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 1 2 162
An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options 0 0 0 15 0 3 5 52
An Empirical Model Comparison for Valuing Crack Spread Options 0 0 0 74 4 9 12 271
Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics 0 0 1 27 0 5 8 108
Distrust in Finance Lingers: Jewish Persecution and Households' Investments 0 0 0 47 2 13 24 171
Economic Determinants of Oil Futures Volatility: A Term Structure Perspective 0 0 1 13 5 9 12 54
Electricity Derivatives Pricing with Forward-Looking Information 0 0 1 52 3 8 16 152
Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach 0 0 2 64 0 7 21 185
Electricity Spot and Derivatives Pricing when Markets are Interconnected 0 0 3 35 1 7 14 109
Futures basis, inventory and commodity price volatility: An empirical analysis 0 1 1 105 1 8 16 332
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 34 1 11 16 106
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 15 8 13 17 62
How to Estimate Beta? 0 0 1 89 1 5 11 155
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics 0 0 0 118 0 7 11 291
International Tail Risk and World Fear 0 0 0 33 0 2 6 64
Is Commodity Index Investing Profitable? 0 0 0 2 0 5 12 69
Jumps in Commodity Markets 0 0 0 19 1 8 13 108
Non-Standard Errors 0 0 0 27 0 6 20 163
Non-Standard Errors 0 0 2 44 4 18 38 470
Nonstandard Errors 0 0 0 0 1 8 16 16
Nonstandard Errors 0 0 0 0 0 5 23 23
Nonstandard Errors 0 1 2 4 1 10 25 39
Nonstandard errors 0 0 1 12 2 11 28 71
Predicting the Equity Market with Option Implied Variables 0 0 1 36 1 4 7 50
Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market 0 1 4 53 0 7 15 112
Pricing and Hedging in the Freight Futures Market 0 0 0 0 0 4 9 342
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 1 1 1 31 3 8 13 130
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 1 13 0 7 12 85
The Dynamics of Commodity Prices 0 0 0 12 0 5 9 73
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 0 7 8 49
The Long Memory of Equity Volatility: International Evidence 0 0 1 9 2 6 9 43
The Memory of Beta Factors 0 0 0 35 1 11 13 59
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 5 11 15 92
The Risk Premium of Gold 0 0 3 52 2 17 34 129
The Term Structure of Systematic and Idiosyncratic Risk 0 0 0 15 0 2 4 65
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 2 3 8 14 6 22 34 42
Total Working Papers 3 7 34 1,235 55 293 556 4,570
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 10 11 35
American option valuation: Implied calibration of GARCH pricing models 0 0 0 0 0 2 4 13
An empirical model comparison for valuing crack spread options 0 0 0 8 1 3 7 64
Anomalies in Commodity Futures Markets 0 0 1 14 1 9 16 60
Asset prices and “the devil(s) you know” 0 0 0 5 0 9 14 41
Beta uncertainty 0 0 1 10 3 10 20 93
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? 0 0 0 12 1 5 9 50
COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW 0 0 1 7 0 9 15 36
Commodity derivatives valuation with autoregressive and moving average components in the price dynamics 0 1 2 23 0 10 13 114
Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage 0 0 0 34 2 8 14 130
Commodity tail risks 0 0 1 14 2 7 10 48
Convenience yield risk 0 0 1 3 0 4 13 22
Credit risk in covered bonds 1 1 2 119 1 11 15 329
Curve momentum 0 1 9 117 5 13 32 307
Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets 0 0 0 3 0 0 4 42
Economic determinants of oil futures volatility: A term structure perspective 0 0 3 13 1 5 13 66
Electricity derivatives pricing with forward-looking information 0 0 0 13 1 2 6 110
Estimating Beta 0 0 0 51 2 8 10 134
Estimating Stock Market Betas via Machine Learning 0 0 3 3 3 11 20 20
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section 0 1 1 24 2 8 12 104
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 44 1 10 18 259
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 1 19 3 13 34 169
How Robust are Empirical Factor Models to the Choice of Breakpoints? 0 0 0 2 0 4 9 17
How do corporate bond investors measure performance? Evidence from mutual fund flows 0 0 0 6 1 5 9 27
Integrating multiple commodities in a model of stochastic price dynamics 0 0 0 0 0 0 0 7
International tail risk and World Fear 0 0 0 4 2 7 7 116
Intra-industry contagion effects of earnings surprises in the banking sector 0 0 0 15 2 6 8 89
Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance 0 0 1 25 5 12 17 108
Investing in commodity futures markets: can pricing models help? 0 0 0 13 0 1 2 67
Jump and variance risk premia in the S&P 500 0 0 0 21 1 3 6 99
Jumps in commodity markets 0 0 0 11 0 6 14 93
Managing the Market Portfolio 0 0 0 2 0 2 7 21
Market power and systematic risk 0 0 0 2 1 6 12 18
Measuring commodity market quality 0 0 0 4 0 2 3 17
Measuring tail risk 0 0 1 6 1 7 15 38
Nonstandard Errors 0 1 11 42 6 16 61 167
Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets 0 0 0 19 1 3 6 69
Predictability in commodity markets: Evidence from more than a century 0 1 3 18 1 5 10 53
Predicting the equity market with option-implied variables 0 0 1 6 1 6 8 27
Predicting the equity premium around the globe: Comprehensive evidence from a large sample 0 0 1 1 2 7 17 20
Prediction of extreme price occurrences in the German day-ahead electricity market 0 0 0 2 1 8 18 31
Pricing analysis of wind power derivatives for renewable energy risk management 0 0 4 11 0 5 18 40
Pricing and hedging in the freight futures market 0 0 0 3 0 2 4 27
Quantifying risk in the electricity business: A RAROC-based approach 0 0 0 134 0 6 10 338
Responsible investing: Upside potential and downside protection? 0 0 2 4 0 10 18 26
Seasonal Stochastic Volatility: Implications for the pricing of commodity options 0 0 0 15 2 8 14 106
Seasonality and the valuation of commodity options 0 0 0 58 1 7 18 278
Testing Factor Models in the Cross-Section 0 0 1 5 2 10 20 39
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 0 24 0 2 5 142
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas 0 0 1 15 3 11 21 91
The Natural Gas Announcement Day Puzzle 1 1 1 1 4 9 10 10
The Natural Gas Announcement Day Puzzle 2 2 2 9 3 7 10 34
The case of negative day-ahead electricity prices 0 0 1 67 0 5 14 236
The dynamics of commodity prices 0 0 0 18 0 6 15 104
The dynamics of commodity return comovements 0 0 0 2 0 4 4 21
The economic drivers of commodity market volatility 0 0 1 34 1 6 16 129
The importance of the volatility risk premium for volatility forecasting 0 0 0 70 0 8 16 261
The memory of beta 0 0 1 5 0 4 9 39
The memory of stock return volatility: Asset pricing implications 0 0 3 10 0 7 18 76
The risk premium of gold 1 1 3 13 4 13 19 97
The term structure of systematic and idiosyncratic risk 0 0 0 8 2 8 9 42
Time-variations in commodity price jumps 0 0 0 20 1 6 12 90
Variance risk in commodity markets 0 0 0 14 0 4 6 81
Volatility term structures in commodity markets 0 0 0 6 0 9 9 611
Which Factors for Corporate Bond Returns? 2 4 14 21 11 22 45 54
Total Journal Articles 7 14 79 1,305 88 452 879 6,302

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 5 6 27
Estimating term structure models with the Kalman filter 0 0 1 29 0 7 17 74
Total Chapters 0 0 1 34 1 12 23 101

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Statistics updated 2026-03-04