Marcel Prokopczuk : Citation Profile

Are you Marcel Prokopczuk?

Leibniz Universität Hannover

16

H index

19

i10 index

689

Citations

RESEARCH PRODUCTION:

53

Articles

32

Papers

2

Chapters

EDITOR:

1

Books edited

1

Series edited

RESEARCH ACTIVITY:

   15 years (2007 - 2022). See details.
   Cites by year: 45
   Journals where Marcel Prokopczuk has often published
   Relations with other researchers
   Recent citing documents: 199.    Total self citations: 31 (4.31 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppr113
   Updated: 2023-03-25    RAS profile: 2023-01-09    
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Relations with other researchers

Works with:

Sibbertsen, Philipp (6)

Weber, Michael (3)

Gerritsen, Dirk (2)

Pasquariello, Paolo (2)

Dumitrescu, Ariadna (2)

Pastor, Lubos (2)

Scaillet, Olivier (2)

Xia, Shuo (2)

Hjalmarsson, Erik (2)

Menkveld, Albert (2)

Chernov, Mikhail (2)

Davies, Ryan (2)

Kassner, Bernhard (2)

Heath, Davidson (2)

LINTON, OLIVER (2)

Moinas, Sophie (2)

Zhou, Chen (2)

Verousis, Thanos (2)

Abudy, Menachem (2)

Patel, Vinay (2)

Sojli, Elvira (2)

Theissen, Erik (2)

Roy, Saurabh (2)

Jalkh, Naji (2)

Lof, Matthijs (2)

Patton, Andrew (2)

Talavera, Oleksandr (2)

Liew, Chee (2)

Foucault, Thierry (2)

Hautsch, Nikolaus (2)

van Kervel, Vincent (2)

Stefanova, Denitsa (2)

Lopez-Lira, Alejandro (2)

Rinne, Kalle (2)

Frijns, Bart (2)

Nikitopoulos-Sklibosios, Christina (2)

He, Xuezhong (Tony) (2)

Gehrig, Thomas (2)

Brownlees, Christian (2)

Walther, Thomas (2)

Adrian, Tobias (2)

Mihet, Roxana (2)

Bos, Charles (2)

Xiu, Dacheng (2)

Reitz, Stefan (2)

Dimpfl, Thomas (2)

Johannesson, Magnus (2)

Schwarz, Marco (2)

CAPELLE-BLANCARD, Gunther (2)

Bouri, Elie (2)

Deev, Oleg (2)

Palan, Stefan (2)

Lajaunie, Quentin (2)

Taylor, Nick (2)

Kearney, Fearghal (2)

Symeonidis, Lazaros (2)

Wilhelmsson, Anders (2)

Harris, Jeffrey (2)

Ait-Sahalia, Yacine (2)

Ranaldo, Angelo (2)

Wolff, Christian (2)

Nielsson, Ulf (2)

Bohorquez Correa, Santiago (2)

Colliard, Jean-Edouard (2)

Tonks, Ian (2)

Dreber, Anna (2)

FERROUHI, EL MEHDI (2)

Alexeev, Vitali (2)

Sarno, Lucio (2)

Schenk-Hoppé, Klaus (2)

Rakowski, David (2)

Deku, Solomon (2)

Hurlin, Christophe (2)

Vogel, Sebastian (2)

Holzmeister, Felix (2)

Park, Andreas (2)

Jurkatis, Simon (2)

Putnins, Talis (2)

Chow, Nikolai Sheung-Chi (2)

Gorbenko, Arseny (2)

Vilkov, Grigory (2)

PASCUAL, ROBERTO (2)

Regis, Luca (2)

Wong, Wing-Keung (2)

Ferrara, Gerardo (2)

Pelizzon, Loriana (2)

Caporin, Massimiliano (2)

Horenstein, Alex (2)

Smales, Lee (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Marcel Prokopczuk.

