Marcel Prokopczuk : Citation Profile


Are you Marcel Prokopczuk?

Leibniz Universität Hannover

9

H index

7

i10 index

263

Citations

RESEARCH PRODUCTION:

30

Articles

28

Papers

1

Chapters

EDITOR:

1

Books edited

1

Series edited

RESEARCH ACTIVITY:

   12 years (2007 - 2019). See details.
   Cites by year: 21
   Journals where Marcel Prokopczuk has often published
   Relations with other researchers
   Recent citing documents: 90.    Total self citations: 21 (7.39 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppr113
   Updated: 2019-06-16    RAS profile: 2019-03-28    
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Relations with other researchers


Works with:

Weber, Michael (3)

Füss, Roland (3)

Arismendi Zambrano, Juan (3)

Symeonidis, Lazaros (2)

Sibbertsen, Philipp (2)

Paraschiv, Florentina (2)

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

Is cited by:

Weron, Rafał (19)

Afanasyev, Dmitriy (8)

Torro, Hipolit (7)

Chan, Joshua (5)

Trueck, Stefan (5)

Koekebakker, Steen (4)

Degiannakis, Stavros (4)

Nowotarski, Jakub (4)

DA FONSECA, José (3)

Chapman, James (3)

Vásquez Cordano, Arturo (3)

Cites to:

Bollerslev, Tim (23)

Chen, Zhiwu (18)

Cao, Charles (18)

Bekaert, Geert (14)

French, Kenneth (14)

Campbell, John (14)

Fama, Eugene (13)

Zhuravskaya, Ekaterina (11)

Cartea, Álvaro (10)

West, Kenneth (10)

merton, robert (10)

Main data


Where Marcel Prokopczuk has published?


Journals with more than one article published# docs
Journal of Banking & Finance7
Journal of Futures Markets5
Energy Economics4
Quantitative Finance2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
Hannover Economic Papers (HEP) / Leibniz Universitt Hannover, Wirtschaftswissenschaftliche Fakultt9
ICMA Centre Discussion Papers in Finance / Henley Business School, Reading University9
Working Papers on Finance / University of St. Gallen, School of Finance4
MPRA Paper / University Library of Munich, Germany2

Recent works citing Marcel Prokopczuk (2019 and 2018)


YearTitle of citing document
2018Double-Edged Sword: Liquidity Implications of Futures Hedging. (2018). Shi, Ruoding ; Massa, Olga Isengildina ; IsengildinaMassa, Olga . In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274106.

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2017Pricing of commodity derivatives on processes with memory. (2017). Benth, Fred Espen ; Vanmaele, Michele ; Khedher, Asma . In: Papers. RePEc:arx:papers:1711.00307.

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2018Seasonal Stochastic Volatility and the Samuelson Effect in Agricultural Futures Markets. (2018). Schneider, Lorenz ; Tavin, Bertrand. In: Papers. RePEc:arx:papers:1802.01393.

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2018Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks. (2018). Weron, Rafał ; Ziel, Florian. In: Papers. RePEc:arx:papers:1805.06649.

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2017Are Covered Bonds Different from Asset Securitization Bonds?. (2017). Pinto, João ; Correia, Mafalda C. In: Working Papers de Gestão (Management Working Papers). RePEc:cap:mpaper:012017.

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2018The Impact of Long-Short Speculators on the Volatility of Agricultural Commodity Futures Prices. (2018). Bohl, Martin T ; Sulewski, Christoph. In: CQE Working Papers. RePEc:cqe:wpaper:7718.

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2017Potential contributions of wind power to a stable and highly renewable Swiss power supply. (2017). Kruyt, Bert ; Kahl, Annelen ; Lehning, Michael. In: Applied Energy. RePEc:eee:appene:v:192:y:2017:i:c:p:1-11.

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2018Seasonal aspects of the energy-water nexus: The case of a run-of-the-river hydropower plant. (2018). Gaudard, Ludovic ; de Michele, Carlo ; Avanzi, Francesco. In: Applied Energy. RePEc:eee:appene:v:210:y:2018:i:c:p:604-612.

