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 2 162
An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options 0 0 0 15 0 0 5 52
An Empirical Model Comparison for Valuing Crack Spread Options 0 0 0 74 0 8 12 271
Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics 0 0 1 27 2 6 10 110
Distrust in Finance Lingers: Jewish Persecution and Households' Investments 0 0 0 47 2 8 26 173
Economic Determinants of Oil Futures Volatility: A Term Structure Perspective 0 0 1 13 1 10 13 55
Electricity Derivatives Pricing with Forward-Looking Information 0 0 1 52 1 7 17 153
Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach 0 0 2 64 4 10 24 189
Electricity Spot and Derivatives Pricing when Markets are Interconnected 0 0 3 35 2 7 16 111
Futures basis, inventory and commodity price volatility: An empirical analysis 0 1 1 105 4 11 20 336
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 34 2 10 17 108
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 15 5 18 22 67
How to Estimate Beta? 1 1 2 90 4 6 13 159
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics 0 0 0 118 1 6 12 292
International Tail Risk and World Fear 0 0 0 33 0 1 5 64
Is Commodity Index Investing Profitable? 0 0 0 2 1 4 12 70
Jumps in Commodity Markets 0 0 0 19 0 5 13 108
Non-Standard Errors 0 0 0 27 3 5 21 166
Non-Standard Errors 0 0 2 44 1 13 38 471
Nonstandard Errors 0 0 0 0 5 6 28 28
Nonstandard Errors 0 0 0 0 0 2 16 16
Nonstandard Errors 0 0 2 4 2 8 27 41
Nonstandard errors 0 0 1 12 5 13 32 76
Predicting the Equity Market with Option Implied Variables 1 1 2 37 1 5 8 51
Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market 0 1 3 53 0 3 14 112
Pricing and Hedging in the Freight Futures Market 0 0 0 0 3 3 12 345
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options 0 0 0 17 0 0 7 66
Seasonality and the Valuation of Commodity Options 0 1 1 31 0 6 13 130
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 1 13 0 5 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 2 9 10 51
The Long Memory of Equity Volatility: International Evidence 0 0 1 9 2 7 10 45
The Memory of Beta Factors 0 0 0 35 2 13 14 61
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 2 10 17 94
The Risk Premium of Gold 0 0 3 52 0 14 32 129
The Term Structure of Systematic and Idiosyncratic Risk 0 0 0 15 4 4 8 69
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 0 2 7 14 1 16 33 43
Total Working Papers 2 7 34 1,237 62 264 600 4,632
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 10 14 38
American option valuation: Implied calibration of GARCH pricing models 0 0 0 0 1 2 5 14
An empirical model comparison for valuing crack spread options 0 0 0 8 1 3 7 65
Anomalies in Commodity Futures Markets 0 0 1 14 2 7 18 62
Asset prices and “the devil(s) you know” 0 0 0 5 1 7 15 42
Beta uncertainty 0 0 1 10 2 10 22 95
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? 0 0 0 12 0 5 9 50
COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW 0 0 1 7 0 5 15 36
Commodity derivatives valuation with autoregressive and moving average components in the price dynamics 0 1 2 23 0 7 13 114
Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage 1 1 1 35 2 8 16 132
Commodity tail risks 0 0 1 14 0 6 10 48
Convenience yield risk 0 0 1 3 1 4 14 23
Credit risk in covered bonds 0 1 2 119 0 11 15 329
Curve momentum 2 3 11 119 4 16 36 311
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 2 13 5 10 17 71
Electricity derivatives pricing with forward-looking information 0 0 0 13 1 2 6 111
Estimating Beta 1 1 1 52 1 9 11 135
Estimating Stock Market Betas via Machine Learning 0 0 3 3 12 21 32 32
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section 0 0 1 24 1 8 13 105
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 44 5 12 23 264
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 1 19 2 10 34 171
How Robust are Empirical Factor Models to the Choice of Breakpoints? 2 2 2 4 4 6 12 21
How do corporate bond investors measure performance? Evidence from mutual fund flows 0 0 0 6 0 5 8 27
Integrating multiple commodities in a model of stochastic price dynamics 0 0 0 0 2 2 2 9
International tail risk and World Fear 0 0 0 4 3 10 10 119
Intra-industry contagion effects of earnings surprises in the banking sector 0 0 0 15 0 3 8 89
Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance 0 0 1 25 0 9 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 7 100
Jumps in commodity markets 0 0 0 11 0 4 14 93
Managing the Market Portfolio 0 0 0 2 1 3 8 22
Market power and systematic risk 1 1 1 3 1 7 13 19
Measuring commodity market quality 0 0 0 4 0 2 3 17
Measuring tail risk 0 0 1 6 1 6 15 39
Nonstandard Errors 2 2 13 44 5 16 62 172
Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets 0 0 0 19 0 2 6 69
Predictability in commodity markets: Evidence from more than a century 0 1 2 18 1 5 10 54
Predicting the equity market with option-implied variables 0 0 1 6 0 3 8 27
Predicting the equity premium around the globe: Comprehensive evidence from a large sample 0 0 1 1 2 8 18 22
Prediction of extreme price occurrences in the German day-ahead electricity market 0 0 0 2 0 3 18 31
Pricing analysis of wind power derivatives for renewable energy risk management 0 0 3 11 0 3 17 40
Pricing and hedging in the freight futures market 1 1 1 4 1 3 5 28
Quantifying risk in the electricity business: A RAROC-based approach 0 0 0 134 1 4 11 339
Responsible investing: Upside potential and downside protection? 0 0 1 4 1 7 18 27
Seasonal Stochastic Volatility: Implications for the pricing of commodity options 0 0 0 15 0 5 12 106
Seasonality and the valuation of commodity options 0 0 0 58 1 7 18 279
Testing Factor Models in the Cross-Section 1 1 2 6 1 8 20 40
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 0 24 2 3 7 144
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas 1 1 2 16 7 15 28 98
The Natural Gas Announcement Day Puzzle 0 1 1 1 1 8 10 11
The case of negative day-ahead electricity prices 0 0 1 67 0 3 14 236
The dynamics of commodity prices 0 0 0 18 0 5 15 104
The dynamics of commodity return comovements 0 0 0 2 0 0 4 21
The economic drivers of commodity market volatility 1 1 2 35 2 7 18 131
The importance of the volatility risk premium for volatility forecasting 1 1 1 71 2 8 18 263
The memory of beta 0 0 1 5 4 6 13 43
The memory of stock return volatility: Asset pricing implications 1 1 4 11 2 6 20 78
The risk premium of gold 0 1 3 13 1 12 20 98
The term structure of systematic and idiosyncratic risk 0 0 0 8 2 10 11 44
Time-variations in commodity price jumps 0 0 0 20 1 6 13 91
Variance risk in commodity markets 0 0 0 14 3 6 9 84
Volatility term structures in commodity markets 0 0 0 6 1 6 10 612
Which Factors for Corporate Bond Returns? 1 5 15 22 2 20 47 56
Total Journal Articles 16 26 89 1,312 100 429 948 6,368
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 0 0 0 5 0 2 6 27
Estimating term structure models with the Kalman filter 0 0 1 29 1 4 18 75
Total Chapters 0 0 1 34 1 6 24 102

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Statistics updated 2026-04-09