Marcel Prokopczuk : Citation Profile


Are you Marcel Prokopczuk?

Leibniz Universität Hannover

16

H index

22

i10 index

778

Citations

RESEARCH PRODUCTION:

53

Articles

32

Papers

2

Chapters

EDITOR:

1

Books edited

1

Series edited

RESEARCH ACTIVITY:

   16 years (2007 - 2023). See details.
   Cites by year: 48
   Journals where Marcel Prokopczuk has often published
   Relations with other researchers
   Recent citing documents: 78.    Total self citations: 31 (3.83 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppr113
   Updated: 2024-01-16    RAS profile: 2023-01-09    
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Relations with other researchers


Works with:

Sibbertsen, Philipp (4)

Bohorquez Correa, Santiago (2)

Theissen, Erik (2)

Walther, Thomas (2)

Söderlind, Paul (2)

Heath, Davidson (2)

Palan, Stefan (2)

Mihet, Roxana (2)

Lopez-Lira, Alejandro (2)

Hjalmarsson, Erik (2)

Liew, Chee (2)

Chernov, Mikhail (2)

Ait-Sahalia, Yacine (2)

Korajczyk, Robert (2)

Sojli, Elvira (2)

Kassner, Bernhard (2)

Wilhelmsson, Anders (2)

Park, Andreas (2)

Deev, Oleg (2)

van Kervel, Vincent (2)

Regis, Luca (2)

Frömmel, Michael (2)

Holzmeister, Felix (2)

Jurkatis, Simon (2)

He, Xuezhong (Tony) (2)

Pelizzon, Loriana (2)

Putnins, Talis (2)

Hurlin, Christophe (2)

Foucault, Thierry (2)

Vilkov, Grigory (2)

Rakowski, David (2)

Hautsch, Nikolaus (2)

Dumitrescu, Ariadna (2)

FERROUHI, EL MEHDI (2)

Nielsson, Ulf (2)

Jalkh, Naji (2)

Vogel, Sebastian (2)

Menkveld, Albert (2)

Nikitopoulos-Sklibosios, Christina (2)

Abudy, Menachem (2)

Harris, Jeffrey (2)

Frijns, Bart (2)

Talavera, Oleksandr (2)

Caporin, Massimiliano (2)

Xia, Shuo (2)

Ferrara, Gerardo (2)

Scaillet, Olivier (2)

Stefanova, Denitsa (2)

Gerritsen, Dirk (2)

Brownlees, Christian (2)

Zhou, Chen (2)

Wolff, Christian (2)

Adrian, Tobias (2)

Pastor, Lubos (2)

Johannesson, Magnus (2)

Moinas, Sophie (2)

Lof, Matthijs (2)

Ranaldo, Angelo (2)

Verousis, Thanos (2)

Tonks, Ian (2)

Alexeev, Vitali (2)

Sarno, Lucio (2)

Dimpfl, Thomas (2)

Pasquariello, Paolo (2)

Rinne, Kalle (2)

Reitz, Stefan (2)

Gehrig, Thomas (2)

Schuerhoff, Norman (2)

Wong, Wing-Keung (2)

Patel, Vinay (2)

Füllbrunn, Sascha (2)

Deku, Solomon (2)

Ødegaard, Bernt (2)

PASCUAL, ROBERTO (2)

Davies, Ryan (2)

Schenk-Hoppé, Klaus (2)

Dreber, Anna (2)

Colliard, Jean-Edouard (2)

Chow, Nikolai Sheung-Chi (2)

Gorbenko, Arseny (2)

Schwarz, Marco (2)

Taylor, Nick (2)

Bos, Charles (2)

Renault, Thomas (2)

Bouri, Elie (2)

Kearney, Fearghal (2)

Xiu, Dacheng (2)

CAPELLE-BLANCARD, Gunther (2)

Horenstein, Alex (2)

Lajaunie, Quentin (2)

Roy, Saurabh (2)

Smales, Lee (2)

LINTON, OLIVER (2)

Patton, Andrew (2)

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

Is cited by:

GUPTA, RANGAN (28)

Weron, Rafał (18)

Degiannakis, Stavros (16)

Pierdzioch, Christian (13)

Becker, Sascha (13)

Woessmann, Ludger (12)

Rubin, Jared (12)

Filis, George (12)

Salisu, Afees (11)

Vargiolu, Tiziano (9)

Torro, Hipolit (8)

Cites to:

Bollerslev, Tim (49)

French, Kenneth (37)

Fama, Eugene (35)

West, Kenneth (21)

Cao, Charles (18)

Chen, Zhiwu (18)

Stambaugh, Robert (18)

Newey, Whitney (18)

Bekaert, Geert (18)

Symeonidis, Lazaros (17)

Zhuravskaya, Ekaterina (17)

Main data


Where Marcel Prokopczuk has published?


