Marcel Prokopczuk : Citation Profile

Leibniz Universität Hannover

18

H index

29

i10 index

1019

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: 63
   Journals where Marcel Prokopczuk has often published
   Relations with other researchers
   Recent citing documents: 174.    Total self citations: 31 (2.95 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppr113
   Updated: 2026-02-07    RAS profile: 2023-01-09    
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Relations with other researchers

Works with:

Sibbertsen, Philipp (3)

Zhou, Chen (2)

Voigt, Stefan (2)

Reitz, Stefan (2)

Gerritsen, Dirk (2)

Ødegaard, Bernt (2)

FERROUHI, EL MEHDI (2)

Moinas, Sophie (2)

Horenstein, Alex (2)

Gorbenko, Arseny (2)

Roy, Saurabh (2)

Johannesson, Magnus (2)

Theissen, Erik (2)

Xia, Shuo (2)

CAPELLE-BLANCARD, Gunther (2)

Degryse, Hans (2)

Bjønnes, Geir (2)

Ranaldo, Angelo (2)

Vogel, Sebastian (2)

Füllbrunn, Sascha (2)

Walther, Thomas (2)

Foucault, Thierry (2)

Hurlin, Christophe (2)

Ait-Sahalia, Yacine (2)

Renault, Thomas (2)

Frömmel, Michael (2)

Holzmeister, Felix (2)

Jurkatis, Simon (2)

Taylor, Nick (2)

van Kervel, Vincent (2)

Adrian, Tobias (2)

Schwarz, Marco (2)

Sojli, Elvira (2)

Patel, Vinay (2)

Dreber, Anna (2)

Lopez-Lira, Alejandro (2)

He, Xuezhong (Tony) (2)

Menkveld, Albert (2)

Talavera, Oleksandr (2)

Bohorquez Correa, Santiago (2)

Sarno, Lucio (2)

Zhang, S. Sarah (2)

Kassner, Bernhard (2)

Schuerhoff, Norman (2)

Smales, Lee (2)

Hjalmarsson, Erik (2)

Bouri, Elie (2)

Xiu, Dacheng (2)

Brownlees, Christian (2)

Lof, Matthijs (2)

Colliard, Jean-Edouard (2)

Söderlind, Paul (2)

Pasquariello, Paolo (2)

Deev, Oleg (2)

Nielsson, Ulf (2)

Alexeev, Vitali (2)

Schenk-Hoppé, Klaus (2)

Palan, Stefan (2)

Huang, Wenqian (2)

Frijns, Bart (2)

Regis, Luca (2)

Liew, Chee (2)

Pastor, Lubos (2)

Bos, Charles (2)

Chernov, Mikhail (2)

Park, Andreas (2)

Tonks, Ian (2)

Wolff, Christian (2)

Rakowski, David (2)

Harris, Jeffrey (2)

Putnins, Talis (2)

Kearney, Fearghal (2)

Pelizzon, Loriana (2)

Verousis, Thanos (2)

Hautsch, Nikolaus (2)

LINTON, OLIVER (2)

Patton, Andrew (2)

Mihet, Roxana (2)

Ferrara, Gerardo (2)

Lajaunie, Quentin (2)

Heath, Davidson (2)

Dumitrescu, Ariadna (2)

Stefanova, Denitsa (2)

Deku, Solomon (2)

Abudy, Menachem (2)

Wong, Wing-Keung (2)

Gehrig, Thomas (2)

Jalkh, Naji (2)

Roy, Saurabh (2)

Rinne, Kalle (2)

Wilhelmsson, Anders (2)

Dimpfl, Thomas (2)

Davies, Ryan (2)

Caporin, Massimiliano (2)

Vilkov, Grigory (2)

Scaillet, Olivier (2)

Shachar, Or (2)

Korajczyk, Robert (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 (29)

Weron, Rafał (20)

Becker, Sascha (19)