Is cited by:

GUPTA, RANGAN (27)

Weron, Rafał (18)

Degiannakis, Stavros (16)

Pierdzioch, Christian (13)

Filis, George (12)

Salisu, Afees (10)

Vargiolu, Tiziano (9)

Ji, Qiang (8)

Afanasyev, Dmitriy (8)

Torro, Hipolit (8)

Trueck, Stefan (6)

Cites to:

Bollerslev, Tim (49)

Fama, Eugene (35)

French, Kenneth (31)

West, Kenneth (20)

Stambaugh, Robert (18)

Chen, Zhiwu (18)

Cao, Charles (18)

Bekaert, Geert (18)

Newey, Whitney (17)

Symeonidis, Lazaros (17)

Zhuravskaya, Ekaterina (17)

Main data

Where Marcel Prokopczuk has published?

Journals with more than one article published# docs
Journal of Banking & Finance14
Journal of Futures Markets8
Energy Economics5
Journal of International Money and Finance3
Journal of Financial Markets2
Journal of Commodity Markets2
Journal of Empirical Finance2
Quantitative Finance2
The European Journal of Finance2

Working Papers Series with more than one paper published# docs
Hannover Economic Papers (HEP) / Leibniz Universitt Hannover, Wirtschaftswissenschaftliche Fakultt11
ICMA Centre Discussion Papers in Finance / Henley Business School, University of Reading9
Working Papers on Finance / University of St. Gallen, School of Finance4
MPRA Paper / University Library of Munich, Germany2

Recent works citing Marcel Prokopczuk (2023 and 2022)

YearTitle of citing document
2021Navigating the Oil Bubble: A Non-linear Heterogeneous-agent Dynamic Model of Futures Oil Pricing. (2021). Paesani, Paolo ; Cifarelli, Giulio. In: The Energy Journal. RePEc:aen:journl:ej42-5-cifarelli.

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2022Costs of Futures Hedging in Corn and Soybean Markets. (2021). , Shi. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:313311.

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2022Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916.

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2022The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets. (2020). Kh, Anna ; Schmeck, Maren D ; Kemper, Annika. In: Papers. RePEc:arx:papers:2002.07561.

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2021A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2103.16918.

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2021Extending the Heston Model to Forecast Motor Vehicle Collision Rates. (2021). Shannon, Darren ; Fountas, Grigorios. In: Papers. RePEc:arx:papers:2104.11461.

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2022Tail Risk of Electricity Futures. (2022). Mayoral, Silvia ; Rodriguez, Rosa ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.01732.

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2022Extremal Dependence in Australian Electricity Markets. (2022). Han, Lin ; Trueck, Stefan ; Cribben, Ivor. In: Papers. RePEc:arx:papers:2202.09970.

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2022Static Hedging of Freight Risk under Model Uncertainty. (2022). Papayiannis, Georgios I. In: Papers. RePEc:arx:papers:2207.00862.

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2022Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095.

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2021Financial crises and political radicalization: How failing banks paved Hitlers path to power. (2021). Doerr, Sebastian ; Voth, Hans-Joachim ; Peydro, Jose-Luis ; Gissler, Stefan. In: BIS Working Papers. RePEc:bis:biswps:978.

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2022Handling the discontinuity in futures prices when time series modeling of commodity cash and futures prices. (2022). Brorsen, B ; Maples, Joshua G. In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie. RePEc:bla:canjag:v:70:y:2022:i:2:p:139-152.

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2021Who Wears the Pants? Gender Identity Norms and Intrahousehold Financial Decision?Making. (2021). Ke, DA. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:3:p:1389-1425.

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2021Fast & furious: Do psychological and legal factors affect commodity price volatility?. (2021). Algieri, Bernardina. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:4:p:980-1017.

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2021The Covid-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields. (2021). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Poza, Carlos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8976.