Journals with more than one article published# docs
Journal of Banking & Finance14
Journal of Futures Markets8
Energy Economics5
Journal of International Money and Finance3
Journal of Empirical Finance2
Journal of Commodity Markets2
The European Journal of Finance2
Journal of Financial Markets2
Quantitative 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 (2024 and 2023)


YearTitle of citing document
2023.

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2023.

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2023Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095.

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2023Religion and Growth. (2023). Woessmann, Ludger ; Rubin, Jared ; Becker, Sascha. In: CEH Discussion Papers. RePEc:auu:hpaper:114.

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2023Liquidity Requirements, Bank Deposits and Financial Development. (2023). Limodio, Nicola ; Strobbe, Francesco. In: Economica. RePEc:bla:econom:v:90:y:2023:i:357:p:240-270.

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2023Income elasticity of demand and stock market beta. (2023). Kim, Doyeon ; Bhadra, Madhusmita. In: International Finance. RePEc:bla:intfin:v:26:y:2023:i:2:p:225-240.

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2023Climate risks and U.S. stock?market tail risks: A forecasting experiment using over a century of data. (2023). Salisu, Afees ; van Eyden, Renee ; Gupta, Rangan ; Pierdzioch, Christian. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:228-244.

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2023Religion and Growth. (2023). Woessmann, Ludger ; Becker, Sascha ; Rubin, Jared. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10688.

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2023Foreshadowing Mars: Religiosity and Pre-Enlightenment Warfare. (2023). Krieger, Tim ; Jetter, Michael ; Barber, Luke. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10806.

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2023Religion and Growth. (2023). Woessmann, Ludger ; Rubin, Jared ; Becker, Sascha. In: CAGE Online Working Paper Series. RePEc:cge:wacage:684.

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2023Handling the risk dimensions of wind energy generation. (2023). Santos-Alamillos, Francisco J ; Christodoulou, Theodoros ; Thomaidis, Nikolaos S. In: Applied Energy. RePEc:eee:appene:v:339:y:2023:i:c:s0306261923002891.

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2023Historical social capital and contemporary private investment choices. (2023). Kang, Yankun ; Bai, Caiquan ; Feng, Chen. In: Journal of Corporate Finance. RePEc:eee:corfin:v:79:y:2023:i:c:s0929119923000147.

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2023Hedging pressure momentum and the predictability of oil futures returns. (2023). Zhang, Yaojie ; Wang, Yudong ; Chen, Chuang ; Yu, Dan. In: Economic Modelling. RePEc:eee:ecmode:v:121:y:2023:i:c:s0264999323000263.

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2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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2023Oil price assumptions for macroeconomic policy. (2023). Filis, George ; Degiannakis, Stavros. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005540.

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2023Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758.

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2023Multi-perspective investor attention and oil futures volatility forecasting. (2023). Li, Guo ; Qu, Hui. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000294.

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2023The connectedness of oil shocks, green bonds, sukuks and conventional bonds. (2023). Sokolova, Tatiana ; Hadhri, Sinda ; Abrar, Afsheen ; Umar, Zaghum. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000609.

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2023Convenience yield risk. (2023). Wichmann, Robert ; Simen, Chardin Wese ; Symeonidis, Lazaros ; Prokopczuk, Marcel. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000348.

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2023Natural gas and the utility sector nexus in the U.S.: Quantile connectedness and portfolio implications. (2023). Do, Hung ; Thanh, Thao Thac ; Pham, Son Duy. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001305.

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2023Structural sources of oil market volatility and correlation dynamics. (2023). Stewart, Shamar ; Liu, Xiaochun ; Harrison, Andre. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001561.

