Marcel Prokopczuk : Citation Profile

Leibniz Universität Hannover

18

H index

25

i10 index

933

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: 58
   Journals where Marcel Prokopczuk has often published
   Relations with other researchers
   Recent citing documents: 100.    Total self citations: 31 (3.22 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppr113
   Updated: 2025-04-19    RAS profile: 2023-01-09    
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Relations with other researchers

Works with:

Sibbertsen, Philipp (3)

Söderlind, Paul (2)

Renault, Thomas (2)

Bos, Charles (2)

Vilkov, Grigory (2)

Kearney, Fearghal (2)

Hautsch, Nikolaus (2)

Zhang, S. Sarah (2)

Dumitrescu, Ariadna (2)

Verousis, Thanos (2)

Heath, Davidson (2)

Palan, Stefan (2)

Wolff, Christian (2)

Reitz, Stefan (2)

Deev, Oleg (2)

Horenstein, Alex (2)

Gehrig, Thomas (2)

Gorbenko, Arseny (2)

Smales, Lee (2)

Lajaunie, Quentin (2)

Patel, Vinay (2)

Ferrara, Gerardo (2)

Ait-Sahalia, Yacine (2)

Frömmel, Michael (2)

Tonks, Ian (2)

Bohorquez Correa, Santiago (2)

Liew, Chee (2)

Jurkatis, Simon (2)

Bjønnes, Geir (2)

Pelizzon, Loriana (2)

Schenk-Hoppé, Klaus (2)

Shachar, Or (2)

Ranaldo, Angelo (2)

Vogel, Sebastian (2)

PASCUAL, ROBERTO (2)

Degryse, Hans (2)

Schuerhoff, Norman (2)

Holzmeister, Felix (2)

Walther, Thomas (2)

Regis, Luca (2)

Kassner, Bernhard (2)

Korajczyk, Robert (2)

Foucault, Thierry (2)

Wilhelmsson, Anders (2)

Füllbrunn, Sascha (2)

Voigt, Stefan (2)

Scaillet, Olivier (2)

Xiu, Dacheng (2)

Hurlin, Christophe (2)

Abudy, Menachem (2)

Deku, Solomon (2)

Hjalmarsson, Erik (2)

Roy, Saurabh (2)

Brownlees, Christian (2)

Theissen, Erik (2)

Roy, Saurabh (2)

Jalkh, Naji (2)

Chernov, Mikhail (2)

Zhou, Chen (2)

Alexeev, Vitali (2)

Davies, Ryan (2)

Stefanova, Denitsa (2)

Adrian, Tobias (2)

CAPELLE-BLANCARD, Gunther (2)

Nielsson, Ulf (2)

Talavera, Oleksandr (2)

Dimpfl, Thomas (2)

Dreber, Anna (2)

Gerritsen, Dirk (2)

Pastor, Lubos (2)

Rakowski, David (2)

Xia, Shuo (2)

Lof, Matthijs (2)

Lopez-Lira, Alejandro (2)

Sojli, Elvira (2)

Schwarz, Marco (2)

Bouri, Elie (2)

LINTON, OLIVER (2)

Taylor, Nick (2)

Mihet, Roxana (2)

Menkveld, Albert (2)

Harris, Jeffrey (2)

Johannesson, Magnus (2)

Park, Andreas (2)

Patton, Andrew (2)

Moinas, Sophie (2)

van Kervel, Vincent (2)

He, Xuezhong (Tony) (2)

Frijns, Bart (2)

Huang, Wenqian (2)

Pasquariello, Paolo (2)

Caporin, Massimiliano (2)

Putnins, Talis (2)

Wong, Wing-Keung (2)

Colliard, Jean-Edouard (2)

FERROUHI, EL MEHDI (2)

Ødegaard, Bernt (2)

Rinne, Kalle (2)

Sarno, Lucio (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 (18)

Degiannakis, Stavros (16)

Pierdzioch, Christian (16)

Becker, Sascha (14)

Woessmann, Ludger (13)

Rubin, Jared (13)

Filis, George (12)

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)

Bekaert, Geert (18)

Newey, Whitney (18)

Cao, Charles (18)

Symeonidis, Lazaros (17)

Campbell, John (17)

Main data

Production by document typearticlechapterpaper20072008200920102011201220132014201520162017201820192020202120222023051015Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published200720082009201020112012201320142015201620172018201920202021202220230255075100Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received201120122013201420152016201720182019202020212022202320242025050100150Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year200720082009201020112012201320142015201620172018201920202021202220230100200300Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 18Most cited documents1234567891011121314151617181920050100Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250320250401020h-index Highcharts.comExport to raster or vector imagePrint the chart

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 Commodity Markets2
The European Journal of Finance2
Journal of Empirical Finance2
Journal of Financial Markets2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Hannover Economic Papers (HEP) / Leibniz Universit�t Hannover, Wirtschaftswissenschaftliche Fakult�t11
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)

Year  ↓Title of citing document  ↓
2024Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2023). 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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2025Religion and Economic Development: Past, Present, and Future. (2025). Pfaff, Steven ; Rubin, Jared ; Panin, Amma ; Becker, Sascha O. In: CEH Discussion Papers. RePEc:auu:hpaper:129.

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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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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 ; Pfaff, Steven ; Panin, Amma ; Becker, Sascha O. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11724.

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

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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). Georghiou, George E ; Kyprianou, Andreas ; Loizidis, Stylianos. In: Applied Energy. RePEc:eee:appene:v:363:y:2024:i:c:s0306261924004410.

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

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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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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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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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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). Demetriades, Elias ; Tselika, Maria. 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 ; Rozin, Philippe ; Bourghelle, David ; Jawadi, Fredj ; Cheffou, Abdoulkarim Idi. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001737.