Rubin, Jared (18)

Degiannakis, Stavros (17)

Pierdzioch, Christian (16)

Filis, George (13)

Woessmann, Ludger (13)

Salisu, Afees (11)

Vargiolu, Tiziano (9)

Afanasyev, Dmitriy (9)

Cites to:

Bollerslev, Tim (49)

French, Kenneth (37)

Fama, Eugene (35)

West, Kenneth (21)

Stambaugh, Robert (19)

Chen, Zhiwu (18)

Newey, Whitney (18)

Cao, Charles (18)

Bekaert, Geert (18)

Zhuravskaya, Ekaterina (17)

Symeonidis, Lazaros (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
The European Journal of Finance2
Journal of Empirical Finance2
Quantitative Finance2
Journal of Commodity Markets2
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, 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 (2025 and 2024)

YearTitle of citing document
2025Static Hedging of Freight Risk under Model Uncertainty. (2022). Papayiannis, Georgios I. In: Papers. RePEc:arx:papers:2207.00862.

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2024Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2024). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095.

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2025HedgeAgents: A Balanced-aware Multi-agent Financial Trading System. (2025). Li, Xiangyu ; Xing, Xiaofen ; Zeng, Yawen ; Xu, Xiangmin. In: Papers. RePEc:arx:papers:2502.13165.

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2025Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market. (2025). Chke, Katarzyna ; Uniejewski, Bartosz ; Weron, Rafal. In: Papers. RePEc:arx:papers:2503.02518.

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2025Data Synchronization at High Frequencies. (2025). Kong, Xinbing ; Liu, Cheng ; Wu, Bin. In: Papers. RePEc:arx:papers:2507.12220.

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2025Large Language Models and Futures Price Factors in China. (2025). Zhou, Heyang ; Cheng, Yuhan ; Liu, Yanchu. In: Papers. RePEc:arx:papers:2509.23609.

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2025Religion and Economic Development: Past, Present, and Future. (2025). Rubin, Jared ; Becker, Sascha ; Pfaff, Steven ; Panin, Amma. In: CEH Discussion Papers. RePEc:auu:hpaper:129.

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2025Nonlinear Dynamics in Monetary Policy-Fueled Stock Market Bubbles. (2025). Magnani, Monia ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp25252.

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2025Equity Investments and Financial Performance of Insurance Companies in Kenya. (2025). Agong, David ; Mutia, Sylvia Ndunge ; Ochieng, Isaac Linus. In: International Journal of Finance and Accounting. RePEc:bdu:ojijfa:v:10:y:2025:i:2:p:43-60:id:3339.

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2024The impact of deviations from soybean product crushing estimates on return and risk. (2024). Chitavi, Michael ; Abdoh, Hussein. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:2:p:181-199.

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2024Machine learning to predict grains futures prices. (2024). Sckokai, Paolo ; Brignoli, Paolo Libenzio ; Gardebroek, Cornelis ; Varacca, Alessandro. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:3:p:479-497.

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2024Market power and systematic risk. (2024). Prokopczuk, Marcel ; Hollstein, Fabian ; Wursig, Christoph Matthias. In: Financial Management. RePEc:bla:finmgt:v:53:y:2024:i:2:p:233-266.

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2024Excess cash and equity option liquidity. (2024). Deng, Min ; Nguyen, Minh. In: Journal of Financial Research. RePEc:bla:jfnres:v:47:y:2024:i:2:p:401-433.

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2024First-mover advantage in funds revisited. (2024). Dunne, Peter ; Chen, Yuting. In: Research Technical Papers. RePEc:cbi:wpaper:6/rt/24.

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2025Religion and Economic Development: Past, Present, and Future. (2025). Rubin, Jared ; Becker, Sascha ; Pfaff, Steven ; Panin, Amma. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11724.