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2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2022Exploring the design space of PV-plus-battery system configurations under evolving grid conditions. (2022). Denholm, Paul ; Cole, Wesley J ; Murphy, Caitlin A ; Schleifer, Anna H. In: Applied Energy. RePEc:eee:appene:v:308:y:2022:i:c:s0306261921015890.

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2022A novel probabilistic modeling framework for wind speed with highlight of extremes under data discrepancy and uncertainty. (2022). Qin, Jianjun ; Pan, Yue. In: Applied Energy. RePEc:eee:appene:v:326:y:2022:i:c:s0306261922011953.

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2021The downside of moralizing financial markets: Anti-Semitic stereotypes in German MTurkers. (2021). Uhl, Matthias ; Max, Raphael. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:31:y:2021:i:c:s2214635021000563.

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2022Anti-market sentiment and corporate social responsibility: Evidence from anti-Jewish pogroms. (2022). , Brian ; Hou, Wenxuan ; Liu, Xianda. In: Journal of Corporate Finance. RePEc:eee:corfin:v:76:y:2022:i:c:s0929119922001031.

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2021Photovoltaic Smart Grids in the prosumers investment decisions: a real option model. (2021). Vergalli, Sergio ; moretto, michele ; Menoncin, Francesco ; Castellini, Marta. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:126:y:2021:i:c:s0165188920301561.

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2021Systemic risk and economic policy uncertainty: International evidence from the crude oil market. (2021). Yang, Lu ; Hamori, Shigeyuki. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:142-158.

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2022Dynamic and frequency spillovers between green bonds, oil and G7 stock markets: Implications for risk management. (2022). Kang, Sanghoon ; Vo, Xuan Vinh ; Naeem, Muhammad Abubakr ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:331-344.

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2021Impacts of asymmetry on forecasting realized volatility in Japanese stock markets. (2021). Ota, Yasushi ; Maki, Daiki. In: Economic Modelling. RePEc:eee:ecmode:v:101:y:2021:i:c:s026499932100122x.

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2022Predictability of tail risks of Canada and the U.S. Over a Century: The role of spillovers and oil tail Risks?. (2022). Salisu, Afees ; Pierdzioch, Christian ; GUPTA, RANGAN. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002163.

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2022Time-varying risk aversion and renminbi exchange rate volatility: Evidence from CARR-MIDAS model. (2022). Zhang, Huanming ; Xie, Haibin ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000559.

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2021Backlash against affirmative action: Evidence from the South Tyrolean package. (2021). di Lillo, Armando ; Belmonte, Alessandro. In: European Economic Review. RePEc:eee:eecrev:v:137:y:2021:i:c:s0014292121001501.

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2022To expand and to abandon: Real options under asset variance risk premium. (2022). Lotfaliei, Babak ; Alibeiki, Hedayat. In: European Journal of Operational Research. RePEc:eee:ejores:v:300:y:2022:i:2:p:771-787.

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2021Forecasting WTI crude oil futures returns: Does the term structure help?. (2021). O'Sullivan, Conall ; Bredin, Don ; Spencer, Simon. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002565.

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2021What drives volatility of the U.S. oil and gas firms?. (2021). Todorova, Neda ; Lyocsa, Tefan. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100270x.

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2021A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Feron, Olivier ; Deschatre, Thomas. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003881.

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2022The dependence of quantile power prices on supply from renewables. (2022). Stet, Cristian ; Huisman, Ronald. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005351.

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2022Valuing investments in domestic PV-Battery Systems under uncertainty. (2022). Moretto, Michele ; Dalpaos, Chiara ; Andreolli, Francesca. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s0140988321005703.

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2022Modelling high frequency crude oil dynamics using affine and non-affine jump–diffusion models. (2022). Wong, Patrick ; Ignatieva, Katja. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000561.

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2022Market premia for renewables in Germany: The effect on electricity prices. (2022). Sommer, Stephan ; Kaeding, Matthias ; Frondel, Manuel. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322000573.

