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Details about Marcel Prokopczuk

E-mail:
Homepage:http://www.fmt.uni-hannover.de/prokopczuk.html
Workplace:Wirtschaftswissenschaftliche Fakultät (School of Economics and Management), Leibniz Universität Hannover (University of Hannover), (more information at EDIRC)

Access statistics for papers by Marcel Prokopczuk.

Last updated 2019-10-02. Update your information in the RePEc Author Service.

Short-id: ppr113


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Working Papers

2019

  1. The Memory of Beta Factors
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads

2018

  1. Is Commodity Index Investing Profitable?
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

2017

  1. Historical Antisemitism, Ethnic Specialization, and Financial Development
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2017) Downloads
  2. How to Estimate Beta?
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
  3. International Tail Risk and World Fear
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    See also Journal Article in Journal of International Money and Finance (2019)
  4. Jumps in Commodity Markets
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    See also Journal Article in Journal of Commodity Markets (2019)
  5. Predicting the Equity Market with Option Implied Variables
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    See also Journal Article in The European Journal of Finance (2019)
  6. The Long Memory of Equity Volatility: International Evidence
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (1)
  7. The Memory of Stock Return Volatility: Asset Pricing Implications
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (2)
  8. The Risk Premium of Gold
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    See also Journal Article in Journal of International Money and Finance (2019)
  9. The Term Structure of Systematic and Idiosyncratic Risk
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    See also Journal Article in Journal of Futures Markets (2019)

2016

  1. Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (9)
    See also Journal Article in Quantitative Finance (2016)

2015

  1. Distrust in Finance Lingers: Jewish Persecution and Households' Investments
    2015 Meeting Papers, Society for Economic Dynamics Downloads View citations (3)
  2. Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (2)

2014

  1. An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads

2013

  1. Electricity Derivatives Pricing with Forward-Looking Information
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (4)
    See also Journal Article in Journal of Economic Dynamics and Control (2015)
  2. Electricity Spot and Derivatives Pricing when Markets are Interconnected
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (2)

2012

  1. Futures basis, inventory and commodity price volatility: An empirical analysis
    MPRA Paper, University Library of Munich, Germany Downloads View citations (18)
    See also Journal Article in Economic Modelling (2012)
  2. The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
    See also Journal Article in Energy Economics (2013)

2011

  1. Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (2)
    See also Journal Article in Journal of Banking & Finance (2016)
  2. The Case of Negative Day-Ahead Electricity Prices
    Working Papers, Warwick Business School, Finance Group Downloads View citations (4)
    See also Journal Article in Energy Economics (2013)
  3. The Dynamics of Commodity Prices
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in Quantitative Finance (2013)

2010

  1. American Option Valuation: Implied Calibration of GARCH Pricing-Models
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in Journal of Futures Markets (2011)
  2. An Empirical Model Comparison for Valuing Crack Spread Options
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (2)
    See also Journal Article in Energy Economics (2015)
  3. Pricing and Hedging in the Freight Futures Market
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (1)
    See also Journal Article in Journal of Futures Markets (2011)
  4. Seasonality and the Valuation of Commodity Options
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2013)

2009

  1. Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads

2007

  1. Integrating Multiple Commodities in a Model of Stochastic Price Dynamics
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)

Journal Articles

2019

  1. Asset prices and “the devil(s) you know”
    Journal of Banking & Finance, 2019, 105, (C), 20-35 Downloads
  2. Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section
    Journal of Financial Markets, 2019, 44, (C), 91-118 Downloads
  3. International tail risk and World Fear
    Journal of International Money and Finance, 2019, 93, (C), 244-259 Downloads
    See also Working Paper (2017)
  4. Jumps in commodity markets
    Journal of Commodity Markets, 2019, 13, (C), 55-70 Downloads
    See also Working Paper (2017)
  5. Predicting the equity market with option-implied variables
    The European Journal of Finance, 2019, 25, (10), 937-965 Downloads
    See also Working Paper (2017)
  6. The risk premium of gold
    Journal of International Money and Finance, 2019, 94, (C), 140-159 Downloads
    See also Working Paper (2017)
  7. The term structure of systematic and idiosyncratic risk
    Journal of Futures Markets, 2019, 39, (4), 435-460 Downloads
    See also Working Paper (2017)

2018

  1. Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance
    Journal of Banking & Finance, 2018, 95, (C), 1-4 Downloads

2017

  1. Variance risk in commodity markets
    Journal of Banking & Finance, 2017, 81, (C), 136-149 Downloads View citations (4)