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2023Financial stress and commodity price volatility. (2023). Verousis, Thanos ; Zhou, Zhiping ; Wang, Kai ; Chen, Louisa. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003729.

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2023A novel downside beta and expected stock returns. (2023). Liu, Jinjing. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004057.

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2023Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict. (2023). Maghyereh, Aktham ; Cui, Jinxin. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000364.

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2023Random sources correlations and carbon futures pricing. (2023). Wang, Jieyu ; Feng, Ling. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000455.

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2023Tracking speculative trading. (2023). Grob, Linus ; Boos, Dominik. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000635.

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2023Does systematic tail risk matter?. (2023). Pereverzin, Aleksandr ; Nguyen, Linh H ; Polanski, Arnold ; Stoja, Evarist. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001706.

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2023Efficiency dynamics across segmented Bitcoin Markets: Evidence from a decomposition strategy. (2023). Mishra, Tapas ; Satchell, Stephen ; Gao, Yang ; Duan, Kun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443123000100.

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2023Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility. (2023). Liang, Chao ; Wang, Yudong ; He, Mengxi ; Zhang, Yaojie. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1318-1332.

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2023Option Returns, Risk Premiums, and Demand Pressure in Energy Markets. (2023). Li, Bingxin ; Jacobs, Kris. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002679.

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2023Homophilous intensity in the online lending market: Bidding behavior and economic effects. (2023). Hu, Jinyan ; Jiang, Mingming ; Zhang, BO ; Li, Jianwen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:152:y:2023:i:c:s0378426623001000.

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2023From patriarchy to partnership: Gender equality and household finance. (2023). Zaccaria, Luana ; Guiso, Luigi. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:3:p:573-595.

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2023Volatility in US dairy futures markets. (2023). Yu, Linda ; Tse, Yiuman ; Jump, Jeff ; Fan, Zaifeng. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000666.

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2023Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289.

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2023The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Thomas, Alice Carole ; Nikitopoulos, Christina Sklibosios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423.

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2023A Bayesian perspective on commodity style integration. (2023). Zhao, Nan ; Fuertes, Ana-Maria. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000181.

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2023Commodity futures return predictability and intertemporal asset pricing. (2023). Poti, Valerio ; Eyiah-Donkor, Emmanuel ; Cotter, John. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851322000460.

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2023Gold risk premium estimation with machine learning methods. (2023). Cabrera, Gabriel ; Hansen, Erwin ; Diaz, Juan D. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851322000502.

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2023The impact of financialization on the efficiency of commodity futures markets. (2023). Sulewski, Christoph ; Putz, Alexander ; Irwin, Scott H ; Bohl, Martin T. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s240585132300020x.

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2023Explaining intraday crude oil returns with higher order risk-neutral moments. (2023). Wong, Patrick. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000211.

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2023Wheat price volatility regimes over 140 years: An analysis of daily price ranges. (2023). Huss, Matthias ; Zimmermann, Heinz ; Haase, Marco. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000363.

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2023Connectedness between geopolitical risk, financial instability indices and precious metals markets: Novel findings from Russia Ukraine conflict perspective. (2023). Nakonieczny, Joanna ; Tiwari, Sunil ; Si, Kamel ; Shahzad, Umer ; Nesterowicz, Renata. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s030142072200633x.

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2023What do the AI methods tell us about predicting price volatility of key natural resources: Evidence from hyperparameter tuning. (2023). Chavriya, Shubham ; Parihar, Jaya Singh ; Rao, Amar ; Srivastava, Mrinalini ; Singh, Surendar. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006924.

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2023Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle. (2023). Labeaga, Jose ; Martin-Garcia, Rodrigo ; Galan-Gutierrez, Juan Antonio. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723001216.

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2023Energy prices in Europe. Evidence of persistence across markets. (2023). Gil-Alana, Luis ; Martin-Valmayor, Miguel A ; Infante, Juan. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s030142072300257x.

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2023Unveiling commodities-financial markets intersections from a bibliometric perspective. (2023). lucey, brian ; Paltrinieri, Andrea ; Karim, Sitara ; Khan, Muhammad Arif ; Mbarki, Imen. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s030142072300346x.

