Marcel Prokopczuk : Citation Profile

Are you Marcel Prokopczuk?

Leibniz Universität Hannover

18

H index

24

i10 index

872

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: 54
   Journals where Marcel Prokopczuk has often published
   Relations with other researchers
   Recent citing documents: 151.    Total self citations: 31 (3.43 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppr113
   Updated: 2024-11-04    RAS profile: 2023-01-09    
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Relations with other researchers

Works with:

Sibbertsen, Philipp (4)

Ranaldo, Angelo (2)

Xiu, Dacheng (2)

Pelizzon, Loriana (2)

Abudy, Menachem (2)

Chow, Nikolai Sheung-Chi (2)

Reitz, Stefan (2)

Bjønnes, Geir (2)

Taylor, Nick (2)

Lof, Matthijs (2)

Ferrara, Gerardo (2)

Walther, Thomas (2)

Caporin, Massimiliano (2)

Adrian, Tobias (2)

Frijns, Bart (2)

Ait-Sahalia, Yacine (2)

Huang, Wenqian (2)

Gehrig, Thomas (2)

Gorbenko, Arseny (2)

Xia, Shuo (2)

Gerritsen, Dirk (2)

Moinas, Sophie (2)

Roy, Saurabh (2)

Scaillet, Olivier (2)

Smales, Lee (2)

LINTON, OLIVER (2)

Nikitopoulos-Sklibosios, Christina (2)

Jurkatis, Simon (2)

Kassner, Bernhard (2)

Mihet, Roxana (2)

Hurlin, Christophe (2)

Brownlees, Christian (2)

Schwarz, Marco (2)

Lajaunie, Quentin (2)

Rakowski, David (2)

Nielsson, Ulf (2)

Degryse, Hans (2)

Hjalmarsson, Erik (2)

Ødegaard, Bernt (2)

Shachar, Or (2)

Schenk-Hoppé, Klaus (2)

Dreber, Anna (2)

Zhou, Chen (2)

Bos, Charles (2)

Patton, Andrew (2)

Voigt, Stefan (2)

Roy, Saurabh (2)

Sarno, Lucio (2)

Frömmel, Michael (2)

Lopez-Lira, Alejandro (2)

van Kervel, Vincent (2)

Hautsch, Nikolaus (2)

Johannesson, Magnus (2)

Foucault, Thierry (2)

Kearney, Fearghal (2)

Palan, Stefan (2)

He, Xuezhong (Tony) (2)

Davies, Ryan (2)

Deku, Solomon (2)

PASCUAL, ROBERTO (2)

Verousis, Thanos (2)

Renault, Thomas (2)

Vogel, Sebastian (2)

Alexeev, Vitali (2)

Deev, Oleg (2)

Putnins, Talis (2)

CAPELLE-BLANCARD, Gunther (2)

Regis, Luca (2)

Horenstein, Alex (2)

Harris, Jeffrey (2)

Bouri, Elie (2)

Stefanova, Denitsa (2)

FERROUHI, EL MEHDI (2)

Park, Andreas (2)

Chernov, Mikhail (2)

Pasquariello, Paolo (2)

Wolff, Christian (2)

Heath, Davidson (2)

Jalkh, Naji (2)

Sojli, Elvira (2)

Füllbrunn, Sascha (2)

Rinne, Kalle (2)

Menkveld, Albert (2)

Colliard, Jean-Edouard (2)

Tonks, Ian (2)

Wong, Wing-Keung (2)

Söderlind, Paul (2)

Schuerhoff, Norman (2)

Pastor, Lubos (2)

Holzmeister, Felix (2)

Zhang, S. Sarah (2)

Dimpfl, Thomas (2)

Theissen, Erik (2)

Korajczyk, Robert (2)

Dumitrescu, Ariadna (2)

Vilkov, Grigory (2)

Talavera, Oleksandr (2)

Bohorquez Correa, Santiago (2)

Wilhelmsson, Anders (2)

Patel, Vinay (2)

Liew, Chee (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)

Rubin, Jared (13)

Woessmann, Ludger (13)

Filis, George (12)

Salisu, Afees (11)

Afanasyev, Dmitriy (9)

Vargiolu, Tiziano (9)

Cites to:

Bollerslev, Tim (49)

French, Kenneth (37)

Fama, Eugene (35)

West, Kenneth (21)

Stambaugh, Robert (19)

Newey, Whitney (18)

Cao, Charles (18)

Bekaert, Geert (18)

Chen, Zhiwu (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
Journal of Empirical Finance2
Journal of Financial Markets2
Journal of Commodity Markets2
Quantitative Finance2
The European Journal of 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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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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2023Religion and Growth. (2023). Woessmann, Ludger ; Rubin, Jared ; Becker, Sascha. In: CEH Discussion Papers. RePEc:auu:hpaper:114.

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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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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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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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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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2023Probability distortions, collectivism, and international stock prices. (2023). Sejdiu, Vulnet ; Hollstein, Fabian. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000503.

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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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2023Pandemics and financial development: A lesson from the 1918 influenza pandemic. (2023). , Brian ; Li, Mao ; Hou, Wenxuan ; Liu, Xiao Fan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:83:y:2023:i:c:s0929119923001475.

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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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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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2024Predictability of tail risks of Canada and the U.S. Over a Century: The role of spillovers and oil tail Risks?. (2022). Salisu, Afees ; Pierdzioch, Christian ; GUPTA, RANGAN. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002163.

