Marcel Prokopczuk : Citation Profile


Are you Marcel Prokopczuk?

Leibniz Universität Hannover

7

H index

5

i10 index

169

Citations

RESEARCH PRODUCTION:

23

Articles

17

Papers

1

Chapters

EDITOR:

1

Books edited

1

Series edited

RESEARCH ACTIVITY:

   9 years (2007 - 2016). See details.
   Cites by year: 18
   Journals where Marcel Prokopczuk has often published
   Relations with other researchers
   Recent citing documents: 70.    Total self citations: 12 (6.63 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppr113
   Updated: 2017-11-18    RAS profile: 2017-03-08    
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Relations with other researchers


Works with:

Brooks, Chris (5)

Füss, Roland (4)

Symeonidis, Lazaros (3)

Symeonidis, Lazaros (2)

Alexander, Carol (2)

Arismendi Zambrano, Juan (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 (13)

Afanasyev, Dmitriy (6)

Chan, Joshua (5)

Torro, Hipolit (4)

Nowotarski, Jakub (4)

LAI, Anh (3)

Grant, Angelia (3)

Ahnert, Toni (3)

Vásquez Cordano, Arturo (3)

Tomczyk, Jakub (3)

Kyritsis, Evangelos (2)

Cites to:

Chen, Zhiwu (18)

Cao, Charles (18)

Cartea, Álvaro (13)

Weron, Rafał (11)

Coulon, Michael (8)

Tang, Ke (7)

pan, jun (6)

Casassus, Jaime (6)

French, Kenneth (6)

merton, robert (6)

Longstaff, Francis (6)

Main data


Where Marcel Prokopczuk has published?


Journals with more than one article published# docs
Journal of Banking & Finance5
Energy Economics4
Journal of Futures Markets4
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
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 (2017 and 2016)


YearTitle of citing document
2016Anatomy of Risk Premium in UK Natural Gas Futures. (2016). Torro, Hipolit ; Beatriz, Beatriz Martinez ; Hipolit, Hipolit Torro . In: ESP: Energy Scenarios and Policy. RePEc:ags:feemes:232212.

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2017Structural price model for electricity coupled markets. (2017). Alasseur, Clemence ; Feron, Olivier . In: Papers. RePEc:arx:papers:1704.06027.

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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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2016Asset Encumbrance, Bank Funding and Financial Fragility. (2016). Ahnert, Toni ; Chapman, James ; Gai, Prasanna ; Anand, Kartik. In: Staff Working Papers. RePEc:bca:bocawp:16-16.

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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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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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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. In: Journal of Corporate Finance. RePEc:eee:corfin:v:45:y:2017:i:c:p:176-202.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2017Measuring the output gap in Switzerland with linear opinion pools. (2017). Buncic, Daniel ; Muller, Oliver . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:153-171.

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2016Commodity-price volatility and macroeconomic spillovers: Evidence from nine emerging markets. (2016). Hegerty, Scott. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:35:y:2016:i:c:p:23-37.

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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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2016Modeling energy price dynamics: GARCH versus stochastic volatility. (2016). Grant, Angelia ; Chan, Joshua. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:182-189.

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2016Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market. (2016). DA FONSECA, José ; Ziveyi, Jonathan ; Ignatieva, Katja . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:215-228.

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2016The long-term trends on the electricity markets: Comparison of empirical mode and wavelet decompositions. (2016). Afanasyev, Dmitriy ; Fedorova, Elena A. In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:432-442.

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2016What the investors need to know about forecasting oil futures return volatility. (2016). Wang, Yudong ; Wu, Chongfeng ; Ma, Feng ; Liu, LI. In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:128-139.

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2016Explosive oil prices. (2016). Gronwald, Marc . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:1-5.

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2017Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis. (2017). Pal, Debdatta ; Mitra, Subrata K. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:230-239.

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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). Liu, Pan ; Power, Gabriel J ; Vedenov, Dmitry . 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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2017Noncausality and the commodity currency hypothesis. (2017). Nyberg, Henri ; Lof, Matthijs. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:424-433.

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

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2017Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

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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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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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2017Oil price shocks and Chinas stock market. (2017). Wei, Yanfeng ; Guo, Xiaoying . In: Energy. RePEc:eee:energy:v:140:y:2017:i:p1:p:185-197.

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2017The financial economics of white precious metals — A survey. (2017). Vigne, Samuel A ; Yarovaya, Larisa ; Oconnor, Fergal A ; Lucey, Brian M. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:292-308.

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2017Marginal speculation and hedging in commodity markets. (2017). Ulusoy, Veysel ; Onbirler, Ozgur Unal. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:269-282.

