Zobrazeno 1 - 10
of 72
pro vyhledávání: '"Sjur Westgaard"'
Publikováno v:
Scientific Annals of Economics and Business, Vol 67, Iss SI, Pp 1-17 (2020)
This study investigates the use of several trading strategies, based on Machine Learning methods, to profit on the risk premium of the Nordic electricity base-load week futures. The information set is only composed by financial data from January 02,
Externí odkaz:
https://doaj.org/article/1620f6fc501f40e4b48a02da87c061fd
Publikováno v:
Review of Quantitative Finance and Accounting
The boom and bust in oil prices during the last two decades have attracted many investors to oil and gas companies in search of returns and risk diversification benefits. This study analyzes the impact of several risk factors, including oil and gas p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::630d9536399a7429ff6ff32726d6ff3e
https://hdl.handle.net/11250/3040484
https://hdl.handle.net/11250/3040484
Publikováno v:
Beta
The typically observed upward sloping nominal yield curve implies that investors demand positive risk premia – or term premia – to hold long-term nominal bonds. Fundamentally, the term premium is compensation to investors for bearing interest rat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fb6e6f6147c172a678cb3e5a54653c46
https://hdl.handle.net/11250/3039550
https://hdl.handle.net/11250/3039550
Autor:
Borger Melsom, Christian Bakke Vennerød, Petter Eilif de Lange, Lars Ole Hjelkrem, Sjur Westgaard
Publikováno v:
Journal of Risk.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d59cc28b7b7e0debae3169e5c8b8876b
https://doi.org/10.21314/jor.2022.046
https://doi.org/10.21314/jor.2022.046
Publikováno v:
Digital Finance
Principal component analysis (PCA) is well established as a powerful statistical technique in the realm of yield curve modeling. PCA based term structure models typically provide accurate fit to observed yields and explain most of the cross-sectional
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d068bd4f3c335f3a7db19ef8b83e237f
https://hdl.handle.net/11250/3042642
https://hdl.handle.net/11250/3042642
Publikováno v:
Journal of Energy Markets.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::acee46857c6787bc55cdeeb8f8c6121f
https://doi.org/10.21314/jem.2022.016
https://doi.org/10.21314/jem.2022.016
Publikováno v:
Beta
This paper reviews the literature that addresses the stock pricing implications of the COVID-19 outbreak. Stock prices dropped substantially in March 2020 as a reaction to the onset of the COVID-19 pandemic; however, they recovered quickly from April
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6853af4f4d9188443b818be661ba9fca
https://hdl.handle.net/11250/3038815
https://hdl.handle.net/11250/3038815
Publikováno v:
Journal of Risk and Financial Management; Volume 16; Issue 3; Pages: 188
Fundamentally, the term premium in long-term nominal yields is compensation to investors for bearing interest rate risk. There is substantial evidence of sizable and time-varying term premia. As opposed to yields, term premia are not directly observa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fb4d8eae82b531cc0b3da24e775050a5
https://doi.org/10.3390/jrfm16030188
https://doi.org/10.3390/jrfm16030188
Publikováno v:
Journal of Risk Model Validation. :43-69
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::71dbf6d91d4071c1a69cae77c0fb75c6
https://doi.org/10.21314/jrmv.2019.213
https://doi.org/10.21314/jrmv.2019.213
Publikováno v:
Journal of Commodity Markets. 27:100221
In the commodity markets, consumers, producers, and investors will occasionally lose out on positions in the futures and options markets. Very large losses in commodity trading can weaken the trust of brokers, exchanges, regulators, and other social
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f601accf5479549ac3caeba69ccc83d9
https://doi.org/10.1016/j.jcomm.2021.100221
https://doi.org/10.1016/j.jcomm.2021.100221