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2023The impact of Chinas economic uncertainty on commodity and financial markets. (2023). Wang, Shu ; Chang, Long ; Yin, Hong. In: Resources Policy. RePEc:eee:jrpoli:v:84:y:2023:i:c:s0301420723004907.

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2023Sustainable energy transition and its demand for scarce resources: Insights into the German Energiewende through a new risk assessment framework. (2023). Rathgeber, A W ; Kurz, P ; Brem, M ; Papenfuss, P ; Schischke, A. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:176:y:2023:i:c:s1364032123000461.

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2023An analytical GARCH valuation model for spread options with default risk. (2023). Yin, Xunbai ; Xu, Guangli ; Tang, Dan ; Song, Shiyu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:1-20.

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2023Long-term liquidity effects of large-scale asset purchase programs: Evidence from the euro covered bond market. (2023). Weigerding, Michael. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:244-264.

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2023An innovative tool for cost control under fragmented scenarios: The container freight index microinsurance. (2023). Yang, MO ; Wang, Xuanhe ; Xiang, Zhiyuan ; Yu, Fangping ; Kuang, Haibo. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:169:y:2023:i:c:s1366554522003520.

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2023Economic Evaluation of a 1 MW el Capacity Power-to-Biomethane System. (2023). Gabnai, Zoltan ; Singh, Amit ; Prajapati, Sanjeev Kumar ; Pinter, Gabor ; Sinoros-Szabo, Botond ; Csed, Zoltan ; Nagy, Adrian ; Balogh, Peter ; Bai, Attila. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:24:p:8009-:d:1298028.

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2023Improving the Efficiency of Hedge Trading Using Higher-Order Standardized Weather Derivatives for Wind Power. (2023). Yamada, Yuji ; Matsumoto, Takuji. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:7:p:3112-:d:1110814.

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2023Construction of Mixed Derivatives Strategy for Wind Power Producers. (2023). Matsumoto, Takuji ; Yamada, Yuji. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:9:p:3809-:d:1136007.

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2023On the Exchange Rate Dynamics of the Norwegian Krone. (2023). Westgaard, Sjur ; Thune, Kristian August ; Thodesen, Airin ; Risstad, Morten. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:7:p:308-:d:1178905.

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2023.

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2023The Negative Pricing of the May 2020 WTI Contract. (2023). Miffre, Joelle ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Post-Print. RePEc:hal:journl:hal-03933797.

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2023The Impact of Institutions on Innovation. (2023). Silva, Rui C ; Meier, Jean-Marie ; Donges, Alexander. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:4:p:1951-1974.

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2023Religion and Growth. (2023). Woessmann, Ludger ; Becker, Sascha ; Rubin, Jared. In: IZA Discussion Papers. RePEc:iza:izadps:dp16494.

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2023Foreshadowing Mars: Religiosity and Pre-enlightenment Warfare. (2023). Krieger, Tim ; Jetter, Michael ; Barber, Luke. In: IZA Discussion Papers. RePEc:iza:izadps:dp16586.

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2023A New Neural Network Approach for Predicting the Volatility of Stock Market. (2023). Kim, Geonwoo ; Koo, Eunho. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:4:d:10.1007_s10614-022-10261-7.

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2023Beta estimation in the European network regulation context: what matters, what doesn’t, and what is indispensable. (2023). Stehle, Richard ; Betzer, Andre ; Bazhutov, Dmitry. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:3:d:10.1007_s11408-023-00428-z.

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2023Religion and Growth. (2023). Woessmann, Ludger ; Becker, Sascha ; Rubin, Jared. In: Monash Economics Working Papers. RePEc:mos:moswps:2023-15.

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2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Reproducibility, Management Science ; Katok, Elena ; Fiar, Milo. In: OSF Preprints. RePEc:osf:osfxxx:mydzv.

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2023Religion and Growth. (2023). Woessmann, Ludger ; Rubin, Jared ; Becker, Sascha. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:433.

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2023Dividends, trust, and firm value. (2023). Kelly, Peter ; Kapons, Martin ; Zambrana, Rafael ; Stoumbos, Robert. In: Review of Accounting Studies. RePEc:spr:reaccs:v:28:y:2023:i:3:d:10.1007_s11142-023-09795-4.

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2023Information shocks, market returns and volatility: a comparative analysis of developed equity markets in Asia. (2023). Khan, Muhammad Zeb ; Ahmed, Shakeel ; Maqsood, Huma ; Zada, Hassan. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00417-w.

