• Carbon Pricing and Electricity Markets - The Case of the Australian Clean Energy Bill (with P. Maryniak, R. Weron), in Energy Economics, forthcoming.
• A note on the impact of news on US household inflation expectations (with B. Wang, J. Sheen, S.-K. Chao, W. Härdle), in Macroeconomic Dynamics, forthcoming.
• Managing Risks from Climate Impacted Hazards - The Value of Investment Flexibility under Uncertainty (with C. Truong, S. Mathew), in European Journal of Operational Research 269(1), 2018.
• Factors of the Term Structure of Sovereign Yield Spreads (with D. Wellmann), in Journal of International Money and Finance 81, 2018.
• Assessing sovereign default risk: a bottom-up approach (with F. Liu, E. Kalotay) Economic Modeling 70, 2018.
• Electricity Markets around the World (with K. Mayer), in Journal of Commodity Markets 9, 2018.
• Quantifying catastrophic and climate impacted hazards based on local expert opinions (with T. Keighley, T. Longden, S. Mathew), Journal of Environmental Management 205, 2017.
• The Diversification Delta – a different perspective (with Y. Salazar, R. Bianchi, M. Drew), in Journal of Portfolio Management, 43(4), 2017.
• It's not now or never: Implications of Investment Timing and Risk Aversion on Climate Adaptation to Extreme Events (with C. Truong), in European Journal of Operational Research, 253(3), 2016.
• Convenience Yields and Risk Premiums in the EU-ETS - Evidence from the Kyoto Commitment Period (with R. Weron), in Journal of Futures Markets, 36(6), 2016.
• Financing alternative energy projects: an examination of challenges and opportunities for local government (with G. Cheung, P. Davies), in Energy Policy, 97 2016.
• The principal-agent problem in coastal development: response to Mills et al., (with C. Truong), in Conservation Biology, 30(5), 2016.
• Modeling Spot Price Dependence in Australian Electricity Markets with Applications to Risk Management (with K. Ignatieva), Computers and Operations Research 66, 2015.
• The Dynamics of Returns on Renewable Energy Companies:  A State-Space Approach (with J. Inchauspe, R. Ripple), Energy Economics 48, 2015.
• Daily Business and External Condition Indices for the Australian Economy (with J. Sheen, B. Wang), Economic Record 91, 2015.
• An empirical comparison of alternative schemes for combining electricity spot price forecasts (with J Nowotarski, E Raviv, R Weron), Energy Economics 46, 2014.
• Unbiasedness and Risk Premiums in the Indian Currency Futures Market (with S. Kumar), in Journal of International Financial Markets, Institutions and Money 29, 2014.
• Identifying spikes and seasonal components in electricity spot price data: A guide to robust modelling (with J. Janczura, R Weron, R Wolff), in Energy Economics 38, 2013.
• Regional and Global Contagion in Real Estate Investment Trusts: The case of the Financial Crisis of 2007-2009(with G. Milunovich), in Journal of Property Investment and Finance 31(1), 2013.
• Kochi, India case study of climate adaptation to floods: ranking local government investment options (with S. Mathew, A Henderson-Sellers), Global Environmental Change 22, 2012.
• Modelling and forecasting volatility in the gold market (with K. Liang), International Journal of Banking and Finance 9(1), 2012.
• The relationship between carbon, commodity and financial markets - a copula analysis (with M. Gronwald and J. Ketterer), Economic Record 87, September, 2011.
• Interaction between Australian Carbon Prices and Energy Prices (with D. Cotton), Australasian Journal of Environmental Management 18(4), 2011.
• Style Factors and Value-at-Risk of Asia-Focused hedge funds (with H. Weng), in Pacific-Basin Finance Journal 19(5), 2011.
• Returns of REITS and Stock Markets - Measuring Dependence and Risk (with N. Rong), in Journal of Property Investment and Finance 28(1), 2010.
• Evaluation of Investment Options Mitigating Catastrophic Losses under the Impacts of Climate Change (with C. Truong), in Environmental Economics 1(2), 2010.
• Modeling the Price Dynamics of CO2 Emission Allowances (with E. Benz), in Energy Economics 31(1), 2009.
• Risk and Return in European Property Markets - an Empirical Investigation (with D. Lorenz), in Journal of European Real Estate Research 1(3), 2008.
• Forecasting Credit Migration Matrices with Business Cycle Effects - A Model Comparison, in European Journal of Finance 14(5), 2008.
• Spot and Derivative pricing in the EEX Power Market (with M. Bierbrauer, C. Menn, S.T. Rachev), in Journal of Banking and Finance 31(11), 2007.
• Quantifying Risk in the Electricity Business: A RAROC-based Approach (with M. Prokopczuk, S.T. Rachev, G. Schindlmayr), in Energy Economics 29(5), 2007.
• Exploring the Relationship between Market Value and Sustainable Construction (with D. Lorenz and T. Lützkendorf), in Property Management 25(2), 2007.
• Modeling Catstrophe Claims with Left-Truncated Severity Distributions (with K. Burnecki, A. Chernobai, S.T. Rachev and R. Weron), in Computational Statistics 21(4), 2006.
• Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series (with R. Weron, A. Misiorek), in Studies in Non-Linear Dynamics & Econometrics 10(3), 2006.
• Addressing Risk and Uncertainty in Property Valuations (with D. Lorenz and T. Lützkendorf), in Journal of Property Investment and Finance 24(5), 2006.
• Credit Portfolio Risk and PD Confidence Sets through the Business Cycle (with S.T. Rachev), in Journal of Credit Risk, 1 (4), 2005.
• A Note on the Estimation of the Frequency and Severity Distribution of Operational Losses (with A. Chernobai, C. Menn and S.T. Rachev), in Applied Probability Trust, 30(2), 2005.
• Modelling Electricity Prices with Regime Switching Models (with R.Weron and M. Bierbrauer), in Lecture Notes in Computer Science 3039, 2004.
• Modelling Electricity Prices: Jump Diffusion and Regime Switching (with R.Weron and M. Bierbrauer), in Physica A - Statistical Mechanics and its Applications, 336, Elsevier 2004.