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2025Religion and Economic Development: Past, Present, and Future. (2025). Rubin, Jared ; Becker, Sascha ; Pfaff, Steven ; Panin, Amma. In: CAGE Online Working Paper Series. RePEc:cge:wacage:751.

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2024Religion and Growth. (2024). Woessmann, Ludger ; Rubin, Jared ; Becker, Sascha. In: RF Berlin - CReAM Discussion Paper Series. RePEc:crm:wpaper:2402.

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2024Electricity market price forecasting using ELM and Bootstrap analysis: A case study of the German and Finnish Day-Ahead markets. (2024). Loizidis, Stylianos ; Georghiou, George E ; Kyprianou, Andreas. In: Applied Energy. RePEc:eee:appene:v:363:y:2024:i:c:s0306261924004410.

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2025Enhancing electricity price forecasting accuracy: A novel filtering strategy for improved out-of-sample predictions. (2025). Cerasa, Andrea ; Zani, Alessandro. In: Applied Energy. RePEc:eee:appene:v:383:y:2025:i:c:s030626192500087x.

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2025Seasonality and valuation of renewable energy projects in a two factor model. (2025). Best, Rohan ; Trueck, Stefan ; Truong, Chi ; Pitt, David. In: Applied Energy. RePEc:eee:appene:v:389:y:2025:i:c:s030626192500399x.

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2025Univariate and multivariate forecasting of the electricity futures curve using Dynamic Recurrent Neural Networks. (2025). Castello, Oleksandr ; Resta, Marina. In: Applied Energy. RePEc:eee:appene:v:394:y:2025:i:c:s0306261925008128.

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2025The impacts of clan culture on private investment: Financing substitution and human capital accumulation. (2025). Zhang, Yan ; Wang, Xiaoyang. In: Journal of Asian Economics. RePEc:eee:asieco:v:97:y:2025:i:c:s1049007825000089.

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2024Financial boundary conditions in a continuous model with discrete-delay for pricing commodity futures and its application to the gold market. (2024). Martnez-Rodrguez, Julia ; Lpez-Marcos, Miguel Ngel ; Gmez-Valle, Lourdes. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:187:y:2024:i:c:s0960077924010282.

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2025The nexus among geopolitical risk, metal prices, and global supply chain pressure: Evidence from the TVP-SV-VAR approach. (2025). Liu, Yang ; Taghizadeh-Hesary, Farhad ; Jia, Yiqing. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:1776-1789.

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2024Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China. (2024). Song, Yuping ; Xu, Yang ; Zhang, Qichao ; Huang, Jiefei. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001019.

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2024Financial stability policy and downside risk in stock returns. (2024). Yang, Jianlei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001219.

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2024Volatility risk premium, good volatility and bad volatility: Evidence from SSE 50 ETF options. (2024). Li, Zhe ; Xiao, Weilin ; Shen, Jiashuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001311.

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2025The divergence of China’s prices under economic policy uncertainty shock: A time-varying perspective. (2025). Zhang, Yuan ; Xue, Ning ; Long, Shaobo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002705.

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2024Regret-aversion over different maturities: Application to energy futures markets. (2024). Ben Amar, Amine ; Bellalah, Makram ; Clark, Ephraim. In: Economics Letters. RePEc:eee:ecolet:v:241:y:2024:i:c:s0165176524002969.

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2024Measuring tail risk. (2024). Prokopczuk, Marcel ; Dierkes, Maik ; Hollstein, Fabian ; Wursig, Christoph Matthias. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001155.

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2025Fifty years at the interface between financial modeling and operations research. (2025). Fabozzi, Frank J ; Recchioni, Maria Cristina ; Ren, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:1-21.

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2024Culture imprint and gambling preference: Evidence from individual investors trading in the Chinese stock market. (2024). Wang, Ziqiao ; Chen, Xuehong ; Zhang, Xiaotao ; Hao, Jing. In: Emerging Markets Review. RePEc:eee:ememar:v:60:y:2024:i:c:s1566014124000311.