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2018A two-step optimization model for quantifying the flexibility potential of power-to-heat systems in dwellings. (2018). Oluleye, Gbemi ; Hawkes, Adam D ; Kelly, Nick ; Hawker, Graeme ; Allison, John. In: Applied Energy. RePEc:eee:appene:v:228:y:2018:i:c:p:215-228.

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2019On the impact of outlier filtering on the electricity price forecasting accuracy. (2019). Afanasyev, Dmitriy ; Fedorova, Elena A. In: Applied Energy. RePEc:eee:appene:v:236:y:2019:i:c:p:196-210.

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2017Do banks and industrial companies have equal access to reputable underwriters in debt markets?. (2017). Carbo Valverde, Santiago ; Rodriguez-Fernandez, Francisco ; Cuadros-Solas, Pedro J ; Carbo-Valverde, Santiago . In: Journal of Corporate Finance. RePEc:eee:corfin:v:45:y:2017:i:c:p:176-202.

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2018Equilibrium variance risk premium in a cost-free production economy. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:96:y:2018:i:c:p:42-60.

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2018The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets. (2018). Gupta, Rakesh ; Singh, Tarlok ; Li, Bin ; Mo, DI. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:543-560.

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2018Forecasting the aggregate oil price volatility in a data-rich environment. (2018). Ma, Feng ; Zhang, Yaojie ; Wahab, M. I. M., ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:320-332.

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2019Oil price and automobile stock return co-movement: A wavelet coherence analysis. (2019). Pal, Debdatta ; Mitra, Subrata K. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:172-181.

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2017A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:381-400.

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2018Empirical analysis of the international public covered bond market. (2018). Gurtler, Marc ; Neelmeier, Philipp. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:163-181.

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2017Pure martingale and joint normality tests for energy futures contracts. (2017). Shrestha, Keshab ; Rassiah, Puspavathy ; Subramaniam, Ravichandran. In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:174-184.

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2017Is hedging the crack spread no longer all its cracked up to be?. (2017). Vedenov, Dmitry ; Liu, Pan ; Power, Gabriel J. In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:31-40.

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2017Hedging size risk: Theory and application to the US gas market. (2017). Roncoroni, Andrea ; Id, Rachid . In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:415-437.

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2017Bayesian calibration and number of jump components in electricity spot price models. (2017). Gonzalez, Jhonny ; Palczewski, Jan ; Moriarty, John . In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:375-388.

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2017Hedging downside risk of oil refineries: A vine copula approach. (2017). Sukcharoen, Kunlapath ; Leatham, David. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:493-507.

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2017Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition. (2017). DA FONSECA, José ; Xu, Yahua. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:410-422.

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2018Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks. (2018). Weron, Rafał ; Ziel, Florian. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:396-420.

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2018Uncertainty effects on production mix and on hedging decisions: The case of Brazilian ethanol and sugar. (2018). de Oliveira, Sydnei Marssal ; Vieira, Maria Paula. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:516-524.

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2018Quantile hedge ratio for energy markets. (2018). Shrestha, Keshab ; Suresh, Sheena Sara ; Peranginangin, Yessy ; Subramaniam, Ravichandran. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:253-272.

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2018Forecasting the oil futures price volatility: Large jumps and small jumps. (2018). Liu, Jing ; Zhang, Yaojie ; Yang, KE ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:321-330.

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2018The dynamic effects of oil supply shocks on the US stock market returns of upstream oil and gas companies. (2018). Ratti, Ronald ; Kang, Wensheng ; Ewing, Bradley T. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:505-516.

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2018The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386.

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2018Structural price model for coupled electricity markets. (2018). Alasseur, C ; Feron, O. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:104-119.

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2018Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

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2018The asymmetric return-volatility relationship of commodity prices. (2018). Baur, Dirk G ; Dimpfl, Thomas. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:378-387.

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2018The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems. (2018). Chai, Shanglei ; Zhou, P. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:64-75.

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2019A novel market efficiency index for energy futures and their term structure risk premiums. (2019). Roberts, Helen ; Premachandra, I M ; Kuruppuarachchi, Duminda. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:23-33.

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2017Electricity prices, large-scale renewable integration, and policy implications. (2017). Serletis, Apostolos ; Kyritsis, Evangelos ; Andersson, Jonas . In: Energy Policy. RePEc:eee:enepol:v:101:y:2017:i:c:p:550-560.

