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Forecasting volatility of the US oil market

Haugom, Erik; Langeland, Henrik; Molnár, Peter; … - In: Journal of banking & finance 47 (2014), pp. 1-14

Persistent link: https://www.econbiz.de/10010506517

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

On the estimation of extreme values for risk assessment and management : the ACER method

Dahlen, Kai Erik; Solibakke, Per Bjarte; Westgaard, Sjur; … - In: International journal of business 20 (2015) 1, pp. 33-51

Persistent link: https://www.econbiz.de/10010520743

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

Value-at-risk in the European energy market : a comparison of parametric, historical simulation and quantile regression value-at-risk

Westgaard, Sjur; Arhus, Gisle Hoel; Frydenberg, Marina; … - In: The journal of risk model validation 13 (2019) 4, pp. 43-69

Persistent link: https://www.econbiz.de/10012373160

Performance of value-at-risk averaging in the Nordic power futures market

Sveinsson, Jørgen Andersen; Frydenberg, Stein; … - In: The journal of energy markets 13 (2020) 3, pp. 25-55

Persistent link: https://www.econbiz.de/10012662208

Modelling stock returns and risk management in the shipping industry

Mohanty, Sunil; Aadland, Roar; Westgaard, Sjur; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-25

We estimate the impact of macroeconomic risk factors on shipping stock returns, using a quantile regression (QR) model. We regress the excess return of a portfolio for the container, dry bulk, chemical/gas, oil tanker, and diversified shipping sectors on the world market portfolio excess return,...

Persistent link: https://www.econbiz.de/10012520916

Estimating value-at-risk using quantile regression and implied volatilities

Lange, Petter Eilif de; Risstad, Morten; Westgaard, Sjur - In: The journal of risk model validation 16 (2022) 1, pp. 53-76

Persistent link: https://www.econbiz.de/10014540547

Forecasting Volatility of the U.S. Oil Market

Haugom, Erik - 2015

We examine the information content of the CBOE Crude Oil Volatility Index (OVX) when forecasting realized volatility in the WTI futures market. Additionally, we study whether other market variables, such as volume, open interest, daily returns, bid-ask spread and the slope of the futures curve,...

Persistent link: https://www.econbiz.de/10013011882