Marcel Prokopczuk

Leibniz Universität Hannover - Faculty of Economics and Management

Koenigsworther Platz 1

Hannover, 30167

Germany

University of Reading - ICMA Centre

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

SCHOLARLY PAPERS

66

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115

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46

Ideas:
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Scholarly Papers (66)

1.

Estimating Beta

Journal of Financial and Quantitative Analysis (JFQA), Volume 51, Issue 4 (2016)
Number of pages: 78 Posted: 15 Dec 2014 Last Revised: 05 Jan 2017
Fabian Hollstein, Marcel Prokopczuk and Marcel Prokopczuk
Leibniz University Hannover - School of Economics and Management and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 1,265 (20,553)

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Beta estimation, Implied beta

2.

Variance Risk in Commodity Markets

Journal of Banking and Finance, Vol. 81, 2017
Number of pages: 46 Posted: 04 Jan 2013 Last Revised: 21 Mar 2019
Marcel Prokopczuk, Marcel Prokopczuk, Lazaros Symeonidis and Chardin Wese Simen
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 1,112 (24,863)
Citation 20

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commodities, variance risk premia, variance swaps

3.

The Dynamics of Commodity Prices

Quantitative Finance, Vol. 13, No. 4, 2013
Number of pages: 42 Posted: 23 May 2011 Last Revised: 29 Dec 2013
Chris Brooks, Marcel Prokopczuk and Marcel Prokopczuk
University of Reading - ICMA Centre and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 884 (34,395)
Citation 6

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Commodity prices, stochastic volatility, jumps, Markov Chain Monte Carlo

4.

Investing in Commodity Futures Markets: Can Pricing Models Help?

European Journal of Finance, Vol. 18, No. 1-2, 2012
Number of pages: 41 Posted: 27 Feb 2009 Last Revised: 24 Apr 2012
Raphael Paschke, Marcel Prokopczuk and Marcel Prokopczuk
University of Mannheim - Department of Business Administration and Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 745 (43,553)
Citation 2

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Commodity Investment, Futures, Crude Oil, Copper, Silver, Gold

5.

Integrating Multiple Commodities in a Model of Stochastic Price Dynamics

Journal of Energy Markets, Vol. 2, No. 3, 2009
Number of pages: 41 Posted: 06 Mar 2008 Last Revised: 24 Apr 2012
Raphael Paschke, Marcel Prokopczuk and Marcel Prokopczuk
University of Mannheim - Department of Business Administration and Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 737 (44,216)
Citation 4

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Commodities, Integrated Model, Futures, Kalman Filter, Crude Oil

6.

Seasonality and the Valuation of Commodity Options

Journal of Banking and Finance, Vol. 37, No. 2, 2013
Number of pages: 61 Posted: 29 Nov 2009 Last Revised: 02 Jan 2013
Janis Back, Marcel Prokopczuk, Marcel Prokopczuk and Markus Rudolf
WHU - Otto Beisheim School of Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and WHU Otto Beisheim Graduate School of Management
Downloads 698 (47,530)
Citation 9

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Commodities, Seasonality, Options Pricing

7.

Credit Risk in Covered Bonds

Journal of Empirical Finance, Vol. 21, No. 1, 2013
Number of pages: 46 Posted: 04 Oct 2010 Last Revised: 29 Dec 2013
Marcel Prokopczuk, Marcel Prokopczuk, Jan B. Siewert and Volker Vonhoff
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Unversity of Mannheim – Center for Doctoral Studies in Business and University of Mannheim - Department of Business Administration and Finance
Downloads 683 (48,928)
Citation 4

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Covered Bonds, Credit Risk, Cover Pool, Financial Crisis, Pfandbrief

8.

Systemic Risk: Is the Banking Sector Special?

Number of pages: 39 Posted: 24 May 2010
Wolfgang Bühler, Wolfgang Bühler, Marcel Prokopczuk and Marcel Prokopczuk
University of New South Wales, Australian Business SchoolUniversity of Mannheim - Department of Business Administration and Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 666 (50,566)
Citation 7

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G21, G15, G28, G11

9.

Commodity Price Dynamics and Derivatives Valuation: A Review

International Journal of Theoretical and Applied Finance, Vol. 16, No. 6, 2013
Number of pages: 39 Posted: 22 Aug 2012 Last Revised: 29 Dec 2013
Janis Back, Marcel Prokopczuk and Marcel Prokopczuk
WHU - Otto Beisheim School of Management and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 637 (53,596)
Citation 2

Abstract:

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commodities, derivatives, review

10.

