
with Petter de Lange, Morten Risstad
Measuring the effect of corrective short-term updates for wind energy forecasts on intraday electricity prices
published 2022 · The Journal of Energy Markets
with David Schönheit, Lasse Homann, Dominik Möst
Fourteen large commodity trading disasters: What happened and what can we learn?
published 2021 · Journal of commodity markets · 6 citations
with Stein Frydenberg, Sunil Mohanty
Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil
published 2021 · Annals of Operations Research · 9 citations
with Jilong Chen, Christian-Oliver Ewald, Ruolan Ouyang, Xiaoxia Xiao
Modelling Stock Returns and Risk Management in the Shipping Industry
published 2021 · Journal of risk and financial management · 13 citations
with Sunil Mohanty, Roar Aadland, Stein Frydenberg, Hilde Lillienskiold, Cecilie Kristensen
Performing price scenario analysis and stress testing using quantile regression: A case study of the Californian electricity market
published 2020 · Energy · 35 citations
with Stein-Erik Fleten, Ahlmahz I. Negash, Audun Botterud, Katinka Bogaard, Trude Haugsvær Verling
Performance of value-at-risk averaging in the Nordic power futures market
published 2020 · The Journal of Energy Markets · 1 citations
with Stein Frydenberg, Jørgen Andersen Sveinsson, Maurits M. Aaløkken
Using Machine Learning to Profit on the Risk Premium of the Nordic Electricity Futures
published 2020 · Scientific Annals of Economics and Business · 1 citations
with Hélder Sebastião, Pedro Godinho, Portugal
Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk
published 2019 · The Journal of Risk Model Validation · 2 citations
Can commodities dominate stock and bond portfolios?
published 2018 · Annals of Operations Research · 19 citations
with Tom Erik Sønsteng Henriksen, Alois Pichler, Stein Frydenberg
The Norwegian financial bond market
published 2018 · Beta · 1 citations
with Petter Eilif de Lange, Per Egil Aamo
The Forward Premium in the Nord Pool Power Market
published 2018 · Emerging Markets Finance and Trade · 13 citations
with Erik Haugom, Guttorm André Hoff, Péter Molnár, Maria Mortensen
Optimal hedging strategies for salmon producers
published 2018 · Journal of commodity markets · 13 citations
with Peter Schütz
Is Beta Dead for Commodities?
published 2017 · The Journal of Investing · 2 citations
with Marie Steen
Hedge Fund Strategies and Time-Varying Alphas and Betas
published 2017 · The journal of wealth management · 7 citations
with Stein Frydenberg, Kjartan Hrafnkelsson, Vegard Strand Bromseth
Optimal management of green certificates in the Swedish–Norwegian market
published 2017 · The Journal of Energy Markets · 11 citations · first circulated 2014
Modeling superior predictors for crude oil prices
published 2017 · The Journal of Energy Markets · 1 citations
with Petter Osmundsen, Daniel Stenslet, Jo Ringheim
Prediction of extreme price occurrences in the German day-ahead electricity market
published 2016 · Quantitative Finance · 51 citations
with Lars Ivar Hagfors, Hilde Hørthe Kamperud, Florentina Paraschiv, Marcel Prokopczuk, Alma Sator
Modeling the UK electricity price distributions using quantile regression
published 2016 · Energy · 78 citations
Letter from the editors
published 2016 · Journal of commodity markets
with Marcel Prokopczuk, Betty J. Simkins
A parsimonious quantile regression model to forecast day-ahead value-at-risk
published 2015 · Finance research letters · 19 citations
with Erik Haugom, Rina Ray, Carl J. Ullrich, Steinar Veka
Electricity futures prices: time-varying sensitivity to fundamentals
published 2015 · The Journal of Energy Markets · 75 citations · first circulated 2014
with Stein-Erik Fleten, Ronald Huisman, Mehtap Kiliç, Enrico Pennings
Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression
published 2015 · The Journal of Risk Model Validation · 7 citations
with Marie Steen, Ole Gjølberg
Analysis and Forecasting of Electricity Price Risks with Quantile Factor Models
published 2015 · The Energy Journal · 81 citations
A comparison of implied and realized volatility in the Nordic power forward market
published 2015 · Energy Economics · 32 citations
