Sjur Westgaard





Personal Information:

Name: Sjur Westgaard

Adress: Bjørnebyveien 26, 7025 Trondheim

Tel: +47 72563078 (private), +47 73596972 (job) 9712019 (mobile)

Date/Place of birth: 7. November 1967 Sarpsborg

Family: Married, two children





1986-1989: Bachelor Civil Engineering - Østfold University College

1989-1991: Master Industrial Economics - NTH

1992-1993: Master Finance - NHH

2002-2005: Phd – NTNU (4 essays on credit risk modelling)


Professional work experience:

1986-1991: Road construction – Statens vegvesen Part time work.

1991-1992: Operational Research / Material Planning – Royal Norwegian Airforce.

1994-1997: Portfolio Manager Bonds and FX markets - Gjensidige Investment Management.

1997-1998: Risk analyst and project manager - SAS Institute.

1998-2002: Credit Analyst – Fokus Bank.

2002-: Associate Professor Department of Industrial Economics NTNU and Adjunct

Associate Professor Trondheim Business School

2013 Professor Department of Industrial Economics NTNU and Adjunct

Associate Professor Norwegian Center of Commodity Market Analysis




·         Corporate Finance

·         Financial Derivatives and Real Options

·         Empirical and Quantitative Methods in Finance

·         Financial Risk Management (Advanced master/Phd level course)

·         Energy Risk Management (Executive course with Montel)

·         Empirical Analysis of Financial and Commodity Markets (given at the Norwegian Center of Commodity Market Analysis)

·         Supervision all areas of finance




·         Main professional area: Empirical analysis of Financial and Commodity Markets

·         Supervision of 4 Phd students that has graduated

·         Supervision of 4 ongoing Phd students


·         Guest editor/reviewer


1.       Journal of Banking and Finance

2.       Journal of Investing

3.       Journal of Energy Markets

4.       Energy Economics

5.       Energy Journal

6.       Energy Policy

7.       Praktisk Økonomi og Finans


·         Project manager for the following research projects:


1.       ELDEV 2008-2011 (Trønder Energi, Statkraft, Adolf Øien’s fond). Total budget 9.5 Mill.

2.       ELCARBONRISK 2010-2014 (Eidsiva Energi, Tafjord Kraft, NFR). Total budget 13.5 Mill





2014 so far:


1.       Dahlen K.E., P. B. Solibakke, S. Westgaard, and A. Næss, 2014, On the estimation of extreme values for risk assessment and management: The ACER method, International Journal of Business, 20, 1, issue due 2015.

2.       Haugom E., H. Langeland, Molnár P., and S. Westgaard, 2014, Forecasting volatility of the U.S. oil market, Journal of Banking and Finance, 47, 1-14

3.       Lien G., Haugom E., Westgaard S., and Solibakke P.B., 2014, Covariance estimation using high-frequency data: Sensitivities of estimation methods, Economic Modelling, 43, issue due Dec 2014

4.       Westgaard S., 2014, Men ingeniørene haler innpå, Finansavisen, 4 August 2014

5.       Frydenberg S.,J. Onochie, S. Westgaard, N. Midtsund, H. Ueland, 2014, Long-term relationships between electricity and oil, gas and coal future prices — evidence from Nordic countries, Continental Europe and the United Kingdom, Opec Energy Review, 38-1, June 2014, 216-242

6.       Haugom E., Veka S., Lien G., and Westgaard S., 2014, Estimating and evaluating Value-at-Risk forecasts based on realised variance: empirical evidence from ICE Brent Crude oil futures, Opec Energy Review, 39, Issue due Dec 2014

7.       Westgaard S., Veka S., Haugom E., and Lien G., 2014, A note on the risk characteristics of european energy futures markets, Beta – Scandinavian Journal of Business Research, 28, 1-2014 s. 5–19

8.       Haugom E., G.A. Hoff, M. Mortensen, P. Molnár, and S. Westgaard, 2014, The forecasting power of mid-term futures contracts. Journal of Energy Markets, 8,1, issue due Oct 2014




1.       Arvesen Ø., V. Medbø, S.-E. Fleten, A. Tomasgard, S. Westgaard, 2013, Linepack storage valuation under price uncertainty, Energy, 52, 155-164