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2024Modern banking development during natural disasters: Evidence from the early 20th century China. (2024). Cai, Yang ; Li, Dongxu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000318.

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2024Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525.

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2025Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects. (2025). Cheng, Mingmian ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001099.

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2024Intermittently coupled electricity markets. (2024). Schneider, Lorenz ; Pierre, Erwan. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000355.

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2024Quantifying the short-term asymmetric effects of renewable energy on the electricity merit-order curve. (2024). Tselika, Maria ; Demetriades, Elias. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001798.

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2024Sentiment and energy price volatility: A nonlinear high frequency analysis. (2024). Uddin, Gazi ; JAWADI, Fredj ; Rozin, Philippe ; Bourghelle, David ; Cheffou, Abdoulkarim Idi. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001737.

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2024Forecasting the Chinese crude oil futures volatility using jump intensity and Markov-regime switching model. (2024). Xu, Zijian ; Li, Pan ; Cao, Jiawei ; Wu, Hanlin. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002962.

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2024Characteristics and influencing factors of risk spillover effects across clean energy stock prices: A comparative analysis during four periods of the COVID-19 pandemic. (2024). Dong, Zhiliang ; Jia, Yanjing. In: Energy Economics. RePEc:eee:eneeco:v:135:y:2024:i:c:s0140988324003529.

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2024Variance dynamics and term structure of the natural gas market. (2024). Wei, Xinyang ; Bhar, Ramaprasad ; Sheng, NI ; Colwell, David B ; Shao, Chengwu. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324004882.

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2024Commodity systemic risk and macroeconomic predictions. (2024). Fang, YI ; Zhao, Yang ; Pei, Tiancheng ; Ouyang, Ruolan. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005152.

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2024Novel and old news sentiment in commodity futures markets. (2024). El-Jahel, Lina ; Chi, Yeguang ; Vu, Thanh. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s014098832400714x.

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2025Risk factors in the formulation of day-ahead electricity prices: Evidence from the Spanish case. (2025). Thomaidis, Nikolaos S ; Paschalidou, Eleftheria G. In: Energy Economics. RePEc:eee:eneeco:v:142:y:2025:i:c:s0140988324008119.

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2025Tail risk premium in the crude oil market. (2025). Li, Shenru. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001057.

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2025Is there a robust hedging method during the COVID-19 pandemic? Evidence from Chinese crude oil futures. (2025). Geng, Qianjie. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001537.

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2025Financial risk management innovation in energy market: Evidence from a machine learning hybrid model. (2025). Lu, Xinjie ; Ma, Feng ; Li, Zepei. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001847.

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2025Storage scarcity and oil price uncertainty. (2025). Kleppe, Tore Selland ; Oglend, Atle. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325002178.

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2025“Brown” Risk or “Green” Opportunity? The dynamic pricing of climate transition risk on global financial markets. (2025). Fliegel, Philip. In: Energy Economics. RePEc:eee:eneeco:v:145:y:2025:i:c:s0140988325002804.

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2025Seasonality and spikes in the natural gas market. (2025). Rotondi, Francesco. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004104.

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2025Navigating crude oil volatility forecasts: Assessing the contribution of geopolitical risk. (2025). Filis, George ; Degiannakis, Stavros ; Delis, Panagiotis. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004189.

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2025Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading. (2025). Weron, Rafał ; Serafin, Tomasz. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004207.

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2025Mean reversion trading on the naphtha crack. (2025). Scaillet, Olivier ; Turquet, Briac ; Bajgrowicz, Pierre. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004475.

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2025The influence of coal price uncertainty on investment and consumption dynamics: Evidence from China. (2025). Lin, Boqiang ; Lan, Tianxu. In: Energy Policy. RePEc:eee:enepol:v:198:y:2025:i:c:s0301421525000242.

