Steen Koekebakker : Citation Profile


Are you Steen Koekebakker?

Universitetet i Agder

9

H index

6

i10 index

232

Citations

RESEARCH PRODUCTION:

18

Articles

1

Papers

1

Books

RESEARCH ACTIVITY:

   16 years (2002 - 2018). See details.
   Cites by year: 14
   Journals where Steen Koekebakker has often published
   Relations with other researchers
   Recent citing documents: 52.    Total self citations: 7 (2.93 %)

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   Permalink: http://citec.repec.org/pko610
   Updated: 2018-12-08    RAS profile: 2018-08-02    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Steen Koekebakker.

Is cited by:

McAleer, Michael (9)

VISVIKIS, ILIAS (9)

Tsouknidis, Dimitris (7)

woo, chi-keung (6)

Chang, Chia-Lin (6)

Zarnikau, Jay (5)

Caporin, Massimiliano (5)

Guo, Xu (4)

López Cabrera, Brenda (4)

Fleten, Stein-Erik (3)

Prokopczuk, Marcel (3)

Cites to:

Kavussanos, Manolis (13)

Cartea, Álvaro (10)

Prokopczuk, Marcel (5)

Jarrow, Robert (5)

merton, robert (5)

Bessembinder, Hendrik (5)

Bollerslev, Tim (4)

Alizadeh, Amir (4)

Johansen, Soren (4)

Pelsser, Antoon (3)

Cao, Charles (3)

Main data


Where Steen Koekebakker has published?


Journals with more than one article published# docs
Maritime Economics & Logistics4
Energy Economics2
Transportation Research Part E: Logistics and Transportation Review2

Recent works citing Steen Koekebakker (2018 and 2017)


YearTitle of citing document
2018On the spot-futures no-arbitrage relations in commodity markets. (2018). Lautier, Delphine ; Ren'e A"id, ; Campi, Luciano . In: Papers. RePEc:arx:papers:1501.00273.

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2018Skewed Target Range Strategy for Multi-Period Portfolio Optimization by a Two-Stage Least Squares Monte Carlo Method. (2018). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas . In: Papers. RePEc:arx:papers:1704.00416.

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2018The effect of prudence on the optimal allocation in possibilistic and mixed models. (2018). Georgescu, Irina. In: Papers. RePEc:arx:papers:1805.12066.

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2018A Stochastic Latent Moment Model for Electricity Price Formation. (2018). Gianfreda, Angelica ; Bunn, Derek. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps46.

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2017Differential equations connecting VaR and CVaR. (2017). Balbas, Raquel . In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:24017.

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2017Electricity price behavior and carbon trading: New evidence from California. (2017). woo, chi-keung ; Chen, Yan ; Schlag, N ; Olson, A ; Moore, J ; Ong, A ; Ho, T. In: Applied Energy. RePEc:eee:appene:v:204:y:2017:i:c:p:531-543.

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2018Hysteresis due to irreversible exit: Addressing the option to mothball. (2018). Guerra, Manuel ; Oliveira, Carlos ; Nunes, Claudia ; Kort, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:69-83.

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2017Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market. (2017). Caldana, Ruggero ; Roncoroni, Andrea ; Fusai, Gianluca. In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:2:p:715-734.

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2018Valuation of power plants. (2018). Ernstsen, Rune Ramsdal ; Boomsma, Trine Krogh. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:3:p:1153-1174.

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2018“On the (Ab)use of Omega?”. (2018). Caporin, Massimiliano ; Maillet, Bertrand ; Jannin, Gregory ; Costola, Michele. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:11-33.

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2017A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets. (2017). Pircalabu, A ; Benth, F E. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:283-302.

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2017Risk-minimisation in electricity markets: Fixed price, unknown consumption. (2017). Tegner, Martin ; Poulsen, Rolf ; Skajaa, Anders ; Ernstsen, Rune Ramsdal. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:423-439.

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2018Relative value arbitrage in European commodity markets. (2018). Hain, Martin ; Uhrig-Homburg, Marliese ; Hess, Julian. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:140-154.

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2018Liquidity and risk premia in electricity futures. (2018). Bevin-McCrimmon, Fergus ; Sise, Greg ; McCarten, Matthew ; Diaz-Rainey, Ivan. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:503-517.

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2018Consumption effects of an electricity decarbonization policy: Hong Kong. (2018). Zarnikau, Jay ; woo, chi-keung ; Luo, X ; Liu, Y ; Shiu, A. In: Energy. RePEc:eee:energy:v:144:y:2018:i:c:p:887-902.

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2018Indexing gamble desirability by extending proportional stochastic dominance. (2018). Hellman, Ziv ; Schreiber, Amnon. In: Games and Economic Behavior. RePEc:eee:gamebe:v:109:y:2018:i:c:p:523-543.

