Blar i Master's theses (HH) på forfatter "Westgaard, Sjur"
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Commodity markets : an updated study of the "timed momentum" trading strategy
Sørensen, Anders Hammeren (Master thesis, 2016-08-25)This thesis provides the reader with an updated study of the “timed momentum” strategy proposed by Miffre and Basu (2008). Their article shows that this commodity trading strategy is able to achieve significant mean returns, ... -
Creditworthiness and economic development in the Norwegian electric utility industry from 2007- 2016
Karlsen, Joar; Brøste, Magnus Nordrum (Master thesis, 2018)This thesis consists of three parts. In the first part we implement five models of bankruptcy prediction, namely three versions of Altman Z-score, Ohlson O-score and Zmijewski’s model. We rank the electric utilities and ... -
Dynamic factor portfolios in the Norwegian stock market
Furuseth, Olav; Muri, Petter (Master thesis, 2016-08-31)We test how dynamic factor portfolios utilizing acknowledged market anomalies perform on Oslo Stock Exchange in the period 1998 to 2015. The individual factor portfolios have varying performance over the market through ... -
Effekten av handelsaktivitet på volatiliteten i råvarefutures
Nadeem, Mohammad Umar (Master thesis, 2016-09-02)Analytikere og forskere bruker økonomisk teori og empiriske funn for å identifisere forklaringsvariabler som kan forbedre prognoser for volatilitet. I denne oppgaven undersøker jeg forholdet mellom volatilitet, volum og ... -
Er aktiv forvaltning verdt pengene? : en analyse av 103 norske aksjefond 1983-2017
Mjøs, Stian (Master thesis, 2018)After years of analysis there is still a tremendous number of consumers who are unaware of whether you gain something or not from active management of mutual funds. This paper investigates the performance and persistence ... -
Evaluating benchmarks for Norwegian exchange rate forecasting
Adrik, Samir (Master thesis, 2016-09-01)In this thesis, we compare the out-of-sample forecasting abilities of three fundamental exchange rate models (EqCM) against the random walk (without drift), RW. The objective of the thesis is to see how well the RW model ... -
Firm-specific risk factor analysis of renewable energy stocks
Hibout, Auatef; Sadeghi, Arezou (Master thesis, 2017)This thesis investigates the relationship between firm-specific factors and renewable energy stock returns. For the period 2011-2015, we study 34 international renewable energy companies, operating in five renewable sectors ... -
Hvordan påvirker mikrofaktorer risikoen i råvarefutures?
Jostad, Dag Otto (Master thesis, 2016-08-25)Råvarer utgjør sammen en ikke-homogen aktivaklasse, som siden starten av 2000- tallet har hatt en økende interesse med tanke på investeringer. Som igjen har gjort at interessen for styring av markedsrisikoen har økt. Value ... -
Modelling the return distribution of salmon farming companies : a quantile regression approach
Jacobsen, Fredrik (Master thesis, 2017)The salmon farming industry has gained increased attention from investors, portfolio managers, financial analysts and other stakeholders the recent years. Despite this development, very little is known about the risk and ... -
Prediksjon av ekstreme prisobservasjoner på Nord Pool
Hussain, Irtaza; El Morabet, Nabil (Master thesis, 2017)Dereguleringen av elektrisitetsmarkeder verden over har forsterket behovet for risikostyring i energimarkeder. I denne studien undersøker vi hvordan fundamentale drivere påvirker sannsynligheten for ekstreme prisobservasjoner ... -
Renewable energy stocks and risk : (systematic risk factors in the renewable energy sector)
Strømme, Janne (Master thesis, 2016)The renewable energy sector is an industry that expects tremendously growth in years to come. This opens interesting investment opportunities for investors and poses challenges for government and legislators as to how to ... -
Risk and sensitivity analysis of U.S. oil and gas company stock return - a quantile regression approach
Skjøld, Christian Chartcai (Master thesis, 2016-08-22)The purpose of this study is to investigate and develop a risk model for oil and gas stocks. I focus on the US gas and oil stock return formation by studying how fundamental factors influence different quantiles of the ... -
Value-at-Risk forecasting with different quantile regression models
Alvik, Øyvind (Master thesis, 2016-08-22)Forecasting volatility and Value-at-Risk (VaR) are popular topics of study in econometrical finance. Their popularity can likely be attributed to the statistical challenges related to producing reliable VaR estimates across ...