Marcel Prokopczuk : Citation Profile


Are you Marcel Prokopczuk?

Leibniz Universität Hannover

8

H index

6

i10 index

208

Citations

RESEARCH PRODUCTION:

27

Articles

28

Papers

1

Chapters

EDITOR:

1

Books edited

1

Series edited

RESEARCH ACTIVITY:

   11 years (2007 - 2018). See details.
   Cites by year: 18
   Journals where Marcel Prokopczuk has often published
   Relations with other researchers
   Recent citing documents: 74.    Total self citations: 20 (8.77 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppr113
   Updated: 2018-09-22    RAS profile: 2018-08-24    
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Relations with other researchers


Works with:

Füss, Roland (4)

Weber, Michael (3)

Arismendi Zambrano, Juan (3)

Brooks, Chris (3)

Sibbertsen, Philipp (2)

Paraschiv, Florentina (2)

Symeonidis, Lazaros (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)

Torro, Hipolit (6)

Afanasyev, Dmitriy (6)

Chan, Joshua (5)

Nowotarski, Jakub (4)

Koekebakker, Steen (4)

Ahnert, Toni (3)

LAI, Anh (3)

Degiannakis, Stavros (3)

Tomczyk, Jakub (3)

Grant, Angelia (3)

Cites to:

Bollerslev, Tim (24)

Chen, Zhiwu (18)

Cao, Charles (18)

Campbell, John (15)

French, Kenneth (14)

Bekaert, Geert (13)

Zhuravskaya, Ekaterina (12)

Fama, Eugene (12)

Cartea, Álvaro (10)

merton, robert (9)

Vilkov, Grigory (9)

Main data


Where Marcel Prokopczuk has published?


Journals with more than one article published# docs
Journal of Banking & Finance6
Energy Economics4
Journal of Futures Markets4
Journal of Empirical Finance2
Quantitative 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 (2018 and 2017)


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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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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2018The Samuelson Effect and Seasonal Stochastic Volatility 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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2017Bubbles, Froth and Facts: Another Look at the Masters Hypothesis in Commodity Futures Markets. (2017). Sanders, Dwight R ; Irwin, Scott H. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:68:y:2017:i:2:p:345-365.

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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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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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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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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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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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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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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). 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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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. 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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2017Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition. (2017). da Fonseca, Jose ; 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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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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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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2018Forecasting spikes in electricity return innovations. (2018). Tafakori, Laleh ; Fard, Farzad Alavi ; Pourkhanali, Armin. In: Energy. RePEc:eee:energy:v:150:y:2018:i:c:p:508-526.

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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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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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2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Molnár, Peter ; Lyócsa, Štefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247.

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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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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). 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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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). Lau, Wee-Yeap ; Go, You-How. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:135-146.

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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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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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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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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). 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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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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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 ; Kim, Chi Y ; Kavussanos, Manolis G ; 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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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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2017A Cointegrated Regime-Switching Model Approach with Jumps Applied to Natural Gas Futures Prices. (2017). Leonhardt, Daniel ; Zagst, Rudi ; Ware, Antony. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:48-:d:111674.

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

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2018The skewness of commodity futures returns. (2018). Fernandez-Perez, Adrian ; Miffre, Joelle ; Fuertes, Ana-Maria ; Frijns, Bart. 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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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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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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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). Stasi, Antonio ; Santeramo, Fabio ; Lamonaca, Emilia ; Nardone, Gianluca ; Conto, Francesco . In: MPRA Paper. RePEc:pra:mprapa:79427.

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2017Dynamics and interactions between spot and forward freights in the dry bulk shipping market. (2017). Yin, Jingbo ; Fan, Lixian ; Luo, Meifeng . In: Maritime Policy & Management. RePEc:taf:marpmg:v:44:y:2017:i:2:p:271-288.

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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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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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2016Estimating Beta In: Journal of Financial and Quantitative Analysis.
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2015Electricity derivatives pricing with forward-looking information In: Journal of Economic Dynamics and Control.
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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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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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2015Time-variations in commodity price jumps In: Journal of Empirical Finance.
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2007Quantifying risk in the electricity business: A RAROC-based approach In: Energy Economics.
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2013The case of negative day-ahead electricity prices In: Energy Economics.
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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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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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2013Seasonality and the valuation of commodity options In: Journal of Banking & Finance.
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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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2016Seasonal Stochastic Volatility: Implications for the pricing of commodity options In: Journal of Banking & Finance.
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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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2017Variance risk in commodity markets In: Journal of Banking & Finance.
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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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2017The Term Structure of Systematic and Idiosyncratic Risk In: Hannover Economic Papers (HEP).
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2017International Tail Risk and World Fear In: Hannover Economic Papers (HEP).
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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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