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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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2023The commodity risk premium and neural networks. (2023). faff, robert ; Yew, Rand Kwong ; Rad, Hossein ; Miffre, Joelle. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001007.

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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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2023Whos afraid of a Texas hedge?. (2023). Vedenov, Dmitry ; Power, Gabriel J. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pb:s0140988323005674.

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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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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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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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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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2023Tail risk of international equity market and oil volatility. (2023). Tang, Yusui ; Cao, Wenhan ; Zhong, Juandan. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323007377.

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2023Predicting gold volatility: Exploring the impact of extreme risk in the international commodity market. (2023). Zhong, Juandan ; Tang, Yusui. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323008632.

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2023The international integration of the term structure of expected market risk premia. (2023). Vaello-Sebastia, Antoni ; Serrano, Pedro ; Rubio, Gonzalo. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323010504.

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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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2024Commodity return predictability: Evidence from implied variance, skewness, and their risk premia??. (2022). Haas, Jose Renato ; Finta, Marinela Adriana. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000543.

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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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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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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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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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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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2023The role of higher moments in predicting Chinas oil futures volatility: Evidence from machine learning models. (2023). Gao, Wang ; Zhao, Xinyi ; Zhang, Hongwei ; Niu, Zibo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000429.

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2023Exploring volatility of crude oil intraday return curves: A functional GARCH-X model. (2023). Wirjanto, Tony ; Rice, Gregory ; Zhao, Yuqian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s240585132300051x.

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2023Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach. (2023). Herrera, Rodrigo ; Gaete, Michael. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000533.

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2023Hedging with futures during nonconvergence in commodity markets. (2023). Karali, Berna ; Goswami, Alankrita ; Adjemian, Michael. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000545.

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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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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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2023Economic policy uncertainty, COVID-19 and corporate investment: Evidence from the gold mining industry. (2023). Rustamov, Bezhan ; Gokmenoglu, Korhan K ; Klayme, Tania. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723004981.

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2023Does market sentiment and global uncertainties influence ESG-oil nexus? A time-frequency analysis. (2023). Mishra, Sibanjan ; Bhattacherjee, Purba ; Kang, Sang Hoon. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723008413.

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2023Can U.S. strategic petroleum reserves calm a tight market exacerbated by the Russia–Ukraine conflict?. (2023). Razek, Noha ; Galvani, Valentina ; McQuinn, Brian ; Rajan, Surya. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pb:s0301420723007730.

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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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2023International stock return predictability: The role of U.S. uncertainty spillover. (2023). Yu, Jiasheng ; Liu, Hongkui ; Jiang, Fuwei ; Zhang, Huajing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002329.

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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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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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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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2023Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum. (2023). Sanhaji, Bilel ; Chevallier, Julien. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:3:p:19-:d:1214066.

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2023Economic Evaluation of a 1 MW el Capacity Power-to-Biomethane System. (2023). Balogh, Peter ; Bai, Attila ; Gabnai, Zoltan ; Singh, Amit ; Prajapati, Sanjeev Kumar ; Pinter, Gabor ; Sinoros-Szabo, Botond ; Csed, Zoltan ; Nagy, Adrian. 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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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]		article2
2017Historical Antisemitism, Ethnic Specialization, and Financial Development In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper51
2017Historical Antisemitism, Ethnic Specialization, and Financial Development.(2017) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 51		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: 51		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]		article7
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
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]		article77
2013The (de)merits of minimum-variance hedging: Application to the crack spread In: Energy Economics.
[Full Text][Citation analysis]		article32
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: 32		paper
2015An empirical model comparison for valuing crack spread options In: Energy Economics.
[Full Text][Citation analysis]		article9
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: 9		paper
2020Economic determinants of oil futures volatility: A term structure perspective In: Energy Economics.
[Full Text][Citation analysis]		article18
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: 18		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]		article12
2020The memory of stock return volatility: Asset pricing implications In: Journal of Financial Markets.
[Full Text][Citation analysis]		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.
[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]		article0
2022Testing Factor Models in the Cross-Section In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
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]		article23
2013Seasonality and the valuation of commodity options In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article25
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: 25		paper
2014The importance of the volatility risk premium for volatility forecasting In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article24
2016Seasonal Stochastic Volatility: Implications for the pricing of commodity options In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article21
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: 21		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]		article27
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]		article21
2017International Tail Risk and World Fear.(2017) In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		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]		article40
2019Jumps in commodity markets In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article16
2017Jumps in Commodity Markets.(2017) In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2021Predictability in commodity markets: Evidence from more than a century In: Journal of Commodity Markets.
[Full Text][Citation analysis]		article4
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]		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).
[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]		article9
2021Non-Standard Errors In: Working Papers.
[Full Text][Citation analysis]		paper9
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]		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.
[Full Text][Citation analysis]		paper48
2013The dynamics of commodity prices.(2013) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 48		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]		article28
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: 28		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]		article26
2016Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets In: Journal of Futures Markets.
[Full Text][Citation analysis]		article85
2020Volatility term structures in commodity markets In: Journal of Futures Markets.
[Full Text][Citation analysis]		article5
2021The dynamics of commodity return comovements In: Journal of Futures Markets.
[Full Text][Citation analysis]		article4
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]		article1
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 November, 3 2024. Contact: CitEc Team