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Prof. Dr.  Marcel Prokopczuk

https://orcid.org/0000-0003-4886-2729
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Publications

  1. 2017

  2. Variance risk in commodity markets

    Prokopczuk, M., Symeonidis, L. & Wese Simen, C., Aug 2017, In: Journal of Banking and Finance. 81, p. 136-149 14 p.

    Research output: Contribution to journal › Article › Research › peer review

  3. 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

  4. 2016
  5. 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

  6. 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

  7. Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets

    Prokopczuk, M., Symeonidis, L. & Wese Simen, C., 1 Aug 2016, In: Journal of Futures Markets. 36, 8, p. 758-792 35 p.

    Research output: Contribution to journal › Article › Research › peer review

  8. 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

  9. 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

  10. 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

  11. 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

  12. 2015
  13. 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

  14. 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

  15. 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

  16. 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

  17. 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

  18. 2014

  19. The importance of the volatility risk premium for volatility forecasting

    Prokopczuk, M. & Wese Simen, C., Mar 2014, In: Journal of Banking and Finance. 40, 1, p. 303-320 18 p.

    Research output: Contribution to journal › Article › Research › peer review

  20. Published

    Energy Pricing Models: Recent Advances, Methods, and Tools

    Prokopczuk, M., 2014, Palgrave Macmillan Ltd.

    Research output: Book/Report › Anthology › Research

  21. 2013

  22. Commodity price dynamics and derivative valuation: A review

    Back, J. & Prokopczuk, M., 1 Sept 2013, In: International Journal of Theoretical and Applied Finance. 16, 6, 1350032.

    Research output: Contribution to journal › Article › Research › peer review

  23. Estimating term structure models with the kalman filter

    Prokopczuk, M. & Wu, Y., 30 Apr 2013, Handbook of Research Methods and Applications in Empirical Finance. Edward Elgar Publishing Ltd., p. 97-113 17 p.

    Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research

  24. Handbook of research methods and applications in empirical finance

    Bell, A. R., Brooks, C. & Prokopczuk, M., 30 Apr 2013, Edward Elgar Publishing Ltd. 481 p.

    Research output: Book/Report › Anthology › Research

  25. The dynamics of commodity prices

    Brooks, C. & Prokopczuk, M., 1 Apr 2013, In: Quantitative Finance. 13, 4, p. 527-542 16 p.

    Research output: Contribution to journal › Article › Research › peer review

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