2.       Frydenberg S., Reiakvam O.H., Thyness S.B., and Westgaard S., 2013, Hedge Funds—Risk Exposure in Different Quantiles and Market Sentiments, Journal of Investing, Fall 2013, 1-28




1. Berg T., Westgaard S., 2012, Risk reporting to the board of directors – A comparison

between Norwegian Power Companies and Banks, Journal of Energy Markets volume 5, Number



2. Veka S., Lien G., Westgaard S., Higgs H., 2012, Time-varying dependency in European

energy markets: an analysis of Nord Pool, European Energy Exchange and Intercontinental

Exchange energy commodities, Journal of Energy Markets, Volume 5, Number 3


3. Gudbrand Lien, Erik Haugom, Sjur Westgaard and Per Bjarte Solibakke, Covariance

Estimation Using High-Frequency Data: An Analysis of Nord Pool Electricity Forward Data,

Journal of Energy and Power Engineering 6 (2012) 570-579


4. Veka S., Lien G., Westgaard S., Higgs H., 2012, Time varying dependency in European energy

markets: An analysis of Nord Pool, EEX, and ICE energy markets, Forthcoming Journal of Energy Markets 2012



1. Haugom E., Westgaard S., Solibakke P.B., Lien G., 2011, Realised volatility and the influence

of market measures on predictability: Analysis of Nord Pool forward electricity data, Energy

Economics, 33, 1206-1215.


2. Haugom E., Westgaard S., Solibakke P.B., Lien G., 2011, Modelling day-ahead Nord Pool

forward price volatility: Realised volatility versus GARCH models, International Research

Journal of finance and Economics, 67, 31-45.


3. Westgaard S., Estenstad M., Seim M., Frydenberg S., 2011, Co-integration of ICE Gas oil

and crude oil futures, Energy Economics, 33, 311-320


4. Sandvik S., Frydenberg S., Westgaard S., Heitman R.K., 2011, Hedge fund performance in

bull and bear markets: Alpha creation and risk exposure, Journal of Investing, Spring, 1-26


5. Solibakke P.B., Westgaard S., Lien G., 2011, Conditional stochastic volatility model estimation and inference: Forecasting (un) conditional moments, Economics and Finance Review, 1(6), 69-93.



1. Haug E.G., Frydenberg S., Westgaard S., 2010, Distribution and statistical behaviour of implied volatilities, Business Valuation Review, 29,4, 186-199


2. Myklebust J., Tomasgard A., Westgaard S., 2010, Forecasting gas component prices with

multivariate structural time series models, OPEC Energy Review, June, 82-106


3. Andresen A., Koekebakker S., Westgaard S., 2010, Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution, Journal of Energy Markets, 3,3, 1-23


2009: No published papers.




1.       Frydenberg S., Lindset S., Westgaard S., 2008, Hedge fund return statistics 1994-2005, Journal of Investing, Spring, 7-21.


2.       Westgaard S., Faria E., Fleten S-E., 2008, Price dynamics of natural gas components:empirical evidence, Journal of Energy Markets, 1,3,37-68


3.       Westgaard S., Eidet A., Frydenberg S., Grosås T.C., 2008, Investigating the capital structure of UK real estate companies, Journal of property research, March, 25, 1, 61-87


4.       Talberg M., Winge C., Frydenberg S., Westgaard S., 2008, Capital structure across industries, International journal of economomics and business, 15,2, July, 181-200


5.       Helbæk M., and Westgaard S., 2008, Statistikk kort og godt, Universitetsforlaget


2007 and earlier:


1.       Frydenberg S., Grøneng M.S., Nygård G.Ø and Westgaard S., 2006, Hedgefond – Sett i et norsk perspektiv, BETA Scandinavian Journal of Business Research 2/06


2. Westgaard S. ,2005, What can modern statistical and mathematical techniques add to the analysis and prediction of bankruptcy, BETA Scandinavian Journal of Business Research 2/05


3. Westgaard S. and Wijst N., 2001, Default probabilities in a corporate bank

portfolio: A logistic model approach, European Journal of Operational Research,

135, 338-349


4. Rystad K.M., Vestrum G. and Westgaard S., 1998, Styring av markedsrisiko i finansielle

organisasjoner, Magma 1 (3), pp76-87.


5. Høyland K, Ranberg E., Wallace S. W., Westgaard S, 1997, Kapitalforvaltning i et

livselskap, Praktisk Økonomi og ledelse, 2, pp.71-84