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2022Can the return connectedness indices from grey energy to natural gas help to forecast the natural gas returns?. (2022). Li, Xiafei ; Guo, Qiang ; Luo, Keyu. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001244.

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2022Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities. (2022). Nepal, Rabindra ; Paltrinieri, Andrea ; Naeem, Muhammad Abubakr ; Farid, Saqib. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001384.

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2022Forecasting volatility of EUA futures: New evidence. (2022). Umar, Muhammad ; Liang, Chao ; Huang, Yisu ; Guo, Xiaozhu. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001918.

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2022Geopolitical risk and dynamic connectedness between commodity markets. (2022). Xu, Jun ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001979.

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2022Forecasting crude oil volatility with exogenous predictors: As good as it GETS?. (2022). Bonnier, Jean-Baptiste. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002249.

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2022What comes down must go up: Why fluctuating renewable energy does not necessarily increase electricity spot price variance in Europe. (2022). Morawetz, Ulrich B ; Schoniger, Franziska. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002353.

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2022Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain. (2022). Kang, Sanghoon ; Lucey, Brian M ; Hasan, Mudassar ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322003036.

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2022The impact of variable renewables on the distribution of hourly electricity prices and their variability: A panel approach. (2022). Tselika, Kyriaki. In: Energy Economics. RePEc:eee:eneeco:v:113:y:2022:i:c:s0140988322003449.

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2022The market price of risk for delivery periods: Pricing swaps and options in electricity markets. (2022). Kh, Anna ; Schmeck, Maren Diane ; Kemper, Annika. In: Energy Economics. RePEc:eee:eneeco:v:113:y:2022:i:c:s0140988322003668.

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2022Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets?. (2022). Stordal, Stle ; Lien, Gudbrand ; Haugom, Erik ; Ewald, Christian-Oliver ; Wu, Yuexiang. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322004534.

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2022An oil futures volatility forecast perspective on the selection of high-frequency jump tests. (2022). Ma, Feng ; Lu, Xinjie ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s014098832200487x.

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2022Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model. (2022). Wang, LU ; Lai, Xiaodong ; Xia, Zhenglan ; Liang, Chao. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s0140988322005667.

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2023Oil price assumptions for macroeconomic policy. (2023). . In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005540.

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2023Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758.

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2021Capturing the power options smile by an additive two-factor model for overlapping futures prices. (2021). Vargiolu, Tiziano ; Schmeck, Maren Diane ; Piccirilli, Marco. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988320303467.

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2021A closer look into the global determinants of oil price volatility. (2021). Filis, George ; Gabauer, David ; Filippidis, Michail ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988320304321.

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2021Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components. (2021). Theodossiou, Panayiotis ; Savva, Christos ; Kosmidou, Kyriaki ; Ioannidis, Filippos. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000153.

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2021Regularized quantile regression averaging for probabilistic electricity price forecasting. (2021). Weron, Rafał ; Uniejewski, Bartosz. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000268.

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2021Financial distress and commodity hedging: Evidence from Canadian oil firms. (2021). Griffiths, Sophie ; Suvankulov, Farrukh ; Mo, Kun. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000670.

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2021Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging. (2021). Sgarra, Carlo ; Gonzato, Luca. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001845.

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2021A transaction case analysis of the development of generation rights trading and existing shortages in China. (2021). Zha, Ruiming ; Li, Ruan ; Zhang, Jiuyang ; Zhao, Wenhui. In: Energy Policy. RePEc:eee:enepol:v:149:y:2021:i:c:s0301421520307564.

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2021The cost of uncoupling GB interconnectors. (2021). Newbery, David M ; Guo, Bowei. In: Energy Policy. RePEc:eee:enepol:v:158:y:2021:i:c:s0301421521004390.

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2021Structure dependence between oil and agricultural commodities returns: The role of geopolitical risks. (2021). Tiwari, Aviral ; GUPTA, RANGAN ; Suleman, Muhammed Tahir ; Boachie, Micheal Kofi. In: Energy. RePEc:eee:energy:v:219:y:2021:i:c:s0360544220326918.

