Blar i Brage INN på forfatter "Størdal, Ståle"
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Effects of strong and weak non-pharmaceutical interventions on stock market returns: A comparative analysis of Norway and Sweden during the initial phase of the COVID-19 pandemic
Størdal, Ståle; Lien, Gudbrand; Mydland, Ørjan; Haugom, Erik (Peer reviewed; Journal article, 2021)In this paper, we examine the behaviour of stock market returns in Norway and Sweden during the early days of the COVID-19 pandemic. We test how the different government interventions chosen in Norway and Sweden, including ... -
Impacts of infectious disease outbreaks on firm performance and risk: The forest industries during the COVID-19 pandemic
Størdal, Ståle; Lien, Gudbrand; Trømborg, Erik (Peer reviewed; Journal article, 2021)We examine the financial performance of the forest products industry in the initial phase of the COVID-19 pandemic, employing data for publicly trading companies in the industry globally. We first examine the market investor ... -
Modeling markups and its determinants: The case of Norwegian industries and regions
Mydland, Ørjan; Størdal, Ståle; Kumbhakar, Subal C.; Lien, Gudbrand (Peer reviewed; Journal article, 2022)In this paper we use an innovative and nonstandard approach to model and estimate markups and market power. The approach uses a regression framework with determinants as well as a random component. We use this innovative ... -
Modeling markups and its determinants: The case of Norwegian industries and regions
Mydland, Ørjan; Størdal, Ståle; Kumbhakar, Subal C.; Lien, Gudbrand (Peer reviewed; Journal article, 2022)In this paper we use an innovative and nonstandard approach to model and estimate markups and market power. The approach uses a regression framework with determinants as well as a random component. We use this innovative ... -
Salmon futures and the Fish Pool market in the context of the CAPM and a three-factor model
Ewald, Christian Oliver; Haugom, Erik; Kanthan, Leslie; Lien, Gudbrand; Salehi, Pariya; Størdal, Ståle (Peer reviewed; Journal article, 2021-07-31)Futures on fresh farmed salmon traded at the Fish Pool market in Norway are analyzed in the context of the Capital Asset Pricing Model (CAPM) and a corresponding three-factor model where contracts are separated based on ... -
Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures
Ewald, Christian Oliver; Hadina, Jelena; Haugom, Erik; Lien, Gudbrand; Størdal, Ståle; Yahya, Muhammad (Peer reviewed; Journal article, 2023)In this paper we examine how sensitive Value-at-Risk (VaR) forecasts based on simple linear quantile regressions are to the sampling frequency used to calculate realized volatility. We use sampling frequencies from one to ... -
Trading Time Seasonality in Commodity Futures: An Opportunity for Arbitrage in the Natural Gas and Crude Oil Markets?
Ewald, Christian Oliver; Haugom, Erik; Lien, Gudbrand; Størdal, Ståle; Wu, Yuexiang (Peer reviewed; Journal article, 2022)In this paper we investigate energy futures contracts and the presence of a type of seasonality, that has been given very little to no attention in the literature. We call it trading time seasonality. Such seasonality is ... -
Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets?
Ewald, Christian Oliver; Haugom, Erik; Lien, Gudbrand; Størdal, Ståle; Wu, Yuexiang (Peer reviewed; Journal article, 2022)In this paper we investigate energy futures contracts and the presence of a type of seasonality, that has beengiven very little to no attention in the literature —- we call it trading time seasonality. Such seasonality is ... -
Trading Time Seasonality in Electricity Futures
Størdal, Ståle; Ewald, Christian Oliver; Lien, Gudbrand; Haugom, Erik (Peer reviewed; Journal article, 2022-10-12)Trading time seasonality reflects the seasonal behavior of futures prices with the same time of maturity. Hence, it differs from classical seasonality, which reflects seasonal behavior induced by the spot price observed ...