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2025How do environmental concerns and global economic conditions affect energy prices?. (2025). ben Jabeur, Sami ; Boubaker, Sabri ; Carmona, Pedro ; Stef, Nicolae. In: Energy Policy. RePEc:eee:enepol:v:204:y:2025:i:c:s0301421525001879.

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2024Dampening energy security-related uncertainties in the United States: The role of green energy-technology investment and operation of transnational corporations. (2024). USMAN, OJONUGWA ; Iorember, Paul Terhemba ; Ozkan, Oktay ; Alola, Andrew Adewale. In: Energy. RePEc:eee:energy:v:289:y:2024:i:c:s036054422303400x.

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2024Forecasting the volatility of crude oil basis: Univariate models versus multivariate models. (2024). Wang, Yudong ; Geng, Qianjie. In: Energy. RePEc:eee:energy:v:295:y:2024:i:c:s0360544224007412.

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2025Sustainability arbitrage pricing of ESG derivatives. (2025). Kanamura, Takashi. In: International Review of Financial Analysis. RePEc:eee:finana:v:104:y:2025:i:pa:s1057521925002649.

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2025What triggers intraday price jumps and co-jumps in gold?. (2025). Sobti, Neharika. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004673.

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2024Bank credit, consumption risk, and the cross-section of expected returns. (2024). Ho, JI. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000358.

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2024Non-standard errors in the cryptocurrency world. (2024). Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

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2024Volatility spillovers and hedging strategies between impact investing and agricultural commodities. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Goodell, John W ; Banerjee, Ameet Kumar. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001698.

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2024Uncertainty and international fund flows: A cross-country analysis. (2024). Gurdgiev, Constantin ; French, Joseph ; Shin, Seungho ; Naka, Atsuyuki. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s105752192400214x.

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2024From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns. (2024). Zhu, Lin ; Tang, Guohao ; Jiang, Fuwei ; Jin, Fujing. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s105752192400365x.

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2025Can factoring business alleviate the seasonal impact on agricultural supply chain enterprises?. (2025). Yan, Kai ; Yao, Dingjun. In: International Review of Financial Analysis. RePEc:eee:finana:v:98:y:2025:i:c:s1057521924008238.

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2024Risk spillovers and optimal hedging in commodity ETFs: A TVP-VAR Approach. (2024). Vasileiou, Evangelos ; Malhotra, Davinder ; Hadad, Elroi. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324014016.

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2025Modeling gasoline price volatility. (2025). Ormos, Mihály ; Kamocsai, Lszl. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324016866.

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2025Forecasting lithium mine output using satellite data. (2025). Hornuf, Lars ; Klerner, Johannes ; Schweizer, Denis ; Vrankar, Daniel. In: Finance Research Letters. RePEc:eee:finlet:v:81:y:2025:i:c:s1544612325006932.

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2025Mean-variance optimization and the cross-section of stock returns. (2025). Lalwani, Vaibhav. In: Global Finance Journal. RePEc:eee:glofin:v:66:y:2025:i:c:s1044028325000572.

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2024Changes in shares outstanding and country stock returns around the world. (2024). Umar, Zaghum ; Chiah, Mardy ; Long, Huaigang ; Zaremba, Adam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001518.

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2024International stock market volatility: A global tail risk sight. (2024). Lu, Xinjie ; Zeng, Qing ; Zhong, Juandan ; Zhu, BO. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001725.

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2024International crash risk premium. (2024). Chen, Steven Shu-Hsiu. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000805.

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2025Managing cryptocurrency risk exposures in equity portfolios: Evidence from high-frequency data. (2025). Leong, Minhao ; Kwok, Simon ; Alexeev, Vitali. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443125000137.

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2024Limit-hitting exciting effects: Modeling jump dependencies in stock markets adhering to daily price-limit rules. (2024). Qi, Shuyuan ; Chen, Jian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:163:y:2024:i:c:s0378426624001018.

