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 1 1 47 0 1 3 163
An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options 0 0 0 15 0 0 8 56
An Empirical Model Comparison for Valuing Crack Spread Options 0 2 3 77 0 2 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 1 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 18 157
Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach 0 0 0 64 0 1 23 194
Electricity Spot and Derivatives Pricing when Markets are Interconnected 0 0 2 35 0 1 16 114
Futures basis, inventory and commodity price volatility: An empirical analysis 1 1 4 108 3 7 28 348
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 15 3 6 36 81
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 34 0 2 25 117
How to Estimate Beta? 1 1 2 91 1 3 17 166
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics 0 1 1 119 0 1 14 295
International Tail Risk and World Fear 0 0 0 33 1 2 7 67
Is Commodity Index Investing Profitable? 0 0 0 2 0 0 17 77
Jumps in Commodity Markets 0 0 0 19 1 1 14 111
Non-Standard Errors 1 1 1 28 2 5 21 173
Non-Standard Errors 1 1 1 45 1 4 41 485
Nonstandard Errors 0 0 1 4 1 4 28 48
Nonstandard Errors 0 0 0 0 1 1 30 36
Nonstandard Errors 0 0 0 0 0 4 22 24
Nonstandard errors 1 1 2 13 2 5 32 84
Predicting the Equity Market with Option Implied Variables 0 0 2 37 1 1 15 58
Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market 0 1 5 56 0 5 21 122
Pricing and Hedging in the Freight Futures Market 0 0 0 0 1 1 14 348
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options 0 0 1 18 1 3 11 72
Seasonality and the Valuation of Commodity Options 0 0 1 31 0 0 13 130
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 0 13 0 0 13 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 1 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 19 97
The Risk Premium of Gold 0 0 0 52 0 2 28 132
The Term Structure of Systematic and Idiosyncratic Risk 0 0 0 15 0 1 13 75
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 0 0 7 17 0 2 40 54
Total Working Papers 5 10 36 1,258 22 70 709 4,844
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 2 3 17 41
American option valuation: Implied calibration of GARCH pricing models 0 0 0 0 2 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 1 2 21 71
Asset prices and “the devil(s) you know” 0 0 0 5 0 1 16 44
Beta uncertainty 0 1 1 11 4 8 26 106
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? 0 0 0 12 0 0 9 50
COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW 0 1 1 8 0 1 18 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 23 141
Commodity tail risks 0 0 0 14 0 1 10 50
Convenience yield risk 0 0 1 3 0 3 16 27
Credit risk in covered bonds 0 2 3 121 1 4 19 335
Curve momentum 0 0 5 120 1 8 39 326
Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets 0 0 0 3 1 2 7 45
Economic determinants of oil futures volatility: A term structure perspective 0 1 3 14 1 3 24 80
Electricity derivatives pricing with forward-looking information 0 0 0 13 0 2 10 117
Estimating Beta 0 0 1 52 0 1 13 138
Estimating Stock Market Betas via Machine Learning 0 0 3 5 0 1 34 39
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section 0 0 1 24 2 8 22 117
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 44 3 11 35 278
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 19 2 6 30 181
How Robust are Empirical Factor Models to the Choice of Breakpoints? 0 0 2 4 0 1 13 23
How do corporate bond investors measure performance? Evidence from mutual fund flows 0 0 0 6 1 3 14 33
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 1 1 5 0 3 15 124
Intra-industry contagion effects of earnings surprises in the banking sector 0 0 0 15 1 2 17 99
Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance 0 0 0 25 0 1 17 113
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 1 16 99
Managing the Market Portfolio 0 0 0 2 0 1 10 27
Market power and systematic risk 0 0 2 4 2 3 21 29
Measuring commodity market quality 0 0 0 4 0 1 5 19
Measuring tail risk 1 1 2 7 1 4 18 45
Nonstandard Errors 0 2 8 46 6 15 57 191
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 3 3 1 2 22 30
Prediction of extreme price occurrences in the German day-ahead electricity market 0 0 0 2 2 3 24 39
Pricing analysis of wind power derivatives for renewable energy risk management 0 0 2 11 0 1 13 41
Pricing and hedging in the freight futures market 0 0 1 4 1 2 8 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 3 26 39
Seasonal Stochastic Volatility: Implications for the pricing of commodity options 0 0 0 15 1 3 17 114
Seasonality and the valuation of commodity options 1 1 1 59 4 6 28 289
Testing Factor Models in the Cross-Section 0 1 4 8 0 2 26 49
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 0 24 0 1 12 150
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas 1 1 4 19 3 6 39 114
The Natural Gas Announcement Day Puzzle 0 0 1 1 1 3 15 16
The case of negative day-ahead electricity prices 0 0 0 67 1 2 15 243
The dynamics of commodity prices 0 0 1 19 0 2 19 112
The dynamics of commodity return comovements 0 0 0 2 0 1 7 24
The economic drivers of commodity market volatility 0 0 2 35 1 2 22 138
The importance of the volatility risk premium for volatility forecasting 0 2 3 73 2 8 25 275
The memory of beta 0 0 1 6 2 2 18 51
The memory of stock return volatility: Asset pricing implications 0 0 2 11 0 1 19 81
The risk premium of gold 0 0 1 13 0 2 19 101
The term structure of systematic and idiosyncratic risk 0 0 0 8 2 3 16 49
Time-variations in commodity price jumps 0 0 0 20 1 1 12 94
Variance risk in commodity markets 0 0 0 14 6 8 19 95
Volatility term structures in commodity markets 0 0 0 6 0 2 14 616
Which Factors for Corporate Bond Returns? 2 3 13 28 3 7 55 75
Total Journal Articles 5 17 82 1,347 62 180 1,174 6,787
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 1 1 6 0 1 9 31
Estimating term structure models with the Kalman filter 0 0 1 29 0 0 24 82
Total Chapters 0 1 2 35 0 1 33 113

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Statistics updated 2026-09-10