Commodity Futures Prices: More Evidence on Forecast Power, Risk Premia and the Theory of Storage

Quarterly Review of Economics and Finance, Vol. 53, No. 1, 2013
Number of pages: 35 Posted: 25 Oct 2011 Last Revised: 29 Dec 2013
Chris Brooks, Marcel Prokopczuk, Marcel Prokopczuk and Yingying Wu
University of Reading - ICMA Centre, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Xi'an Jiaotong Liverpool University
Downloads 592 (58,854)
Citation 2

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commodity futures, theory of storage, risk premia

11.

Pricing and Hedging in the Freight Futures Market

Journal of Futures Markets, Vol. 31, No. 5, 2011
Number of pages: 36 Posted: 06 Mar 2010 Last Revised: 26 Apr 2012
Marcel Prokopczuk and Marcel Prokopczuk
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 582 (60,061)
Citation 1

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Freight Futures, Hedging, Shipping Derivatives, Imarex

12.

The Importance of the Volatility Risk Premium for Volatility Forecasting

Journal of Banking and Finance, Vol. 40, 2014
Number of pages: 50 Posted: 21 Mar 2013 Last Revised: 15 Jun 2014
Marcel Prokopczuk, Marcel Prokopczuk and Chardin Wese Simen
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 559 (63,235)
Citation 9

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volatility forecasting, volatility risk premium, implied volatility

13.

Futures Basis, Inventory and Commodity Price Volatility: An Empirical Analysis

Economic Modelling, Vol. 29, No. 6, 2012
Number of pages: 36 Posted: 25 Oct 2011 Last Revised: 02 Jan 2013
Lazaros Symeonidis, Marcel Prokopczuk, Marcel Prokopczuk, Chris Brooks and Emese Lazar
Essex Business School, University of Essex, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 495 (73,577)
Citation 8

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Forward curves, scarcity, commodity price volatility, theory of storage, convenience yield

14.

How Robust are Empirical Factor Models to the Choice of Breakpoints?

Number of pages: 45 Posted: 20 Sep 2021 Last Revised: 28 Sep 2021
Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk and Victoria Voigts
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 474 (77,567)

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Asset Pricing, Factors, Replication, Breakpoint Analysis, Robustness

15.

Commodity Derivatives Valuation with Autoregressive and Moving Average Components in the Price Dynamics

Journal of Banking and Finance, Vol. 34, No. 11, 2010
Number of pages: 36 Posted: 22 Jul 2009 Last Revised: 26 Apr 2012
Raphael Paschke, Marcel Prokopczuk and Marcel Prokopczuk
University of Mannheim - Department of Business Administration and Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 435 (85,893)
Citation 5

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Commodity Pricing, CARMA, Futures, Crude Oil

16.

Estimating Security Betas via Machine Learning

Number of pages: 63 Posted: 01 Oct 2021
Wolfgang Drobetz, Fabian Hollstein, Tizian Otto, Marcel Prokopczuk and Marcel Prokopczuk
University of Hamburg, Leibniz University Hannover - School of Economics and Management, University of Hamburg and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 417 (90,172)

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Beta estimation, machine learning

17.

American Option Valuation: Implied Calibration of GARCH Pricing-Models

Journal of Futures Markets, Vol. 31, No. 10, 2011
Number of pages: 36 Posted: 09 Sep 2009 Last Revised: 10 May 2017
Michael Weber, Marcel Prokopczuk and Marcel Prokopczuk
University of Chicago - Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 399 (94,901)
Citation 1

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American Options, GARCH, Implied Calibration, Edgeworth Binomial Tree

18.

The Long Shadow of Jewish Persecution on Financial Decisions

Number of pages: 61 Posted: 16 Dec 2013 Last Revised: 10 May 2017
Francesco D'Acunto, Marcel Prokopczuk, Marcel Prokopczuk and Michael Weber
Boston College, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Chicago - Finance
Downloads 394 (96,276)
Citation 1

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Cultural Economics, Social Stereotypes, Household Finance, History & Finance

19.