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2018Hedging spark spread risk with futures. (2018). Torro, Hipolit ; Martinez, Beatriz. In: Energy Policy. RePEc:eee:enepol:v:113:y:2018:i:c:p:731-746.

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2018Independence without control: Autarky outperforms autonomy benefits in the adoption of private energy storage systems. (2018). Ecker, Franz ; Spada, Hans . In: Energy Policy. RePEc:eee:enepol:v:122:y:2018:i:c:p:214-228.

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2017Techno-economic and environmental assessment of stationary electricity storage technologies for different time scales. (2017). Parra, David ; Zhang, Xiaojin ; Abdon, Andreas ; Patel, Martin K ; Worlitschek, Jorg ; Bauer, Christian. In: Energy. RePEc:eee:energy:v:139:y:2017:i:c:p:1173-1187.

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2018Forecasting spikes in electricity return innovations. (2018). Tafakori, Laleh ; Alavifard, Farzad ; Pourkhanali, Armin. In: Energy. RePEc:eee:energy:v:150:y:2018:i:c:p:508-526.

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2019The time-varying linkages between global oil market and Chinas commodity sectors: Evidence from DCC-GJR-GARCH analyses. (2019). Jiang, Yonghong ; Mo, Bin ; Nie, HE. In: Energy. RePEc:eee:energy:v:166:y:2019:i:c:p:577-586.

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2019Risk assessment of mortgage covered bonds: International evidence. (2019). Neelmeier, Philipp ; Gurtler, Marc. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:292-298.

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2018Uncovering the impact of regulatory uncertainty on credit spreads: A study of the U.S. covered bond experience. (2018). Bhanot, Karan ; Larsson, Carl F. In: Journal of Financial Markets. RePEc:eee:finmar:v:39:y:2018:i:c:p:84-110.

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2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61.

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2017Volatility measures and Value-at-Risk. (2017). Bams, Dennis ; Blanchard, Gildas ; Lehnert, Thorsten. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:848-863.

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2017A two-factor cointegrated commodity price model with an application to spread option pricing. (2017). Necula, Ciprian ; Huitema, Robert ; Gourier, Elise ; Farkas, Walter . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:249-268.

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2018The skewness of commodity futures returns. (2018). Frijns, Bart ; Fernandez-Perez, Adrian ; Miffre, Joelle ; Fuertes, Ana-Maria. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:86:y:2018:i:c:p:143-158.

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2018Risk factors and their associated risk premia: An empirical analysis of the crude oil market. (2018). Hain, Martin ; Unger, Nils ; Uhrig-Homburg, Marliese. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:44-63.

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2018Covariance forecasting in equity markets. (2018). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos ; Symitsi, Efthymia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:153-168.

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2018Managing renewable energy production risk. (2018). Hain, Martin ; Fichtner, Wolf ; Uhrig-Homburg, Marliese ; Schermeyer, Hans. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:1-19.

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2019A jump-diffusion model for pricing and hedging with margined options: An application to Brent crude oil contracts. (2019). Hilliard, Jimmy E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:137-155.

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2019The risk premium of gold. (2019). Simen, Chardin Wese ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:94:y:2019:i:c:p:140-159.

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2019Market specific seasonal trading behavior in NASDAQ OMX electricity options. (2019). Rothovius, Timo ; Nikkinen, Jussi. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:13:y:2019:i:c:p:16-29.

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2019Jumps in commodity markets. (2019). Prokopczuk, Marcel ; Benno, Duc Binh. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:13:y:2019:i:c:p:55-70.

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2017Price co-movement and the crack spread in the US futures markets. (2017). Grigoriadis, Vasilis ; Fousekis, Panos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:7:y:2017:i:c:p:57-71.

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2018Energy and agricultural commodities revealed through hedging characteristics: Evidence from developing and mature markets. (2018). Conlon, Thomas ; Bredin, Don ; Spencer, Simon. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:9:y:2018:i:c:p:1-20.

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2018Electricity markets around the world. (2018). Trueck, Stefan ; Truck, Stefan ; Mayer, Klaus . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:9:y:2018:i:c:p:77-100.

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2017Convenience yield of accessible inventories and imports: A case study of the Chinese copper market. (2017). Kim, Soohyeon ; Heo, Eunnyeong. In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:277-283.

