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Browsing by Author "Trück, Stefan"
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2015-08-03BuchConditional Systemic Risk with Penalized Copula Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey; Trück, StefanFinancial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion ...
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2006-11-14BuchConvenience Yields for CO2 Emission Allowance Futures Contracts Borak, Szymon; Härdle, Wolfgang Karl; Trück, Stefan; Weron, RafalIn January 2005 the EU-wide CO2 emissions trading system (EU-ETS) has formallyentered into operation.Within the new trading system, the right to emit a particularamount of CO2 becomes a tradable commodity - called EU ...
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2010-02-04BuchThe dynamics of hourly electricity prices Härdle, Wolfgang Karl; Trück, StefanThe dynamics of hourly electricity prices in day-ahead markets is an important element of competitive power markets that were only established in the last decade. In electricity markets, the market microstructure does not ...
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2017-05-29DiskussionspapierThe impact of news on US household inflation expectations Chao, Shih-Kang; Härdle, Wolfgang Karl; Sheen, Jeffrey; Trück, Stefan; Wang, Ben ZheAnalysis of monthly disaggregated data from 1978 to 2016 on US household in ation expectations reveals that exposure to news on in ation and monetary policy helps to explain in ation expectations. This remains true when ...