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 1 2 3 162
An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options 0 0 0 15 3 4 6 52
An Empirical Model Comparison for Valuing Crack Spread Options 0 0 0 74 1 3 4 263
Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics 0 0 1 27 1 1 4 104
Distrust in Finance Lingers: Jewish Persecution and Households' Investments 0 0 1 47 7 13 20 165
Economic Determinants of Oil Futures Volatility: A Term Structure Perspective 0 0 1 13 0 1 3 45
Electricity Derivatives Pricing with Forward-Looking Information 0 0 1 52 2 6 10 146
Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach 0 0 2 64 1 7 17 179
Electricity Spot and Derivatives Pricing when Markets are Interconnected 0 1 3 35 2 4 12 104
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 0 104 1 5 16 325
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 34 3 6 8 98
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 15 0 4 4 49
How to Estimate Beta? 0 0 1 89 3 4 9 153
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics 0 0 1 118 2 4 8 286
International Tail Risk and World Fear 0 0 0 33 1 3 6 63
Is Commodity Index Investing Profitable? 0 0 0 2 2 5 10 66
Jumps in Commodity Markets 0 0 0 19 3 6 11 103
Non-Standard Errors 0 0 2 44 6 12 35 458
Predicting the Equity Market with Option Implied Variables 0 1 1 36 0 3 4 46
Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market 0 1 3 52 4 8 13 109
Pricing and Hedging in the Freight Futures Market 0 0 0 0 4 6 10 342
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options 0 0 0 17 3 3 8 66
Seasonality and the Valuation of Commodity Options 0 0 0 30 2 7 7 124
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 1 13 2 4 7 80
The Dynamics of Commodity Prices 0 0 0 12 0 2 4 68
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 0 1 4 42
The Long Memory of Equity Volatility: International Evidence 0 0 1 9 1 1 6 38
The Memory of Beta Factors 0 0 0 35 0 1 2 48
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 3 6 8 84
The Risk Premium of Gold 0 0 3 52 3 10 22 115
The Term Structure of Systematic and Idiosyncratic Risk 0 0 0 15 2 3 5 65
Total Working Papers 0 3 22 1,175 63 145 286 4,048
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 3 4 4 28
American option valuation: Implied calibration of GARCH pricing models 0 0 0 0 1 3 3 12
An empirical model comparison for valuing crack spread options 0 0 0 8 1 2 6 62
Anomalies in Commodity Futures Markets 0 0 1 14 4 5 15 55
Asset prices and “the devil(s) you know” 0 0 0 5 3 7 8 35
Beta uncertainty 0 0 1 10 2 5 14 85
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? 0 0 0 12 0 3 4 45
COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW 0 0 1 7 4 8 10 31
Commodity derivatives valuation with autoregressive and moving average components in the price dynamics 0 0 1 22 3 5 8 107
Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage 0 0 1 34 2 5 9 124
Commodity tail risks 0 0 1 14 1 2 6 42
Credit risk in covered bonds 0 0 1 118 0 2 4 318
Curve momentum 0 0 12 116 1 5 26 295
Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets 0 0 0 3 0 4 4 42
Economic determinants of oil futures volatility: A term structure perspective 0 2 3 13 0 5 9 61
Electricity derivatives pricing with forward-looking information 0 0 0 13 1 2 7 109
Estimating Beta 0 0 0 51 0 1 3 126
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section 1 1 1 24 1 2 5 97
Futures basis, inventory and commodity price volatility: An empirical analysis 0 1 1 44 3 8 12 252
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 2 19 5 9 30 161
How do corporate bond investors measure performance? Evidence from mutual fund flows 0 0 0 6 0 3 4 22
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 3 4 5 86
Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance 0 0 1 25 3 3 8 99
Investing in commodity futures markets: can pricing models help? 0 0 0 13 0 0 2 66
Jump and variance risk premia in the S&P 500 0 0 0 21 1 3 4 97
Jumps in commodity markets 0 0 0 11 2 5 10 89
Measuring commodity market quality 0 0 0 4 0 1 2 15
Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets 0 0 0 19 1 2 4 67
Predictability in commodity markets: Evidence from more than a century 0 0 2 17 1 2 7 49
Predicting the equity market with option-implied variables 0 0 1 6 3 3 5 24
Prediction of extreme price occurrences in the German day-ahead electricity market 0 0 0 2 5 12 16 28
Pricing analysis of wind power derivatives for renewable energy risk management 0 1 4 11 2 8 15 37
Pricing and hedging in the freight futures market 0 0 0 3 0 1 3 25
Quantifying risk in the electricity business: A RAROC-based approach 0 0 0 134 3 5 8 335
Seasonal Stochastic Volatility: Implications for the pricing of commodity options 0 0 0 15 3 4 11 101
Seasonality and the valuation of commodity options 0 0 0 58 1 10 12 272
Testing Factor Models in the Cross-Section 0 0 1 5 3 7 13 32
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 0 24 1 3 5 141
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas 0 0 1 15 3 6 13 83
The Natural Gas Announcement Day Puzzle 0 0 0 7 1 2 4 28
The case of negative day-ahead electricity prices 0 0 1 67 2 5 14 233
The dynamics of commodity prices 0 0 0 18 1 4 11 99
The dynamics of commodity return comovements 0 0 0 2 4 4 5 21
The economic drivers of commodity market volatility 0 0 1 34 1 6 11 124
The importance of the volatility risk premium for volatility forecasting 0 0 0 70 2 3 11 255
The memory of beta 0 0 1 5 2 4 8 37
The memory of stock return volatility: Asset pricing implications 0 1 4 10 3 9 17 72
The risk premium of gold 0 0 2 12 2 3 9 86
The term structure of systematic and idiosyncratic risk 0 0 0 8 0 1 2 34
Time-variations in commodity price jumps 0 0 1 20 1 3 8 85
Variance risk in commodity markets 0 0 0 14 1 2 3 78
Volatility term structures in commodity markets 0 0 0 6 4 4 4 606
Total Journal Articles 1 6 46 1,211 94 219 442 5,622

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 3 3 5 25
Estimating term structure models with the Kalman filter 0 1 1 29 4 12 14 71
Total Chapters 0 1 1 34 7 15 19 96

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Statistics updated 2026-01-09