Anomalies in Commodity Futures Markets

Quarterly Journal of Finance (2021) Vol. 11(4), 2150017
Number of pages: 56 Posted: 27 Apr 2020 Last Revised: 29 Nov 2021
Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk and Björn Tharann
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover
Downloads 393 (96,560)
Citation 1

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Anomalies, commodity futures markets, behavioral finance, systematic risk

20.

Estimating Beta: Forecast Adjustments and the Impact of Stock Characteristics for a Broad Cross-Section

Journal of Financial Markets (2019), Vol. 44, pp. 91–118
Number of pages: 76 Posted: 14 Nov 2017 Last Revised: 18 Sep 2019
Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 392 (96,879)
Citation 8

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Beta Estimation, Forecast Combinations, Forecast Adjustments

21.

An Empirical Model Comparison for Valuing Crack Spread Options

Energy Economics, Vol. 51, 2015
Number of pages: 45 Posted: 11 Mar 2010 Last Revised: 22 Mar 2019
Steffen Mahringer, Marcel Prokopczuk and Marcel Prokopczuk
University of St.Gallen - Swiss Institute of Banking and Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 350 (110,119)

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Crack Spread Options, Option Valuation, Co-integrated Underlyings

22.

The Case of Negative Day-Ahead Electricity Prices

Energy Economics, Vol. 35, No. 1, 2013, WBS Finance Group Research Paper No. 158
Number of pages: 46 Posted: 13 May 2011 Last Revised: 26 Dec 2019
Enzo Fanone, Andrea Gamba, Marcel Prokopczuk and Marcel Prokopczuk
Dolomiti Energia Trading S.p.A., University of Warwick - Finance Group and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 348 (110,812)
Citation 5

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Electricity, Lèvy processes, Price spikes, Negative prices

23.

Electricity Derivatives Pricing with Forward-Looking Information

Journal of Economic Dynamics and Control, 58, September, 34-57 (2015)
Number of pages: 57 Posted: 19 Feb 2013 Last Revised: 29 Mar 2016
Roland Füss, Steffen Mahringer, Marcel Prokopczuk and Marcel Prokopczuk
University of St. Gallen - School of Finance, University of St.Gallen - Swiss Institute of Banking and Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 326 (119,155)
Citation 2

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Electricity Futures, Fundamental Model, Derivatives Pricing, Forward-looking Information, Enlargement of Filtrations

24.

The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas

Management Science (2020), Vol. 66(6), pp. 2474-2494
Number of pages: 52 Posted: 25 Mar 2019 Last Revised: 14 Jan 2021
Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 325 (119,546)
Citation 3

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Beta estimation, conditional CAPM, high-frequency data

25.

What Makes the Market Jump?

Number of pages: 37 Posted: 14 Jun 2014 Last Revised: 29 Jan 2018
Marcel Prokopczuk, Marcel Prokopczuk and Chardin Wese Simen
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 322 (120,707)
Citation 3

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Jumps, News, Intraday, S&P 500, VIX

26.

The Risk Premium of Gold

Journal of International Money and Finance, Forthcoming
Number of pages: 63 Posted: 22 Nov 2017 Last Revised: 22 Mar 2019
Duc Binh Benno Nguyen, Marcel Prokopczuk, Marcel Prokopczuk and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 305 (127,887)

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Jump Risk, Tail Risk, Safe Haven, Hedge, Gold

27.

Jump and Variance Risk Premia in the S&P 500

Journal of Banking and Finance, Vol. 69, 2016
Number of pages: 39 Posted: 02 Jul 2014 Last Revised: 22 Mar 2019
Maximilian Neumann, Marcel Prokopczuk, Marcel Prokopczuk and Chardin Wese Simen
Technische Universität München (TUM), University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 272 (144,163)
Citation 6

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Jump risk premia, Variance risk premia, S&P 500, Options, Markov Chain Monte Carlo

28.

The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread

Energy Economics, Vol. 36, No. 1, 2013
Number of pages: 26 Posted: 16 Jan 2012 Last Revised: 29 Dec 2013
Carol Alexander, Marcel Prokopczuk, Marcel Prokopczuk and Anannit Sumawong
University of Sussex Business School, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Sussex
Downloads 255 (153,838)
Citation 4

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Hedging, Crack Spread, GARCH, Minimum-Variance Hedge

29.