with Ole Henrik Birkelund, Erik Haugom, Péter Molnár, Martin Opdal, Peter Molnnr
Risk Modelling of Energy Futures: A Comparison of RiskMetrics, Historical Simulation, Filtered Historical Simulation, and Quantile Regression
published 2015 · Springer proceedings in mathematics & statistics · 2 citations
with Kai Erik Dahlen, Ronald Huisman
Estimating and evaluating Value‐at‐ Risk forecasts based on realized variance: empirical evidence from ICE B rent Crude oil futures
published 2014 · OPEC Energy Review · 7 citations
with Erik Haugom, Steinar Veka, Gudbrand Lien
The forecasting power of medium-term futures contracts
published 2014 · The Journal of Energy Markets · 3 citations
with Erik Haugom, Guttorm André Hoff, Maria Mortensen, Péter Molnár
Covariance estimation using high-frequency data: Sensitivities of estimation methods
published 2014 · Economic Modelling · 4 citations
with Erik Haugom, Gudbrand Lien, Steinar Veka
Forecasting volatility of the U.S. oil market
published 2014 · Journal of Banking & Finance · 254 citations
with Erik Haugom, Henrik Langeland, Péter Molnár, Peter Molnnr
A note on the risk characteristics of european energy futures markets
published 2014 · Beta · 1 citations
with Steinar Veka, Erik Haugom, Gudbrand Lien
Long‐term relationships between electricity and oil, gas and coal future prices—evidence from Nordic countries, Continental Europe and the United Kingdom
published 2014 · OPEC Energy Review · 16 citations
with Stein Frydenberg, Joseph I. Onochie, Nora Midtsund, Hanna Ueland
Hedge Funds—Risk Exposure in Different Quantilesand Market Sentiments
published 2013 · The Journal of Investing · 2 citations
with Stein Frydenberg, Oddvar Hallset Reiakvam, Stian Borgen Thyness
Linepack storage valuation under price uncertainty
published 2013 · Energy · 39 citations · first circulated 2012
with Øystein Arvesen, Vegard Medbø, Stein-Erik Fleten, Asgeir Tomasgård
Risk reporting to the board of directors: comparison of Norwegian power companies and banks
published 2012 · The Journal of Energy Markets · 7 citations
with Terje Berg
Time-varying dependency in European energy markets: an analysis of Nord Pool, European Energy Exchange and Intercontinental Exchange energy commodities
published 2012 · The Journal of Energy Markets · 12 citations
with Steinar Veka, Gudbrand Lien, Helen Higgs
Hedgefond – avkastning og risiko 1992–2011
published 2011 · Praktisk økonomi & finans
with Stein Frydenberg
Hedge Fund Performance in Bull and Bear Markets: Alpha Creation and Risk Exposure
published 2011 · The Journal of Investing · 13 citations · first circulated 2010
with Sjur Hordvik Sandvik, Stein Frydenberg, Rolv Kristian Heitmann, Rolv K. Heitman
Realized volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data
published 2011 · Energy Economics · 44 citations
with Erik Haugom, Per Bjarte Solibakke, Gudbrand Lien
Co-integration of ICE Gas oil and Crude oil futures
published 2010 · Energy Economics · 40 citations
with Maria Estenstad, Maria Seim, Stein Frydenberg
Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution
published 2010 · The Journal of Energy Markets · 39 citations
with Arne F. Andresen, Steen Koekebakker
Forecasting gas component prices with multivariate structural time series models
published 2010 · OPEC Energy Review · 10 citations
with J. Myklebust, Asgeir Tomasgård
Distribution and Statistical Behavior of Implied Volatilities
published 2010 · Business Valuation Review · 3 citations
with Espen Gaarder Haug, Stein Frydenberg
Price dynamics of natural gas components: empirical evidence
published 2008 · The Journal of Energy Markets · 10 citations
with Eduardo C. M. Faria, Stein-Erik Fleten
Hedgefond – sett i et norsk perspektiv
published 2007 · Beta · 1 citations
with Stein Frydenberg, Magnus Slåttekjær Grøneng, Geir Øivind Nygård
What Can Modern Statistical and Mathematical Techniques Add to the Analysis and Prediction of Bankruptcy?
published 2005 · Beta · 4 citations
Default probabilities in a corporate bank portfolio: A logistic model approach
published 2001 · European Journal of Operational Research · 160 citations
with Nico van der Wijst
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