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2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Reproducibility, Management Science ; Katok, Elena ; Greiner, Ben ; Fiar, Milo. In: Department for Strategy and Innovation Working Paper Series. RePEc:wiw:wus055:57814527.

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2023How do investors price accrual risk during crises?. (2023). Hassan, Kabir M ; Alhenawi, Yasser. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:4684-4706.

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2023Industry variance risk premium, cross?industry correlation, and expected returns. (2023). Xu, QI ; Luo, Xingguo ; Zhu, Yabei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:1:p:3-32.

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2023Temperature, storage, and natural gas futures prices. (2023). Hartley, Peter ; Lan, Yihui ; Chen, Yanting. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:4:p:549-575.

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2023Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach. (2023). Hao, Jun ; Li, Jianping ; Yang, Xian ; Zhang, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:705-733.

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2023Modeling skewness in portfolio choice. (2023). Markellos, Raphael ; Kourtis, Apostolos ; Le, Trung H. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:734-770.

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2023The impact of Sino–US trade war on price discovery of soybean: A double?edged sword?. (2023). Rajib, Prabina ; Bandyopadhyay, Arunava. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:858-879.

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2023Wisdom of crowds and commodity pricing. (2023). de Silva, Sanuri ; Binnewies, Sebastian ; Fan, John Hua. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:8:p:1040-1068.

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2023Religion and Growth. (2023). Woessmann, Ludger ; Becker, Sascha ; Rubin, Jared. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1474.

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2023Foreshadowing Mars: Religiosity and pre-Enlightenment warfare. (2023). Krieger, Tim ; Jetter, Michael ; Barber, Luke. In: Discussion Paper Series. RePEc:zbw:wgspdp:279791.

