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 1 1 47 0 1 3 163
An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options 0 0 0 15 0 1 8 56
An Empirical Model Comparison for Valuing Crack Spread Options 0 2 3 77 0 2 17 277
Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics 0 0 0 27 0 3 11 113
Distrust in Finance Lingers: Jewish Persecution and Households' Investments 0 0 0 47 0 4 29 181
Economic Determinants of Oil Futures Volatility: A Term Structure Perspective 0 0 1 13 0 0 16 58
Electricity Derivatives Pricing with Forward-Looking Information 0 1 1 53 1 3 18 157
Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach 0 0 0 64 0 3 24 194
Electricity Spot and Derivatives Pricing when Markets are Interconnected 0 0 2 35 0 1 16 114
Futures basis, inventory and commodity price volatility: An empirical analysis 0 2 3 107 4 8 25 345
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 34 1 4 25 117
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 15 0 4 33 78
How to Estimate Beta? 0 0 1 90 2 2 16 165
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics 0 1 1 119 0 1 14 295
International Tail Risk and World Fear 0 0 0 33 0 1 6 66
Is Commodity Index Investing Profitable? 0 0 0 2 0 1 17 77
Jumps in Commodity Markets 0 0 0 19 0 1 13 110
Non-Standard Errors 0 0 0 27 0 3 20 171
Non-Standard Errors 0 0 0 44 1 8 44 484
Nonstandard Errors 0 0 0 0 0 3 30 35
Nonstandard Errors 0 0 0 0 3 5 22 24
Nonstandard Errors 0 0 1 4 2 4 27 47
Nonstandard errors 0 0 1 12 1 3 31 82
Predicting the Equity Market with Option Implied Variables 0 0 2 37 0 3 14 57
Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market 0 3 6 56 1 10 22 122
Pricing and Hedging in the Freight Futures Market 0 0 0 0 0 0 13 347
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options 0 1 1 18 1 4 10 71
Seasonality and the Valuation of Commodity Options 0 0 1 31 0 0 13 130
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 0 13 0 0 14 88
The Dynamics of Commodity Prices 0 0 1 13 0 0 9 75
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 0 0 13 54
The Long Memory of Equity Volatility: International Evidence 0 0 0 9 0 0 10 47
The Memory of Beta Factors 0 0 0 35 0 0 18 65
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 0 1 18 96
The Risk Premium of Gold 0 0 2 52 1 3 31 132
The Term Structure of Systematic and Idiosyncratic Risk 0 0 0 15 0 3 13 75
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 0 2 7 17 0 7 40 54
Total Working Papers 0 13 35 1,253 18 97 703 4,822
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 1 1 15 39
American option valuation: Implied calibration of GARCH pricing models 0 0 0 0 0 0 9 18
An empirical model comparison for valuing crack spread options 0 0 0 8 0 1 13 73
Anomalies in Commodity Futures Markets 0 0 1 15 0 5 20 70
Asset prices and “the devil(s) you know” 0 0 0 5 1 1 16 44
Beta uncertainty 0 1 1 11 0 4 25 102
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? 0 0 0 12 0 0 9 50
COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW 0 1 1 8 0 1 18 40
Commodity derivatives valuation with autoregressive and moving average components in the price dynamics 0 0 1 23 0 0 12 114
Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage 0 0 1 35 2 3 24 141
Commodity tail risks 0 0 0 14 1 1 10 50
Convenience yield risk 0 0 1 3 2 3 16 27
Credit risk in covered bonds 0 2 4 121 1 4 19 334
Curve momentum 0 0 8 120 2 9 41 325
Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets 0 0 0 3 1 1 6 44
Economic determinants of oil futures volatility: A term structure perspective 0 1 3 14 0 3 24 79
Electricity derivatives pricing with forward-looking information 0 0 0 13 0 3 10 117