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2017A comparison of wavelet networks and genetic programming in the context of temperature derivatives. (2017). Cramer, Sam ; Alexandridis, Antonis K ; Kampouridis, Michael. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:21-47.

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2017One-sided performance measures under Gram-Charlier distributions. (2017). Moreno, Manuel ; Leon, Angel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:74:y:2017:i:c:p:38-50.

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2017A two-factor cointegrated commodity price model with an application to spread option pricing. (2017). Necula, Ciprian ; Farkas, Walter ; Huitema, Robert ; Gourier, Elise . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:249-268.

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2018Information demand and stock return predictability. (2018). Vlastakis, Nikolaos ; Papadimitriou, Fotios I ; Chronopoulos, Dimitris K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:80:y:2018:i:c:p:59-74.

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2018Stochastic process with multiplicative structure for the dynamic behavior of the financial market. (2018). Lima, Leonardo S. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:222-229.

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2018Theory and application of an economic performance measure of risk. (2018). McAleer, Michael ; Guo, Xu ; Wong, Wing-Keung ; Niu, Cuizhen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:383-396.

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2018Does energy efficiency affect ship values in the second-hand market?. (2018). Wolff, François-Charles ; Cariou, Pierre ; Adland, Roar. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:111:y:2018:i:c:p:347-359.

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2017Does fuel efficiency pay? Empirical evidence from the drybulk timecharter market revisited. (2017). Banyte, Justina ; Jia, Haiying ; Alger, Harrison ; Adland, Roar. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:95:y:2017:i:c:p:1-12.

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2017Herd behavior in the drybulk market: an empirical analysis of the decision to invest in new and retire existing fleet capacity. (2017). Papapostolou, Nikos ; Kyriakou, Ioannis ; Pouliasis, Panos K. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:104:y:2017:i:c:p:36-51.

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2017Investors’ behavior and dynamics of ship prices: A heterogeneous agent model. (2017). Alizadeh, Amir H ; Yip, Tsz Leung ; Thanopoulou, Helen. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:106:y:2017:i:c:p:98-114.

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2018Capacity expansion under regulatory uncertainty:A real options-based study in international container shipping. (2018). Haehl, Christian ; Spinler, Stefan. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:113:y:2018:i:c:p:75-93.

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2018A survey of shipping finance research: Setting the future research agenda. (2018). VISVIKIS, ILIAS ; Tsouknidis, Dimitris ; Kim, Chi Y ; Kavussanos, Manolis G ; Alexandridis, George. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:115:y:2018:i:c:p:164-212.

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2017Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives. (2017). VISVIKIS, ILIAS ; Alexandridis, G ; Sahoo, S. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:98:y:2017:i:c:p:82-104.

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2017Theory and Application of an Economic Performance Measure of Risk. (2017). Wong, Wing-Keung ; McAleer, Michael ; Guo, Xu ; Niu, C. In: Econometric Institute Research Papers. RePEc:ems:eureir:100417.

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2017Determinants of power spreads in electricity futures markets: A multinational analysis. (2017). Spodniak, Petr ; Bertsch, Valentin. In: Papers. RePEc:esr:wpaper:wp580.

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2017A Cointegrated Regime-Switching Model Approach with Jumps Applied to Natural Gas Futures Prices. (2017). Leonhardt, Daniel ; Zagst, Rudi ; Ware, Antony. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:48-:d:111674.

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2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

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2018Ship Acquisition of Shipping Companies by Sale & Purchase Activities for Sustainable Growth: Exploratory Fuzzy-AHP Application. (2018). Park, Keun-Sik ; Ha, Min-Ho ; Kim, A-Rom ; Seo, Young-Joon. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:6:p:1763-:d:149310.

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2018Does energy efficiency affect ship values in the second-hand market?. (2018). Wolff, François-Charles ; Cariou, Pierre ; Adland, Roar. In: Working Papers. RePEc:hal:wpaper:halshs-01706627.

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2018Comparing transaction-based and expert-generated price indices in the market for offshore support vessels. (2018). Wolff, François-Charles ; Cariou, Pierre ; Adland, Roar. In: Working Papers. RePEc:hal:wpaper:halshs-01843720.

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2018Unequal Returns: Using the Atkinson Index to Measure Financial Risk. (2018). Fischer, Thomas ; Lundtofte, Frederik . In: Working Papers. RePEc:hhs:lunewp:2018_025.

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2018The value of foresight in the drybulk freight market. (2018). Wallace, Stein ; Prochazka, Vit ; Adland, Roar. In: Discussion Papers. RePEc:hhs:nhhfms:2018_001.

