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 1 3 48
An Empirical Model Comparison for Valuing Crack Spread Options 0 0 0 74 0 0 1 260
Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics 0 0 1 27 1 2 3 103
Distrust in Finance Lingers: Jewish Persecution and Households' Investments 0 0 1 47 0 5 12 152
Economic Determinants of Oil Futures Volatility: A Term Structure Perspective 1 1 1 13 2 2 2 44
Electricity Derivatives Pricing with Forward-Looking Information 0 0 1 52 0 2 3 139
Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach 0 2 3 64 1 6 10 171
Electricity Spot and Derivatives Pricing when Markets are Interconnected 0 1 1 33 0 3 6 98
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 0 104 0 1 11 320
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 0 1 2 92
How to Estimate Beta? 0 0 2 89 0 1 6 149
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics 0 0 1 118 0 1 3 281
International Tail Risk and World Fear 0 0 0 33 0 1 3 60
Is Commodity Index Investing Profitable? 0 0 0 2 0 2 5 60
Jumps in Commodity Markets 0 0 0 19 0 1 7 97
Non-Standard Errors 0 0 3 44 4 6 36 444
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 1 1 2 51 1 2 6 101
Pricing and Hedging in the Freight Futures Market 0 0 0 0 0 0 2 334
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options 0 0 0 17 0 0 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 0 1 13 1 1 2 75
The Dynamics of Commodity Prices 0 0 0 12 0 1 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 0 1 9 0 0 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 0 5 78
The Risk Premium of Gold 2 2 3 52 3 4 12 104
The Term Structure of Systematic and Idiosyncratic Risk 0 0 0 15 0 1 2 62
Total Working Papers 4 7 21 1,171 13 44 161 3,889
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 0 1 5 60
Anomalies in Commodity Futures Markets 0 1 2 14 0 5 18 50
Asset prices and “the devil(s) you know” 0 0 1 5 0 1 2 28
Beta uncertainty 0 0 1 10 3 4 9 80
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 1 1 7 0 1 1 22
Commodity derivatives valuation with autoregressive and moving average components in the price dynamics 0 0 1 22 0 0 4 102
Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage 0 0 1 34 1 2 5 118
Commodity tail risks 0 0 1 14 0 1 8 40
Credit risk in covered bonds 1 1 2 118 1 1 7 316
Curve momentum 3 3 17 115 3 3 32 287
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 1 11 1 1 4 56
Electricity derivatives pricing with forward-looking information 0 0 0 13 0 2 5 107
Estimating Beta 0 0 3 51 0 1 6 125
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section 0 0 0 23 0 1 4 95
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 0 43 1 1 3 243
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 4 19 2 9 26 151
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 1 1 82
Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance 1 1 1 25 1 3 8 96
Investing in commodity futures markets: can pricing models help? 0 0 0 13 1 1 2 66
Jump and variance risk premia in the S&P 500 0 0 0 21 0 1 2 94
Jumps in commodity markets 0 0 2 11 2 4 8 83
Measuring commodity market quality 0 0 0 4 0 0 1 14
Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets 0 0 0 19 2 2 4 65
Predictability in commodity markets: Evidence from more than a century 0 1 2 17 1 2 6 47
Predicting the equity market with option-implied variables 0 1 2 6 0 2 3 21
Prediction of extreme price occurrences in the German day-ahead electricity market 0 0 0 2 1 2 4 15
Pricing analysis of wind power derivatives for renewable energy risk management 0 0 2 9 1 3 7 28
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 2 6 330
Seasonal Stochastic Volatility: Implications for the pricing of commodity options 0 0 0 15 0 1 10 97
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 0 3 8 23
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 0 24 0 0 2 138
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas 0 1 2 15 2 4 8 75
The Natural Gas Announcement Day Puzzle 0 0 0 7 1 2 2 26
The case of negative day-ahead electricity prices 0 1 1 67 1 5 10 228
The dynamics of commodity prices 0 0 1 18 0 1 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 2 2 4 116
The importance of the volatility risk premium for volatility forecasting 0 0 1 70 0 4 10 250
The memory of beta 0 0 1 5 0 1 4 33
The memory of stock return volatility: Asset pricing implications 0 1 3 9 0 2 10 62
The risk premium of gold 0 0 3 12 1 1 11 82
The term structure of systematic and idiosyncratic risk 0 0 0 8 0 0 1 33
Time-variations in commodity price jumps 0 0 1 20 3 4 6 82
Variance risk in commodity markets 0 0 0 14 0 0 1 76
Volatility term structures in commodity markets 0 0 0 6 0 0 2 602
Total Journal Articles 5 12 57 1,201 31 87 297 5,378

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 1 2 22
Estimating term structure models with the Kalman filter 0 0 1 28 0 1 2 58
Total Chapters 0 0 1 33 0 2 4 80

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Statistics updated 2025-09-05