2016

  1. A moment-based analytic approximation of the risk-neutral density of American options
    Applied Mathematical Finance, 2016, 23, (6), 409-444 Downloads
  2. Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets
    Journal of Futures Markets, 2016, 36, (8), 758-792 Downloads View citations (23)
  3. Estimating Beta
    Journal of Financial and Quantitative Analysis, 2016, 51, (04), 1437-1466 Downloads View citations (4)
  4. Jump and variance risk premia in the S&P 500
    Journal of Banking & Finance, 2016, 69, (C), 72-83 Downloads View citations (4)
  5. Prediction of extreme price occurrences in the German day-ahead electricity market
    Quantitative Finance, 2016, 16, (12), 1929-1948 Downloads View citations (8)
    See also Working Paper (2016)
  6. Seasonal Stochastic Volatility: Implications for the pricing of commodity options
    Journal of Banking & Finance, 2016, 66, (C), 53-65 Downloads View citations (3)
    See also Working Paper (2011)

2015

  1. An empirical model comparison for valuing crack spread options
    Energy Economics, 2015, 51, (C), 177-187 Downloads View citations (4)
    See also Working Paper (2010)
  2. Booms and Busts in Commodity Markets: Bubbles or Fundamentals?
    Journal of Futures Markets, 2015, 35, (10), 916-938 Downloads View citations (11)
  3. Electricity derivatives pricing with forward-looking information
    Journal of Economic Dynamics and Control, 2015, 58, (C), 34-57 Downloads View citations (7)
    See also Working Paper (2013)
  4. Time-variations in commodity price jumps
    Journal of Empirical Finance, 2015, 31, (C), 72-84 Downloads View citations (7)

2014

  1. The importance of the volatility risk premium for volatility forecasting
    Journal of Banking & Finance, 2014, 40, (C), 303-320 Downloads View citations (8)

2013

  1. COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (06), 1-30 Downloads View citations (1)
  2. Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage
    The Quarterly Review of Economics and Finance, 2013, 53, (1), 73-85 Downloads View citations (7)
  3. Credit risk in covered bonds
    Journal of Empirical Finance, 2013, 21, (C), 102-120 Downloads View citations (11)
  4. Seasonality and the valuation of commodity options
    Journal of Banking & Finance, 2013, 37, (2), 273-290 Downloads View citations (12)
    See also Working Paper (2010)
  5. The (de)merits of minimum-variance hedging: Application to the crack spread
    Energy Economics, 2013, 36, (C), 698-707 Downloads View citations (20)
    See also Working Paper (2012)
  6. The case of negative day-ahead electricity prices
    Energy Economics, 2013, 35, (C), 22-34 Downloads View citations (47)
    See also Working Paper (2011)
  7. The dynamics of commodity prices
    Quantitative Finance, 2013, 13, (4), 527-542 Downloads View citations (29)
    See also Working Paper (2011)

2012

  1. Futures basis, inventory and commodity price volatility: An empirical analysis
    Economic Modelling, 2012, 29, (6), 2651-2663 Downloads View citations (20)
    See also Working Paper (2012)
  2. Investing in commodity futures markets: can pricing models help?
    The European Journal of Finance, 2012, 18, (1), 59-87 Downloads View citations (1)

2011

  1. American option valuation: Implied calibration of GARCH pricing models
    Journal of Futures Markets, 2011, 31, (10), 971-994 Downloads View citations (3)
    See also Working Paper (2010)
  2. Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets
    Decisions in Economics and Finance, 2011, 34, (2), 141-168 Downloads
  3. Pricing and hedging in the freight futures market
    Journal of Futures Markets, 2011, 31, (5), 440-464 Downloads View citations (3)
    See also Working Paper (2010)

2010

  1. Commodity derivatives valuation with autoregressive and moving average components in the price dynamics
    Journal of Banking & Finance, 2010, 34, (11), 2742-2752 Downloads View citations (16)
  2. Intra-industry contagion effects of earnings surprises in the banking sector
    Applied Financial Economics, 2010, 20, (20), 1601-1613 Downloads View citations (3)

2007

  1. Quantifying risk in the electricity business: A RAROC-based approach
    Energy Economics, 2007, 29, (5), 1033-1049 Downloads View citations (8)

Edited books

2013

  1. Handbook of Research Methods and Applications in Empirical Finance
    Books, Edward Elgar Publishing Downloads

Chapters

2013

  1. Estimating term structure models with the Kalman filter
    Chapter 4 in Handbook of Research Methods and Applications in Empirical Finance, 2013, pp 97-113 Downloads

Editor

  1. Journal of Commodity Markets
    Elsevier
 
Page updated 2019-10-18