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2016Global equity market volatility spillovers: A broader role for the United States. (2016). Buncic, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1317-1339.

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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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2016Risk protection from risky collateral: Evidence from the euro bond market. (2016). Helberg, Stig ; Lindset, Snorre . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:70:y:2016:i:c:p:193-213.

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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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2017Variance risk in commodity markets. (2017). Symeonidis, Lazaros ; Simen, Chardin Wese ; Prokopczuk, Marcel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:81:y:2017:i:c:p:136-149.

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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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2017Market adaptation to Regulation Fair Disclosure: The use of industry information to enhance the informational environment. (2017). Yu, Susana ; Webb, Gwendolyn . In: Journal of Economics and Business. RePEc:eee:jebusi:v:89:y:2017:i:c:p:1-12.

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2017A tale of two tails: Explaining extreme events in financialized agricultural markets. (2017). Algieri, Bernardina ; Koch, Nicolas ; Kalkuhl, Matthias . In: Food Policy. RePEc:eee:jfpoli:v:69:y:2017:i:c:p:256-269.

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2017The role of jumps and leverage in forecasting volatility in international equity markets. (2017). , Katja ; Buncic, Daniel . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:1-19.

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2016Long-short commodity investing: A review of the literature. (2016). Miffre, Joelle . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:1:y:2016:i:1:p:3-13.

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2016Determinants of the Atlantic salmon futures risk premium. (2016). Misund, BÃ¥rd ; Oglend, Atle ; Asche, Frank . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:2:y:2016:i:1:p:6-17.

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2016Structural models for coupled electricity markets. (2016). Kusterman, Michael ; Kiesel, Rudiger . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:3:y:2016:i:1:p:16-38.

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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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2017Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil. (2017). Go, You-How ; Lau, Wee-Yeap . In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:135-146.

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2017News sentiment and jumps in energy spot and futures markets. (2017). Dokumentov, Alexander ; Rotaru, Kristian ; Maslyuk-Escobedo, Svetlana. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:186-210.

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2016Towards a better understanding of renewable energy YieldCos. (2016). Srinivasan, Sunderasan ; Reddy, Vamshi Krishna . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:65:y:2016:i:c:p:154-163.

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2017Investigating the leverage effect in commodity markets with a recursive estimation approach. (2017). Ielpo, Florian ; Chevallier, Julien. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:763-778.

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

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2017The one-trading-day-ahead forecast errors of intra-day realized volatility. (2017). Degiannakis, Stavros . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1298-1314.

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2016Anatomy of Risk Premium in UK Natural Gas Futures. (2016). Torro, Hipolit ; Martinez, Beatriz . In: Working Papers. RePEc:fem:femwpa:2016.06.

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2016A Sectoral Micro-Economic Approach to Scenario Selection and Development: The Case of the Greek Power Sector. (2016). Flamos, Alexandros . In: Energies. RePEc:gam:jeners:v:9:y:2016:i:2:p:77-:d:62990.

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2016A Sectoral Micro-Economic Approach to Scenario Selection and Development: The Case of the Greek Power Sector. (2016). Flamos, Alexandros . In: Energies. RePEc:gam:jeners:v:9:y:2016:i:2:p:77:d:62990.

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2017Negative Shocks and Mass Persecutions: Evidence from the Black Death. (2017). Koyama, Mark ; Johnson, Noel ; Jedwab, Remi . In: Working Papers. RePEc:gwi:wpaper:2017-4.

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2016Electricity Prices, Large-Scale Renewable Integration, and Policy Implications. (2016). Serletis, Apostolos ; Kyritsis, Evangelos ; Andersson, Jonas . In: Discussion Papers. RePEc:hhs:nhhfms:2016_018.

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2016Time-Adaptive Probabilistic Forecasts of Electricity Spot Prices with Application to Risk Management.. (2016). Schulz, Franziska ; López Cabrera, Brenda. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-035.

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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). Martinez, Beatriz Martinez ; Enguix, Hipolit Torro . In: Working Papers. Serie EC. RePEc:ivi:wpasec:2017-01.

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2017Learning to Participate in Politics: Evidence from Jewish Expulsions in Nazi Germany. (2017). yuksel, mutlu ; Akbulut-Yuksel, Mevlude ; Okoye, Dozie . In: IZA Discussion Papers. RePEc:iza:izadps:dp10778.

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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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2016Forecasting oil price realized volatility: A new approach. (2016). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:69105.

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2017Negative Shocks and Mass Persecutions: Evidence from the Black Death. (2017). Koyama, Mark ; Jebwab, Remi ; Johnson, Noel D. In: MPRA Paper. RePEc:pra:mprapa:77720.

