Details about Marcel Prokopczuk

Access statistics for papers by Marcel Prokopczuk.

Last updated 2023-01-09. Update your information in the RePEc Author Service.

Short-id: ppr113

Working Papers

2021

1. Non-Standard Errors
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck View citations (6)

2020

2. The Long Memory of Equity Volatility and the Macroeconomy: International Evidence
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (2)

2019

3. Economic Determinants of Oil Futures Volatility: A Term Structure Perspective
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
   See also Journal Article Economic determinants of oil futures volatility: A term structure perspective, Energy Economics, Elsevier (2020) View citations (18) (2020)
4. The Memory of Beta Factors
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

2018

5. Is Commodity Index Investing Profitable?
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (6)

2017

6. Historical Antisemitism, Ethnic Specialization, and Financial Development
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
   Also in CESifo Working Paper Series, CESifo (2017) View citations (1)
   See also Journal Article Historical Antisemitism, Ethnic Specialization, and Financial Development, The Review of Economic Studies, Review of Economic Studies Ltd (2019) View citations (51) (2019)
7. How to Estimate Beta?
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
8. International Tail Risk and World Fear
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
   See also Journal Article International tail risk and World Fear, Journal of International Money and Finance, Elsevier (2019) View citations (22) (2019)
9. Jumps in Commodity Markets
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
   See also Journal Article Jumps in commodity markets, Journal of Commodity Markets, Elsevier (2019) View citations (19) (2019)
10. Predicting the Equity Market with Option Implied Variables
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
    See also Journal Article Predicting the equity market with option-implied variables, The European Journal of Finance, Taylor & Francis Journals (2019) View citations (8) (2019)
11. The Long Memory of Equity Volatility: International Evidence
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (1)
12. The Memory of Stock Return Volatility: Asset Pricing Implications
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (2)
    See also Journal Article The memory of stock return volatility: Asset pricing implications, Journal of Financial Markets, Elsevier (2020) View citations (7) (2020)
13. The Risk Premium of Gold
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
    See also Journal Article The risk premium of gold, Journal of International Money and Finance, Elsevier (2019) View citations (12) (2019)
14. The Term Structure of Systematic and Idiosyncratic Risk
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
    See also Journal Article The term structure of systematic and idiosyncratic risk, Journal of Futures Markets, John Wiley & Sons, Ltd. (2019) View citations (2) (2019)

2016

15. Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (28)
    See also Journal Article Prediction of extreme price occurrences in the German day-ahead electricity market, Quantitative Finance, Taylor & Francis Journals (2016) View citations (28) (2016)

2015

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

2014

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

2013

19. Electricity Derivatives Pricing with Forward-Looking Information
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (4)
    See also Journal Article Electricity derivatives pricing with forward-looking information, Journal of Economic Dynamics and Control, Elsevier (2015) View citations (18) (2015)
20. Electricity Spot and Derivatives Pricing when Markets are Interconnected
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (2)

2012

21. Futures basis, inventory and commodity price volatility: An empirical analysis
    MPRA Paper, University Library of Munich, Germany View citations (44)
    See also Journal Article Futures basis, inventory and commodity price volatility: An empirical analysis, Economic Modelling, Elsevier (2012) View citations (46) (2012)
22. The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (1)
    See also Journal Article The (de)merits of minimum-variance hedging: Application to the crack spread, Energy Economics, Elsevier (2013) View citations (31) (2013)

2011

23. Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)
    See also Journal Article Seasonal Stochastic Volatility: Implications for the pricing of commodity options, Journal of Banking & Finance, Elsevier (2016) View citations (25) (2016)
24. The Dynamics of Commodity Prices
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)
    See also Journal Article The dynamics of commodity prices, Quantitative Finance, Taylor & Francis Journals (2013) View citations (55) (2013)

2010

25. American Option Valuation: Implied Calibration of GARCH Pricing-Models
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
    See also Journal Article American option valuation: Implied calibration of GARCH pricing models, Journal of Futures Markets, John Wiley & Sons, Ltd. (2011) View citations (4) (2011)
26. An Empirical Model Comparison for Valuing Crack Spread Options
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)
    See also Journal Article An empirical model comparison for valuing crack spread options, Energy Economics, Elsevier (2015) View citations (7) (2015)
27. Pricing and Hedging in the Freight Futures Market
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (1)
    See also Journal Article Pricing and hedging in the freight futures market, Journal of Futures Markets, John Wiley & Sons, Ltd. (2011) View citations (14) (2011)
28. Seasonality and the Valuation of Commodity Options
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)
    See also Journal Article Seasonality and the valuation of commodity options, Journal of Banking & Finance, Elsevier (2013) View citations (34) (2013)

2009

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

2007

30. Integrating Multiple Commodities in a Model of Stochastic Price Dynamics
    MPRA Paper, University Library of Munich, Germany View citations (12)