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2024Left behind: Partisan identity, stock market participation, and wealth inequality. (2024). Ke, DA. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:164:y:2024:i:c:s0378426624001183.

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2024Behavioral risk profiling: Measuring loss aversion of individual investors. (2024). van Dolder, Dennie ; Vandenbroucke, Jurgen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002073.

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2025Stochastic arbitrage with market index options. (2025). Beare, Brendan ; Zheng, Zhongxi ; Seo, Juwon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:173:y:2025:i:c:s0378426625000160.

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2024Shattered housing. (2024). Karabulut, Yigitcan ; Schafer, Larissa ; Happel, Jonas ; Tuzel, Elale. In: Journal of Financial Economics. RePEc:eee:jfinec:v:156:y:2024:i:c:s0304405x24000588.

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2024The diversification and welfare effects of robo-advising. (2024). Utkus, Stephen ; Rossi, Alberto G. In: Journal of Financial Economics. RePEc:eee:jfinec:v:157:y:2024:i:c:s0304405x24000928.

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2024Intergenerational bankruptcy risks: Learning from parents’ mistakes. (2024). Sing, Tien Foo ; Zhang, Xiaoyu ; Agarwal, Sumit. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:59:y:2024:i:c:s1042957324000159.

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2025The cultural legacy of historical ethnic violence: The impact on access to finance and innovation. (2025). Hou, Wenxuan ; Lu, Jianan. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:61:y:2025:i:c:s1042957324000470.

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2024Metal and energy price uncertainties and the global economy. (2024). Sheen, Jeffrey ; Ponomareva, Natalia ; Wang, Ben Zhe. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000317.

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2024Commodity currencies revisited: The role of global commodity price uncertainty. (2024). Karadimitropoulou, Aikaterini ; Ferrara, Laurent ; Bermpei, Theodora ; Triantafyllou, Athanasios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:145:y:2024:i:c:s0261560624000834.

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2024Tail risk spillover effects in commodity markets: A comparative study of crisis periods. (2024). Karim, Sitara ; Naeem, Muhammad Abubakr ; Hamouda, Foued. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000600.

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2024Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility. (2024). Janzen, Joseph ; Bunek, Gabriel D. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851324000011.

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2024Quantifying spillovers and connectedness among commodities and cryptocurrencies: Evidence from a Quantile-VAR analysis. (2024). Tzeremes, Panayiotis ; Papadamou, Stephanos ; Corbet, Shaen ; Kyriazis, Nikolaos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851324000047.

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2024Blessings or curse: How do media climate change concerns affect commodity tail risk spillovers?. (2024). Pham, Linh ; Kamal, Javed Bin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:34:y:2024:i:c:s2405851324000266.

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2024Weathering market swings: Does climate risk matter for agricultural commodity price predictability?. (2024). Zhou, Mingtao ; Ma, Yong ; Li, Shuaibing. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000424.

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2024When Chinese mania meets global frenzy: Commodity price bubbles. (2024). Fan, John Hua ; Todorova, Neda ; Indriawan, Ivan ; Fernandez-Perez, Adrian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000564.

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2024Food-fuel nexus beyond mean-variance: New evidence from a quantile approach. (2024). Etienne, Xiaoli ; Wang, Linjie ; Li, Jian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000606.

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2025Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market. (2025). Weron, Rafa ; Uniejewski, Bartosz ; Che, Katarzyna. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:37:y:2025:i:c:s2405851324000680.

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2025The midstream amplifier: Risk spillovers in Chinas lithium supply chain from mining to batteries. (2025). Yang, Lanyong ; Dou, Shiquan ; Liu, Gang ; Xu, Deyi ; Zhu, Yongguang. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000157.

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2025Predicting commodity returns: Time series vs. cross sectional prediction models. (2025). Angelidis, Timotheos ; Sakkas, Athanasios ; Tessaromatis, Nikolaos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000194.