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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
2021The Natural Gas Announcement Day Puzzle In: The Energy Journal.
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article1
2017Historical Antisemitism, Ethnic Specialization, and Financial Development In: CESifo Working Paper Series.
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paper47
2017Historical Antisemitism, Ethnic Specialization, and Financial Development.(2017) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 47
paper
2019Historical Antisemitism, Ethnic Specialization, and Financial Development.(2019) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 47
article
2016Estimating Beta In: Journal of Financial and Quantitative Analysis.
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article2
2021Pricing analysis of wind power derivatives for renewable energy risk management In: Applied Energy.
[Full Text][Citation analysis]
article5
2015Electricity derivatives pricing with forward-looking information In: Journal of Economic Dynamics and Control.
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article17
2013Electricity Derivatives Pricing with Forward-Looking Information.(2013) In: Working Papers on Finance.
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This paper has nother version. Agregated cites: 17
paper
2012Futures basis, inventory and commodity price volatility: An empirical analysis In: Economic Modelling.
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article39
2012Futures basis, inventory and commodity price volatility: An empirical analysis.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39
paper
2013Credit risk in covered bonds In: Journal of Empirical Finance.
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article18
2015Time-variations in commodity price jumps In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article6
2007Quantifying risk in the electricity business: A RAROC-based approach In: Energy Economics.
[Full Text][Citation analysis]
article8
2013The case of negative day-ahead electricity prices In: Energy Economics.
[Full Text][Citation analysis]
article74
2013The (de)merits of minimum-variance hedging: Application to the crack spread In: Energy Economics.
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article30
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 nother version. Agregated cites: 30
paper
2015An empirical model comparison for valuing crack spread options In: Energy Economics.
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article8
2010An Empirical Model Comparison for Valuing Crack Spread Options.(2010) In: ICMA Centre Discussion Papers in Finance.
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This paper has nother version. Agregated cites: 8
paper
2020Economic determinants of oil futures volatility: A term structure perspective In: Energy Economics.
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article11
2019Economic Determinants of Oil Futures Volatility: A Term Structure Perspective.(2019) In: Research Paper Series.
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This paper has nother version. Agregated cites: 11
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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article11
2020The memory of stock return volatility: Asset pricing implications In: Journal of Financial Markets.
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article4
2017The Memory of Stock Return Volatility: Asset Pricing Implications.(2017) In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4
paper
2019Asset prices and “the devil(s) you know” In: Journal of Banking & Finance.
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article1
2020Curve momentum In: Journal of Banking & Finance.
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article0
2020Beta uncertainty In: Journal of Banking & Finance.
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article0
2021The memory of beta In: Journal of Banking & Finance.
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article1
2022How do corporate bond investors measure performance? Evidence from mutual fund flows In: Journal of Banking & Finance.
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article0
2022Testing Factor Models in the Cross-Section In: Journal of Banking & Finance.
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article0
2022Measuring commodity market quality In: Journal of Banking & Finance.
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article2
2010Commodity derivatives valuation with autoregressive and moving average components in the price dynamics In: Journal of Banking & Finance.
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article23
2013Seasonality and the valuation of commodity options In: Journal of Banking & Finance.
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article23
2010Seasonality and the Valuation of Commodity Options.(2010) In: ICMA Centre Discussion Papers in Finance.
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This paper has nother version. Agregated cites: 23
paper
2014The importance of the volatility risk premium for volatility forecasting In: Journal of Banking & Finance.
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article24
2016Seasonal Stochastic Volatility: Implications for the pricing of commodity options In: Journal of Banking & Finance.
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article19
2011Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options.(2011) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19
paper
2016Jump and variance risk premia in the S&P 500 In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article11
2017Variance risk in commodity markets In: Journal of Banking & Finance.
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article26
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.
[Full Text][Citation analysis]
article16
2017International Tail Risk and World Fear.(2017) In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16
paper
2019The risk premium of gold In: Journal of International Money and Finance.
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article9
2017The Risk Premium of Gold.(2017) In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9
paper
2019The economic drivers of commodity market volatility In: Journal of International Money and Finance.
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article35
2019Jumps in commodity markets In: Journal of Commodity Markets.
[Full Text][Citation analysis]
article11
2017Jumps in Commodity Markets.(2017) In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11
paper
2021Predictability in commodity markets: Evidence from more than a century In: Journal of Commodity Markets.
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article3
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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article9
2013Estimating term structure models with the Kalman filter In: Chapters.
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chapter0
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]
paper4
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4
paper
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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paper0
2019The term structure of systematic and idiosyncratic risk.(2019) In: Journal of Futures Markets.
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This paper has nother version. Agregated cites: 0
article
2017Predicting the Equity Market with Option Implied Variables In: Hannover Economic Papers (HEP).
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paper6
2019Predicting the equity market with option-implied variables.(2019) In: The European Journal of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6
article
2018Is Commodity Index Investing Profitable? In: Hannover Economic Papers (HEP).
[Citation analysis]
paper6
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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paper2
2020The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas In: Management Science.
[Full Text][Citation analysis]
article5
2007Integrating Multiple Commodities in a Model of Stochastic Price Dynamics In: MPRA Paper.
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paper9
2009Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics In: ICMA Centre Discussion Papers in Finance.
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paper0
2010American Option Valuation: Implied Calibration of GARCH Pricing-Models In: ICMA Centre Discussion Papers in Finance.
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paper4
2011American option valuation: Implied calibration of GARCH pricing models.(2011) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4
article
2010Pricing and Hedging in the Freight Futures Market In: ICMA Centre Discussion Papers in Finance.
[Citation analysis]
paper13
2011Pricing and hedging in the freight futures market.(2011) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13
article
2011The Dynamics of Commodity Prices In: ICMA Centre Discussion Papers in Finance.
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paper44
2013The dynamics of commodity prices.(2013) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 44
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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article3
2010Intra-industry contagion effects of earnings surprises in the banking sector In: Applied Financial Economics.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
article1
2016Prediction of extreme price occurrences in the German day-ahead electricity market In: Quantitative Finance.
[Full Text][Citation analysis]
article26
2016Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market.(2016) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26
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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article26
2016Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets In: Journal of Futures Markets.
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article75
2020Volatility term structures in commodity markets In: Journal of Futures Markets.
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article3
2021The dynamics of commodity return comovements In: Journal of Futures Markets.
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article2
2023Commodity tail risks 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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article3
2021Anomalies in Commodity Futures Markets In: Quarterly Journal of Finance (QJF).
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article1
2020Electricity Market Coupling in Europe: Status Quo and Future Challenges In: World Scientific Book Chapters.
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chapter0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team