Journal Articles

2023

1. Commodity tail risks
   Journal of Futures Markets, 2023, 43, (2), 168-197 View citations (1)

2022

2. How do corporate bond investors measure performance? Evidence from mutual fund flows
   Journal of Banking & Finance, 2022, 142, (C)
3. Measuring commodity market quality
   Journal of Banking & Finance, 2022, 145, (C) View citations (4)
4. Testing Factor Models in the Cross-Section
   Journal of Banking & Finance, 2022, 145, (C)

2021

5. Anomalies in Commodity Futures Markets
   Quarterly Journal of Finance (QJF), 2021, 11, (04), 1-43 View citations (3)
6. Predictability in commodity markets: Evidence from more than a century
   Journal of Commodity Markets, 2021, 24, (C) View citations (4)
7. Pricing analysis of wind power derivatives for renewable energy risk management
   Applied Energy, 2021, 304, (C) View citations (7)
8. The Natural Gas Announcement Day Puzzle
   The Energy Journal, 2021, Volume 42, (Number 2), 91-112 View citations (2)
9. The dynamics of commodity return comovements
   Journal of Futures Markets, 2021, 41, (10), 1597-1617 View citations (4)
10. The memory of beta
    Journal of Banking & Finance, 2021, 124, (C) View citations (1)

2020

11. Beta uncertainty
    Journal of Banking & Finance, 2020, 116, (C)
12. Curve momentum
    Journal of Banking & Finance, 2020, 113, (C)
13. Economic determinants of oil futures volatility: A term structure perspective
    Energy Economics, 2020, 88, (C) View citations (18)
    See also Working Paper Economic Determinants of Oil Futures Volatility: A Term Structure Perspective, Research Paper Series (2019) View citations (1) (2019)
14. The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas
    Management Science, 2020, 66, (6), 2474-2494 View citations (10)
15. The memory of stock return volatility: Asset pricing implications
    Journal of Financial Markets, 2020, 47, (C) View citations (7)
    See also Working Paper The Memory of Stock Return Volatility: Asset Pricing Implications, Hannover Economic Papers (HEP) (2017) View citations (2) (2017)
16. Volatility term structures in commodity markets
    Journal of Futures Markets, 2020, 40, (4), 527-555 View citations (9)

2019

17. Asset prices and “the devil(s) you know”
    Journal of Banking & Finance, 2019, 105, (C), 20-35 View citations (1)
18. Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section
    Journal of Financial Markets, 2019, 44, (C), 91-118 View citations (15)
19. Historical Antisemitism, Ethnic Specialization, and Financial Development
    The Review of Economic Studies, 2019, 86, (3), 1170-1206 View citations (51)
    See also Working Paper Historical Antisemitism, Ethnic Specialization, and Financial Development, NBER Working Papers (2017) View citations (1) (2017)
20. International tail risk and World Fear
    Journal of International Money and Finance, 2019, 93, (C), 244-259 View citations (22)
    See also Working Paper International Tail Risk and World Fear, Hannover Economic Papers (HEP) (2017) (2017)
21. Jumps in commodity markets
    Journal of Commodity Markets, 2019, 13, (C), 55-70 View citations (19)
    See also Working Paper Jumps in Commodity Markets, Hannover Economic Papers (HEP) (2017) (2017)
22. Predicting the equity market with option-implied variables
    The European Journal of Finance, 2019, 25, (10), 937-965 View citations (8)
    See also Working Paper Predicting the Equity Market with Option Implied Variables, Hannover Economic Papers (HEP) (2017) (2017)
23. The economic drivers of commodity market volatility
    Journal of International Money and Finance, 2019, 98, (C), - View citations (48)
24. The risk premium of gold
    Journal of International Money and Finance, 2019, 94, (C), 140-159 View citations (12)
    See also Working Paper The Risk Premium of Gold, Hannover Economic Papers (HEP) (2017) (2017)
25. The term structure of systematic and idiosyncratic risk
    Journal of Futures Markets, 2019, 39, (4), 435-460 View citations (2)
    See also Working Paper The Term Structure of Systematic and Idiosyncratic Risk, Hannover Economic Papers (HEP) (2017) (2017)