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2024Forecasting downside and upside realized volatility: The role of asymmetric information. (2024). Maki, Daiki. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494924000069.

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2025A Continuous-Review Inventory Model: Harnessing the Spot and Futures Price Cointegration for Effective Cost Control. (2025). Li, Cong-Cong ; Ni, Jian. In: Omega. RePEc:eee:jomega:v:137:y:2025:i:c:s0305048325000817.

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2025Macroeconomics, geopolitical risk, and resource commodity price bubbles. (2025). Wu, Haipeng ; Chen, Yiming ; Li, Beibei ; Mao, Xuefeng. In: Resources Policy. RePEc:eee:jrpoli:v:101:y:2025:i:c:s0301420725000200.

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2024Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks. (2024). Hu, Zhihao ; He, Xin-Jiang ; Yue, Jia ; Yang, Ben-Zhang. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:219:y:2024:i:c:p:212-230.

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2025Analytical computation of conditional moments in the extended Cox–Ingersoll–Ross process with regime switching: Hybrid PDE system solutions with financial applications. (2025). Thamrongrat, Nopporn ; Rujivan, Sanae ; Djehiche, Boualem ; Juntanon, Parun. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:229:y:2025:i:c:p:176-202.

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2024Market uncertainty and information content in complex seasonality of prices. (2024). Li, Zhongfei ; Ji, Yuqiong ; Tang, Wenjin ; Bu, Hui. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001811.

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2025Stochastic modelling and forecasting of wind capacity utilization with applications to risk management: The Australian case. (2025). Nikitopoulos, Christina S ; Alfeus, Mesias ; Overbeck, Ludger ; Mwampashi, Muthe M. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x25001064.

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2024The influence of uncertainty on commodity futures returns and trading behaviour. (2024). Smales, Lee ; Laubsch, Joshua ; Vo, Duc. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:98:y:2024:i:c:s1062976924001212.