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2024Variance dynamics and term structure of the natural gas market. (2024). Bhar, Ramaprasad ; Sheng, NI ; Colwell, David B ; Shao, Chengwu ; Wei, Xinyang. 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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2024Dampening energy security-related uncertainties in the United States: The role of green energy-technology investment and operation of transnational corporations. (2024). USMAN, OJONUGWA ; Ozkan, Oktay ; Iorember, Paul Terhemba ; 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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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). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. 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 ; Goodell, John W ; Akhtaruzzaman, MD ; 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 ; Naka, Atsuyuki ; Shin, Seungho ; French, Joseph J. 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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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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2024Changes in shares outstanding and country stock returns around the world. (2024). Zaremba, Adam ; Chiah, Mardy ; Long, Huaigang ; Umar, Zaghum. 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). Zhu, BO ; Zhong, Juandan ; Zeng, Qing ; Lu, Xinjie. 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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2024Behavioral risk profiling: Measuring loss aversion of individual investors. (2024). Vandenbroucke, Jurgen ; van Dolder, Dennie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002073.

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

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2024Tail risk spillover effects in commodity markets: A comparative study of crisis periods. (2024). Karim, Sitara ; Hamouda, Foued ; Naeem, Muhammad Abubakr. 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 P ; 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 ; Corbet, Shaen ; Papadamou, Stephanos ; Kyriazis, Nikolaos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851324000047.

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

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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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2024On the transmission mechanism between the inventory arbitrage activity, speculative activity and the commodity price under the US QE policy: Evidence from a TVP-VAR model. (2024). Alexiou, Constantinos ; Yao, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1054-1072.

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2024Asymmetric effect of trading volume on realized volatility. (2024). Maki, Daiki. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003800.

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2024Futures markets and the baltic dry index: A prediction study based on deep learning. (2024). Nie, Yufei ; Kim, Woohyoung ; Su, Miao ; Yang, Lin ; Li, Jiankun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s027553192400240x.

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2025.

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2024Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07.

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2025The Sources of Researcher Variation in Economics. (2025). Gallegos, Sebastian ; Huntington-Klein, Nick ; Portner, Claus C. In: IZA Discussion Papers. RePEc:iza:izadps:dp17744.

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2025Religion and Economic Development: Past, Present, and Future. (2025). Rubin, Jared ; Pfaff, Steven ; Panin, Amma ; Becker, Sascha O. In: IZA Discussion Papers. RePEc:iza:izadps:dp17747.

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2024Carbon Taxation and Electricity Price Dynamics: Empirical Evidence from the Australian Market. (2024). Comincioli, Nicola ; Guerini, Mattia ; Vergalli, Sergio. In: Environmental & Resource Economics. RePEc:kap:enreec:v:87:y:2024:i:12:d:10.1007_s10640-024-00908-4.

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2024Seasonal volatility in agricultural markets: modelling and empirical investigations. (2024). Schneider, L ; Tavin, B. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-021-04241-7.

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2024Exogeneous shocks, risk, and market convergence of real alternative and financial assets: evidence from nonlinear dynamics. (2024). Fur, Eric ; Faye, Benot ; Prat, Stphanie. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-021-04510-5.

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2024Seasonality in commodity prices: new approaches for pricing plain vanilla options. (2024). Fanelli, Viviana ; Frau, Carme. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05128-x.

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2024Commodity Asian option pricing and simulation in a 4-factor model with jump clusters. (2024). Brignone, Riccardo ; Sgarra, Carlo ; Gonzato, Luca. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05152-x.

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2025Qualitative financial modelling in fractal dimensions. (2025). Anukool, Waranont ; El-Nabulsi, Rami Ahmad. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00723-2.

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2024Fundamental predictors of price bubbles in precious metals: a machine learning analysis. (2024). Kangalli, Sinem Guler ; Balkan, Emrah ; Uyar, Umut. In: Mineral Economics. RePEc:spr:minecn:v:37:y:2024:i:1:d:10.1007_s13563-023-00404-z.

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2024.

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2024Can night trading reduce price volatility? Evidence from Chinas corn and corn starch futures markets. (2024). Li, Miao ; Xiong, Tao ; Xia, Weiyi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:4:p:585-604.

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2024.

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2024Risky times: Seasonality and event risk of commodities. (2024). Boos, Dominik. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:5:p:767-783.

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2025Religion and Economic Development: Past, Present, and Future. (2025). Becker, Sascha O ; Panin, Amma ; Pfaff, Steven ; Rubin, Jared. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1550.

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2024.

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2025.

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2024A note on the use of syndicated loan data. (2022). Tonzer, Lena ; Noth, Felix ; Muller, Isabella. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022.

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Marcel Prokopczuk is editor of

Journal  ↓  ↓
Journal of Commodity Markets

Marcel Prokopczuk has edited the books:

Year  ↓Title  ↓Type  ↓Cited  ↓

Works by Marcel Prokopczuk:

Year  ↓Title  ↓Type  ↓Cited  ↓
2021The Natural Gas Announcement Day Puzzle In: The Energy Journal.
[Full Text][Citation analysis]		article2
2017Historical Antisemitism, Ethnic Specialization, and Financial Development In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper61
2017Historical Antisemitism, Ethnic Specialization, and Financial Development.(2017) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 61		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: 61		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]		article8
2015Electricity derivatives pricing with forward-looking information In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article20
2013Electricity Derivatives Pricing with Forward-Looking Information.(2013) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2012Futures basis, inventory and commodity price volatility: An empirical analysis In: Economic Modelling.
[Full Text][Citation analysis]		article43
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: 43		paper
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