Publications
- 2017
- Published
The long memory of equity volatility: international evidence
Nguyen, D. B. B., Prokopczuk, M. & Sibbertsen, P., 2017, [Hannover], (Hannover economic papers (HEP); vol. Nummer: 614 (Nov 2017)).Research output: Working paper/Preprint › Working paper/Discussion paper
- 2016
- Published
Prediction of extreme price occurrences in the German day-ahead electricity market
Hagfors, L. I., Kamperud, H. H., Paraschiv, F., Prokopczuk, M., Sator, A. & Westgaard, S., 1 Dec 2016, In: Quantitative Finance. 16, 12, p. 1929-1948 20 p.Research output: Contribution to journal › Article › Research › peer review
- Published
A moment-based analytic approximation of the risk-neutral density of American options
Arismendi, J. C. & Prokopczuk, M., 1 Nov 2016, In: Applied Mathematical Finance. 23, 6, p. 409-444 36 p.Research output: Contribution to journal › Article › Research › peer review
- Published
Estimating Beta
Hollstein, F. & Prokopczuk, M., Aug 2016, In: Journal of Financial and Quantitative Analysis. 51, 4, p. 1437-1466 30 p.Research output: Contribution to journal › Article › Research › peer review
- Published
Seasonal Stochastic Volatility: Implications for the pricing of commodity options
Arismendi, J. C., Back, J., Prokopczuk, M., Paschke, R. & Rudolf, M., May 2016, In: Journal of Banking and Finance. 66, p. 53-65 13 p.Research output: Contribution to journal › Article › Research › peer review
- Published
Letter from the editors
Prokopczuk, M., Simkins, B. J. & Westgaard, S., 1 Mar 2016, In: Journal of Commodity Markets. 1, 1, p. 1-2 2 p.Research output: Contribution to journal › Editorial in journal › Research
- Published
Jump and variance risk premia in the S&P 500
Neumann, M., Prokopczuk, M. & Wese Simen, C., 1 Jan 2016, In: Journal of Banking and Finance. 69, p. 72-83 12 p.Research output: Contribution to journal › Article › Research › peer review
- 2015
- Published
Booms and Busts in Commodity Markets: Bubbles or Fundamentals?
Brooks, C., Prokopczuk, M. & Wu, Y., 1 Oct 2015, In: Journal of Futures Markets. 35, 10, p. 916-938 23 p.Research output: Contribution to journal › Article › Research › peer review
- Published
An empirical model comparison for valuing crack spread options
Mahringer, S. & Prokopczuk, M., 1 Sept 2015, In: Energy Economics. 51, p. 177-187 11 p.Research output: Contribution to journal › Article › Research › peer review
- Published
Electricity derivatives pricing with forward-looking information
Füss, R., Mahringer, S. & Prokopczuk, M., 1 Sept 2015, In: Journal of Economic Dynamics and Control. 58, p. 34-57 24 p.Research output: Contribution to journal › Article › Research › peer review
- Published
Time-variations in commodity price jumps
Diewald, L., Prokopczuk, M. & Wese Simen, C., 1 Mar 2015, In: Journal of Empirical Finance. 31, p. 72-84 13 p.Research output: Contribution to journal › Article › Research › peer review
- Published
The dynamics of commodity prices
Brooks, C. & Prokopczuk, M., 1 Jan 2015, Commodities. p. 501-522 22 p.Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research › peer review
- 2014
- Published
Energy Pricing Models: Recent Advances, Methods, and Tools
Prokopczuk, M., 2014, Palgrave Macmillan Ltd.Research output: Book/Report › Anthology › Research
- 2009
- Published
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics
Paschke, R. & Prokopczuk, M., 2009, In: Journal of Energy Markets. 2, 3, p. 47 85 p.Research output: Contribution to journal › Article › Research › peer review