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2021Geopolitical risk and forecastability of tail risk in the oil market: Evidence from over a century of monthly data. (2021). Salisu, Afees ; Pierdzioch, Christian ; GUPTA, RANGAN. In: Energy. RePEc:eee:energy:v:235:y:2021:i:c:s0360544221015814.

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2022Iterative sizing of solar-assisted mixed district heating network and local electrical grid integrating demand-side management. (2022). Gibout, Stephane ; Franquet, Erwin ; Fito, Jaume ; Gronier, Timothe ; Ramousse, Julien . In: Energy. RePEc:eee:energy:v:238:y:2022:i:pa:s0360544221017655.

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2022Forecasting the occurrence of extreme electricity prices using a multivariate logistic regression model. (2022). Wennersten, Ronald ; Sun, Qie ; Li, Hailong ; Yan, Ruifeng ; Ma, Cuiping ; Bai, Feifei ; Liu, Luyao. In: Energy. RePEc:eee:energy:v:247:y:2022:i:c:s0360544222003206.

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2021Direction-of-change forecasting in commodity futures markets. (2021). Quinn, Barry ; Papailias, Fotis ; Liu, Jiadong. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s105752192100020x.

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2022Exploring the transmission mechanism of speculative and inventory arbitrage activity to commodity price volatility. Novel evidence for the US economy. (2022). Alexiou, Constantinos ; Yao, Wei. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000072.

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2022We dont need no fancy hedges! Or do we?. (2022). Power, Gabriel J ; Vedenov, Dmitry. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000357.

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2022Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market. (2022). Chen, Pengzhan ; Wu, Bin ; Xia, Wenjing ; Ye, Wuyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002320.

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2022Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets. (2022). Junttila, Juha ; Uddin, Gazi Salah ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002393.

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2022Oil futures volatility predictability: New evidence based on machine learning models11All the authors contribute to the paper equally.. (2022). Zhang, Zehui ; Xu, Jin ; Ma, Feng ; Lu, Xinjie. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002538.

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2022Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios. (2022). Gabauer, David ; Gupta, Rangan ; Pierdzioch, Christian ; Salisu, Afees A. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s105752192200254x.

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2023A novel downside beta and expected stock returns. (2023). Liu, Jinjing. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004057.

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2021Asymmetric relationship between green bonds and commodities: Evidence from extreme quantile approach. (2021). TAGHIZADEH-HESARY, Farhad ; Ngo, Thanh ; Nepal, Rabindra ; Taghizadehhesary, Farhad ; Ha, Thi Thu ; Naeem, Muhammad Abubakr. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000647.

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2022Beta measurement with high frequency returns. (2022). Reeves, Jonathan J ; Liu, Qianqiu ; Lee, John B ; Doan, Bao. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005687.

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2022How do financial and commodity markets volatility react to real economic activity?. (2022). Guesmi, Khaled ; Ndubuisi, Gideon ; Urom, Christian. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000563.

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2022Global tail risk and oil return predictability. (2022). Ma, Feng ; Lu, Xinjie ; Zeng, Qing ; Qian, Lihua. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322001027.

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2022Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine. (2022). Dai, Yuhui ; Fareed, Zeeshan ; Bouri, Elie ; Wang, Yihan. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322002999.

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2021Cross-commodity hedging for illiquid futures: Evidence from Chinas base metal futures market. (2021). Tongurai, Jittima ; Chen, Xiangyu. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028321000508.

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2021The complex firm financial effects of customer satisfaction improvements. (2021). Guenther, Peter. In: International Journal of Research in Marketing. RePEc:eee:ijrema:v:38:y:2021:i:3:p:639-662.

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2021Economic activity, and financial and commodity markets’ shocks: An analysis of implied volatility indexes. (2021). Ndubuisi, Gideon ; Ozor, Jude ; Urom, Christian. In: International Economics. RePEc:eee:inteco:v:165:y:2021:i:c:p:51-66.

