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 2 160
An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options 0 0 0 15 0 0 2 47
An Empirical Model Comparison for Valuing Crack Spread Options 0 0 0 74 0 1 1 260
Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics 0 1 1 27 0 1 1 101
Distrust in Finance Lingers: Jewish Persecution and Households' Investments 0 0 1 47 5 5 12 152
Economic Determinants of Oil Futures Volatility: A Term Structure Perspective 0 0 0 12 0 0 0 42
Electricity Derivatives Pricing with Forward-Looking Information 0 1 1 52 2 3 4 139
Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach 1 1 2 63 3 3 9 168
Electricity Spot and Derivatives Pricing when Markets are Interconnected 0 0 1 32 0 0 4 95
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 0 104 0 3 10 319
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 15 0 0 0 45
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 34 1 1 3 92
How to Estimate Beta? 0 1 2 89 1 3 6 149
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics 0 0 1 118 0 0 2 280
International Tail Risk and World Fear 0 0 0 33 0 0 2 59
Is Commodity Index Investing Profitable? 0 0 0 2 0 0 3 58
Jumps in Commodity Markets 0 0 0 19 1 2 7 97
Non-Standard Errors 0 2 3 44 2 7 42 440
Predicting the Equity Market with Option Implied Variables 0 0 0 35 0 0 1 43
Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market 0 0 2 50 1 2 8 100
Pricing and Hedging in the Freight Futures Market 0 0 0 0 0 1 3 334
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options 0 0 0 17 0 2 4 61
Seasonality and the Valuation of Commodity Options 0 0 0 30 0 0 0 117
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 1 1 13 0 1 1 74
The Dynamics of Commodity Prices 0 0 0 12 1 2 2 66
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 0 0 3 41
The Long Memory of Equity Volatility: International Evidence 0 1 1 9 0 2 5 37
The Memory of Beta Factors 0 0 0 35 0 0 2 47
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 0 1 5 78
The Risk Premium of Gold 0 1 1 50 1 4 9 101
The Term Structure of Systematic and Idiosyncratic Risk 0 0 0 15 0 0 1 61
Total Working Papers 1 9 17 1,165 18 44 154 3,863
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 1 24
American option valuation: Implied calibration of GARCH pricing models 0 0 0 0 0 0 0 9
An empirical model comparison for valuing crack spread options 0 0 0 8 1 2 6 60
Anomalies in Commodity Futures Markets 0 0 2 13 0 1 15 45
Asset prices and “the devil(s) you know” 0 0 1 5 0 0 1 27
Beta uncertainty 0 1 1 10 0 3 5 76
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? 0 0 0 12 0 0 0 41
COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW 0 0 0 6 0 0 0 21
Commodity derivatives valuation with autoregressive and moving average components in the price dynamics 0 1 1 22 0 1 4 102
Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage 0 0 3 34 1 1 7 117
Commodity tail risks 0 1 2 14 1 2 10 40
Credit risk in covered bonds 0 0 1 117 0 1 6 315
Curve momentum 0 4 14 112 0 9 31 284
Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets 0 0 0 3 0 0 0 38
Economic determinants of oil futures volatility: A term structure perspective 0 0 2 11 0 1 5 55
Electricity derivatives pricing with forward-looking information 0 0 0 13 2 2 5 107
Estimating Beta 0 0 3 51 0 0 5 124
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section 0 0 0 23 0 2 3 94
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 0 43 0 1 2 242
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 1 4 19 1 6 19 143
How do corporate bond investors measure performance? Evidence from mutual fund flows 0 0 0 6 0 0 5 19
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 0 0 0 81
Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance 0 0 1 24 2 4 9 95
Investing in commodity futures markets: can pricing models help? 0 0 0 13 0 0 1 65
Jump and variance risk premia in the S&P 500 0 0 0 21 1 1 2 94
Jumps in commodity markets 0 0 3 11 0 0 6 79
Measuring commodity market quality 0 0 1 4 0 0 2 14
Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets 0 0 0 19 0 0 2 63
Predictability in commodity markets: Evidence from more than a century 1 1 2 17 1 2 6 46
Predicting the equity market with option-implied variables 1 1 2 6 1 1 2 20
Prediction of extreme price occurrences in the German day-ahead electricity market 0 0 0 2 1 1 3 14
Pricing analysis of wind power derivatives for renewable energy risk management 0 1 2 9 0 2 4 25
Pricing and hedging in the freight futures market 0 0 0 3 0 0 1 23
Quantifying risk in the electricity business: A RAROC-based approach 0 0 0 134 0 0 4 328
Seasonal Stochastic Volatility: Implications for the pricing of commodity options 0 0 0 15 0 2 9 96
Seasonality and the valuation of commodity options 0 0 0 58 0 0 1 261
Testing Factor Models in the Cross-Section 0 0 0 4 2 2 7 22
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 0 24 0 1 2 138
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas 1 1 3 15 1 2 7 72
The Natural Gas Announcement Day Puzzle 0 0 0 7 0 0 0 24
The case of negative day-ahead electricity prices 1 1 2 67 1 2 8 224
The dynamics of commodity prices 0 0 1 18 1 4 7 93
The dynamics of commodity return comovements 0 0 0 2 0 0 1 17
The economic drivers of commodity market volatility 0 0 0 33 0 1 2 114
The importance of the volatility risk premium for volatility forecasting 0 0 1 70 1 2 8 247
The memory of beta 0 1 1 5 0 2 3 32
The memory of stock return volatility: Asset pricing implications 0 1 2 8 0 2 10 60
The risk premium of gold 0 2 3 12 0 3 12 81
The term structure of systematic and idiosyncratic risk 0 0 0 8 0 0 1 33
Time-variations in commodity price jumps 0 0 2 20 0 0 5 78
Variance risk in commodity markets 0 0 1 14 0 1 2 76
Volatility term structures in commodity markets 0 0 0 6 0 0 108 602
Total Journal Articles 4 17 61 1,193 18 67 366 5,309

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 1 3 22
Estimating term structure models with the Kalman filter 0 0 1 28 1 1 2 58
Total Chapters 0 0 1 33 2 2 5 80

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Statistics updated 2025-07-04