Marcel Prokopczuk : Citation Profile


Are you Marcel Prokopczuk?

Leibniz Universität Hannover

14

H index

15

i10 index

453

Citations

RESEARCH PRODUCTION:

43

Articles

30

Papers

2

Chapters

EDITOR:

1

Books edited

1

Series edited

RESEARCH ACTIVITY:

   13 years (2007 - 2020). See details.
   Cites by year: 34
   Journals where Marcel Prokopczuk has often published
   Relations with other researchers
   Recent citing documents: 123.    Total self citations: 27 (5.63 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppr113
   Updated: 2021-07-24    RAS profile: 2021-04-09    
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Relations with other researchers


Works with:

Sibbertsen, Philipp (5)

Symeonidis, Lazaros (3)

Weber, Michael (3)

Arismendi Zambrano, Juan (2)

Nikitopoulos-Sklibosios, Christina (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 (18)

GUPTA, RANGAN (17)

Degiannakis, Stavros (13)

Filis, George (10)

Vargiolu, Tiziano (9)

Torro, Hipolit (8)

Ji, Qiang (8)

Afanasyev, Dmitriy (8)

Sousa, Ricardo (6)

Trueck, Stefan (6)

Becker, Sascha (5)

Cites to:

Bollerslev, Tim (41)

Fama, Eugene (26)

French, Kenneth (25)

Cao, Charles (18)

Chen, Zhiwu (18)

West, Kenneth (16)

Bekaert, Geert (15)

Newey, Whitney (14)

Campbell, John (14)

Ang, Andrew (14)

Vilkov, Grigory (13)

Main data


Where Marcel Prokopczuk has published?


Journals with more than one article published# docs
Journal of Banking & Finance10
Journal of Futures Markets6
Energy Economics5
Journal of International Money and Finance3
Journal of Financial 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 (2021 and 2020)


YearTitle of citing document
2021Predicting 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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2020The 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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2020Copula-based local dependence between energy, agriculture and metal commodity markets. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Ji, Qiang. In: Papers. RePEc:arx:papers:2003.04007.

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2020Finite Mixture Approximation of CARMA(p,q) Models. (2020). Rroji, Edit ; Perchiazzo, Andrea ; Mercuri, Lorenzo. In: Papers. RePEc:arx:papers:2005.10130.

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2020The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets. (2020). Ota, Yasushi ; Maki, Daiki. In: Papers. RePEc:arx:papers:2006.00158.

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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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2020Discrimination, Manager, and Firm Performance: Evidence from Aryanizations in Nazi Germany. (2020). Waldinger, Fabian ; Huber, Kilian ; Lindenthal, Volker. In: Working Papers. RePEc:bfi:wpaper:2020-171.

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2020The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets. (2020). Mitzel, Norbert W ; Gronde, Ingo. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:635.

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2020PREDICTING SYSTEMATIC RISK WITH MACROECONOMIC AND FINANCIAL VARIABLES. (2020). Ibrushi, Denada ; Cenesizoglu, Tolga. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:649-673.

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2020The Panel on Household Finances (PHF) – Microdata on household wealth in Germany. (2020). Tzamourani, Panagiota ; Schmidt, Tobias ; Gabor-Toth, Eniko ; Kristina, Altmann ; Junyi, Zhu ; Daniel, Werner ; Panagiota, Tzamourani ; Tobias, Schmidt ; Lisa, Kothmayr ; Malik, Hebbat ; Julia, Le Blanc ; Rene, Bernard. In: German Economic Review. RePEc:bpj:germec:v:21:y:2020:i:3:p:373-400.

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2020Religion in Economic History: A Survey. (2020). Woessmann, Ludger ; Rubin, Jared ; Becker, Sascha. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8365.

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2020Discrimination, Managers, and Firm Performance: Evidence from Aryanizations in Nazi Germany. (2020). Huber, Kilian ; Lindenthal, Volker ; Waldinger, Fabian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8736.

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2020Religion in Economic History: A Survey. (2020). Woessmann, Ludger ; Rubin, Jared ; Becker, Sascha O. In: CAGE Online Working Paper Series. RePEc:cge:wacage:480.

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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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2020Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield. (2020). Wu, Zhijian ; Ma, Chaoqun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:137:y:2020:i:c:s0960077920302496.

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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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2020The heterogeneous behaviour of the inflation hedging property of cocoa. (2020). Salisu, Afees ; Oloko, Tirimisiyu ; Adediran, Idris ; Ohemeng, William. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819303535.

