Marcel Prokopczuk : Citation Profile


Are you Marcel Prokopczuk?

Leibniz Universität Hannover

10

H index

12

i10 index

338

Citations

RESEARCH PRODUCTION:

41

Articles

29

Papers

2

Chapters

EDITOR:

1

Books edited

1

Series edited

RESEARCH ACTIVITY:

   13 years (2007 - 2020). See details.
   Cites by year: 26
   Journals where Marcel Prokopczuk has often published
   Relations with other researchers
   Recent citing documents: 113.    Total self citations: 25 (6.89 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppr113
   Updated: 2020-08-01    RAS profile: 2020-07-02    
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Relations with other researchers


Works with:

Sibbertsen, Philipp (5)

Weber, Michael (4)

Symeonidis, Lazaros (3)

Paraschiv, Florentina (2)

Arismendi Zambrano, Juan (2)

Füss, Roland (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 (17)

Degiannakis, Stavros (10)

Afanasyev, Dmitriy (8)

Torro, Hipolit (7)

Filis, George (7)

Vargiolu, Tiziano (6)

Trueck, Stefan (5)

GUPTA, RANGAN (5)

Chan, Joshua (5)

Koekebakker, Steen (4)

Novales, Alfonso (4)

Cites to:

Bollerslev, Tim (36)

Fama, Eugene (21)

French, Kenneth (20)

Chen, Zhiwu (18)

Cao, Charles (18)

Bekaert, Geert (14)

Campbell, John (14)

West, Kenneth (14)

merton, robert (13)

Zhuravskaya, Ekaterina (12)

Newey, Whitney (12)

Main data


Where Marcel Prokopczuk has published?


Journals with more than one article published# docs
Journal of Banking & Finance9
Journal of Futures Markets6
Energy Economics4
Journal of International Money and Finance3
Journal of Empirical Finance2
The European Journal of Finance2
Quantitative Finance2
Journal of Financial Markets2

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, 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 (2020 and 2019)


YearTitle of citing document
2018Modelling Electricity Swaps with Stochastic Forward Premium Models. (2018). Rodriguez, Rosa ; Pea, Juan Ignacio. In: The Energy Journal. RePEc:aen:journl:ej39-2-pena.

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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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2018Additive energy forward curves in a Heath-Jarrow-Morton framework. (2018). Vargiolu, Tiziano ; Piccirilli, Marco ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:1709.03310.

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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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2019Capturing the power options smile by an additive two-factor model for overlapping futures prices. (2019). Vargiolu, Tiziano ; Schmeck, Maren Diane ; Piccirilli, Marco. In: Papers. RePEc:arx:papers:1910.01044.

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2019A Rational Finance Explanation of the Stock Predictability Puzzle. (2019). Fabozzi, Frank J ; Rachev, Svetlozar T ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1911.02194.

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2019Predicting 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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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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2019Capturing the power options smile by an additive two-factor model for overlapping futures prices. (2019). Vargiolu, Tiziano ; Schmeck, Maren Diane ; Piccirilli, Marco. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:625.

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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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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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2019Modeling the electricity spot price with switching regime semi-nonparametric distributions. (2019). Perote, Javier ; Cortés, Lina ; Cortes, Lina M ; Trespalacios, Alfredo. In: Documentos de Trabajo CIEF. RePEc:col:000122:017618.

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

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

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

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2019Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices. (2019). Lin, Hai ; Premachandra, IM ; Kuruppuarachchi, Duminda. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:92-112.

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2019Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops. (2019). Mitra, Subrata K ; Pal, Debdatta. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:453-466.

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2019Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets. (2019). Li, Weiping ; Teng, Yuxin ; Qiao, Gaoxiu ; Liu, Wenwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:133-151.

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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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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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2019Long-term swings and seasonality in energy markets. (2019). Novales, Alfonso ; Moreno, Manuel ; Platania, Federico. In: European Journal of Operational Research. RePEc:eee:ejores:v:279:y:2019:i:3:p:1011-1023.

