Geir Drage Berentsen

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Associate Professor Geir Drage Berentsen

E-mail
Geir.Berentsen@nhh.no
Telephone
+47 55 95 94 65
Department
Business and Management Science
Office
C510
Expertise
Management Science Time Series & Longitudinal Data Measures of Dependence Spatial Models Computational Statistics
Biography and CV Selected publications Research Dissemination
Geir Drage Berentsen received his PhD in statistics from the University of Bergen in 2013 on a dissertation concerning the modelling and measurement of nonlinear dependence between random variables.  In 2013 – 2016 he worked as a consultant in Safetec Nordic AS, a company that supplies a wide range of risk management services. He then returned to the Department of Mathematics working as a postdoctor.
He is now an Assistant Professor at NHH, and his research interests include count time series, longitudinal data and spatial models with applications in finance, medicine and econometrics.

Selected publications

Author(s) Title Publisher
Azzolini, Francesca; Berentsen, Geir Drage; Skaug, Hans Julius; Hjelmborg, Jacob V.B.; Kaprio, Jaakko A. The heritability of BMI varies across the range of BMI—a heritability curve analysis in a twin cohort International Journal of Obesity Volume 46; page 1786 - 1791; 2022
Bacri, Timothee Raphael Ferdinand; Berentsen, Geir Drage; Bulla, Jan; Hølleland, Sondre Nedreås A gentle tutorial on accelerated parameter and confidence interval estimation for hidden Markov models using Template Model Builder Biometrical Journal; 2022
Berentsen, Geir Drage; Bulla, Jan; Maruotti, Antonello; Støve, Bård Modelling clusters of corporate defaults: Regime-switching models significantly reduce the contagion source The Journal of the Royal Statistical Society, Series C (Applied Statistics) Volume 71 (3); page 1 - 698; 2022
Otneim, Håkon; Berentsen, Geir Drage; Tjøstheim, Dag Bjarne Local Lead–Lag Relationships and Nonlinear Granger Causality: An Empirical Analysis Entropy Volume 24 (3) (17 pages); 2022
Sleire, Anders Daasvand; Støve, Bård; Otneim, Håkon; Berentsen, Geir Drage; Tjøstheim, Dag Bjarne; Haugen, Sverre Hauso Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations Finance Research Letters; page 1 - 9; 2021
Mannseth, Janne; Berentsen, Geir Drage; Skaug, Hans Julius; Lie, Rolv T.; Moster, Dag Variation in use of Caesarean section in Norway: An application of spatio-temporal Gaussian random fields Scandinavian Journal of Public Health (8 pages); 2021
Berentsen, Geir Drage; Azzolini, Francesca; Skaug, Hans J.; Lie, Rolv T.; Gjessing, Håkon K. Heritability curves: A local measure of heritability in family models Statistics in Medicine Volume 40 (6); page 1357 - 1382; 2020
Berentsen, Geir Drage; Cao, Ricardo; Francisco-Fernandez, Mario; Tjøstheim, Dag Bjarne Some properties of local Gaussian correlation and other nonlinear dependence measures Journal of Time Series Analysis Volume 38 (2); page 352 - 380; 2016
Berentsen, Geir Drage; Støve, Bård; Tjøstheim, Dag Bjarne; Nordbø, Tommy Neverdahl Recognizing and visualizing copulas: An approach using local Gaussian approximation Insurance, Mathematics & Economics Volume 57 (1); page 90 - 103; 2014
Berentsen, Geir Drage; Tjøstheim, Dag Bjarne Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation Statistics and computing Volume 24 (5); page 785 - 801; 2014
Berentsen, Geir Drage; Kleppe, Tore Selland; Tjøstheim, Dag Bjarne Introducing localgauss, an R package for estimating and visualizing local Gaussian correlation Journal of Statistical Software Volume 56 (12); page 1 - 18; 2014
Bacri, Timothee Raphael Ferdinand; Berentsen, Geir Drage; Bulla, Jan; Støve, Bård Computational issues in parameter estimation for hidden Markov models with template model builder Journal of Statistical Computation and Simulation; 2023
More publications in Cristin

Research areas at the department

Main: Asset Management and Risk Analysis

Dissemination