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2020Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence. (2020). Chen, Ting-Fu ; Chiu, Hsin-Yu . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819300026.

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2020Commodity price volatility and the economic uncertainty of pandemics. (2020). Bakas, Dimitrios ; Triantafyllou, Athanasios. In: Economics Letters. RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520301890.

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2020Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:517-535.

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2020Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. (2020). faff, robert ; Miffre, Joelle ; Yew, Rand Kwong ; Rad, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:164-180.

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2020Beta and firm age. (2020). Moneta, Fabio ; Kim, Daehwan ; Chincarini, Ludwig B. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:50-74.

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2020Time-varying persistence in real oil prices and its determinant. (2020). Wegener, Christoph ; Kruse, Robinson. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319300805.

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2020Factor models in the German electricity market: Stylized facts, seasonality, and calibration. (2020). Wagner, A ; Hinderks, W J. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319301033.

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2020Assessing the impact of renewable energy sources on the electricity price level and variability – A quantile regression approach. (2020). Maciejowska, Katarzyna. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303275.

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2020Managing volumetric risk of long-term power purchase agreements. (2020). Hansen, Rasmus Thrane ; Tranberg, BO ; Catania, Leopoldo. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303627.

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2020U.S. equity and commodity futures markets: Hedging or financialization?. (2020). Sousa, Ricardo ; Sensoy, Ahmet ; Nguyen, Duc Khuong ; Uddin, Gazi Salah. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304578.

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2020Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets. (2020). Smyth, Russell ; Bissoondoyal-Bheenick, Emawtee ; Brooks, Robert. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300281.

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2020Mild explosivity in recent crude oil prices. (2020). Paraskevopoulos, Ioannis ; McCrorie, Roderick J ; Figuerola-Ferretti, Isabel. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988319301471.

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2020Optimal hedging under biased energy futures markets. (2020). Torro, Hipolit ; Furio, Dolores. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s014098832030089x.

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2020On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks. (2020). Zhang, Dayong ; Klein, Tony ; Ji, Qiang ; Luo, Jiawen ; Todorova, Neda. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301213.

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2020Global factors, uncertainty, weather conditions and energy prices: On the drivers of the duration of commodity price cycle phases. (2020). Sousa, Ricardo ; Hammoudeh, Shawkat ; Castro, Vitor ; Agnello, Luca. In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320302024.

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2020Tail risk of electricity futures. (2020). Rodriguez, Rosa ; Pea, Juan Ignacio ; Mayoral, Silvia. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302267.

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2020Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction. (2020). Galeano, Pedro ; Ausin, Concepcion M ; Virbickait, Audron. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303017.

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2020A dynamic network analysis of spot electricity prices in the Australian national electricity market. (2020). Truck, Stefan ; Yan, Guan. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303121.

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2020Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19. (2020). Corbet, Shaen ; Gunay, Samet ; Goodell, John W. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303182.

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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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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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2020Copula-based local dependence among energy, agriculture and metal commodities markets. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Ji, Qiang. In: Energy. RePEc:eee:energy:v:202:y:2020:i:c:s0360544220308690.

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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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2020The economic importance of rare earth elements volatility forecasts. (2020). Schweizer, Denis ; Proelss, Juliane ; Seiler, Volker. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521918306148.

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2020Commodity prices and GDP growth. (2020). Tang, KE ; Ge, Yiqing. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301563.

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2020Theyre back! Post-financialization diversification benefits of commodities. (2020). Manseau, Guillaume ; Gagnon, Marie-Helene ; Power, Gabriel J. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301599.

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2020Which sentiment index is more informative to forecast stock market volatility? Evidence from China. (2020). Tang, Linchun ; Liang, Chao ; Wei, YU. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301964.

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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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2020Predicting the equity premium with the implied volatility spread. (2020). Simin, Timothy ; Cao, Charles ; Xiao, Han. In: Journal of Financial Markets. RePEc:eee:finmar:v:51:y:2020:i:c:s1386418119303611.

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2020Historic risk and implied volatility. (2020). Levendis, John ; Dicle, Mehmet F. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318301625.

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2020Empirically assessing and modeling spillover effects from operational risk events in the insurance industry. (2020). Heidinger, Dinah ; Gatzert, Nadine ; Eckert, Christian. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:72-83.

