Marcel Kremer

University of Duisburg-Essen

PhD Student

Universitaetsstrasse 12

Essen, 45141

Germany

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

SCHOLARLY PAPERS

6

DOWNLOADS

567

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

A Fundamental Model for Intraday Electricity Trading

Number of pages: 25 Posted: 31 Dec 2019 Last Revised: 03 Feb 2020
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School
Downloads 204 (160,531)

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

2.

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
University of Duisburg-Essen, Boston University - Department of Physics, Boston University Metropolitan College, Boston University - Center for Polymer Studies and University of Duisburg-Essen
Downloads 190 (165,104)
Citation 1

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

3.

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

Number of pages: 34 Posted: 17 Jun 2019
University of Duisburg-Essen, University of Oslo, University of Duisburg-Essen and University of Duisburg-Essen - Faculty of Economic Science
Downloads 167 (185,064)

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Volatility, Liquidity, Electricity Futures, High-Frequency Prices, Stochastic Modeling, Monte Carlo Simulation, Time-Weighted Realized Variance

4.

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
Marcel Kremer and Rudi Schäfer
University of Duisburg-Essen and University of Duisburg-Essen
Downloads 3

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

5.

Dependence Structure of Market States

Journal of Statistical Mechanics: Theory and Experiment, 2015(8):P08012, 2015
Number of pages: 19
Desislava Chetalova, Marcel Kremer and Rudi Schäfer
University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 3

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

6.

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 0 (691,249)
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Abstract:

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copulas, financial time series, nonstationarity, asymmetry, multivariate mixture, K-copula