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

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

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

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

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2019Mean-reverting no-arbitrage additive models for forward curves in energy markets. (2019). Vargiolu, Tiziano ; Piccirilli, Marco ; Latini, Luca. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:157-170.

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2019Probabilistic electricity price forecasting with Bayesian stochastic volatility models. (2019). Kostrzewska, Jadwiga ; Kostrzewski, Maciej . In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:610-620.

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2019Crude oil price shocks and hedging performance: A comparison of volatility models. (2019). Cho, Hoon ; Chun, Dohyun ; Kim, Jihun. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1132-1147.

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2019Pricing German Energiewende products: Intraday cap/floor futures. (2019). Wagner, A ; Hinderks, W J. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:287-296.

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2019Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets. (2019). Ma, Feng ; Chen, Yixiang ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:52-62.

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2019Futures-based forecasts: How useful are they for oil price volatility forecasting?. (2019). Filis, George ; Degiannakis, Stavros ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:639-649.

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2019Risk premia in the German day-ahead electricity market revisited: The impact of negative prices. (2019). Valitov, Niyaz . In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:70-77.

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2019Exploring the time-frequency connectedness and network among crude oil and agriculture commodities V1. (2019). Tiwari, Aviral ; Albulescu, Claudiu ; Yoon, Seong-Min ; Kang, Sang Hoon. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s014098831930338x.

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

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

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2019Getting prices right in structural electricity market models. (2019). Green, Richard ; Staffell, I ; Ward, K R. In: Energy Policy. RePEc:eee:enepol:v:129:y:2019:i:c:p:1190-1206.

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

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

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2019Can the VAR model outperform MRS model for asset allocation in commodity market under different risk preferences of investors?. (2019). Lin, Jia-Juan ; Zhang, Yue-Jun. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919304387.

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

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

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2019The information content of short-term options. (2019). Simen, Chardin Wese ; Symeonidis, Lazaros ; Stancu, Andrei ; Oikonomou, Ioannis. In: Journal of Financial Markets. RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118303057.

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2019What is a better cross-hedge for energy: Equities or other commodities?. (2019). Olson, Eric ; Wohar, Mark E ; Vivian, Andrew. In: Global Finance Journal. RePEc:eee:glofin:v:42:y:2019:i:c:s1044028317302259.

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

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

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2019Stunted firms: The long-term impacts of colonial taxation. (2019). Natividad, Gabriel. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:525-548.

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

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2019Do speculators drive commodity prices away from supply and demand fundamentals?. (2019). Smith, Aaron. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:15:y:2019:i:c:4.

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2019The impact of long-short speculators on the volatility of agricultural commodity futures prices. (2019). Sulewski, Christoph ; Bohl, Martin T. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:16:y:2019:i:c:s2405851317301630.

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

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

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2019Speculation and its impact on liquidity in commodity markets. (2019). Ludwig, Michael. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:532-547.

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

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

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

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

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2019A Risk-Hedging View to Refinery Capacity Investment. (2019). Wirl, Franz ; Ghoddusi, Hamed. In: Working Papers. RePEc:erg:wpaper:1327.

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2019The 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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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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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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2019Assessing Financial and Flexibility Incentives for Integrating Wind Energy in the Grid Via Agent-Based Modeling. (2019). van Eetvelde, Greet ; Vandevelde, Lieven ; Lotfi, Sara ; Baetens, Jens ; Maqbool, Amtul Samie. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:22:p:4314-:d:286254.

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

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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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2019Efficiency and volatility of spot and futures agricultural markets: Impact of trade frequencies. (2019). Priolon, Joel ; Bretto, Alain ; Soares, David Batista. In: Working Papers. RePEc:hal:wpaper:hal-02364549.