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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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2020Election uncertainty, economic policy uncertainty and financial market uncertainty: A prediction market analysis. (2020). McGroarty, Frank ; McGee, Richard J ; Goodell, John W. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:110:y:2020:i:c:s0378426619302584.

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2020Factor based commodity investing. (2020). Tessaromatis, Nikolaos ; Sakkas, Athanasios. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:115:y:2020:i:c:s0378426620300741.

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2020Estimating beta: The international evidence. (2020). Hollstein, Fabian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:121:y:2020:i:c:s0378426620302302.

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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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2020Comovement in the commodity futures markets: An analysis of the energy, grains, and livestock sectors. (2020). Putnam, Kyle J ; Adhikari, Ramesh. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:18:y:2020:i:c:s2405851318300680.

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2020Forecasting excess returns of the gold market: Can we learn from stock market predictions?. (2020). Dichtl, Hubert. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:19:y:2020:i:c:s2405851319300716.

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2020Macro factors and the realized volatility of commodities: A dynamic network analysis. (2020). Zhang, Dayong ; Wei, Lijian ; Ji, Qiang ; Hu, Min. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720303718.

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2020Expected prices, futures prices and time-varying risk premiums: The case of copper. (2020). Schwartz, Eduardo S ; Ortega, Hector ; Cortazar, Gonzalo ; Cifuentes, Sebastian. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308576.

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2020The predictive power of oil price shocks on realized volatility of oil: A note. (2020). Shahzad, Syed Jawad Hussain ; GUPTA, RANGAN ; Demirer, Riza ; Hussain, Syed Jawad ; Pierdzioch, Christian. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308874.

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2020When US sneezes, clichés spread: How do the commodity index funds react then?. (2020). Phani, B V ; Rahman, Abdul ; Ahmad, Wasim ; Awasthi, Kritika. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308898.

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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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2020The impact of the integration of renewable energy sources in the electricity price formation: is the Merit-Order Effect occurring in Portugal?. (2020). Damette, Olivier ; Marques, Antonio Cardoso ; Macedo, Daniela Pereira. In: Utilities Policy. RePEc:eee:juipol:v:66:y:2020:i:c:s0957178720300758.

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2021Minority games played by arbitrageurs on the energy market. (2021). Meyer-Ortmanns, Hildegard ; Ritmeester, Tim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:573:y:2021:i:c:s0378437121001990.

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2021The contagion and competitive effects across national borders: Evidence from the 2016 Kumamoto earthquakes. (2021). Zhou, Honggeng ; Cheng, T. C. E., ; Ding, LI. In: International Journal of Production Economics. RePEc:eee:proeco:v:235:y:2021:i:c:s0925527321000918.

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2020How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence. (2020). Boughrara, Adel ; Dahmene, Meriam ; Slim, Skander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:22-37.

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2020Forecasting oil price volatility using high-frequency data: New evidence. (2020). Liu, Jing ; Wei, YU ; Ma, Feng ; Chen, Wang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:1-12.

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2020Downside uncertainty shocks in the oil and gold markets. (2020). Xu, Yahua ; Byun, Suk Joon ; Roh, Tai-Yong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:291-307.

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2020Dependency, centrality and dynamic networks for international commodity futures prices. (2020). Zhang, Dayong ; Ji, Qiang ; Zhao, Wan-Li ; Wu, Fei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:67:y:2020:i:c:p:118-132.

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2020Composite hedge and utility maximization for optimal futures hedging. (2020). Feng, Yun ; Cui, Yan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:15-32.

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2021Do higher-order realized moments matter for cryptocurrency returns?. (2021). Ahmed, Walid ; al Mafrachi, Mustafa. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:483-499.

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2021Harnessing the decomposed realized measures for volatility forecasting: Evidence from the US stock market. (2021). Wahab, M. I. M., ; Ding, Hui ; Wang, Jiqian ; Ma, Feng ; Lu, Botao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:672-689.

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2020Effects of securitization and covered bonds on bank stability. (2020). Arif, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919302909.

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2020Pricing Efficiency and Arbitrage in the Bitcoin Spot and Futures Markets. (2020). el Meslmani, Nabil ; Lee, Seungho ; Switzer, Lorne N. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919309808.

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2020Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war. (2020). Li, Kevin X ; Gong, Yuting ; Shi, Wenming ; Chen, Shu-Ling. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:136:y:2020:i:c:s1366554519310609.

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2021A Stackelberg game based two-stage framework to make decisions of freight rate for container shipping lines in the emerging blockchain-based market. (2021). Gu, Yimiao ; Zhang, FA ; Zhong, Huiling. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:149:y:2021:i:c:s1366554521000776.