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2018Impacts of oil volatility shocks on metal markets: A research note. (2018). Dutta, Anupam. In: Resources Policy. RePEc:eee:jrpoli:v:55:y:2018:i:c:p:9-19.

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2018On the trade-off between real-time pricing and the social acceptability costs of demand response. (2018). da Silva, Hendrigo Batista ; Santiago, Leonardo P. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p1:p:1513-1521.

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2018Dynamic hedging performance and downside risk: Evidence from Nikkei index futures. (2018). Ubukata, Masato. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:270-281.

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2018Analysis of risk premium in UK natural gas futures. (2018). Torro, Hipolit ; Martinez, Beatriz. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:621-636.

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2017Do commodities make effective hedges for equity investors?. (2017). Wohar, Mark ; Olson, Eric ; Vivian, Andrew. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1274-1288.

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2018Variance risk premium and equity returns. (2018). Papadamou, Stephanos ; Fassas, Athanasios P. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:462-470.

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2018Multivariate modeling and analysis of regional ocean freight rates. (2018). Koekebakker, Steen ; Benth, Fred Espen ; Adland, Roar. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:113:y:2018:i:c:p:194-221.

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2018A survey of shipping finance research: Setting the future research agenda. (2018). VISVIKIS, ILIAS ; Tsouknidis, Dimitris ; Kavussanos, Manolis ; Kim, Chi Y ; Alexandridis, George. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:115:y:2018:i:c:p:164-212.

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2018Explaining price differences between physical and derivative freight contracts. (2018). Adland, Roar ; Alizadeh, Amir H. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:118:y:2018:i:c:p:20-33.

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2019The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:115614.

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2017Determinants of power spreads in electricity futures markets: A multinational analysis. (2017). Spodniak, Petr ; Bertsch, Valentin. In: Papers. RePEc:esr:wpaper:wp580.

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2018Electricity Price Forecasting Using Recurrent Neural Networks. (2018). Ugurlu, Umut ; Tas, Oktay ; Oksuz, Ilkay. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:5:p:1255-:d:146305.

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2018Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models. (2018). Weron, Rafał ; Uniejewski, Bartosz. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:8:p:2039-:d:162196.

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2018The Financial Effect of the Electricity Price Forecasts’ Inaccuracy on a Hydro-Based Generation Company. (2018). Ugurlu, Umut ; Oksuz, Ilkay ; Kaya, Aycan ; Tas, Oktay. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:8:p:2093-:d:163292.

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2018The skewness of commodity futures returns. (2018). Frijns, Bart ; Fernandez-Perez, Adrian ; Miffre, Joelle ; Fuertes, Ana-Maria. In: Post-Print. RePEc:hal:journl:hal-01678744.

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2018An Overview of Modified Semiparametric Memory Estimation Methods. (2018). Sibbertsen, Philipp ; Busch, Marie. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-628.

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2017Pricing Option on Commodity Futures under String Shock. (2017). Deepak, Bisht ; Laha, A K. In: IIMA Working Papers. RePEc:iim:iimawp:14573.

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2017Hedging spark spread risk with futures. (2017). Torro, Hipolit ; Enguix, Hipolit Torro ; Martinez, Beatriz Martinez . In: Working Papers. Serie EC. RePEc:ivi:wpasec:2017-01.

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2017Impacts of realized volatility of oil price over foreign trade related activities in Turkey. (2017). Degirmen, Suleyman ; Saltik, Omur . In: Economic Change and Restructuring. RePEc:kap:ecopln:v:50:y:2017:i:3:d:10.1007_s10644-017-9210-9.

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2017The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices. (2017). Hsu, Chih-Chen ; Chen, Ting-Fu ; Lin, Shih-Kuei. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:3:d:10.1007_s11156-016-0569-x.

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2018The extent of virgin olive-oil prices’ distribution revealing the behavior of market speculators. (2018). Abid, Fathi ; Kaffel, Bilel. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:2:d:10.1007_s11156-017-0638-9.

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2018External and Internal Determinants on the Electricity Market: A Multi-Scale Adaptive Causal Analysis. (2018). Afanasyev, Dmitriy ; Fedorova, E. In: Journal of the New Economic Association. RePEc:nea:journl:y:2018:i:39:p:33-54.