Contributions to Refereed Books and Proceedings Volumes

• Estimation of Operational Value-at-Risk with Minimum Collection Thresholds, (with A. Chernobai, C. Menn and S.T. Rachev), in: Rsch and Scheule (eds), Model Risk in financial crises - challenges and solution for financial risk models, Risk Books 2010.
• Assessing climate change adaptation options for local government (with W. Bradford, A. Henderson-Sellers, S. Mathew, J. Scott, M. Street and R. Taplin), in: Henderson-Sellers and You (eds), Climate Change Monitoring and Strategy, Sydney University Press 2010.
• Recent Advances in Credit Risk Management (with F. Morley, B. Racheva), in: G. Bol et al. (eds), Risk Assessment: Decisions in Banking and Finance, Physika Verlag, 2008.
• Hedgefonds im Risikomanagement (with F. Hausen and S. T. Rachev), in: Erben, R. (ed), Risikomanager Jahrbuch  2008, Bank-Verlag, 2008.
• Treatment  of Incomplete Data in the Field of Operational Risk: The Effects on Parameter Estimates, EL and UL Figures (with A. Chernobai, C. Menn, S.T. Rachev, M. Moscadelli), in: E. Davis (ed), The Advanced Measurement Approach to Operational Risk, Risk Books, 2006.
• Time Series Properties of a Rating System based on Financial Ratios (with U. Krueger and M. Sttzel), in Deutsche Bundesbank Discussion Paper Series: Banking & Financial Studies 14, 2005.
• Loss Given Default und Recovery Rates - eine Einfaehrung (with J. Deidersen, P. Niebling and S.T. Rachev),  in Modernes Risikomanagement, Frank Romeike (ed), Wiley, 2004.
• Estimation, Adjustment and Application of Transition Matrices in Credit Risk Models (with. E. tzturkmen) in Handbook: Computational & Numerical Methods in Finance, Birkhauser, 2004.
• Credit Risk Models in Practice: A Review (with J. Peppel) in Credit Risk: Measurement, Evaluation and Management, Physika, 2003.
• Approaches to Credit Risk in the New Basel Capital Accord (with A. Benzin and S.T. Rachev) in Credit Risk: Measurement, Evaluation and Management, Physika, 2003.

Current PhD students

• Principal Supervisor of Yimeng Yu – PhD – Applied Finance: Market Anomalies in Energy and Commodity Markets – Full Time
• Principal Supervisor of Lin Han – PhD - Applied Finance: Spillover Effects in Financial and Commodity Markets – Full Time
• Principal Supervisor of Sami Aoude– PhD- Applied Finance: Risk Premiums and Derivatives Pricing in Electricity Markets - Part Time
• Associate Supervisor of Lydia Liu – PhD- Applied Finance: Essays on Risk Management and Insurance Claims - Full Time