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2020The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2019). Tsionas, Mike ; Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: Working Papers. RePEc:fip:feddwp:1902.

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2021Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?. (2021). Smutka, Luboš ; Prochazka, Petr ; Wielechowski, Micha ; Czech, Katarzyna ; Kotyza, Pavel. In: Agriculture. RePEc:gam:jagris:v:11:y:2021:i:2:p:93-:d:484771.

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2020Price Forecasting for the Balancing Energy Market Using Machine-Learning Regression. (2020). Kotsakis, Evangelos ; Pegios, Konstantinos ; Lucas, Alexandre ; Clarke, Dan. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:20:p:5420-:d:430252.

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2020The Nuclear Power Dilemma—Between Perception and Reality. (2020). Mohamad, Dima ; Paraschiv, Florentina. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:22:p:6074-:d:448185.

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2021The Impact of Forecasting Jumps on Forecasting Electricity Prices. (2021). Kostrzewska, Jadwiga ; Kostrzewski, Maciej. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:2:p:336-:d:477466.

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2021Energy Markets Forecasting. From Inferential Statistics to Machine Learning: The German Case. (2021). Ehrhardt, Matthias ; di Persio, Luca ; Viviani, Emma. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:2:p:364-:d:478401.

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2021Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing. (2021). Mare, Eben ; Venter, Pierre J. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:261-:d:572373.

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2020Can International Market Indices Estimate TASI’s Movements? The ARIMA Model. (2020). Al-Najjar, Hazem ; Al-Rousan, Nadia ; Assous, Hamzeh F. In: Journal of Open Innovation: Technology, Market, and Complexity. RePEc:gam:joitmc:v:6:y:2020:i:2:p:27-:d:348726.

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2020Pricing of Commodity Derivatives on Processes with Memory. (2020). Vanmaele, Michele ; Khedher, Asma ; Benth, Fred Espen. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:8-:d:311524.

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2020Investor Happiness and Predictability of the Realized Volatility of Oil Price. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos ; Bonato, Matteo. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:10:p:4309-:d:362539.

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2020Business Risk Evaluation of Electricity Retail Company in China Using a Hybrid MCDM Method. (2020). Zhang, Wenyue ; Guo, Sen ; Gao, Xiao . In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:5:p:2040-:d:329423.

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2021Linking the Creative Economy with Universities’ Entrepreneurship: A Spillover Approach. (2021). Lazzaro, Elisabetta. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:3:p:1078-:d:484279.

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2020Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. (2020). Low, Rand ; Rad, Hossein ; Faff, Robert ; Miffre, Joelle. In: Post-Print. RePEc:hal:journl:hal-02868473.

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2020Copula-based local dependence among energy, agriculture and metal commodities markets. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Ji, Qiang. In: Working Papers. RePEc:hal:wpaper:hal-02501815.

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2020Religion in Economic History: A Survey. (2020). Woessmann, Ludger ; Rubin, Jared ; Becker, Sascha. In: IZA Discussion Papers. RePEc:iza:izadps:dp13371.

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2020Earnings Surprises and Stock Price Reactions of Quoted Companies in Nigeria. (2020). Abdullahi, Sadiq Rabiu ; Obasi, Rosemary Obiageri ; Ekpe, Malthus Timothy ; Rashid, Norfadzilah ; Mustapha, Umar Aliyu. In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:11:y:2020:i:4:p:306-315.

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2021Gold Against the Machine. (2021). Plakandaras, Vasilios ; Papadimitriou, Theophilos ; Gogas, Periklis. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:1:d:10.1007_s10614-020-10019-z.

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2020Collateral affects return risk: evidence from the euro bond market. (2020). Helberg, Stig ; Lindset, Snorre. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:1:d:10.1007_s11408-019-00343-2.

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2021The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2021). Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike G ; Murphy, Anthony. In: Working Papers. RePEc:liv:livedp:202109.

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2020Identifying Risk Factors and Their Premia: A Study on Electricity Prices. (2020). Lunde, Asger ; Wei, Wei. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-10.

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2020Managing Households Expectations with Unconventional Policies. (2020). Weber, Michael ; Hoang, Daniel ; Dacunto, Francesco. In: NBER Working Papers. RePEc:nbr:nberwo:27399.