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2022Commodity return predictability: Evidence from implied variance, skewness, and their risk premia??. (2022). Haas, Jose Renato ; Finta, Marinela Adriana. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000543.

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2021Volatility forecasting in European government bond markets. (2021). Ozbekler, Ali Gencay ; Triantafyllou, Athanasios ; Kontonikas, Alexandros. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1691-1709.

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2021International stochastic discount factors and covariance risk. (2021). Muck, Matthias ; Herold, Michael ; Branger, Nicole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s037842662030279x.

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2021Long-run reversal in commodity returns: Insights from seven centuries of evidence. (2021). Zaremba, Adam ; Mikutowski, Mateusz ; Bianchi, Robert J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621001977.

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2021Trust and local bias of individual investors. (2021). Wang, NA ; Shao, Ran . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002296.

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2021The electricity production cost curve during extreme winter weather. (2021). Pilotte, Eugene A ; Michelfelder, Richard A. In: Journal of Economics and Business. RePEc:eee:jebusi:v:117:y:2021:i:c:s0148619521000370.

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2021Hedging macroeconomic and financial uncertainty and volatility. (2021). Kelly, Bryan ; Giglio, Stefano ; Dew-Becker, Ian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:1:p:23-45.

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2022Epidemic disease and financial development. (2022). Lin, Chen ; Hou, Wenxuan ; An, Jiafu. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:332-358.

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2022Realized semibetas: Disentangling “good” and “bad” downside risks. (2022). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim. In: Journal of Financial Economics. RePEc:eee:jfinec:v:144:y:2022:i:1:p:227-246.

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2022International determinants of asymmetric dependence in investment returns. (2022). Sinagl, Petra ; Alcock, Jamie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002278.

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2022Oil price volatility forecasts: What do investors need to know?. (2022). Filis, George ; Degiannakis, Stavros. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s026156062100245x.

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2021Time-varying uncertainty and variance risk premium. (2021). Zhang, Jin E ; Ruan, Xinfeng. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:69:y:2021:i:c:s0164070421000471.

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2021Asymmetric volatility in commodity markets. (2021). Mu, Xiaoyi ; Chen, Yu-Fu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:22:y:2021:i:c:s2405851320300167.

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2021Commodity index risk premium. (2021). Schwartz, Eduardo S ; Rojas, Maximiliano ; Ortega, Hector ; Cortazar, Gonzalo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:22:y:2021:i:c:s2405851320300337.

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2022Modelling the evolution of wind and solar power infeed forecasts. (2022). Paraschiv, Florentina ; Li, Wei. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:25:y:2022:i:c:s2405851321000234.

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2022Gold as a financial instrument. (2022). Tan, David ; Shi, Shuping ; Gomis-Porqueras, Pedro. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:27:y:2022:i:c:s2405851321000519.

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2022Bubbles in US gasoline prices: Assessing the role of hurricanes and anti–price gouging laws. (2022). Oladosu, Gbadebo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:27:y:2022:i:c:s2405851321000520.

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2022Economic drivers of volatility and correlation in precious metal markets. (2022). Walther, Thomas ; Nguyen, Duc Khuong ; Goutte, Stephane ; Dinh, Theu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:28:y:2022:i:c:s240585132100074x.

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2022Intrinsic decompositions in gold forecasting. (2022). Ji, Qiang ; Plakandaras, Vasilios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:28:y:2022:i:c:s2405851322000034.

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2022Forecasting volatility in commodity markets with long-memory models. (2022). Nikitopoulos, Christina Sklibosios ; Alfeus, Mesias. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:28:y:2022:i:c:s240585132200006x.

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2022The strategic allocation to style-integrated portfolios of commodity futures. (2022). Faff, Robert ; Miffre, Joelle ; Yew, Rand Kwong ; Rad, Hossein. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:28:y:2022:i:c:s2405851322000174.

