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 1 1 1 47 1 1 3 163
An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options 0 0 0 15 0 4 9 56
An Empirical Model Comparison for Valuing Crack Spread Options 2 3 3 77 2 6 17 277
Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics 0 0 0 27 0 3 12 113
Distrust in Finance Lingers: Jewish Persecution and Households' Investments 0 0 0 47 0 8 29 181
Economic Determinants of Oil Futures Volatility: A Term Structure Perspective 0 0 1 13 0 3 16 58
Electricity Derivatives Pricing with Forward-Looking Information 0 1 1 53 0 3 17 156
Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach 0 0 1 64 1 5 26 194
Electricity Spot and Derivatives Pricing when Markets are Interconnected 0 0 3 35 1 3 19 114
Futures basis, inventory and commodity price volatility: An empirical analysis 0 2 3 107 0 5 22 341
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 34 1 8 24 116
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 15 3 11 33 78
How to Estimate Beta? 0 0 1 90 0 4 14 163
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics 1 1 1 119 1 3 15 295
International Tail Risk and World Fear 0 0 0 33 1 2 7 66
Is Commodity Index Investing Profitable? 0 0 0 2 0 7 19 77
Jumps in Commodity Markets 0 0 0 19 0 2 13 110
Non-Standard Errors 0 0 0 44 2 12 43 483
Non-Standard Errors 0 0 0 27 3 5 21 171
Nonstandard Errors 0 0 1 4 1 4 25 45
Nonstandard Errors 0 0 0 0 0 7 30 35
Nonstandard Errors 0 0 0 0 1 5 19 21
Nonstandard errors 0 0 1 12 2 5 34 81
Predicting the Equity Market with Option Implied Variables 0 0 2 37 0 6 14 57
Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market 1 3 6 56 4 9 21 121
Pricing and Hedging in the Freight Futures Market 0 0 0 0 0 2 13 347
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options 0 1 1 18 1 4 9 70
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 9 75
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 0 3 13 54
The Long Memory of Equity Volatility: International Evidence 0 0 0 9 0 2 10 47
The Memory of Beta Factors 0 0 0 35 0 4 18 65
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 1 2 18 96
The Risk Premium of Gold 0 0 2 52 1 2 30 131
The Term Structure of Systematic and Idiosyncratic Risk 0 0 0 15 1 6 14 75
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 0 3 7 17 2 11 41 54
Total Working Papers 5 16 37 1,253 30 172 704 4,804
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 14 38
American option valuation: Implied calibration of GARCH pricing models 0 0 0 0 0 4 9 18
An empirical model comparison for valuing crack spread options 0 0 0 8 0 8 13 73
Anomalies in Commodity Futures Markets 0 1 2 15 1 8 25 70
Asset prices and “the devil(s) you know” 0 0 0 5 0 1 16 43
Beta uncertainty 1 1 1 11 4 7 26 102
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 1 1 2 8 1 4 19 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 7 22 139
Commodity tail risks 0 0 0 14 0 1 9 49
Convenience yield risk 0 0 1 3 1 2 14 25
Credit risk in covered bonds 2 2 4 121 2 4 18 333
Curve momentum 0 1 8 120 5 12 39 323
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 1 1 3 14 2 8 24 79
Electricity derivatives pricing with forward-looking information 0 0 0 13 2 6 10 117
Estimating Beta 0 0 1 52 1 3 14 138
Estimating Stock Market Betas via Machine Learning 0 2 5 5 1 7 38 39
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section 0 0 1 24 3 7 18 112
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 44 3 6 28 270
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 19 2 6 34 177
How Robust are Empirical Factor Models to the Choice of Breakpoints? 0 0 2 4 0 1 13 22
How do corporate bond investors measure performance? Evidence from mutual fund flows 0 0 0 6 2 5 13 32
Integrating multiple commodities in a model of stochastic price dynamics 0 0 0 0 0 2 4 11
International tail risk and World Fear 1 1 1 5 2 4 14 123
Intra-industry contagion effects of earnings surprises in the banking sector 0 0 0 15 1 9 17 98
Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance 0 0 1 25 1 5 18 113
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 1 7 101
Jumps in commodity markets 0 0 0 11 1 6 20 99
Managing the Market Portfolio 0 0 0 2 1 5 11 27
Market power and systematic risk 0 1 2 4 0 7 19 26
Measuring commodity market quality 0 0 0 4 1 2 5 19
Measuring tail risk 0 0 1 6 2 4 18 43
Nonstandard Errors 1 1 7 45 4 8 53 180
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 1 18 0 4 12 58
Predicting the equity market with option-implied variables 0 0 0 6 0 4 11 31
Predicting the equity premium around the globe: Comprehensive evidence from a large sample 0 2 3 3 1 7 24 29
Prediction of extreme price occurrences in the German day-ahead electricity market 0 0 0 2 1 6 23 37
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 0 1 4 0 1 6 29
Quantifying risk in the electricity business: A RAROC-based approach 0 0 0 134 0 3 14 342
Responsible investing: Upside potential and downside protection? 0 3 4 7 3 12 28 39
Seasonal Stochastic Volatility: Implications for the pricing of commodity options 0 0 0 15 1 6 16 112
Seasonality and the valuation of commodity options 0 0 0 58 0 4 22 283
Testing Factor Models in the Cross-Section 1 2 4 8 2 9 27 49
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 0 24 1 6 12 150
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas 0 2 3 18 1 11 37 109
The Natural Gas Announcement Day Puzzle 0 0 1 1 0 2 12 13
The case of negative day-ahead electricity prices 0 0 0 67 1 6 18 242
The dynamics of commodity prices 0 1 1 19 0 6 17 110
The dynamics of commodity return comovements 0 0 0 2 1 3 7 24
The economic drivers of commodity market volatility 0 0 2 35 0 5 22 136
The importance of the volatility risk premium for volatility forecasting 1 1 2 72 2 6 22 269
The memory of beta 0 1 1 6 0 6 17 49
The memory of stock return volatility: Asset pricing implications 0 0 3 11 1 3 21 81
The risk premium of gold 0 0 1 13 0 1 18 99
The term structure of systematic and idiosyncratic risk 0 0 0 8 0 2 13 46
Time-variations in commodity price jumps 0 0 0 20 0 2 15 93
Variance risk in commodity markets 0 0 0 14 1 4 12 88
Volatility term structures in commodity markets 0 0 0 6 1 3 13 615
Which Factors for Corporate Bond Returns? 1 4 14 26 2 14 54 70
Total Journal Articles 10 28 88 1,340 62 301 1,148 6,669
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 1 1 1 6 1 4 9 31
Estimating term structure models with the Kalman filter 0 0 1 29 0 7 24 82
Total Chapters 1 1 2 35 1 11 33 113

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Statistics updated 2026-07-10