Electricity Market Coupling in Europe: Status Quo and Future Challenges

University of St.Gallen, School of Finance Research Paper No. 2015/12
Number of pages: 36 Posted: 15 Oct 2014 Last Revised: 13 Mar 2017
Roland Füss, Steffen Mahringer, Marcel Prokopczuk and Marcel Prokopczuk
University of St. Gallen - School of Finance, University of St.Gallen - Swiss Institute of Banking and Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 251 (156,299)
Citation 1

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Energy Market Coupling, Electricity Market Reforms, Explicit and Implicit Auction, Price Convergence

30.

Booms and Busts in Commodity Markets: Bubbles or Fundamentals?

Journal of Futures Markets, Vol. 35, No. 10, 2015
Number of pages: 38 Posted: 02 Feb 2014 Last Revised: 22 Mar 2019
Chris Brooks, Marcel Prokopczuk, Marcel Prokopczuk and Yingying Wu
University of Reading - ICMA Centre, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Xi'an Jiaotong Liverpool University
Downloads 242 (161,962)

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Commodity futures, Speculative bubble, Switching regression, Convenience yield, Macroeconomic factors

31.

The Determinants of Convenience Yields

Number of pages: 42 Posted: 30 Dec 2013 Last Revised: 03 Nov 2014
Marcel Prokopczuk, Marcel Prokopczuk and Yingying Wu
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Xi'an Jiaotong Liverpool University
Downloads 240 (163,250)
Citation 4

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Commodity futures; Convenience yield

32.

Intra-Industry Contagion Effects of Earnings Surprises in the Banking Sector

Applied Financial Economics, Vol. 20, No. 20, 2010
Number of pages: 31 Posted: 02 Feb 2010 Last Revised: 26 Apr 2012
Marcel Prokopczuk and Marcel Prokopczuk
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 222 (175,957)
Citation 2

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Intra-Industry Contagion, Banking Sector, Systemic Risk, Earnings Surprises, Event Study

33.

Commodity Forward Curve Dynamics with Inventory Information

Number of pages: 38 Posted: 18 Mar 2015
Marcel Prokopczuk, Marcel Prokopczuk and Sebastian Vicedom
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 207 (187,790)

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Commodities, theory of storage, forward curve dynamics, crude oil, futures markets, hedging, inventory, convenience yield

34.

Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options

Journal of Banking and Finance, Vol. 66, 2016
Number of pages: 53 Posted: 05 Jul 2011 Last Revised: 22 Mar 2019
Juan Arismendi-Zambrano, Janis Back, Marcel Prokopczuk, Marcel Prokopczuk, Raphael Paschke and Markus Rudolf
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students, WHU - Otto Beisheim School of Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, University of Mannheim - Department of Business Administration and Finance and WHU Otto Beisheim Graduate School of Management
Downloads 201 (193,044)
Citation 7

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commodities, seasonality, stochastic volatility, options pricing, natural gas, corn

35.

Electricity Spot and Derivatives Pricing under Market Coupling

University of St.Gallen, School of Finance Research Paper No. 13/23
Number of pages: 41 Posted: 13 Jan 2014 Last Revised: 20 Aug 2017
Roland Füss, Steffen Mahringer, Florentina Paraschiv, Marcel Prokopczuk and Marcel Prokopczuk
University of St. Gallen - School of Finance, University of St.Gallen - Swiss Institute of Banking and Finance, Zeppelin University, Chair of Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 199 (194,756)

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Electricity Pricing, Fundamental Model, Multi-Market Modeling, Derivatives

36.

Economic Determinants of Oil Futures Volatility: A Term Structure Perspective

Energy Economics, Vol. 88, No. 104743, 2020
Number of pages: 46 Posted: 11 Jul 2019 Last Revised: 09 Nov 2020
Boda Kang, Christina Sklibosios Nikitopoulos, Marcel Prokopczuk and Marcel Prokopczuk
AMP, University of Technology Sydney - Business School and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 195 (198,341)
Citation 2

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oil market, volatility, term structure, macroeconomy

37.

