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 1 1 2 48 3 3 6 166
An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options 0 0 0 15 0 1 9 57
An Empirical Model Comparison for Valuing Crack Spread Options 0 0 3 77 6 6 22 283
Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics 0 0 0 27 1 1 11 114
Distrust in Finance Lingers: Jewish Persecution and Households' Investments 1 1 1 48 1 2 29 183
Economic Determinants of Oil Futures Volatility: A Term Structure Perspective 0 0 0 13 2 2 16 60
Electricity Derivatives Pricing with Forward-Looking Information 0 0 1 53 3 3 19 160
Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach 0 0 0 64 1 3 25 197
Electricity Spot and Derivatives Pricing when Markets are Interconnected 0 0 1 35 1 2 16 116
Futures basis, inventory and commodity price volatility: An empirical analysis 0 1 4 108 1 4 27 349
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 34 1 1 23 118
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 15 1 4 37 82
How to Estimate Beta? 0 1 2 91 3 6 21 171
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics 0 0 1 119 2 2 14 297
International Tail Risk and World Fear 0 0 0 33 0 1 6 67
Is Commodity Index Investing Profitable? 0 0 0 2 3 3 18 80
Jumps in Commodity Markets 0 0 0 19 3 5 17 115
Non-Standard Errors 0 1 1 28 4 6 22 177
Non-Standard Errors 0 1 1 45 2 3 41 487
Nonstandard Errors 0 0 0 0 2 2 18 26
Nonstandard Errors 0 0 1 4 1 2 22 49
Nonstandard Errors 0 0 0 0 0 2 23 37
Nonstandard errors 0 1 1 13 1 3 28 85
Predicting the Equity Market with Option Implied Variables 0 0 2 37 2 3 15 60
Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market 1 2 6 58 3 5 23 127
Pricing and Hedging in the Freight Futures Market 0 0 0 0 2 3 13 350
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options 0 0 1 18 1 3 11 74
Seasonality and the Valuation of Commodity Options 0 0 1 31 1 2 13 132
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 0 13 2 2 13 90
The Dynamics of Commodity Prices 0 0 1 13 2 2 9 77
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 2 2 15 56
The Long Memory of Equity Volatility: International Evidence 0 0 0 9 2 3 13 50
The Memory of Beta Factors 0 0 0 35 5 5 23 70
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 3 5 21 101
The Risk Premium of Gold 0 0 0 52 5 7 33 139
The Term Structure of Systematic and Idiosyncratic Risk 0 0 0 15 1 2 15 77
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 0 0 7 17 0 1 39 55
Total Working Papers 3 9 37 1,262 73 112 726 4,934
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 4 6 21 45
American option valuation: Implied calibration of GARCH pricing models 1 1 1 1 2 4 12 22
An empirical model comparison for valuing crack spread options 0 0 0 8 2 2 15 75
Anomalies in Commodity Futures Markets 0 0 1 15 3 7 26 77
Asset prices and “the devil(s) you know” 0 0 0 5 1 1 17 45
Beta uncertainty 0 0 1 11 3 9 30 111
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? 0 0 0 12 2 3 9 53
COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW 0 0 1 8 2 2 17 42
Commodity derivatives valuation with autoregressive and moving average components in the price dynamics 0 0 1 23 2 2 12 116
Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage 0 0 1 35 5 5 24 146
Commodity tail risks 0 1 1 15 2 4 14 54
Convenience yield risk 0 0 0 3 3 3 15 30
Credit risk in covered bonds 0 0 3 121 2 3 21 337
Curve momentum 0 3 7 123 5 14 47 339
Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets 0 0 0 3 1 3 9 47
Economic determinants of oil futures volatility: A term structure perspective 0 0 2 14 1 3 24 82
Electricity derivatives pricing with forward-looking information 0 0 0 13 0 0 10 117
