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 0 2 162
An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options 0 0 0 15 3 3 8 55
An Empirical Model Comparison for Valuing Crack Spread Options 1 1 1 75 4 8 16 275
Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics 0 0 1 27 0 2 10 110
Distrust in Finance Lingers: Jewish Persecution and Households' Investments 0 0 0 47 4 8 30 177
Economic Determinants of Oil Futures Volatility: A Term Structure Perspective 0 0 1 13 3 9 16 58
Electricity Derivatives Pricing with Forward-Looking Information 0 0 1 52 1 5 18 154
Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach 0 0 2 64 2 6 26 191
Electricity Spot and Derivatives Pricing when Markets are Interconnected 0 0 3 35 2 5 18 113
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 105 1 6 20 337
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 15 7 20 29 74
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 34 5 8 22 113
How to Estimate Beta? 0 1 2 90 4 9 17 163
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics 0 0 0 118 2 3 14 294
International Tail Risk and World Fear 0 0 0 33 1 1 6 65
Is Commodity Index Investing Profitable? 0 0 0 2 6 7 18 76
Jumps in Commodity Markets 0 0 0 19 1 2 13 109
Non-Standard Errors 0 0 0 44 5 10 38 476
Non-Standard Errors 0 0 0 27 2 5 23 168
Nonstandard Errors 0 0 2 4 2 5 24 43
Nonstandard Errors 0 0 0 0 4 9 32 32
Nonstandard Errors 0 0 0 0 3 4 19 19
Nonstandard errors 0 0 1 12 3 10 35 79
Predicting the Equity Market with Option Implied Variables 0 1 2 37 3 5 11 54
Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market 0 0 3 53 0 0 14 112
Pricing and Hedging in the Freight Futures Market 0 0 0 0 2 5 14 347
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options 0 0 0 17 1 1 7 67
Seasonality and the Valuation of Commodity Options 0 1 1 31 0 3 13 130
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 0 13 3 3 14 88
The Dynamics of Commodity Prices 1 1 1 13 2 2 10 75
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 3 5 13 54
The Long Memory of Equity Volatility: International Evidence 0 0 1 9 2 6 11 47
The Memory of Beta Factors 0 0 0 35 4 7 18 65
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 1 8 17 95
The Risk Premium of Gold 0 0 3 52 0 2 31 129
The Term Structure of Systematic and Idiosyncratic Risk 0 0 0 15 3 7 11 72
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 1 3 7 15 4 11 36 47
Total Working Papers 3 8 33 1,240 93 210 674 4,725
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 3 14 38
American option valuation: Implied calibration of GARCH pricing models 0 0 0 0 4 5 9 18
An empirical model comparison for valuing crack spread options 0 0 0 8 7 9 14 72
Anomalies in Commodity Futures Markets 1 1 2 15 3 6 21 65
Asset prices and “the devil(s) you know” 0 0 0 5 1 2 16 43
Beta uncertainty 0 0 1 10 3 8 25 98
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? 0 0 0 12 0 1 9 50
COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW 0 0 1 7 3 3 18 39
Commodity derivatives valuation with autoregressive and moving average components in the price dynamics 0 0 2 23 0 0 13 114
Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage 0 1 1 35 6 10 22 138
Commodity tail risks 0 0 1 14 1 3 11 49
Convenience yield risk 0 0 1 3 1 2 14 24
Credit risk in covered bonds 0 1 2 119 1 2 16 330
Curve momentum 1 3 11 120 5 14 40 316
Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets 0 0 0 3 1 1 5 43
Economic determinants of oil futures volatility: A term structure perspective 0 0 2 13 5 11 22 76
Electricity derivatives pricing with forward-looking information 0 0 0 13 3 5 9 114
Estimating Beta 0 1 1 52 2 5 13 137
Estimating Stock Market Betas via Machine Learning 1 1 4 4 2 17 34 34
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section 0 0 1 24 3 6 16 108
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 44 1 7 23 265
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 1 19 3 8 35 174
How Robust are Empirical Factor Models to the Choice of Breakpoints? 0 2 2 4 1 5 13 22
How do corporate bond investors measure performance? Evidence from mutual fund flows 0 0 0 6 3 4 11 30
Integrating multiple commodities in a model of stochastic price dynamics 0 0 0 0 2 4 4 11
International tail risk and World Fear 0 0 0 4 2 7 12 121
Intra-industry contagion effects of earnings surprises in the banking sector 0 0 0 15 8 10 16 97
Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance 0 0 1 25 3 8 19 111
Investing in commodity futures markets: can pricing models help? 0 0 0 13 2 2 4 69
Jump and variance risk premia in the S&P 500 0 0 0 21 1 3 8 101
Jumps in commodity markets 0 0 0 11 4 4 18 97
Managing the Market Portfolio 0 0 0 2 4 5 11 26
Market power and systematic risk 0 1 1 3 6 8 18 25
Measuring commodity market quality 0 0 0 4 1 1 4 18
Measuring tail risk 0 0 1 6 1 3 16 40
Nonstandard Errors 0 2 8 44 4 15 58 176
Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets 0 0 0 19 2 3 8 71
Predictability in commodity markets: Evidence from more than a century 0 0 2 18 3 5 13 57
Predicting the equity market with option-implied variables 0 0 1 6 3 4 11 30
Predicting the equity premium around the globe: Comprehensive evidence from a large sample 1 1 2 2 3 7 20 25
Prediction of extreme price occurrences in the German day-ahead electricity market 0 0 0 2 2 3 20 33
Pricing analysis of wind power derivatives for renewable energy risk management 0 0 2 11 0 0 16 40
Pricing and hedging in the freight futures market 0 1 1 4 1 2 6 29
Quantifying risk in the electricity business: A RAROC-based approach 0 0 0 134 2 3 13 341
Responsible investing: Upside potential and downside protection? 3 3 4 7 9 10 27 36
Seasonal Stochastic Volatility: Implications for the pricing of commodity options 0 0 0 15 3 5 15 109
Seasonality and the valuation of commodity options 0 0 0 58 3 5 21 282
Testing Factor Models in the Cross-Section 0 1 2 6 5 8 25 45
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 0 24 5 7 11 149
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas 1 2 3 17 3 13 30 101
The Natural Gas Announcement Day Puzzle 0 1 1 1 2 7 12 13
The case of negative day-ahead electricity prices 0 0 1 67 2 2 16 238
The dynamics of commodity prices 1 1 1 19 5 5 20 109
The dynamics of commodity return comovements 0 0 0 2 2 2 6 23
The economic drivers of commodity market volatility 0 1 2 35 5 8 23 136
The importance of the volatility risk premium for volatility forecasting 0 1 1 71 4 6 22 267
The memory of beta 1 1 1 6 5 9 17 48
The memory of stock return volatility: Asset pricing implications 0 1 4 11 1 3 20 79
The risk premium of gold 0 1 3 13 1 6 21 99
The term structure of systematic and idiosyncratic risk 0 0 0 8 2 6 13 46
Time-variations in commodity price jumps 0 0 0 20 2 4 15 93
Variance risk in commodity markets 0 0 0 14 3 6 12 87
Volatility term structures in commodity markets 0 0 0 6 2 3 12 614
Which Factors for Corporate Bond Returns? 0 3 12 22 5 18 48 61
Total Journal Articles 10 31 88 1,322 182 367 1,104 6,550
1 registered items for which data could not be found

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 3 4 9 30
Estimating term structure models with the Kalman filter 0 0 1 29 6 7 24 81
Total Chapters 0 0 1 34 9 11 33 111

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Statistics updated 2026-05-06