Predictability in Commodity Markets: Evidence from More Than a Century

Journal of Commodity Markets (2021) Vol. 24, 100171
Number of pages: 51 Posted: 27 Apr 2020 Last Revised: 29 Nov 2021
Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk, Björn Tharann and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 186 (206,923)
Citation 1

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Commodities, Return Predictability, Derivatives Introduction, Business Cycle, Volatility Predictability

Historical Antisemitism, Ethnic Specialization, and Financial Development

Becker Friedman Institute for Research in Economics Working Paper No. 2018-19, Chicago Booth Research Paper No. 17-26, Fama-Miller Working Paper
Number of pages: 68 Posted: 01 Sep 2017
Francesco D'Acunto, Marcel Prokopczuk, Marcel Prokopczuk and Michael Weber
Boston College, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Chicago - Finance
Downloads 112 (311,156)

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Cultural Economics, Intergenerational Transmission of Norms, Religious Identity, Household Finance, History & Finance

Historical Antisemitism, Ethnic Specialization, and Financial Development

Number of pages: 64 Posted: 11 Sep 2017 Last Revised: 28 Jun 2021
Francesco D'Acunto, Marcel Prokopczuk, Marcel Prokopczuk and Michael Weber
Boston College, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Chicago - Finance
Downloads 37 (557,999)
Citation 2

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Historical Antisemitism, Ethnic Specialization, and Financial Development

Number of pages: 66 Posted: 22 Sep 2017
Francesco D'Acunto, Marcel Prokopczuk, Marcel Prokopczuk and Michael Weber
Boston College, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Chicago - Finance
Downloads 32 (586,843)

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Cultural Economics, Intergenerational Transmission of Norms, Religious Identity, Household Finance, History & Finance

39.

Time-Variations in Commodity Price Jumps

Journal of Empirical Finance, Vol. 31, 2015
Number of pages: 32 Posted: 10 Aug 2013 Last Revised: 22 Mar 2019
Laszlo Diewald, Marcel Prokopczuk, Marcel Prokopczuk and Chardin Wese Simen
Technische Universität München (TUM), University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 179 (214,050)
Citation 2

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Commodities, Jump frequency, Seasonality, Markov Chain Monte Carlo

40.

The Memory of Stock Return Volatility: Asset Pricing Implications

Journal of Financial Markets, Forthcoming
Number of pages: 66 Posted: 22 Nov 2017 Last Revised: 18 Jan 2019
Duc Binh Benno Nguyen, Marcel Prokopczuk, Marcel Prokopczuk and Philipp Sibbertsen
Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Hannover
Downloads 177 (216,037)
Citation 2

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Asset Pricing; Long Memory; Persistence; Volatility

41.

Predicting the Equity Market with Option-Implied Variables

European Journal of Finance (2019), Vol. 25(10), pp. 937–965
Number of pages: 63 Posted: 22 Nov 2017 Last Revised: 18 Sep 2019
Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk, Björn Tharann and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 169 (224,670)
Citation 3

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Equity Premium, Option Implied Information, Portfolio Choice, Predictability, Timing Strategies

42.

Beta Uncertainty

Journal of Banking and Finance (2020), Vol. 116, 105834
Number of pages: 71 Posted: 14 May 2020 Last Revised: 14 Jan 2021
Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 168 (225,771)
Citation 1

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Beta, CAPM, Disagreement, Ambiguity, Parameter Uncertainty

43.

The Memory of Beta

Journal of Banking and Finance (2021), Vol. 124, 106026
Number of pages: 65 Posted: 01 Jan 2020 Last Revised: 14 Jan 2021
Janis Becker, Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk and Philipp Sibbertsen
Leibniz Universität Hannover, Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Hannover
Downloads 162 (232,861)
Citation 1

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Long memory, beta, persistence, forecasting, predictability

44.

Measuring Tail Risk

Number of pages: 96 Posted: 23 Feb 2021 Last Revised: 05 Aug 2021
Maik Dierkes, Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk and Christoph Wuersig
Leibniz University Hannover, Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 155 (241,647)

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Tail Risk, Return Forecasting, Tail Event Forecasting

45.

Optimal Portfolio Choice in the Presence of Domestic Systemic Risk: Empirical Evidence from Stock Markets

Decisions in Economics and Finance, Vol. 34, No. 2, pp. 141-168, 2011
Number of pages: 41 Posted: 10 Feb 2011 Last Revised: 30 Jan 2012
Marcel Prokopczuk and Marcel Prokopczuk
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 152 (245,653)

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Systemic Risk, Optimal Portfolio Choice

46.

The Natural Gas Announcement Day Puzzle

The Energy Journal, Forthcoming
Number of pages: 23 Posted: 08 May 2020
Marcel Prokopczuk, Marcel Prokopczuk, Chardin Wese Simen and Robert Wichmann
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, University of Liverpool Management School and ICMA Centre, University of Reading
Downloads 131 (276,216)

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Gas Markets, Announcement Effect, Storage News, Intraday

47.

