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Details about Stefan Trueck

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Workplace:Faculty of Business and Economics, Macquarie University, (more information at EDIRC)

Access statistics for papers by Stefan Trueck.

Last updated 2019-05-24. Update your information in the RePEc Author Service.

Short-id: ptr82


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Working Papers

2017

  1. The impact of news on US household inflation expectations
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads

2016

  1. Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads

2015

  1. Conditional Systemic Risk with Penalized Copula
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  2. Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (1)
    See also Journal Article in Journal of Futures Markets (2016)

2014

  1. Modelling price spikes in electricity markets - the impact of load, weather and capacity
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (1)
  2. Quantifying Catastrophic and Climate Impacted Hazards Based on Local Expert Opinions
    Climate Change and Sustainable Development, Fondazione Eni Enrico Mattei (FEEM) Downloads
    Also in Working Papers, Fondazione Eni Enrico Mattei (2014) Downloads

2013

  1. An empirical comparison of alternate schemes for combining electricity spot price forecasts
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (7)
    See also Journal Article in Energy Economics (2014)
  2. Emissions Mitigation Schemes in Australia—The Past, Present and Future
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads

2012

  1. Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
    See also Journal Article in Energy Economics (2013)
  2. The relationship between spot and futures CO2 emission allowance prices in the EU-ETS
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (12)

2011

  1. Interaction between Australian carbon prices and energy prices
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (2)
  2. The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis
    CESifo Working Paper Series, CESifo Group Munich Downloads

2010

  1. Estimation of operational value-at-risk in the presence of minimum collection threshold: An empirical study
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering Downloads View citations (2)
  2. The dynamics of hourly electricity prices
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (7)

2007

  1. Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices
    MPRA Paper, University Library of Munich, Germany Downloads View citations (42)

2006

  1. Convenience Yields for CO2 Emission Allowance Futures Contracts
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (38)
  2. RISK AND RETURN IN EUROPEAN PROPERTY MARKETS - AN EMPIRICAL INVESTIGATION
    ERES, European Real Estate Society (ERES) Downloads

2005

  1. An Analysis of Property Price Trends in Germany - Implications for Property Valuation Practice and Investment Decision Making
    ERES, European Real Estate Society (ERES) Downloads
  2. Modeling catastrophe claims with left-truncated severity distributions (extended version)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2005) Downloads
  3. Modeling electricity prices with regime switching models
    Econometrics, University Library of Munich, Germany Downloads View citations (22)
  4. Time series properties of a rating system based on financial ratios
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank Downloads View citations (9)

2003

  1. Modeling electricity prices: jump diffusion and regime switching
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (23)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)

Journal Articles

2018

  1. Assessing sovereign default risk: A bottom-up approach
    Economic Modelling, 2018, 70, (C), 525-542 Downloads
  2. Electricity markets around the world
    Journal of Commodity Markets, 2018, 9, (C), 77-100 Downloads View citations (2)
  3. Factors of the term structure of sovereign yield spreads
    Journal of International Money and Finance, 2018, 81, (C), 56-75 Downloads
  4. Managing risks from climate impacted hazards – The value of investment flexibility under uncertainty
    European Journal of Operational Research, 2018, 269, (1), 132-145 Downloads

2016

  1. Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period
    Journal of Futures Markets, 2016, 36, (6), 587-611 Downloads View citations (6)
    See also Working Paper (2015)
  2. Financing alternative energy projects: An examination of challenges and opportunities for local government
    Energy Policy, 2016, 97, (C), 354-364 Downloads View citations (3)
  3. It’s not now or never: Implications of investment timing and risk aversion on climate adaptation to extreme events
    European Journal of Operational Research, 2016, 253, (3), 856-868 Downloads View citations (2)

2015

  1. Daily Business and External Condition Indices for the Australian Economy
    The Economic Record, 2015, 91, (S1), 38-53 Downloads
  2. Editorial to the special issue on Applicable semiparametrics of computational statistics
    Computational Statistics, 2015, 30, (3), 641-646 Downloads
  3. The dynamics of returns on renewable energy companies: A state-space approach
    Energy Economics, 2015, 48, (C), 325-335 Downloads View citations (19)

2014

  1. An empirical comparison of alternative schemes for combining electricity spot price forecasts
    Energy Economics, 2014, 46, (C), 395-412 Downloads View citations (47)
    See also Working Paper (2013)
  2. Unbiasedness and risk premiums in the Indian currency futures market
    Journal of International Financial Markets, Institutions and Money, 2014, 29, (C), 13-32 Downloads View citations (2)

2013

  1. Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling
    Energy Economics, 2013, 38, (C), 96-110 Downloads View citations (66)
    See also Working Paper (2012)
  2. Regional and global contagion in real estate investment trusts: The case of the financial crisis of 2007-2009
    Journal of Property Investment & Finance, 2013, 31, (1), 53-77 Downloads View citations (2)

2011

  1. Style analysis and Value-at-Risk of Asia-focused hedge funds
    Pacific-Basin Finance Journal, 2011, 19, (5), 491-510 Downloads View citations (4)
  2. The Relationship between Carbon, Commodity and Financial Markets: A Copula Analysis
    The Economic Record, 2011, 87, (s1), 105-124 Downloads View citations (15)

2010

  1. Returns of REITS and stock markets: Measuring dependence and risk
    Journal of Property Investment & Finance, 2010, 28, (1), 34-57 Downloads View citations (4)

2009

  1. Modeling the price dynamics of CO2 emission allowances
    Energy Economics, 2009, 31, (1), 4-15 Downloads View citations (174)

2006

  1. Modelling catastrophe claims with left-truncated severity distributions
    Computational Statistics, 2006, 21, (3), 537-555 Downloads View citations (9)
  2. Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (3), 1-36 Downloads View citations (103)

2005

  1. Auswirkungen der neuen Basler Eigenkapitalvereinbarung auf die Finanzierung von KMU
    Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, 2005, 74, (4), 112-124 Downloads

2004

  1. Modeling electricity prices: jump diffusion and regime switching
    Physica A: Statistical Mechanics and its Applications, 2004, 336, (1), 39-48 Downloads View citations (72)
    See also Working Paper (2003)

Books

2008

  1. Rating Based Modeling of Credit Risk
    Elsevier Monographs, Elsevier Downloads

Software Items

2006

  1. SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models"
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
 
Page updated 2019-05-26