Browsing by Author "Trück, Stefan"

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2018-11-14Zeitschriftenartikel

A Note on the Impact of News on US Household Inflation Expectations

Wang, Ben; Sheen, Jeffrey; Trück, Stefan; Chao, Shih-Kang; Härdle, Wolfgang Karl

Monthly disaggregated US data from 1978 to 2016 reveal that exposure to news on inflation and monetary policy helps to explain inflation expectations. This remains true when controlling for household personal characteristics, ...
2015-08-03Buch

Conditional Systemic Risk with Penalized Copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey; Trück, Stefan

Financial 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 ...
2006-11-14Buch

Convenience Yields for CO2 Emission Allowance Futures Contracts

Borak, Szymon; Härdle, Wolfgang Karl; Trück, Stefan; Weron, Rafal

In 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 ...
2010-02-04Buch

The dynamics of hourly electricity prices

Härdle, Wolfgang Karl; Trück, Stefan

The 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 ...
2017-05-29Diskussionspapier

The impact of news on US household inflation expectations

Chao, Shih-Kang; Härdle, Wolfgang Karl; Sheen, Jeffrey; Trück, Stefan; Wang, Ben Zhe

Analysis 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 ...