Estimating Beta 0 0 1 52 5 5 18 143
Estimating Stock Market Betas via Machine Learning 0 1 4 6 7 8 40 47
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section 0 1 2 25 3 9 29 124
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 44 6 10 39 285
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 19 17 19 46 198
How Robust are Empirical Factor Models to the Choice of Breakpoints? 0 0 2 4 2 2 12 25
How do corporate bond investors measure performance? Evidence from mutual fund flows 0 1 1 7 4 6 18 38
Integrating multiple commodities in a model of stochastic price dynamics 0 0 0 0 2 2 7 14
International tail risk and World Fear 0 0 1 5 1 1 16 125
Intra-industry contagion effects of earnings surprises in the banking sector 0 0 0 15 4 5 21 103
Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance 0 0 0 25 0 1 18 114
Investing in commodity futures markets: can pricing models help? 0 0 0 13 3 3 6 72
Jump and variance risk premia in the S&P 500 0 0 0 21 0 0 7 101
Jumps in commodity markets 0 0 0 11 2 2 14 101
Managing the Market Portfolio 0 1 1 3 1 3 11 30
Market power and systematic risk 0 0 2 4 0 2 19 29
Measuring commodity market quality 0 0 0 4 4 4 9 23
Measuring tail risk 0 2 2 8 1 4 20 48
Nonstandard Errors 0 0 5 46 6 17 54 202
Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets 0 0 0 19 3 3 8 74
Predictability in commodity markets: Evidence from more than a century 0 0 1 18 0 0 11 59
Predicting the equity market with option-implied variables 0 0 0 6 1 1 12 33
Predicting the equity premium around the globe: Comprehensive evidence from a large sample 0 0 2 3 0 3 22 32
Prediction of extreme price occurrences in the German day-ahead electricity market 0 0 0 2 2 4 22 41
Pricing analysis of wind power derivatives for renewable energy risk management 0 0 1 11 3 4 16 45
Pricing and hedging in the freight futures market 0 0 1 4 2 3 9 33
Quantifying risk in the electricity business: A RAROC-based approach 0 0 0 134 0 0 12 342
Responsible investing: Upside potential and downside protection? 0 0 3 7 2 2 26 41
Seasonal Stochastic Volatility: Implications for the pricing of commodity options 0 1 1 16 3 5 20 118
Seasonality and the valuation of commodity options 2 3 3 61 5 10 32 295
Testing Factor Models in the Cross-Section 0 0 3 8 0 0 21 49
The (de)merits of minimum-variance hedging: Application to the crack spread 1 1 1 25 2 3 14 153
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas 0 2 5 20 1 7 38 118
The Natural Gas Announcement Day Puzzle 2 2 3 3 12 17 31 32
The case of negative day-ahead electricity prices 0 1 1 68 5 8 21 250
The dynamics of commodity prices 0 0 1 19 1 2 17 114
The dynamics of commodity return comovements 1 1 1 3 1 2 9 26
The economic drivers of commodity market volatility 0 0 1 35 1 3 18 140
The importance of the volatility risk premium for volatility forecasting 1 1 4 74 6 10 30 283
The memory of beta 0 0 1 6 0 3 17 52
The memory of stock return volatility: Asset pricing implications 0 0 1 11 1 2 18 83
The risk premium of gold 0 0 1 13 4 6 24 107
The term structure of systematic and idiosyncratic risk 0 0 0 8 0 3 17 50
Time-variations in commodity price jumps 0 0 0 20 4 5 16 98
Variance risk in commodity markets 0 0 0 14 7 17 29 106
Volatility term structures in commodity markets 0 0 0 6 1 2 16 618
Which Factors for Corporate Bond Returns? 1 4 15 30 2 8 54 80
Total Journal Articles 9 27 91 1,369 177 307 1,307 7,032
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 1 6 3 3 12 34
Estimating term structure models with the Kalman filter 0 0 1 29 2 2 19 84
Total Chapters 0 0 2 35 5 5 31 118

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Statistics updated 2026-11-12