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 2 160
An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options 0 0 0 15 0 1 3 48
An Empirical Model Comparison for Valuing Crack Spread Options 0 0 0 74 0 0 1 260
Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics 0 0 1 27 0 2 3 103
Distrust in Finance Lingers: Jewish Persecution and Households' Investments 0 0 1 47 0 0 12 152
Economic Determinants of Oil Futures Volatility: A Term Structure Perspective 0 1 1 13 0 2 2 44
Electricity Derivatives Pricing with Forward-Looking Information 0 0 1 52 1 1 4 140
Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach 0 1 3 64 1 4 11 172
Electricity Spot and Derivatives Pricing when Markets are Interconnected 1 2 2 34 2 5 8 100
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 0 104 0 1 11 320
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 15 0 0 0 45
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 34 0 0 2 92
How to Estimate Beta? 0 0 2 89 0 0 6 149
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics 0 0 1 118 1 2 4 282
International Tail Risk and World Fear 0 0 0 33 0 1 3 60
Is Commodity Index Investing Profitable? 0 0 0 2 1 3 6 61
Jumps in Commodity Markets 0 0 0 19 0 0 6 97
Non-Standard Errors 0 0 2 44 2 6 34 446
Predicting the Equity Market with Option Implied Variables 0 0 0 35 0 0 1 43
Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market 0 1 2 51 0 1 6 101
Pricing and Hedging in the Freight Futures Market 0 0 0 0 2 2 4 336
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options 0 0 0 17 2 2 5 63
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 1 13 1 2 3 76
The Dynamics of Commodity Prices 0 0 0 12 0 0 2 66
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 0 0 3 41
The Long Memory of Equity Volatility: International Evidence 0 0 1 9 0 0 5 37
The Memory of Beta Factors 0 0 0 35 0 0 2 47
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 0 0 5 78
The Risk Premium of Gold 0 2 3 52 1 4 13 105
The Term Structure of Systematic and Idiosyncratic Risk 0 0 0 15 0 1 2 62
Total Working Papers 1 7 21 1,172 14 40 169 3,903
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 1 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 0 0 5 60
Anomalies in Commodity Futures Markets 0 1 1 14 0 5 14 50
Asset prices and “the devil(s) you know” 0 0 0 5 0 1 1 28
Beta uncertainty 0 0 1 10 0 4 9 80
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? 0 0 0 12 1 1 1 42
COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW 0 1 1 7 1 2 2 23
Commodity derivatives valuation with autoregressive and moving average components in the price dynamics 0 0 1 22 0 0 4 102
Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage 0 0 1 34 1 2 6 119
Commodity tail risks 0 0 1 14 0 0 6 40
Credit risk in covered bonds 0 1 2 118 0 1 7 316
Curve momentum 1 4 18 116 3 6 33 290
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 11 0 1 4 56
Electricity derivatives pricing with forward-looking information 0 0 0 13 0 0 5 107
Estimating Beta 0 0 2 51 0 1 4 125
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section 0 0 0 23 0 1 4 95
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 0 43 1 2 4 244
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 3 19 1 9 26 152
How do corporate bond investors measure performance? Evidence from mutual fund flows 0 0 0 6 0 0 4 19
International tail risk and World Fear 0 0 0 4 0 0 1 109
Intra-industry contagion effects of earnings surprises in the banking sector 0 0 0 15 0 1 1 82
Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance 0 1 1 25 0 1 8 96
Investing in commodity futures markets: can pricing models help? 0 0 0 13 0 1 2 66
Jump and variance risk premia in the S&P 500 0 0 0 21 0 0 1 94
Jumps in commodity markets 0 0 2 11 1 5 9 84
Measuring commodity market quality 0 0 0 4 0 0 1 14
Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets 0 0 0 19 0 2 4 65
Predictability in commodity markets: Evidence from more than a century 0 0 2 17 0 1 6 47
Predicting the equity market with option-implied variables 0 0 2 6 0 1 3 21
Prediction of extreme price occurrences in the German day-ahead electricity market 0 0 0 2 1 2 5 16
Pricing analysis of wind power derivatives for renewable energy risk management 1 1 3 10 1 4 8 29
Pricing and hedging in the freight futures market 0 0 0 3 1 1 2 24
Quantifying risk in the electricity business: A RAROC-based approach 0 0 0 134 0 2 4 330
Seasonal Stochastic Volatility: Implications for the pricing of commodity options 0 0 0 15 0 1 8 97
Seasonality and the valuation of commodity options 0 0 0 58 1 1 2 262
Testing Factor Models in the Cross-Section 1 1 1 5 2 3 7 25
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 0 24 0 0 2 138
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas 0 0 2 15 2 5 10 77
The Natural Gas Announcement Day Puzzle 0 0 0 7 0 2 2 26
The case of negative day-ahead electricity prices 0 0 1 67 0 4 10 228
The dynamics of commodity prices 0 0 1 18 2 2 9 95
The dynamics of commodity return comovements 0 0 0 2 0 0 1 17
The economic drivers of commodity market volatility 1 1 1 34 2 4 6 118
The importance of the volatility risk premium for volatility forecasting 0 0 0 70 2 5 10 252
The memory of beta 0 0 1 5 0 1 4 33
The memory of stock return volatility: Asset pricing implications 0 1 3 9 1 3 11 63
The risk premium of gold 0 0 3 12 1 2 11 83
The term structure of systematic and idiosyncratic risk 0 0 0 8 0 0 1 33
Time-variations in commodity price jumps 0 0 1 20 0 4 5 82
Variance risk in commodity markets 0 0 0 14 0 0 1 76
Volatility term structures in commodity markets 0 0 0 6 0 0 2 602
Total Journal Articles 4 12 56 1,205 25 94 297 5,403

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 0 2 22
Estimating term structure models with the Kalman filter 0 0 1 28 1 1 3 59
Total Chapters 0 0 1 33 1 1 5 81

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-10-06