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 1 47 0 0 3 163
An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options 0 0 0 15 1 1 9 57
An Empirical Model Comparison for Valuing Crack Spread Options 0 0 3 77 0 0 17 277
Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics 0 0 0 27 0 0 10 113
Distrust in Finance Lingers: Jewish Persecution and Households' Investments 0 0 0 47 0 1 30 182
Economic Determinants of Oil Futures Volatility: A Term Structure Perspective 0 0 0 13 0 0 14 58
Electricity Derivatives Pricing with Forward-Looking Information 0 0 1 53 0 1 17 157
Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach 0 0 0 64 2 2 24 196
Electricity Spot and Derivatives Pricing when Markets are Interconnected 0 0 1 35 1 1 15 115
Futures basis, inventory and commodity price volatility: An empirical analysis 0 1 4 108 0 7 28 348
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 15 0 3 36 81
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 34 0 1 25 117
How to Estimate Beta? 0 1 2 91 2 5 19 168
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics 0 0 1 119 0 0 13 295
International Tail Risk and World Fear 0 0 0 33 0 1 7 67
Is Commodity Index Investing Profitable? 0 0 0 2 0 0 16 77
Jumps in Commodity Markets 0 0 0 19 1 2 15 112
Non-Standard Errors 0 1 1 28 0 2 19 173
Non-Standard Errors 0 1 1 45 0 2 39 485
Nonstandard Errors 0 0 0 0 0 3 21 24
Nonstandard Errors 0 0 0 0 1 2 26 37
Nonstandard Errors 0 0 1 4 0 3 25 48
Nonstandard errors 0 1 1 13 0 3 28 84
Predicting the Equity Market with Option Implied Variables 0 0 2 37 0 1 15 58
Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market 1 1 6 57 2 3 23 124
Pricing and Hedging in the Freight Futures Market 0 0 0 0 0 1 12 348
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options 0 0 1 18 1 3 10 73
Seasonality and the Valuation of Commodity Options 0 0 1 31 1 1 14 131
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 0 13 0 0 12 88
The Dynamics of Commodity Prices 0 0 1 13 0 0 9 75
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 0 0 13 54
The Long Memory of Equity Volatility: International Evidence 0 0 0 9 0 1 11 48
The Memory of Beta Factors 0 0 0 35 0 0 18 65
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 1 2 20 98
The Risk Premium of Gold 0 0 0 52 2 3 29 134
The Term Structure of Systematic and Idiosyncratic Risk 0 0 0 15 1 1 14 76
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 0 0 7 17 1 1 41 55
Total Working Papers 1 6 35 1,259 17 57 697 4,861
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 17 41
American option valuation: Implied calibration of GARCH pricing models 0 0 0 0 0 2 11 20
An empirical model comparison for valuing crack spread options 0 0 0 8 0 0 13 73
Anomalies in Commodity Futures Markets 0 0 1 15 3 4 24 74
Asset prices and “the devil(s) you know” 0 0 0 5 0 1 16 44
Beta uncertainty 0 0 1 11 2 6 28 108
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? 0 0 0 12 1 1 9 51
COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW 0 0 1 8 0 0 17 40
Commodity derivatives valuation with autoregressive and moving average components in the price dynamics 0 0 1 23 0 0 12 114
Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage 0 0 1 35 0 2 22 141
Commodity tail risks 1 1 1 15 2 3 12 52
Convenience yield risk 0 0 1 3 0 2 15 27
Credit risk in covered bonds 0 0 3 121 0 2 19 335
Curve momentum 3 3 7 123 8 11 44 334
Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets 0 0 0 3 1 3 8 46
Economic determinants of oil futures volatility: A term structure perspective 0 0 3 14 1 2 25 81
Electricity derivatives pricing with forward-looking information 0 0 0 13 0 0 10 117
Estimating Beta 0 0 1 52 0 0 13 138
Estimating Stock Market Betas via Machine Learning 1 1 4 6 1 1 34 40
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section 1 1 2 25 4 9 26 121
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 44 1 9 35 279
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 19 0 4 29 181
How Robust are Empirical Factor Models to the Choice of Breakpoints? 0 0 2 4 0 1 11 23
How do corporate bond investors measure performance? Evidence from mutual fund flows 1 1 1 7 1 2 15 34
Integrating multiple commodities in a model of stochastic price dynamics 0 0 0 0 0 1 5 12
International tail risk and World Fear 0 0 1 5 0 1 15 124
Intra-industry contagion effects of earnings surprises in the banking sector 0 0 0 15 0 1 17 99
Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance 0 0 0 25 1 1 18 114
Investing in commodity futures markets: can pricing models help? 0 0 0 13 0 0 3 69
Jump and variance risk premia in the S&P 500 0 0 0 21 0 0 7 101
Jumps in commodity markets 0 0 0 11 0 0 15 99
Managing the Market Portfolio 1 1 1 3 2 2 11 29
Market power and systematic risk 0 0 2 4 0 3 21 29
Measuring commodity market quality 0 0 0 4 0 0 5 19
Measuring tail risk 1 2 3 8 2 4 20 47
Nonstandard Errors 0 1 7 46 5 16 58 196
Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets 0 0 0 19 0 0 6 71
Predictability in commodity markets: Evidence from more than a century 0 0 1 18 0 1 12 59
Predicting the equity market with option-implied variables 0 0 0 6 0 1 11 32
Predicting the equity premium around the globe: Comprehensive evidence from a large sample 0 0 2 3 2 3 22 32
Prediction of extreme price occurrences in the German day-ahead electricity market 0 0 0 2 0 2 23 39
Pricing analysis of wind power derivatives for renewable energy risk management 0 0 1 11 1 2 13 42
Pricing and hedging in the freight futures market 0 0 1 4 0 2 7 31
Quantifying risk in the electricity business: A RAROC-based approach 0 0 0 134 0 0 12 342
Responsible investing: Upside potential and downside protection? 0 0 4 7 0 0 26 39
Seasonal Stochastic Volatility: Implications for the pricing of commodity options 1 1 1 16 1 3 18 115
Seasonality and the valuation of commodity options 0 1 1 59 1 7 28 290
Testing Factor Models in the Cross-Section 0 0 3 8 0 0 24 49
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 0 24 1 1 13 151
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas 1 2 5 20 3 8 40 117
The Natural Gas Announcement Day Puzzle 0 0 1 1 4 7 19 20
The case of negative day-ahead electricity prices 1 1 1 68 2 3 17 245
The dynamics of commodity prices 0 0 1 19 1 3 18 113
The dynamics of commodity return comovements 0 0 0 2 1 1 8 25
The economic drivers of commodity market volatility 0 0 1 35 1 3 21 139
The importance of the volatility risk premium for volatility forecasting 0 1 3 73 2 8 25 277
The memory of beta 0 0 1 6 1 3 19 52
The memory of stock return volatility: Asset pricing implications 0 0 2 11 1 1 19 82
The risk premium of gold 0 0 1 13 2 4 20 103
The term structure of systematic and idiosyncratic risk 0 0 0 8 1 4 17 50
Time-variations in commodity price jumps 0 0 0 20 0 1 12 94
Variance risk in commodity markets 0 0 0 14 4 11 23 99
Volatility term structures in commodity markets 0 0 0 6 1 2 15 617
Which Factors for Corporate Bond Returns? 1 3 14 29 3 8 58 78
Total Journal Articles 13 20 89 1,360 68 186 1,206 6,855
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 1 6 0 0 9 31
Estimating term structure models with the Kalman filter 0 0 1 29 0 0 23 82
Total Chapters 0 0 2 35 0 0 32 113

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Statistics updated 2026-10-11