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 0 155
An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options 0 0 2 14 0 2 7 42
An Empirical Model Comparison for Valuing Crack Spread Options 0 0 1 74 2 5 8 249
Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics 0 0 2 24 0 1 4 94
Distrust in Finance Lingers: Jewish Persecution and Households' Investments 0 1 3 40 0 2 8 114
Economic Determinants of Oil Futures Volatility: A Term Structure Perspective 0 0 6 8 0 3 22 29
Electricity Derivatives Pricing with Forward-Looking Information 0 0 1 51 0 1 6 132
Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach 1 2 8 47 4 5 29 133
Electricity Spot and Derivatives Pricing when Markets are Interconnected 0 0 3 26 0 1 6 84
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 102 0 2 15 280
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 13 0 3 5 34
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 3 33 0 0 16 71
How to Estimate Beta? 0 0 11 83 1 3 37 127
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics 0 0 1 112 0 2 7 267
International Tail Risk and World Fear 0 0 0 33 0 0 5 56
Is Commodity Index Investing Profitable? 0 0 0 2 0 2 18 43
Jumps in Commodity Markets 0 0 0 19 2 5 21 70
Predicting the Equity Market with Option Implied Variables 0 0 1 35 0 1 3 39
Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market 0 2 5 39 1 7 19 67
Pricing and Hedging in the Freight Futures Market 0 0 0 0 0 0 3 322
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options 0 0 1 17 3 5 8 53
Seasonality and the Valuation of Commodity Options 0 3 4 26 0 4 14 101
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 0 11 2 4 16 67
The Dynamics of Commodity Prices 0 0 0 11 0 3 7 50
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 1 1 32 1 2 8 28
The Long Memory of Equity Volatility: International Evidence 0 0 0 8 1 2 4 31
The Memory of Beta Factors 0 1 2 33 0 2 10 39
The Memory of Stock Return Volatility: Asset Pricing Implications 0 1 1 37 1 3 7 71
The Risk Premium of Gold 0 0 1 49 0 1 10 88
The Term Structure of Systematic and Idiosyncratic Risk 0 0 0 13 2 4 9 54
Total Working Papers 1 11 58 1,038 20 75 332 2,990


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 1 1 0 1 4 19
American option valuation: Implied calibration of GARCH pricing models 0 0 0 0 0 0 1 9
An empirical model comparison for valuing crack spread options 0 0 0 7 1 1 5 43
Asset prices and “the devil(s) you know” 0 0 0 4 0 0 2 23
Beta uncertainty 0 0 4 5 0 3 36 44
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? 0 0 2 8 0 0 5 32
COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW 0 0 0 4 0 2 5 16
Commodity derivatives valuation with autoregressive and moving average components in the price dynamics 0 0 0 20 0 0 2 86
Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage 0 0 1 23 0 0 2 90
Credit risk in covered bonds 0 2 18 93 0 3 40 262
Curve momentum 2 8 33 46 5 17 95 125
Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets 0 0 0 2 1 1 3 34
Economic determinants of oil futures volatility: A term structure perspective 0 0 2 5 0 1 23 31
Electricity derivatives pricing with forward-looking information 0 1 3 12 0 3 22 95
Estimating Beta 0 0 8 41 0 2 14 85
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section 0 1 9 16 0 5 25 61
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 39 4 11 38 231
Historical Antisemitism, Ethnic Specialization, and Financial Development 1 1 5 7 4 8 42 75
International tail risk and World Fear 0 0 1 4 3 6 27 76
Intra-industry contagion effects of earnings surprises in the banking sector 0 0 0 15 0 0 1 80
Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance 0 0 2 19 1 1 16 73
Investing in commodity futures markets: can pricing models help? 0 0 0 11 0 1 1 57
Jump and variance risk premia in the S&P 500 1 1 2 21 2 3 6 79
Jumps in commodity markets 0 0 3 6 3 4 17 36
Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets 0 0 1 19 0 0 1 59
Predicting the equity market with option-implied variables 0 0 0 3 0 2 8 15
Prediction of extreme price occurrences in the German day-ahead electricity market 0 1 1 2 0 1 1 9
Pricing and hedging in the freight futures market 0 0 1 1 0 1 4 16
Quantifying risk in the electricity business: A RAROC-based approach 0 0 3 124 1 2 13 272
Seasonal Stochastic Volatility: Implications for the pricing of commodity options 0 0 2 12 1 4 14 64
Seasonality and the valuation of commodity options 0 0 2 52 1 3 11 235
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 5 18 0 2 12 122
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas 0 1 6 6 5 15 38 41
The case of negative day-ahead electricity prices 1 1 7 57 2 2 14 192
The dynamics of commodity prices 0 1 2 12 1 3 12 66
The economic drivers of commodity market volatility 0 2 16 31 0 3 48 99
The importance of the volatility risk premium for volatility forecasting 1 2 4 53 2 10 22 208
The memory of stock return volatility: Asset pricing implications 0 1 3 4 0 3 23 32
The risk premium of gold 0 1 2 3 0 1 12 35
The term structure of systematic and idiosyncratic risk 0 0 0 7 1 2 5 27
Time-variations in commodity price jumps 0 1 2 14 0 1 10 63
Variance risk in commodity markets 0 0 2 10 0 3 8 60
Volatility term structures in commodity markets 0 0 5 5 0 2 13 16
Total Journal Articles 6 25 159 842 38 133 701 3,393


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 2 3 0 1 6 13
Estimating term structure models with the Kalman filter 0 0 1 17 0 0 4 37
Total Chapters 0 0 3 20 0 1 10 50


Statistics updated 2021-10-04