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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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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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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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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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2019Exposure to Daily Price Changes and Inflation Expectations. (2019). Weber, Michael ; Ospina-Tejeiro, Juan ; Malmendier, Ulrike ; Dacunto, Francesco. In: NBER Working Papers. RePEc:nbr:nberwo:26237.

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

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2020Oil price assumptions for macroeconomic policy. (2020). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:100705.

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2019Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads. (2019). Shaw, Charles. In: MPRA Paper. RePEc:pra:mprapa:94154.

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2019Oil price volatility forecasts: What do investors need to know?. (2019). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:94445.

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2019Testing for Exuberance Behavior in Agricultural Commodities of Pakistan. (2019). Ahmed, Mumtaz ; Fatima, Hira. In: MPRA Paper. RePEc:pra:mprapa:95304.

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2019Futures-based forecasts: How useful are they for oil price volatility forecasting?. (2019). Filis, George ; Degiannakis, Stavros ; Chatziantoniou, Ioannis. In: MPRA Paper. RePEc:pra:mprapa:96446.

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

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

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2019Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: Working Papers. RePEc:pre:wpaper:201951.

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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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2019Historical Antisemitism, Ethnic Specialization, and Financial Development.(2019) In: Review of Economic Studies.
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This paper has another version. Agregated cites: 5
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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article10
2013Electricity Derivatives Pricing with Forward-Looking Information.(2013) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 10
paper
2012Futures basis, inventory and commodity price volatility: An empirical analysis In: Economic Modelling.
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article22
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: 22
paper
2013Credit risk in covered bonds In: Journal of Empirical Finance.
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article14
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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article49
2013The (de)merits of minimum-variance hedging: Application to the crack spread In: Energy Economics.
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article22
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: 22
paper
2015An empirical model comparison for valuing crack spread options In: Energy Economics.
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article6
2010An Empirical Model Comparison for Valuing Crack Spread Options.(2010) In: ICMA Centre Discussion Papers in Finance.
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This paper has another version. Agregated cites: 6
paper
2019Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section In: Journal of Financial Markets.
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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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paper
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
2010Commodity derivatives valuation with autoregressive and moving average components in the price dynamics In: Journal of Banking & Finance.
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article19
2013Seasonality and the valuation of commodity options In: Journal of Banking & Finance.
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article13
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: 13
paper
2014The importance of the volatility risk premium for volatility forecasting In: Journal of Banking & Finance.
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article10
2016Seasonal Stochastic Volatility: Implications for the pricing of commodity options In: Journal of Banking & Finance.
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article8
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: 8
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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article7
2018Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance In: Journal of Banking & Finance.
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2019International tail risk and World Fear In: Journal of International Money and Finance.
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2017International Tail Risk and World Fear.(2017) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 0
paper
2019The risk premium of gold In: Journal of International Money and Finance.
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2017The Risk Premium of Gold.(2017) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 0
paper
2019The economic drivers of commodity market volatility In: Journal of International Money and Finance.
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2019Jumps in commodity markets In: Journal of Commodity Markets.
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article1
2017Jumps in Commodity Markets.(2017) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 1
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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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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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: 0
article
2018Is Commodity Index Investing Profitable? In: Hannover Economic Papers (HEP).
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2019The Memory of Beta Factors In: Hannover Economic Papers (HEP).
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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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article0
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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2013The dynamics of commodity prices.(2013) In: Quantitative Finance.
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This paper has another version. Agregated cites: 31
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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article4
2016A moment-based analytic approximation of the risk-neutral density of American options In: Applied Mathematical Finance.
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article0
2012Investing in commodity futures markets: can pricing models help? In: The European Journal of Finance.
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article1
2016Prediction of extreme price occurrences in the German day-ahead electricity market In: Quantitative Finance.
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article12
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: 12
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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article16
2016Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets In: Journal of Futures Markets.
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article32
2020Volatility term structures in commodity markets In: Journal of Futures Markets.
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article0
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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