Stefan Trück
What is the relationship between prices of emission allowances in the EU Emissions Trading System (EUMTS) and those of various other commodities and financial market variables? This is Stefan Trück’s research agenda during his stay at CESifo. Together with Ifo researcher Marc Gronwald, he is working on a research paper entitled, “The Relationship between the Carbon Market and Financial Markets – a Frequency Domain Analysis”. Since the relationship between variables can differ across frequency bands, the paper applies two different techniques: first, a frequency domain correlation measure and, second, a frequency domain Granger causality test.
Mr Trück’s research interests focus on risk management and financial econometrics including the fields of credit risk, operational risk, power markets and real estate finance. He also has had several years of consulting experience for financial institutions in Europe. In a recent paper he has investigated the identification of spikes and seasonal components in electricity spot price data, examining the effects of different treatments of extreme observations on model estimation and on determining the number of spikes (outliers).
Stefan Trück is a Professor of Finance and Co-Director of the Centre for Financial Risk at Macquarie University, Sydney. Previously, he has held positions at Queensland University of Technology and the University of Karlsruhe in Germany where he received a PhD in business engineering. He has published in several high impact journals including the Journal of Banking and Finance, European Journal of Finance, Energy Economics, Pacific-Basin Finance Journal, Journal of Credit Risk, and Global Environmental Change.