Details about Steen Koekebakker

Access statistics for papers by Steen Koekebakker.

Last updated 2018-08-02. Update your information in the RePEc Author Service.

Short-id: pko610

Working Papers

2002

1. Term Structure of Volatility and Price Jumps in Agricultural Markets - Evidence from Option Data
   2002 International Congress, August 28-31, 2002, Zaragoza, Spain, European Association of Agricultural Economists

Journal Articles

2018

1. Multivariate modeling and analysis of regional ocean freight rates
   Transportation Research Part E: Logistics and Transportation Review, 2018, 113, (C), 194-221 View citations (9)

2016

2. Stochastic modeling of Supramax spot and forward freight rates
   Maritime Economics & Logistics, 2016, 18, (4), 391-413 View citations (7)

2015

3. Pricing of forwards and other derivatives in cointegrated commodity markets
   Energy Economics, 2015, 52, (PA), 104-117 View citations (4)

2014

4. THE CARMA INTEREST RATE MODEL
   International Journal of Theoretical and Applied Finance (IJTAF), 2014, 17, (02), 1-27 View citations (7)

2010

5. Modeling Term Structure Dynamics in the Nordic Electricity Swap Market
   The Energy Journal, 2010, Volume 31, (Number 2), 53-86 View citations (15)

2009

6. A Generalisation of the Mean†Variance Analysis
   European Financial Management, 2009, 15, (5), 934-970
7. Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance
   Journal of Banking & Finance, 2009, 33, (7), 1242-1254 View citations (92)
8. Value based trading of real assets in shipping under stochastic freight rates
   Applied Economics, 2009, 41, (22), 2793-2807 View citations (12)

2008

9. Market switching in shipping -- A real option model applied to the valuation of combination carriers
   Review of Financial Economics, 2008, 17, (3), 183-203 View citations (23)
10. Stochastic modeling of financial electricity contracts
    Energy Economics, 2008, 30, (3), 1116-1157 View citations (81)

2007

11. Predictive power and unbiasedness of implied forward charter rates
    Journal of Forecasting, 2007, 26, (6), 385-403 View citations (3)
12. Pricing freight rate options
    Transportation Research Part E: Logistics and Transportation Review, 2007, 43, (5), 535-548 View citations (23)
13. Putting a Price on Temperature*
    Scandinavian Journal of Statistics, 2007, 34, (4), 746-767 View citations (19)
14. Ship Valuation Using Cross-Sectional Sales Data: A Multivariate Non-Parametric Approach
    Maritime Economics & Logistics, 2007, 9, (2), 105-118 View citations (12)

2006

15. Are Spot Freight Rates Stationary?
    Journal of Transport Economics and Policy, 2006, 40, (3), 449-472 View citations (19)

2004

16. Market Efficiency in the Second-hand Market for Bulk Ships
    Maritime Economics & Logistics, 2004, 6, (1), 1-15 View citations (11)
17. Modelling forward freight rate dynamics—empirical evidence from time charter rates
    Maritime Policy & Management, 2004, 31, (4), 319-335 View citations (16)
18. The Pricing of Forward Ship Value Agreements and the Unbiasedness of Implied Forward Prices in the Second-Hand Market for Ships
    Maritime Economics & Logistics, 2004, 6, (2), 109-121 View citations (4)
19. Volatility and Price Jumps in Agricultural Futures Prices—Evidence from Wheat Options
    American Journal of Agricultural Economics, 2004, 86, (4), 1018-1031 View citations (40)

Books

2008

1. Stochastic Modeling of Electricity and Related Markets
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (70)