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 2 2 162
An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options 0 0 0 15 0 4 6 52
An Empirical Model Comparison for Valuing Crack Spread Options 0 0 0 74 4 6 8 267
Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics 0 0 1 27 4 5 8 108
Distrust in Finance Lingers: Jewish Persecution and Households' Investments 0 0 0 47 4 15 22 169
Economic Determinants of Oil Futures Volatility: A Term Structure Perspective 0 0 1 13 4 5 7 49
Electricity Derivatives Pricing with Forward-Looking Information 0 0 1 52 3 8 13 149
Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach 0 0 2 64 6 13 22 185
Electricity Spot and Derivatives Pricing when Markets are Interconnected 0 1 3 35 4 8 14 108
Futures basis, inventory and commodity price volatility: An empirical analysis 1 1 1 105 6 9 21 331
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 15 5 9 9 54
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 34 7 10 15 105
How to Estimate Beta? 0 0 1 89 1 4 10 154
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics 0 0 0 118 5 8 12 291
International Tail Risk and World Fear 0 0 0 33 1 3 7 64
Is Commodity Index Investing Profitable? 0 0 0 2 3 7 13 69
Jumps in Commodity Markets 0 0 0 19 4 9 13 107
Non-Standard Errors 0 0 2 44 8 20 40 466
Predicting the Equity Market with Option Implied Variables 0 1 1 36 3 4 7 49
Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market 1 1 4 53 3 8 16 112
Pricing and Hedging in the Freight Futures Market 0 0 0 0 0 5 10 342
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options 0 0 0 17 0 3 8 66
Seasonality and the Valuation of Commodity Options 0 0 0 30 3 8 10 127
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 1 13 5 8 12 85
The Dynamics of Commodity Prices 0 0 0 12 5 5 9 73
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 7 8 8 49
The Long Memory of Equity Volatility: International Evidence 0 0 1 9 3 4 8 41
The Memory of Beta Factors 0 0 0 35 10 11 12 58
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 3 7 10 87
The Risk Premium of Gold 0 0 3 52 12 21 34 127
The Term Structure of Systematic and Idiosyncratic Risk 0 0 0 15 0 3 5 65
Total Working Papers 2 4 22 1,177 123 240 391 4,171
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 7 11 11 35
American option valuation: Implied calibration of GARCH pricing models 0 0 0 0 1 3 4 13
An empirical model comparison for valuing crack spread options 0 0 0 8 1 3 7 63
Anomalies in Commodity Futures Markets 0 0 1 14 4 8 18 59
Asset prices and “the devil(s) you know” 0 0 0 5 6 13 14 41
Beta uncertainty 0 0 1 10 5 9 19 90
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? 0 0 0 12 4 5 8 49
COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW 0 0 1 7 5 11 15 36
Commodity derivatives valuation with autoregressive and moving average components in the price dynamics 1 1 2 23 7 10 14 114
Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage 0 0 1 34 4 6 13 128
Commodity tail risks 0 0 1 14 4 6 8 46
Credit risk in covered bonds 0 0 1 118 10 12 14 328
Curve momentum 1 1 11 117 7 10 30 302
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 1 3 13 4 7 13 65
Electricity derivatives pricing with forward-looking information 0 0 0 13 0 2 7 109
Estimating Beta 0 0 0 51 6 7 9 132
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section 0 1 1 24 5 7 10 102
Futures basis, inventory and commodity price volatility: An empirical analysis 0 1 1 44 6 12 17 258
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 1 19 5 14 32 166
How do corporate bond investors measure performance? Evidence from mutual fund flows 0 0 0 6 4 6 8 26
International tail risk and World Fear 0 0 0 4 5 5 6 114
Intra-industry contagion effects of earnings surprises in the banking sector 0 0 0 15 1 5 6 87
Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance 0 0 1 25 4 7 12 103
Investing in commodity futures markets: can pricing models help? 0 0 0 13 1 1 3 67
Jump and variance risk premia in the S&P 500 0 0 0 21 1 4 5 98
Jumps in commodity markets 0 0 0 11 4 6 14 93
Measuring commodity market quality 0 0 0 4 2 3 4 17
Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets 0 0 0 19 1 2 5 68
Predictability in commodity markets: Evidence from more than a century 1 1 3 18 3 4 10 52
Predicting the equity market with option-implied variables 0 0 1 6 2 5 7 26
Prediction of extreme price occurrences in the German day-ahead electricity market 0 0 0 2 2 11 18 30
Pricing analysis of wind power derivatives for renewable energy risk management 0 1 4 11 3 11 18 40
Pricing and hedging in the freight futures market 0 0 0 3 2 3 4 27
Quantifying risk in the electricity business: A RAROC-based approach 0 0 0 134 3 8 11 338
Seasonal Stochastic Volatility: Implications for the pricing of commodity options 0 0 0 15 3 6 12 104
Seasonality and the valuation of commodity options 0 0 0 58 5 14 17 277
Testing Factor Models in the Cross-Section 0 0 1 5 5 9 18 37
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 0 24 1 3 5 142
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas 0 0 1 15 5 8 18 88
The Natural Gas Announcement Day Puzzle 0 0 0 7 3 5 7 31
The case of negative day-ahead electricity prices 0 0 1 67 3 7 17 236
The dynamics of commodity prices 0 0 0 18 5 7 15 104
The dynamics of commodity return comovements 0 0 0 2 0 4 5 21
The economic drivers of commodity market volatility 0 0 1 34 4 6 15 128
The importance of the volatility risk premium for volatility forecasting 0 0 0 70 6 8 16 261
The memory of beta 0 0 1 5 2 4 10 39
The memory of stock return volatility: Asset pricing implications 0 0 3 10 4 11 18 76
The risk premium of gold 0 0 2 12 7 10 16 93
The term structure of systematic and idiosyncratic risk 0 0 0 8 6 7 7 40
Time-variations in commodity price jumps 0 0 0 20 4 7 11 89
Variance risk in commodity markets 0 0 0 14 3 4 6 81
Volatility term structures in commodity markets 0 0 0 6 5 9 9 611
Total Journal Articles 3 7 44 1,214 200 370 620 5,822

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 1 4 5 26
Estimating term structure models with the Kalman filter 0 1 1 29 3 9 17 74
Total Chapters 0 1 1 34 4 13 22 100

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Statistics updated 2026-02-12