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2018Enhancement of value investing strategies based on financial statement variables: the German evidence. (2018). Patari, Eero J ; Samuli, J V ; Hulkkonen, Janne ; Leivo, Timo H. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:51:y:2018:i:3:d:10.1007_s11156-017-0689-y.

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2018Short-term price density forecasts in the lean hog futures market. (2018). Trujillo-Barrera, Andres ; Garcia, Philip ; Mallory, Mindy L. In: European Review of Agricultural Economics. RePEc:oup:erevae:v:45:y:2018:i:1:p:121-142..

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2017Are recent tanker freight rates stationary?. (2017). Poblacion, Javier. In: Maritime Economics & Logistics. RePEc:pal:marecl:v:19:y:2017:i:4:d:10.1057_mel.2016.7.

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2018Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes. (2018). Kevei, Peter. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:70:y:2018:i:2:d:10.1007_s10463-017-0601-5.

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2017The Baltic Dry Index: cyclicalities, forecasting and hedging strategies. (2017). Thomakos, Dimitrios ; Liu, Jiadong ; Papailias, Fotis . In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:1:d:10.1007_s00181-016-1081-9.

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2017Valuing cargo flexibility in oil transportation. (2017). Adland, Roar ; von der Wense, Levin ; Hansson, David. In: Maritime Policy & Management. RePEc:taf:marpmg:v:44:y:2017:i:7:p:803-814.

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2017Calculation of the freight revenues in Turkey-focused maritime transportation. (2017). Erol, Sercan . In: Maritime Policy & Management. RePEc:taf:marpmg:v:44:y:2017:i:7:p:815-824.

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2017Theory and Application of an Economic Performance Measure of Risk. (2017). Wong, Wing-Keung ; McAleer, Michael ; Guo, Xu ; Niu, Cuizhen. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170055.

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2017Theory and Application of an Economic Performance Measure of Risk. (2017). Wong, Wing-Keung ; McAleer, Michael ; Guo, Xu ; Niu, Cuizhen. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1718.

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2017Pricing spread options by generalized bivariate edgeworth expansion. (2017). , Edward ; Xie, Weiwei. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500177.

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2017NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING. (2017). Safarov, Nemat ; Atkinson, Colin. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500042.

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2018Electricity price forecasting. (2018). Weron, Rafał ; Ziel, Florian. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1808.

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Works by Steen Koekebakker:


YearTitleTypeCited
2010Modeling Term Structure Dynamics in the Nordic Electricity Swap Market In: The Energy Journal.
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article9
2002Term Structure of Volatility and Price Jumps in Agricultural Markets - Evidence from Option Data In: 2002 International Congress, August 28-31, 2002, Zaragoza, Spain.
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paper0
2007Putting a Price on Temperature In: Scandinavian Journal of Statistics.
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article13
2008Stochastic modeling of financial electricity contracts In: Energy Economics.
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article49
2015Pricing of forwards and other derivatives in cointegrated commodity markets In: Energy Economics.
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article2
2009Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance In: Journal of Banking & Finance.
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article57
2008Market switching in shipping -- A real option model applied to the valuation of combination carriers In: Review of Financial Economics.
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article12
2018Multivariate modeling and analysis of regional ocean freight rates In: Transportation Research Part E: Logistics and Transportation Review.
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article0
2007Pricing freight rate options In: Transportation Research Part E: Logistics and Transportation Review.
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article11
2007Predictive power and unbiasedness of implied forward charter rates In: Journal of Forecasting.
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article2
2004Volatility and Price Jumps in Agricultural Futures Prices—Evidence from Wheat Options In: American Journal of Agricultural Economics.
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article24
2016Stochastic modeling of Supramax spot and forward freight rates In: Maritime Economics & Logistics.
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article1
2004Market Efficiency in the Second-hand Market for Bulk Ships In: Maritime Economics & Logistics.
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article8
2004The Pricing of Forward Ship Value Agreements and the Unbiasedness of Implied Forward Prices in the Second-Hand Market for Ships In: Maritime Economics & Logistics.
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article2
2007Ship Valuation Using Cross-Sectional Sales Data: A Multivariate Non-Parametric Approach In: Maritime Economics & Logistics.
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article8
2009Value based trading of real assets in shipping under stochastic freight rates In: Applied Economics.
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article5
2004Modelling forward freight rate dynamics—empirical evidence from time charter rates In: Maritime Policy & Management.
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article9
2006Are Spot Freight Rates Stationary? In: Journal of Transport Economics and Policy.
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article9
2014THE CARMA INTEREST RATE MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
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article2
2008Stochastic Modeling of Electricity and Related Markets In: World Scientific Books.
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book9

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