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2021Political violence and household savings: Evidence from the long-term effects of the Cultural Revolution. (2021). Li, Logan. In: The Journal of the Economics of Ageing. RePEc:eee:joecag:v:19:y:2021:i:c:s2212828x21000141.

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2021Detection of bubbles in WTI, brent, and Dubai oil prices: A novel double recursive algorithm. (2021). Mokni, Khaled ; Ajmi, Ahdi Noomen ; Hammoudeh, Shawkat. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309855.

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2021On the long-term common movement of resource and commodity prices.A methodological proposal. (2021). Esposti, Roberto. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000271.

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More than 100 citations found, this list is not complete...

Marcel Prokopczuk is editor of

Journal
Journal of Commodity Markets

Marcel Prokopczuk has edited the books:

YearTitleTypeCited

Works by Marcel Prokopczuk:

YearTitleTypeCited
2021The Natural Gas Announcement Day Puzzle In: The Energy Journal.
[Full Text][Citation analysis]		article0
2017Historical Antisemitism, Ethnic Specialization, and Financial Development In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper29
2017Historical Antisemitism, Ethnic Specialization, and Financial Development.(2017) In: NBER Working Papers.
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This paper has another version. Agregated cites: 29		paper
2019Historical Antisemitism, Ethnic Specialization, and Financial Development.(2019) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		article
2016Estimating Beta In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article2
2021Pricing analysis of wind power derivatives for renewable energy risk management In: Applied Energy.
[Full Text][Citation analysis]		article2
2015Electricity derivatives pricing with forward-looking information In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article17
2013Electricity Derivatives Pricing with Forward-Looking Information.(2013) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17		paper
2012Futures basis, inventory and commodity price volatility: An empirical analysis In: Economic Modelling.
[Full Text][Citation analysis]		article33
2012Futures basis, inventory and commodity price volatility: An empirical analysis.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33		paper
2013Credit risk in covered bonds In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article17
2015Time-variations in commodity price jumps In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article6
2007Quantifying risk in the electricity business: A RAROC-based approach In: Energy Economics.
[Full Text][Citation analysis]		article8
2013The case of negative day-ahead electricity prices In: Energy Economics.
[Full Text][Citation analysis]		article73
2013The (de)merits of minimum-variance hedging: Application to the crack spread In: Energy Economics.
[Full Text][Citation analysis]		article29
2012The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread.(2012) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		paper
2015An empirical model comparison for valuing crack spread options In: Energy Economics.
[Full Text][Citation analysis]		article7
2010An Empirical Model Comparison for Valuing Crack Spread Options.(2010) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2020Economic determinants of oil futures volatility: A term structure perspective In: Energy Economics.
[Full Text][Citation analysis]		article7
2019Economic Determinants of Oil Futures Volatility: A Term Structure Perspective.(2019) In: Research Paper Series.
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This paper has another version. Agregated cites: 7		paper
2019Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section In: Journal of Financial Markets.
[Full Text][Citation analysis]		article8
2020The memory of stock return volatility: Asset pricing implications In: Journal of Financial Markets.
[Full Text][Citation analysis]		article3
2017The Memory of Stock Return Volatility: Asset Pricing Implications.(2017) In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2019Asset prices and “the devil(s) you know” In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2020Curve momentum In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2020Beta uncertainty In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2021The memory of beta In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article1
2022How do corporate bond investors measure performance? Evidence from mutual fund flows In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2022Testing Factor Models in the Cross-Section In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2022Measuring commodity market quality In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2010Commodity derivatives valuation with autoregressive and moving average components in the price dynamics In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article23
2013Seasonality and the valuation of commodity options In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article19
2010Seasonality and the Valuation of Commodity Options.(2010) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		paper
2014The importance of the volatility risk premium for volatility forecasting In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article22
2016Seasonal Stochastic Volatility: Implications for the pricing of commodity options In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article18
2011Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options.(2011) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18		paper