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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
2021The Natural Gas Announcement Day Puzzle In: The Energy Journal.
[Full Text][Citation analysis]		article4
2017Historical Antisemitism, Ethnic Specialization, and Financial Development In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper63
2017Historical Antisemitism, Ethnic Specialization, and Financial Development.(2017) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 63		paper
2019Historical Antisemitism, Ethnic Specialization, and Financial Development.(2019) In: The Review of Economic Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 63		article
2016Estimating Beta In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article2
2021Pricing analysis of wind power derivatives for renewable energy risk management In: Applied Energy.
[Full Text][Citation analysis]		article12
2015Electricity derivatives pricing with forward-looking information In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article21
2013Electricity Derivatives Pricing with Forward-Looking Information.(2013) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		paper
2012Futures basis, inventory and commodity price volatility: An empirical analysis In: Economic Modelling.
[Full Text][Citation analysis]		article50
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: 50		paper
2013Credit risk in covered bonds In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article18
2015Time-variations in commodity price jumps In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article7
2007Quantifying risk in the electricity business: A RAROC-based approach In: Energy Economics.
[Full Text][Citation analysis]		article9
2013The case of negative day-ahead electricity prices In: Energy Economics.
[Full Text][Citation analysis]		article81
2013The (de)merits of minimum-variance hedging: Application to the crack spread In: Energy Economics.
[Full Text][Citation analysis]		article35
2012The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread.(2012) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 35		paper
2015An empirical model comparison for valuing crack spread options In: Energy Economics.
[Full Text][Citation analysis]		article10
2010An Empirical Model Comparison for Valuing Crack Spread Options.(2010) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2020Economic determinants of oil futures volatility: A term structure perspective In: Energy Economics.
[Full Text][Citation analysis]		article25
2019Economic Determinants of Oil Futures Volatility: A Term Structure Perspective.(2019) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 25		paper
2019Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section In: Journal of Financial Markets.
[Full Text][Citation analysis]		article15
2020The memory of stock return volatility: Asset pricing implications In: Journal of Financial Markets.
[Full Text][Citation analysis]		article10
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: 10		paper
2019Asset prices and “the devil(s) you know” In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article1
2020Curve momentum In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2020Beta uncertainty In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2021The memory of beta In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article1
2022How do corporate bond investors measure performance? Evidence from mutual fund flows In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article3
2022Testing Factor Models in the Cross-Section In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article2
2022Measuring commodity market quality In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article4
2010Commodity derivatives valuation with autoregressive and moving average components in the price dynamics In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article24
2013Seasonality and the valuation of commodity options In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article34
2010Seasonality and the Valuation of Commodity Options.(2010) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2014The importance of the volatility risk premium for volatility forecasting In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article28
2016Seasonal Stochastic Volatility: Implications for the pricing of commodity options In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article27
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: 27		paper
2016Jump and variance risk premia in the S&P 500 In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article12
2017Variance risk in commodity markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article30
2018Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2019International tail risk and World Fear In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article23
2017International Tail Risk and World Fear.(2017) In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		paper
2019The risk premium of gold In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article11
2017The Risk Premium of Gold.(2017) In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2019The economic drivers of commodity market volatility In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article51
2019Jumps in commodity markets In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article20
2017Jumps in Commodity Markets.(2017) In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2021Predictability in commodity markets: Evidence from more than a century In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article9
2013Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article11
2013Estimating term structure models with the Kalman filter In: Chapters.
[Full Text][Citation analysis]		chapter0
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper5
2017The Long Memory of Equity Volatility: International Evidence In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]		paper1
2017How to Estimate Beta? In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]		paper0
2017The Term Structure of Systematic and Idiosyncratic Risk In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]		paper1
2019The term structure of systematic and idiosyncratic risk.(2019) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2017Predicting the Equity Market with Option Implied Variables In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]		paper7
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: 7		article
2018Is Commodity Index Investing Profitable? In: Hannover Economic Papers (HEP).
[Citation analysis]		paper6
2019The Memory of Beta Factors In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]		paper0
2020The Long Memory of Equity Volatility and the Macroeconomy: International Evidence In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]		paper2
2020The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas In: Management Science.
[Full Text][Citation analysis]		article17
2021Non-Standard Errors In: Working Papers.
[Full Text][Citation analysis]		paper14
2007Integrating Multiple Commodities in a Model of Stochastic Price Dynamics In: MPRA Paper.
[Full Text][Citation analysis]		paper9
2009Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
2010American Option Valuation: Implied Calibration of GARCH Pricing-Models In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		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]		paper16
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: 16		article
2011The Dynamics of Commodity Prices In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper53
2013The dynamics of commodity prices.(2013) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 53		article
2014An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
2015Distrust in Finance Lingers: Jewish Persecution and Households Investments In: 2015 Meeting Papers.
[Full Text][Citation analysis]		paper3
2011Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets In: Decisions in Economics and Finance.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		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]		article31
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: 31		paper
2013Electricity Spot and Derivatives Pricing when Markets are Interconnected In: Working Papers on Finance.
[Full Text][Citation analysis]		paper1
2015Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach In: Working Papers on Finance.
[Full Text][Citation analysis]		paper2
2015Booms and Busts in Commodity Markets: Bubbles or Fundamentals? In: Journal of Futures Markets.
[Full Text][Citation analysis]		article32
2016Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets In: Journal of Futures Markets.
[Full Text][Citation analysis]		article92
2020Volatility term structures in commodity markets In: Journal of Futures Markets.
[Full Text][Citation analysis]		article9
2021The dynamics of commodity return comovements In: Journal of Futures Markets.
[Full Text][Citation analysis]		article7
2023Commodity tail risks In: Journal of Futures Markets.
[Full Text][Citation analysis]		article1
2013COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article3
2021Anomalies in Commodity Futures Markets In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]		article2
2020Electricity Market Coupling in Europe: Status Quo and Future Challenges In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team