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

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2016The one-trading-day-ahead forecast errors of intra-day realized volatility. (2016). Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:80163.

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2016The regime-switching risk premium in the gold futures market. (2016). Kopchak, Seth J. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:40:y:2016:i:3:d:10.1007_s12197-014-9308-0.

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2016The effect of intermittent renewables on the electricity price variance. (2016). Wozabal, David ; Hirschmann, David ; Graf, Christoph. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:38:y:2016:i:3:d:10.1007_s00291-015-0395-x.

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2016An International Comparison of Implied, Realized, and GARCH Volatility Forecasts. (2016). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:12:p:1164-1193.

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2016Concentrated Production and Conditional Heavy Tails in Commodity Returns. (2016). Merener, Nicolas. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:1:p:46-65.

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2016Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models. (2016). Weron, Rafał ; Ziel, Florian . In: HSC Research Reports. RePEc:wuu:wpaper:hsc1608.

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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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2016Asset encumbrance, bank funding and financial fragility. (2016). Anand, Kartik ; Ahnert, Toni ; Chapman, James ; Gai, Prasanna . In: Discussion Papers. RePEc:zbw:bubdps:172016.

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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
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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article2
2013Electricity Derivatives Pricing with Forward-Looking Information.(2013) In: Working Papers on Finance.
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2012Futures basis, inventory and commodity price volatility: An empirical analysis In: Economic Modelling.
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article15
2012Futures basis, inventory and commodity price volatility: An empirical analysis.(2012) In: MPRA Paper.
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2013Credit risk in covered bonds In: Journal of Empirical Finance.
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article6
2015Time-variations in commodity price jumps In: Journal of Empirical Finance.
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article2
2007Quantifying risk in the electricity business: A RAROC-based approach In: Energy Economics.
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article6
2013The case of negative day-ahead electricity prices In: Energy Economics.
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article37
2011The Case of Negative Day-Ahead Electricity Prices.(2011) In: Working Papers.
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2013The (de)merits of minimum-variance hedging: Application to the crack spread In: Energy Economics.
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2012The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread.(2012) In: ICMA Centre Discussion Papers in Finance.
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2015An empirical model comparison for valuing crack spread options In: Energy Economics.
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article5
2010An Empirical Model Comparison for Valuing Crack Spread Options.(2010) In: ICMA Centre Discussion Papers in Finance.
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2010Commodity derivatives valuation with autoregressive and moving average components in the price dynamics In: Journal of Banking & Finance.
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article14
2013Seasonality and the valuation of commodity options In: Journal of Banking & Finance.
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article6
2010Seasonality and the Valuation of Commodity Options.(2010) In: ICMA Centre Discussion Papers in Finance.
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2014The importance of the volatility risk premium for volatility forecasting In: Journal of Banking & Finance.
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article5
2016Seasonal Stochastic Volatility: Implications for the pricing of commodity options In: Journal of Banking & Finance.
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article2
2011Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options.(2011) In: ICMA Centre Discussion Papers in Finance.
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2016Jump and variance risk premia in the S&P 500 In: Journal of Banking & Finance.
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article2
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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article5
2013Estimating term structure models with the Kalman filter In: Chapters.
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2007Integrating Multiple Commodities in a Model of Stochastic Price Dynamics In: MPRA Paper.
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2009Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics In: ICMA Centre Discussion Papers in Finance.
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2010American Option Valuation: Implied Calibration of GARCH Pricing-Models In: ICMA Centre Discussion Papers in Finance.
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2011American option valuation: Implied calibration of GARCH pricing models.(2011) In: Journal of Futures Markets.
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2010Pricing and Hedging in the Freight Futures Market In: ICMA Centre Discussion Papers in Finance.
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2011Pricing and hedging in the freight futures market.(2011) In: Journal of Futures Markets.
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2011The Dynamics of Commodity Prices In: ICMA Centre Discussion Papers in Finance.
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2013The dynamics of commodity prices.(2013) In: Quantitative Finance.
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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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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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2010Intra-industry contagion effects of earnings surprises in the banking sector In: Applied Financial Economics.
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2012Investing in commodity futures markets: can pricing models help? In: The European Journal of Finance.
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2013Electricity Spot and Derivatives Pricing when Markets are Interconnected In: Working Papers on Finance.
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2015Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach In: Working Papers on Finance.
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2016Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market In: Working Papers on Finance.
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2015Booms and Busts in Commodity Markets: Bubbles or Fundamentals? In: Journal of Futures Markets.
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2016Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets In: Journal of Futures Markets.
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