Estimating Beta 0 0 1 52 0 1 13 138
Estimating Stock Market Betas via Machine Learning 0 1 5 5 0 5 38 39
Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section 0 0 1 24 3 7 20 115
Futures basis, inventory and commodity price volatility: An empirical analysis 0 0 1 44 5 10 33 275
Historical Antisemitism, Ethnic Specialization, and Financial Development 0 0 0 19 2 5 30 179
How Robust are Empirical Factor Models to the Choice of Breakpoints? 0 0 2 4 1 1 13 23
How do corporate bond investors measure performance? Evidence from mutual fund flows 0 0 0 6 0 2 13 32
Integrating multiple commodities in a model of stochastic price dynamics 0 0 0 0 1 1 5 12
International tail risk and World Fear 0 1 1 5 1 3 15 124
Intra-industry contagion effects of earnings surprises in the banking sector 0 0 0 15 0 1 16 98
Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance 0 0 1 25 0 2 18 113
Investing in commodity futures markets: can pricing models help? 0 0 0 13 0 0 4 69
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 0 2 18 99
Managing the Market Portfolio 0 0 0 2 0 1 10 27
Market power and systematic risk 0 1 2 4 1 2 20 27
Measuring commodity market quality 0 0 0 4 0 1 5 19
Measuring tail risk 0 0 1 6 1 4 18 44
Nonstandard Errors 1 2 8 46 5 9 53 185
Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets 0 0 0 19 0 0 8 71
Predictability in commodity markets: Evidence from more than a century 0 0 1 18 1 2 13 59
Predicting the equity market with option-implied variables 0 0 0 6 1 2 11 32
Predicting the equity premium around the globe: Comprehensive evidence from a large sample 0 1 3 3 0 4 23 29
Prediction of extreme price occurrences in the German day-ahead electricity market 0 0 0 2 0 4 23 37
Pricing analysis of wind power derivatives for renewable energy risk management 0 0 2 11 1 1 14 41
Pricing and hedging in the freight futures market 0 0 1 4 1 1 7 30
Quantifying risk in the electricity business: A RAROC-based approach 0 0 0 134 0 1 12 342
Responsible investing: Upside potential and downside protection? 0 0 4 7 0 3 27 39
Seasonal Stochastic Volatility: Implications for the pricing of commodity options 0 0 0 15 1 4 16 113
Seasonality and the valuation of commodity options 0 0 0 58 2 3 24 285
Testing Factor Models in the Cross-Section 0 2 4 8 0 4 26 49
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 0 24 0 1 12 150
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas 0 1 3 18 2 10 38 111
The Natural Gas Announcement Day Puzzle 0 0 1 1 2 2 14 15
The case of negative day-ahead electricity prices 0 0 0 67 0 4 15 242
The dynamics of commodity prices 0 0 1 19 2 3 19 112
The dynamics of commodity return comovements 0 0 0 2 0 1 7 24
The economic drivers of commodity market volatility 0 0 2 35 1 1 23 137
The importance of the volatility risk premium for volatility forecasting 1 2 3 73 4 6 23 273
The memory of beta 0 0 1 6 0 1 16 49
The memory of stock return volatility: Asset pricing implications 0 0 2 11 0 2 19 81
The risk premium of gold 0 0 1 13 2 2 20 101
The term structure of systematic and idiosyncratic risk 0 0 0 8 1 1 14 47
Time-variations in commodity price jumps 0 0 0 20 0 0 14 93
Variance risk in commodity markets 0 0 0 14 1 2 13 89
Volatility term structures in commodity markets 0 0 0 6 1 2 14 616
Which Factors for Corporate Bond Returns? 0 4 12 26 2 11 54 72
Total Journal Articles 2 20 85 1,342 56 175 1,155 6,725
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 1 1 6 0 1 9 31
Estimating term structure models with the Kalman filter 0 0 1 29 0 1 24 82
Total Chapters 0 1 2 35 0 2 33 113

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Statistics updated 2026-08-07