Access Statistics for Marcel Prokopczuk

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
American Option Valuation: Implied Calibration of GARCH Pricing-Models 0 0 0 46 0 2 2 160
An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options 0 0 0 15 1 1 2 47
An Empirical Model Comparison for Valuing Crack Spread Options 0 0 0 74 0 0 1 259
Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics 0 0 0 26 0 0 0 100
Distrust in Finance Lingers: Jewish Persecution and Households' Investments 0 1 1 47 0 5 9 147
Economic Determinants of Oil Futures Volatility: A Term Structure Perspective 0 0 0 12 0 0 0 42
Electricity Derivatives Pricing with Forward-Looking Information 0 0 0 51 0 0 1 136
Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach 0 1 3 62 1 3 9 164
Electricity Spot and Derivatives Pricing when Markets are Interconnected 0 0 3 32 1 3 6 95
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 0 104 6 7 15 316
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 15 0 0 2 45
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 34 0 0 6 90
How to Estimate Beta? 0 1 1 88 0 1 1 144
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics 0 1 2 118 1 2 4 280
International Tail Risk and World Fear 0 0 0 33 1 1 1 58
Is Commodity Index Investing Profitable? 0 0 0 2 1 1 3 57
Jumps in Commodity Markets 0 0 0 19 1 4 5 95
Non-Standard Errors 0 0 1 42 6 12 56 432
Predicting the Equity Market with Option Implied Variables 0 0 0 35 1 1 1 43
Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market 0 0 2 49 1 2 6 97
Pricing and Hedging in the Freight Futures Market 0 0 0 0 1 1 3 333
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options 0 0 0 17 0 0 1 58
Seasonality and the Valuation of Commodity Options 0 0 0 30 0 0 0 117
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 0 12 0 0 0 73
The Dynamics of Commodity Prices 0 0 0 12 0 0 0 64
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 0 3 3 41
The Long Memory of Equity Volatility: International Evidence 0 0 0 8 1 2 2 34
The Memory of Beta Factors 0 0 0 35 0 1 2 46
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 0 2 4 77
The Risk Premium of Gold 0 0 0 49 2 3 3 95
The Term Structure of Systematic and Idiosyncratic Risk 0 0 1 15 1 1 3 61
Total Working Papers 0 4 14 1,155 26 58 151 3,806
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A moment-based analytic approximation of the risk-neutral density of American options 0 0 0 3 0 0 2 24
American option valuation: Implied calibration of GARCH pricing models 0 0 0 0 0 0 0 9
An empirical model comparison for valuing crack spread options 0 0 0 8 1 2 4 57
Anomalies in Commodity Futures Markets 0 0 2 13 3 7 15 44
Asset prices and “the devil(s) you know” 0 0 1 5 0 0 1 27
Beta uncertainty 0 0 0 9 2 2 3 73
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? 0 0 0 12 0 0 0 41
COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW 0 0 1 6 0 0 1 21
Commodity derivatives valuation with autoregressive and moving average components in the price dynamics 0 0 1 21 1 2 4 101
Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage 1 1 6 34 1 1 13 116
Commodity tail risks 0 0 3 13 0 3 13 38
Credit risk in covered bonds 0 1 4 117 0 1 11 314
Curve momentum 2 8 15 108 3 13 32 275
Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets 0 0 0 3 0 0 0 38
Economic determinants of oil futures volatility: A term structure perspective 0 0 1 10 1 1 5 53
Electricity derivatives pricing with forward-looking information 0 0 0 13 2 2 4 104
Estimating Beta 0 0 3 51 1 1 7 124
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section 0 0 0 23 0 1 5 92
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 0 43 0 1 1 241
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 1 4 18 1 5 18 135
How do corporate bond investors measure performance? Evidence from mutual fund flows 0 0 1 6 0 2 5 18
International tail risk and World Fear 0 0 0 4 1 1 1 109
Intra-industry contagion effects of earnings surprises in the banking sector 0 0 0 15 0 0 0 81
Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance 0 0 1 24 0 3 6 91
Investing in commodity futures markets: can pricing models help? 0 0 0 13 1 1 1 65
Jump and variance risk premia in the S&P 500 0 0 0 21 0 0 2 93
Jumps in commodity markets 0 1 4 11 0 2 9 79
Measuring commodity market quality 0 0 1 4 1 1 2 14
Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets 0 0 0 19 0 1 2 63
Predictability in commodity markets: Evidence from more than a century 0 0 2 15 1 2 8 43
Predicting the equity market with option-implied variables 0 0 1 5 0 0 1 19
Prediction of extreme price occurrences in the German day-ahead electricity market 0 0 0 2 1 2 2 13
Pricing analysis of wind power derivatives for renewable energy risk management 0 0 1 7 0 0 2 22
Pricing and hedging in the freight futures market 0 0 1 3 0 1 2 23
Quantifying risk in the electricity business: A RAROC-based approach 0 0 1 134 1 1 5 328
Seasonal Stochastic Volatility: Implications for the pricing of commodity options 0 0 1 15 0 2 11 92
Seasonality and the valuation of commodity options 0 0 0 58 0 0 0 260
Testing Factor Models in the Cross-Section 0 0 2 4 0 0 6 19
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 0 24 0 1 1 137
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas 0 0 3 14 0 2 8 70
The Natural Gas Announcement Day Puzzle 0 0 0 7 0 0 1 24
The case of negative day-ahead electricity prices 0 0 1 66 3 4 7 222
The dynamics of commodity prices 0 0 2 18 0 2 7 89
The dynamics of commodity return comovements 0 0 0 2 1 1 1 17
The economic drivers of commodity market volatility 0 0 0 33 0 0 1 113
The importance of the volatility risk premium for volatility forecasting 0 0 2 70 0 1 9 245
The memory of beta 0 0 0 4 1 1 1 30
The memory of stock return volatility: Asset pricing implications 0 1 1 7 0 5 9 58
The risk premium of gold 0 1 1 10 1 2 14 78
The term structure of systematic and idiosyncratic risk 0 0 1 8 0 1 2 33
Time-variations in commodity price jumps 0 1 2 20 0 1 5 78
Variance risk in commodity markets 0 0 2 14 0 0 4 75
Volatility term structures in commodity markets 0 0 0 6 0 0 316 602
Total Journal Articles 3 15 72 1,173 28 82 590 5,230

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Electricity Market Coupling in Europe: Status Quo and Future Challenges 0 0 0 5 0 1 3 21
Estimating term structure models with the Kalman filter 0 1 4 28 0 1 4 57
Total Chapters 0 1 4 33 0 2 7 78

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Statistics updated 2025-03-03