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 1 4 9 56
An Empirical Model Comparison for Valuing Crack Spread Options 0 1 1 75 0 4 15 275
Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics 0 0 0 27 3 5 12 113
Distrust in Finance Lingers: Jewish Persecution and Households' Investments 0 0 0 47 4 10 34 181
Economic Determinants of Oil Futures Volatility: A Term Structure Perspective 0 0 1 13 0 4 16 58
Electricity Derivatives Pricing with Forward-Looking Information 1 1 1 53 2 4 19 156
Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach 0 0 2 64 2 8 28 193
Electricity Spot and Derivatives Pricing when Markets are Interconnected 0 0 3 35 0 4 18 113
Futures basis, inventory and commodity price volatility: An empirical analysis 2 2 3 107 4 9 22 341
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 15 1 13 30 75
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 34 2 9 24 115
How to Estimate Beta? 0 1 1 90 0 8 15 163
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics 0 0 0 118 0 3 14 294
International Tail Risk and World Fear 0 0 0 33 0 1 6 65
Is Commodity Index Investing Profitable? 0 0 0 2 1 8 19 77
Jumps in Commodity Markets 0 0 0 19 1 2 14 110
Non-Standard Errors 0 0 0 44 5 11 43 481
Non-Standard Errors 0 0 0 27 0 5 21 168
Nonstandard Errors 0 0 0 0 3 12 35 35
Nonstandard Errors 0 0 0 0 1 4 20 20
Nonstandard Errors 0 0 1 4 1 5 24 44
Nonstandard errors 0 0 1 12 0 8 34 79
Predicting the Equity Market with Option Implied Variables 0 1 2 37 3 7 14 57
Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market 2 2 5 55 5 5 18 117
Pricing and Hedging in the Freight Futures Market 0 0 0 0 0 5 13 347
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options 1 1 1 18 2 3 8 69
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 3 14 88
The Dynamics of Commodity Prices 0 1 1 13 0 2 10 75
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 0 5 13 54
The Long Memory of Equity Volatility: International Evidence 0 0 0 9 0 4 10 47
The Memory of Beta Factors 0 0 0 35 0 6 18 65
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 0 3 17 95
The Risk Premium of Gold 0 0 2 52 1 1 30 130
The Term Structure of Systematic and Idiosyncratic Risk 0 0 0 15 2 9 13 74
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 2 3 7 17 5 10 39 52
Total Working Papers 8 13 33 1,248 49 204 704 4,774
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 0 5 9 18
An empirical model comparison for valuing crack spread options 0 0 0 8 1 9 14 73
Anomalies in Commodity Futures Markets 0 1 2 15 4 9 24 69
Asset prices and “the devil(s) you know” 0 0 0 5 0 2 16 43
Beta uncertainty 0 0 0 10 0 5 22 98
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 0 1 7 0 3 18 39
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 1 1 35 1 9 23 139
Commodity tail risks 0 0 0 14 0 1 10 49
Convenience yield risk 0 0 1 3 0 2 14 24
Credit risk in covered bonds 0 0 2 119 1 2 16 331
Curve momentum 0 3 8 120 2 11 34 318
Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets 0 0 0 3 0 1 5 43
Economic determinants of oil futures volatility: A term structure perspective 0 0 2 13 1 11 22 77
Electricity derivatives pricing with forward-looking information 0 0 0 13 1 5 10 115
Estimating Beta 0 1 1 52 0 3 13 137
Estimating Stock Market Betas via Machine Learning 1 2 5 5 4 18 38 38
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section 0 0 1 24 1 5 15 109
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 44 2 8 25 267
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 19 1 6 33 175
How Robust are Empirical Factor Models to the Choice of Breakpoints? 0 2 2 4 0 5 13 22
How do corporate bond investors measure performance? Evidence from mutual fund flows 0 0 0 6 0 3 11 30
Integrating multiple commodities in a model of stochastic price dynamics 0 0 0 0 0 4 4 11
International tail risk and World Fear 0 0 0 4 0 5 12 121
Intra-industry contagion effects of earnings surprises in the banking sector 0 0 0 15 0 8 16 97
Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance 0 0 1 25 1 4 19 112
Investing in commodity futures markets: can pricing models help? 0 0 0 13 0 2 4 69
Jump and variance risk premia in the S&P 500 0 0 0 21 0 2 8 101
Jumps in commodity markets 0 0 0 11 1 5 19 98
Managing the Market Portfolio 0 0 0 2 0 5 10 26
Market power and systematic risk 1 2 2 4 1 8 19 26
Measuring commodity market quality 0 0 0 4 0 1 4 18
Measuring tail risk 0 0 1 6 1 3 17 41
Nonstandard Errors 0 2 7 44 0 9 53 176
Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets 0 0 0 19 0 2 8 71
Predictability in commodity markets: Evidence from more than a century 0 0 2 18 1 5 13 58
Predicting the equity market with option-implied variables 0 0 1 6 1 4 12 31
Predicting the equity premium around the globe: Comprehensive evidence from a large sample 1 2 3 3 3 8 23 28
Prediction of extreme price occurrences in the German day-ahead electricity market 0 0 0 2 3 5 23 36
Pricing analysis of wind power derivatives for renewable energy risk management 0 0 2 11 0 0 15 40
Pricing and hedging in the freight futures market 0 1 1 4 0 2 6 29
Quantifying risk in the electricity business: A RAROC-based approach 0 0 0 134 1 4 14 342
Responsible investing: Upside potential and downside protection? 0 3 4 7 0 10 25 36
Seasonal Stochastic Volatility: Implications for the pricing of commodity options 0 0 0 15 2 5 15 111
Seasonality and the valuation of commodity options 0 0 0 58 1 5 22 283
Testing Factor Models in the Cross-Section 1 2 3 7 2 8 27 47
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 0 24 0 7 11 149
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas 1 3 4 18 7 17 37 108
The Natural Gas Announcement Day Puzzle 0 0 1 1 0 3 12 13
The case of negative day-ahead electricity prices 0 0 1 67 3 5 18 241
The dynamics of commodity prices 0 1 1 19 1 6 18 110
The dynamics of commodity return comovements 0 0 0 2 0 2 6 23
The economic drivers of commodity market volatility 0 1 2 35 0 7 22 136
The importance of the volatility risk premium for volatility forecasting 0 1 1 71 0 6 21 267
The memory of beta 0 1 1 6 1 10 17 49
The memory of stock return volatility: Asset pricing implications 0 1 3 11 1 4 20 80
The risk premium of gold 0 0 1 13 0 2 18 99
The term structure of systematic and idiosyncratic risk 0 0 0 8 0 4 13 46
Time-variations in commodity price jumps 0 0 0 20 0 3 15 93
Variance risk in commodity markets 0 0 0 14 0 6 11 87
Volatility term structures in commodity markets 0 0 0 6 0 3 12 614
Which Factors for Corporate Bond Returns? 3 4 14 25 7 14 53 68
Total Journal Articles 8 34 84 1,330 57 339 1,112 6,607
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 0 3 9 30
Estimating term structure models with the Kalman filter 0 0 1 29 1 8 25 82
Total Chapters 0 0 1 34 1 11 34 112

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Statistics updated 2026-06-04