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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
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: 14
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2019Historical Antisemitism, Ethnic Specialization, and Financial Development.(2019) In: Review of Economic Studies.
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This paper has another version. Agregated cites: 14
article
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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article14
2013Electricity Derivatives Pricing with Forward-Looking Information.(2013) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 14
paper
2012Futures basis, inventory and commodity price volatility: An empirical analysis In: Economic Modelling.
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article27
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: 27
paper
2013Credit risk in covered bonds In: Journal of Empirical Finance.
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article16
2015Time-variations in commodity price jumps In: Journal of Empirical Finance.
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article3
2007Quantifying risk in the electricity business: A RAROC-based approach In: Energy Economics.
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article9
2013The case of negative day-ahead electricity prices In: Energy Economics.
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article56
2013The (de)merits of minimum-variance hedging: Application to the crack spread In: Energy Economics.
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article24
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: 24
paper
2015An empirical model comparison for valuing crack spread options In: Energy Economics.
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article7
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: 7
paper
2020Economic determinants of oil futures volatility: A term structure perspective In: Energy Economics.
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article1
2019Economic Determinants of Oil Futures Volatility: A Term Structure Perspective.(2019) In: Research Paper Series.
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2019Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section In: Journal of Financial Markets.
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article4
2020The memory of stock return volatility: Asset pricing implications In: Journal of Financial Markets.
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article1
2017The Memory of Stock Return Volatility: Asset Pricing Implications.(2017) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 1
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2019Asset prices and “the devil(s) you know” In: Journal of Banking & Finance.
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2020Curve momentum In: Journal of Banking & Finance.
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article0
2020Beta uncertainty In: Journal of Banking & Finance.
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article0
2010Commodity derivatives valuation with autoregressive and moving average components in the price dynamics In: Journal of Banking & Finance.
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article20
2013Seasonality and the valuation of commodity options In: Journal of Banking & Finance.
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article17
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: 17
paper
2014The importance of the volatility risk premium for volatility forecasting In: Journal of Banking & Finance.
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article14
2016Seasonal Stochastic Volatility: Implications for the pricing of commodity options In: Journal of Banking & Finance.
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article14
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: 14
paper
2016Jump and variance risk premia in the S&P 500 In: Journal of Banking & Finance.
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article6
2017Variance risk in commodity markets In: Journal of Banking & Finance.
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article14
2018Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance In: Journal of Banking & Finance.
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article0
2019International tail risk and World Fear In: Journal of International Money and Finance.
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article5
2017International Tail Risk and World Fear.(2017) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 5
paper
2019The risk premium of gold In: Journal of International Money and Finance.
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article2
2017The Risk Premium of Gold.(2017) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 2
paper
2019The economic drivers of commodity market volatility In: Journal of International Money and Finance.
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article6
2019Jumps in commodity markets In: Journal of Commodity Markets.
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article2
2017Jumps in Commodity Markets.(2017) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 2
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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article7
2013Estimating term structure models with the Kalman filter In: Chapters.
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chapter0
2017The Long Memory of Equity Volatility: International Evidence In: Hannover Economic Papers (HEP).
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paper1
2017How to Estimate Beta? In: Hannover Economic Papers (HEP).
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paper0
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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paper3
2019Predicting the equity market with option-implied variables.(2019) In: The European Journal of Finance.
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This paper has another version. Agregated cites: 3
article
2018Is Commodity Index Investing Profitable? In: Hannover Economic Papers (HEP).
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paper2
2019The Memory of Beta Factors In: Hannover Economic Papers (HEP).
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paper0
2020The Long Memory of Equity Volatility and the Macroeconomy: International Evidence In: Hannover Economic Papers (HEP).
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paper0
2020The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas In: Management Science.
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article1
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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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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paper7
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: 7
article
2011The Dynamics of Commodity Prices In: ICMA Centre Discussion Papers in Finance.
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paper38
2013The dynamics of commodity prices.(2013) In: Quantitative Finance.
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This paper has another version. Agregated cites: 38
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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paper0
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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article1
2010Intra-industry contagion effects of earnings surprises in the banking sector In: Applied Financial Economics.
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article6
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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article19
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: 19
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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article20
2016Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets In: Journal of Futures Markets.
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article49
2020Volatility term structures in commodity markets In: Journal of Futures Markets.
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article1
2013COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW In: International Journal of Theoretical and Applied Finance (IJTAF).
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article1
2020Electricity Market Coupling in Europe: Status Quo and Future Challenges In: World Scientific Book Chapters.
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