International Tail Risk and World Fear

Journal of International Money and Finance, Vol. 93, 2019
Number of pages: 35 Posted: 27 Nov 2017 Last Revised: 17 Sep 2019
Fabian Hollstein, Duc Binh Benno Nguyen, Marcel Prokopczuk, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 119 (296,486)
Citation 1

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Jump Risk, Tail Risk, International Stock Market Returns, Return Predictability, International Asset Pricing, Factor Models

48.

How Do Bond Investors Measure Performance? Evidence from Mutual Fund Flows

Number of pages: 53 Posted: 12 Dec 2019
Thuy Duong Dang, Fabian Hollstein, Marcel Prokopczuk and Marcel Prokopczuk
Leibniz Universität Hannover, Leibniz University Hannover - School of Economics and Management and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 111 (311,422)
Citation 1

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bond factor models, Sharpe ratio, bond mutual funds, investor flows, performance evaluation, flow-performance sensitivity

49.

The Dynamics of Commodity Return Comovements

Journal of Futures Markets, Forthcoming (2021)
Number of pages: 58 Posted: 08 May 2020 Last Revised: 30 Apr 2021
Marcel Prokopczuk, Marcel Prokopczuk, Chardin Wese Simen and Robert Wichmann
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, University of Liverpool Management School and ICMA Centre, University of Reading
Downloads 100 (334,038)

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Commodity Markets, Comovement, Financialization, Factor Model

50.

Rising and Volatile Food Prices: Are Index Fund Investors to Blame?

Number of pages: 45 Posted: 15 Jun 2014
Marcel Prokopczuk, Marcel Prokopczuk, Lazaros Symeonidis and Timo Verlaat
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Essex Business School, University of Essex and Zeppelin University
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Food prices, index funds, volatility, agricultural futures

51.

A Moment Based Analytic Approximation of the Risk-neutral Density of American Options

Applied Mathematical Finance, Volume 23, 2016 - Issue 6
Number of pages: 44 Posted: 25 Aug 2014 Last Revised: 04 Feb 2018
Juan Arismendi-Zambrano, Marcel Prokopczuk and Marcel Prokopczuk
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
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Multi-asset Risk-neutral Density, American Multi-asset Options, Higher-order Moments

52.

Volatility Term Structures in Commodity Markets

Journal of Futures Markets (2020), Vol. 40(4), pp. 527-555
Number of pages: 65 Posted: 12 Dec 2019 Last Revised: 14 Jan 2021
Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk and Christoph Wuersig
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
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commodities, information transmission, spillovers, volatility term structure

53.

Jumps in Commodity Markets

Journal of Commodity Markets, Vol. 13, 2019
Number of pages: 40 Posted: 22 Nov 2017 Last Revised: 22 Mar 2019
Duc Binh Benno Nguyen, Marcel Prokopczuk and Marcel Prokopczuk
Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
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Commodities, Jump Risk, Tail Risk, Hedge

54.

Predicting the Equity Premium around the Globe: Comprehensive Evidence from a Large Sample

Number of pages: 62 Posted: 27 Apr 2020
Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk, Björn Tharann and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
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International equity premium, return predictability, market efficiency

55.

The Term Structure of Systematic and Idiosyncratic Risk

Journal of Futures Markets (2019), Vol. 39(4), pp. 435–460
Number of pages: 70 Posted: 14 Nov 2017 Last Revised: 18 Sep 2019
Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
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Systematic risk, idiosyncratic risk, options, term structure, expectations hypothesis, model-free option implied variance, implied correlation

56.

The Economic Drivers of Commodity Market Volatility

Journal of International Money and Finance, Forthcoming
Number of pages: 66 Posted: 11 Jul 2019
Marcel Prokopczuk, Marcel Prokopczuk, Andrei Stancu and Lazaros Symeonidis
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, University of East Anglia (UEA) - Norwich Business School and Essex Business School, University of Essex
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Commodities, Economic Uncertainty, Volatility, Financialization, Crisis

57.

The Long Memory of Equity Volatility and the Macroeconomy: International Evidence

Number of pages: 41 Posted: 22 Nov 2017 Last Revised: 06 Apr 2020
Lena Dräger, Duc Binh Benno Nguyen, Marcel Prokopczuk, Marcel Prokopczuk and Philipp Sibbertsen
Leibniz Universität Hannover, Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Hannover
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International, Long Memory, Volatility

58.