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2017Drivers of grain price volatility: a cursory critical review. (2017). Stasi, Antonio ; Santeramo, Fabio ; Lamonaca, Emilia ; Nardone, Gianluca ; Conto, Francesco. In: MPRA Paper. RePEc:pra:mprapa:79427.

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2019Dynamic Impact of the U.S. Monetary Policy on Oil Market Returns and Volatility. (2019). GUPTA, RANGAN ; Cakan, Esin ; Marfatia, Hardik A. In: Working Papers. RePEc:pre:wpaper:201916.

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2019The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: Working Papers. RePEc:pre:wpaper:201925.

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2018Portfolio and hedging effectiveness of financial assets of the G7 countries. (2018). Izadi, Selma ; Hassan, Kabir M. In: Eurasian Economic Review. RePEc:spr:eurase:v:8:y:2018:i:2:d:10.1007_s40822-017-0090-0.

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2017Are covered bonds a substitute for mortgage-backed securities?. (2017). Rosen, Richard ; Carbo Valverde, Santiago ; Rodriguez-Fernandez, Francisco ; Carbo-Valverde, Santiago . In: Journal of Economic Policy Reform. RePEc:taf:jpolrf:v:20:y:2017:i:3:p:238-253.

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2017Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk. (2017). Augustyniak, Maciej ; Boudreault, Mathieu. In: North American Actuarial Journal. RePEc:taf:uaajxx:v:21:y:2017:i:4:p:502-525.

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2018MODELING THE DYNAMICS OF INTERNATIONAL AGRICULTURAL COMMODITY PRICES: A COMPARISON OF GARCH AND STOCHASTIC VOLATILITY MODELS. (2018). Yang, Lu ; Hamori, Shigeyuki. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:03:n:s2010495218500100.

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2017Variance stabilizing transformations for electricity spot price forecasting. (2017). Weron, Rafał ; Uniejewski, Bartosz ; Ziel, Florian. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1701.

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2018Efficient forecasting of electricity spot prices with expert and LASSO models. (2018). Weron, Rafał ; Uniejewski, Bartosz. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1802.

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2017An Electricity Price Modeling Framework for Renewable-Dominant Markets. (2017). Hain, Martin ; Fichtner, Wolf ; Uhrig-Homburg, Marliese ; Schermeyer, Hans. In: Working Paper Series in Production and Energy. RePEc:zbw:kitiip:23.

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Marcel Prokopczuk is editor of


Journal
Journal of Commodity Markets

Marcel Prokopczuk has edited the books:


YearTitleTypeCited

Works by Marcel Prokopczuk:


YearTitleTypeCited
2017Historical Antisemitism, Ethnic Specialization, and Financial Development In: CESifo Working Paper Series.
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2017Historical Antisemitism, Ethnic Specialization, and Financial Development.(2017) In: NBER Working Papers.
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This paper has another version. Agregated cites: 0
paper
2016Estimating Beta In: Journal of Financial and Quantitative Analysis.
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article2
2015Electricity derivatives pricing with forward-looking information In: Journal of Economic Dynamics and Control.
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article9
2013Electricity Derivatives Pricing with Forward-Looking Information.(2013) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 9
paper
2012Futures basis, inventory and commodity price volatility: An empirical analysis In: Economic Modelling.
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article20
2012Futures basis, inventory and commodity price volatility: An empirical analysis.(2012) In: MPRA Paper.
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This paper has another version. Agregated cites: 20
paper
2013Credit risk in covered bonds In: Journal of Empirical Finance.
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article11
2015Time-variations in commodity price jumps In: Journal of Empirical Finance.
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article5
2007Quantifying risk in the electricity business: A RAROC-based approach In: Energy Economics.
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article8
2013The case of negative day-ahead electricity prices In: Energy Economics.
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article46
2011The Case of Negative Day-Ahead Electricity Prices.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 46
paper
2013The (de)merits of minimum-variance hedging: Application to the crack spread In: Energy Economics.
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article20
2012The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread.(2012) In: ICMA Centre Discussion Papers in Finance.
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This paper has another version. Agregated cites: 20
paper
2015An empirical model comparison for valuing crack spread options In: Energy Economics.
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article6
2010An Empirical Model Comparison for Valuing Crack Spread Options.(2010) In: ICMA Centre Discussion Papers in Finance.
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This paper has another version. Agregated cites: 6
paper
2010Commodity derivatives valuation with autoregressive and moving average components in the price dynamics In: Journal of Banking & Finance.
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article15
2013Seasonality and the valuation of commodity options In: Journal of Banking & Finance.
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article9
2010Seasonality and the Valuation of Commodity Options.(2010) In: ICMA Centre Discussion Papers in Finance.
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This paper has another version. Agregated cites: 9
paper
2014The importance of the volatility risk premium for volatility forecasting In: Journal of Banking & Finance.
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article6
2016Seasonal Stochastic Volatility: Implications for the pricing of commodity options In: Journal of Banking & Finance.
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article3
2011Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options.(2011) In: ICMA Centre Discussion Papers in Finance.
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This paper has another version. Agregated cites: 3
paper
2016Jump and variance risk premia in the S&P 500 In: Journal of Banking & Finance.
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article4
2017Variance risk in commodity markets In: Journal of Banking & Finance.
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article3
2018Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance In: Journal of Banking & Finance.
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2019International tail risk and World Fear In: Journal of International Money and Finance.
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2017International Tail Risk and World Fear.(2017) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 0
paper
2013Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage In: The Quarterly Review of Economics and Finance.
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article6
2013Estimating term structure models with the Kalman filter In: Chapters.
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2017The Memory of Stock Return Volatility: Asset Pricing Implications In: Hannover Economic Papers (HEP).
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paper1
2017The Long Memory of Equity Volatility: International Evidence In: Hannover Economic Papers (HEP).
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paper1
2017Jumps in Commodity Markets In: Hannover Economic Papers (HEP).
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paper0
2017The Risk Premium of Gold In: Hannover Economic Papers (HEP).
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2017How to Estimate Beta? In: Hannover Economic Papers (HEP).
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2017The Term Structure of Systematic and Idiosyncratic Risk In: Hannover Economic Papers (HEP).
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2019The term structure of systematic and idiosyncratic risk.(2019) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 0
article
2017Predicting the Equity Market with Option Implied Variables In: Hannover Economic Papers (HEP).
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2018Is Commodity Index Investing Profitable? In: Hannover Economic Papers (HEP).
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2007Integrating Multiple Commodities in a Model of Stochastic Price Dynamics In: MPRA Paper.
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paper9
2009Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics In: ICMA Centre Discussion Papers in Finance.
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paper0
2010American Option Valuation: Implied Calibration of GARCH Pricing-Models In: ICMA Centre Discussion Papers in Finance.
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paper3
2011American option valuation: Implied calibration of GARCH pricing models.(2011) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 3
article
2010Pricing and Hedging in the Freight Futures Market In: ICMA Centre Discussion Papers in Finance.
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paper5
2011Pricing and hedging in the freight futures market.(2011) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 5
article
2011The Dynamics of Commodity Prices In: ICMA Centre Discussion Papers in Finance.
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paper25
2013The dynamics of commodity prices.(2013) In: Quantitative Finance.
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This paper has another version. Agregated cites: 25
article
2014An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options In: ICMA Centre Discussion Papers in Finance.
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2015Distrust in Finance Lingers: Jewish Persecution and Households Investments In: 2015 Meeting Papers.
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paper3
2011Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets In: Decisions in Economics and Finance.
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article0
2010Intra-industry contagion effects of earnings surprises in the banking sector In: Applied Financial Economics.
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article4
2016A moment-based analytic approximation of the risk-neutral density of American options In: Applied Mathematical Finance.
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article0
2012Investing in commodity futures markets: can pricing models help? In: The European Journal of Finance.
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article1
2016Prediction of extreme price occurrences in the German day-ahead electricity market In: Quantitative Finance.
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article9
2016Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market.(2016) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 9
paper
2013Electricity Spot and Derivatives Pricing when Markets are Interconnected In: Working Papers on Finance.
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paper1
2015Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach In: Working Papers on Finance.
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paper2
2015Booms and Busts in Commodity Markets: Bubbles or Fundamentals? In: Journal of Futures Markets.
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article7
2016Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets In: Journal of Futures Markets.
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article19
2013COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW In: International Journal of Theoretical and Applied Finance (IJTAF).
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