2016Jump and variance risk premia in the S&P 500 In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article11
2017Variance risk in commodity markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article22
2018Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2019International tail risk and World Fear In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article14
2017International Tail Risk and World Fear.(2017) In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2019The risk premium of gold In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article8
2017The Risk Premium of Gold.(2017) In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2019The economic drivers of commodity market volatility In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article23
2019Jumps in commodity markets In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article7
2017Jumps in Commodity Markets.(2017) In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2021Predictability in commodity markets: Evidence from more than a century In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article2
2013Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article9
2013Estimating term structure models with the Kalman filter In: Chapters.
[Full Text][Citation analysis]		chapter0
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper2
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2017The Long Memory of Equity Volatility: International Evidence In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]		paper1
2017How to Estimate Beta? In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]		paper0
2017The Term Structure of Systematic and Idiosyncratic Risk In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]		paper0
2019The term structure of systematic and idiosyncratic risk.(2019) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2017Predicting the Equity Market with Option Implied Variables In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]		paper6
2019Predicting the equity market with option-implied variables.(2019) In: The European Journal of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
2018Is Commodity Index Investing Profitable? In: Hannover Economic Papers (HEP).
[Citation analysis]		paper4
2019The Memory of Beta Factors In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]		paper0
2020The Long Memory of Equity Volatility and the Macroeconomy: International Evidence In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]		paper2
2020The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas In: Management Science.
[Full Text][Citation analysis]		article4
2007Integrating Multiple Commodities in a Model of Stochastic Price Dynamics In: MPRA Paper.
[Full Text][Citation analysis]		paper9
2009Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
2010American Option Valuation: Implied Calibration of GARCH Pricing-Models In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper4
2011American option valuation: Implied calibration of GARCH pricing models.(2011) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2010Pricing and Hedging in the Freight Futures Market In: ICMA Centre Discussion Papers in Finance.
[Citation analysis]		paper12
2011Pricing and hedging in the freight futures market.(2011) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		article
2011The Dynamics of Commodity Prices In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper44
2013The dynamics of commodity prices.(2013) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44		article
2014An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
2015Distrust in Finance Lingers: Jewish Persecution and Households Investments In: 2015 Meeting Papers.
[Full Text][Citation analysis]		paper3
2011Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets In: Decisions in Economics and Finance.
[Full Text][Citation analysis]		article3
2010Intra-industry contagion effects of earnings surprises in the banking sector In: Applied Financial Economics.
[Full Text][Citation analysis]		article6
2016A moment-based analytic approximation of the risk-neutral density of American options In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article0
2012Investing in commodity futures markets: can pricing models help? In: The European Journal of Finance.
[Full Text][Citation analysis]		article1
2016Prediction of extreme price occurrences in the German day-ahead electricity market In: Quantitative Finance.
[Full Text][Citation analysis]		article25
2016Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market.(2016) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		paper
2013Electricity Spot and Derivatives Pricing when Markets are Interconnected In: Working Papers on Finance.
[Full Text][Citation analysis]		paper1
2015Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach In: Working Papers on Finance.
[Full Text][Citation analysis]		paper2
2015Booms and Busts in Commodity Markets: Bubbles or Fundamentals? In: Journal of Futures Markets.
[Full Text][Citation analysis]		article24
2016Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets In: Journal of Futures Markets.
[Full Text][Citation analysis]		article71
2020Volatility term structures in commodity markets In: Journal of Futures Markets.
[Full Text][Citation analysis]		article2
2021The dynamics of commodity return comovements In: Journal of Futures Markets.
[Full Text][Citation analysis]		article1
2023Commodity tail risks In: Journal of Futures Markets.
[Full Text][Citation analysis]		article0
2013COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article3
2021Anomalies in Commodity Futures Markets In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]		article1
2020Electricity Market Coupling in Europe: Status Quo and Future Challenges In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0

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