Marcel Kremer

University of Duisburg-Essen

Postdoctoral Researcher

Universitaetsstrasse 12

Essen, 45141

Germany

http://www.lef.wiwi.uni-due.de/en/team/marcel-kremer/

  • University of Duisburg-Essen

SCHOLARLY PAPERS

6

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Scholarly Papers (6)

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1.

An Econometric Model for Intraday Electricity Trading

Philosophical Transactions of the Royal Society A, 379(2202):20190624, 2021
Number of pages: 27 Posted: 31 Dec 2019 Last Revised: 17 Sep 2021
Marcel Kremer, Ruediger Kiesel and Florentina Paraschiv
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and Zeppelin University, Chair of Finance
Downloads 672 (55,229)
Citation 6

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Intraday electricity market; Econometric modeling; 15-minute contracts; Renewable power forecasts; Merit order curve; Threshold regression

2.

Volatility and Liquidity on High-frequency Electricity Futures Markets: Empirical Analysis and Stochastic Modeling

International Journal of Theoretical and Applied Finance, 23(4):2050027, 2020
Number of pages: 34 Posted: 17 Jun 2019 Last Revised: 03 Aug 2020
Marcel Kremer, Fred Espen Benth, Björn Felten and Ruediger Kiesel
University of Duisburg-Essen, University of Oslo, University of Duisburg-Essen and University of Duisburg-Essen - Faculty of Economic Science
Downloads 299 (143,023)
Citation 1

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Volatility, Liquidity, Electricity futures, High-frequency prices, Stochastic modeling, Monte Carlo simulation, Time-weighted realized variance

3.

Economic and Political Effects on Currency Clustering Dynamics

Quantitative Finance, 19(5):705-716, 2019
Number of pages: 17 Posted: 20 Sep 2017 Last Revised: 12 Aug 2019
Marcel Kremer, Alexander P. Becker, Alexander P. Becker, Irena Vodenska, H. Eugene Stanley and Rudi Schäfer
University of Duisburg-Essen, Boston University - Department of Administrative SciencesBoston University - Department of Physics, Boston University Metropolitan College, Boston University - Center for Polymer Studies and University of Duisburg-Essen
Downloads 235 (181,861)
Citation 1

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Symbolic performance; Currency clustering; Currency dynamics; Central bank intervention

4.

Intraday Electricity Pricing of Night Contracts

Energies, 13(17):4501, 2020
Number of pages: 16 Posted: 16 Sep 2020 Last Revised: 07 Oct 2020
Marcel Kremer, Ruediger Kiesel and Florentina Paraschiv
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and Zeppelin University, Chair of Finance
Downloads 111 (338,025)

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Intraday electricity market, Econometric modeling, Night contracts, 15-minute contracts, Fundamentals, Renewable power forecasts

5.

Impact of Nonstationarity on Estimating and Modeling Empirical Copulas of Daily Stock Returns

Downloads 52 (515,563)

Impact of Nonstationarity on Estimating and Modeling Empirical Copulas of Daily Stock Returns

Journal of Risk, 19(1):1-23, 2016
Number of pages: 19 Posted: 05 Mar 2020
Marcel Kremer and Rudi Schäfer
University of Duisburg-Essen and University of Duisburg-Essen
Downloads 51 (529,129)

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Copulas, Financial time series, Nonstationarity, Asymmetry, Multivariate mixture, K-copula

Impact of Nonstationarity on Estimating and Modeling Empirical Copulas of Daily Stock Returns

Journal of Risk, Vol. 19, No. 1, 2016
Number of pages: 24 Posted: 08 Oct 2016
Marcel Kremer and Rudi Schäfer
University of Duisburg-Essen and University of Duisburg-Essen
Downloads 1 (930,537)
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copulas, financial time series, nonstationarity, asymmetry, multivariate mixture, K-copula

6.

Dependence Structure of Market States

Journal of Statistical Mechanics: Theory and Experiment, 2015(8):P08012, 2015
Number of pages: 19 Posted: 07 Mar 2020
Desislava Chetalova, Marcel Kremer and Rudi Schäfer
University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 50 (524,421)
Citation 1

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Copulas, Market states, Nonstationarity, Asymmetry, Multivariate mixture, K-copula