Testing Factor Models in the Cross-Section

Number of pages: 47 Posted: 20 Sep 2021
Fabian Hollstein, Marcel Prokopczuk and Marcel Prokopczuk
Leibniz University Hannover - School of Economics and Management and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
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Factor models, cross-sectional tests, no-arbitrage pricing, beta estimation

59.

Market Power and Systematic Risk

Number of pages: 44 Posted: 28 May 2021
Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk and Christoph Wuersig
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
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Market power, systematic risk, market beta, mergers and acquisitions,product market competition, discount-rate beta

60.

Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets

Journal of Futures Markets, Vol. 36, No. 8, 2016
Number of pages: 81 Posted: 28 Aug 2015 Last Revised: 22 Mar 2019
Marcel Prokopczuk, Marcel Prokopczuk, Lazaros Symeonidis and Chardin Wese Simen
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Essex Business School, University of Essex and University of Liverpool Management School
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Realized volatility, jumps, high-frequency data, volatility forecasting, forecast evaluation

61.

Asset Prices and 'The Devil(s) You Know'

Journal of Banking and Finance (2019), Vol. 105, pp. 20–35
Number of pages: 69 Posted: 24 May 2019 Last Revised: 18 Sep 2019
Fabian Hollstein, Duc Binh Benno Nguyen, Marcel Prokopczuk and Marcel Prokopczuk
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
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persistence, stock return distribution, option-implied central moments, asset pricing

62.

Prediction of Extreme Price Occurrences in the German Day-Ahead Electricity Market

Quantitative Finance, Vol. 16(12), 2016, University of St.Gallen, School of Finance Research Paper No. 2017/2
Number of pages: 28 Posted: 21 Dec 2016
Lars Hagfors, Hilde Kamperud, Florentina Paraschiv, Marcel Prokopczuk, Marcel Prokopczuk, Alma Sator and Sjur Westgaard
Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU), Zeppelin University, Chair of Finance, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
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EnergyMarkets, Fundamental Analysis, Spikes, EPEX

63.

Pricing Analysis of Wind Power Derivatives for Renewable Energy Risk Management

Kanamura, T., L. Homann, and M. Prokopczuk (2021) ``Pricing analysis of wind power derivatives for renewable energy risk management'', Applied Energy, forthcoming.
Number of pages: 36 Posted: 10 Sep 2021
Takashi Kanamura, Lasse Homann, Marcel Prokopczuk and Marcel Prokopczuk
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS), affiliation not provided to SSRN and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
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Wind power, load factor, good-deal bounds, futures and options, mean reversion, seasonality

64.

Is Commodity Index Investing Profitable?

Journal of Index Investing, Winter, 2018
Posted: 31 Mar 2018 Last Revised: 30 Nov 2018
Tobias Fethke, Marcel Prokopczuk and Marcel Prokopczuk
Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management

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Commodities, Investing, Index

65.

Risk Premia in Covered Bond Markets

Journal of Fixed Income, Vol. 22, No. 2, 2012
Posted: 18 Jan 2012 Last Revised: 02 Jan 2013
Marcel Prokopczuk, Marcel Prokopczuk and Volker Vonhoff
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Mannheim - Department of Business Administration and Finance

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covered bonds, bond risk premia, yield spreads

66.

Quantifying Risk in the Electricity Business: A RAROC-based Approach

Energy Economics, Vol. 29, No. 5, 2007
Posted: 24 Oct 2007
Svetlozar Rachev, Marcel Prokopczuk, Marcel Prokopczuk, Gero Schindlmayr and Stefan Trück
Texas Tech University, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, affiliation not provided to SSRN and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies

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Power Markets, Spot Market Prices, Load Contracts, Risk Management, RAROC

Other Papers (1)

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1.

How Aggregate Volatility-of-Volatility Affects Stock Returns

Review of Asset Pricing Studies, Vol. 8, No. 2, 2018
Posted: 23 Jun 2017 Last Revised: 01 May 2019
Fabian Hollstein, Marcel Prokopczuk and Marcel Prokopczuk
Leibniz University Hannover - School of Economics and Management and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management

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Aggregate economic uncertainty, stock market volatility-of-volatility, VVIX