2018

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

2017

27. Variance risk in commodity markets
    Journal of Banking & Finance, 2017, 81, (C), 136-149 View citations (33)

2016

28. A moment-based analytic approximation of the risk-neutral density of American options
    Applied Mathematical Finance, 2016, 23, (6), 409-444
29. Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets
    Journal of Futures Markets, 2016, 36, (8), 758-792 View citations (87)
30. Estimating Beta
    Journal of Financial and Quantitative Analysis, 2016, 51, (4), 1437-1466 View citations (4)
31. Jump and variance risk premia in the S&P 500
    Journal of Banking & Finance, 2016, 69, (C), 72-83 View citations (12)
32. Prediction of extreme price occurrences in the German day-ahead electricity market
    Quantitative Finance, 2016, 16, (12), 1929-1948 View citations (28)
    See also Working Paper Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market, Working Papers on Finance (2016) View citations (28) (2016)
33. Seasonal Stochastic Volatility: Implications for the pricing of commodity options
    Journal of Banking & Finance, 2016, 66, (C), 53-65 View citations (25)
    See also Working Paper Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options, ICMA Centre Discussion Papers in Finance (2011) View citations (2) (2011)

2015

34. An empirical model comparison for valuing crack spread options
    Energy Economics, 2015, 51, (C), 177-187 View citations (7)
    See also Working Paper An Empirical Model Comparison for Valuing Crack Spread Options, ICMA Centre Discussion Papers in Finance (2010) View citations (2) (2010)
35. Booms and Busts in Commodity Markets: Bubbles or Fundamentals?
    Journal of Futures Markets, 2015, 35, (10), 916-938 View citations (26)
36. Electricity derivatives pricing with forward-looking information
    Journal of Economic Dynamics and Control, 2015, 58, (C), 34-57 View citations (18)
    See also Working Paper Electricity Derivatives Pricing with Forward-Looking Information, Working Papers on Finance (2013) View citations (4) (2013)
37. Time-variations in commodity price jumps
    Journal of Empirical Finance, 2015, 31, (C), 72-84 View citations (12)

2014

38. The importance of the volatility risk premium for volatility forecasting
    Journal of Banking & Finance, 2014, 40, (C), 303-320 View citations (28)

2013

39. COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (06), 1-30 View citations (4)
40. 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 View citations (12)
41. Credit risk in covered bonds
    Journal of Empirical Finance, 2013, 21, (C), 102-120 View citations (18)
42. Seasonality and the valuation of commodity options
    Journal of Banking & Finance, 2013, 37, (2), 273-290 View citations (34)
    See also Working Paper Seasonality and the Valuation of Commodity Options, ICMA Centre Discussion Papers in Finance (2010) View citations (2) (2010)
43. The (de)merits of minimum-variance hedging: Application to the crack spread
    Energy Economics, 2013, 36, (C), 698-707 View citations (31)
    See also Working Paper The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread, ICMA Centre Discussion Papers in Finance (2012) View citations (1) (2012)
44. The case of negative day-ahead electricity prices
    Energy Economics, 2013, 35, (C), 22-34 View citations (82)
45. The dynamics of commodity prices
    Quantitative Finance, 2013, 13, (4), 527-542 View citations (55)
    See also Working Paper The Dynamics of Commodity Prices, ICMA Centre Discussion Papers in Finance (2011) View citations (2) (2011)

2012

46. Futures basis, inventory and commodity price volatility: An empirical analysis
    Economic Modelling, 2012, 29, (6), 2651-2663 View citations (46)
    See also Working Paper Futures basis, inventory and commodity price volatility: An empirical analysis, MPRA Paper (2012) View citations (44) (2012)
47. Investing in commodity futures markets: can pricing models help?
    The European Journal of Finance, 2012, 18, (1), 59-87 View citations (1)

2011

48. American option valuation: Implied calibration of GARCH pricing models
    Journal of Futures Markets, 2011, 31, (10), 971-994 View citations (4)
    See also Working Paper American Option Valuation: Implied Calibration of GARCH Pricing-Models, ICMA Centre Discussion Papers in Finance (2010) (2010)
49. 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 View citations (3)
50. Pricing and hedging in the freight futures market
    Journal of Futures Markets, 2011, 31, (5), 440-464 View citations (14)
    See also Working Paper Pricing and Hedging in the Freight Futures Market, ICMA Centre Discussion Papers in Finance (2010) View citations (1) (2010)

2010

51. Commodity derivatives valuation with autoregressive and moving average components in the price dynamics
    Journal of Banking & Finance, 2010, 34, (11), 2742-2752 View citations (25)
52. Intra-industry contagion effects of earnings surprises in the banking sector
    Applied Financial Economics, 2010, 20, (20), 1601-1613 View citations (6)

2007

53. Quantifying risk in the electricity business: A RAROC-based approach
    Energy Economics, 2007, 29, (5), 1033-1049 View citations (9)

Edited books

2013

1. Handbook of Research Methods and Applications in Empirical Finance
   Books, Edward Elgar Publishing View citations (38)

Chapters

2020

1. Electricity Market Coupling in Europe: Status Quo and Future Challenges
   Chapter 5 in HANDBOOK OF ENERGY FINANCE Theories, Practices and Simulations, 2020, pp 93-120

2013

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

Editor

1. Journal of Commodity Markets
   Elsevier