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

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Scholarly Papers (75)

1.
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Citation 6

Nonstandard Errors

Journal of Finance, Volume 79, Issue 3, June 2024, Pages 2339-2390.
Number of pages: 52 Posted: 23 Nov 2021 Last Revised: 15 May 2024
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom L. Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Mianjun Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schuerhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Zhou Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, EMLV Business School Paris, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - McDonough School of Business, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Economics, Toulouse School of Economics, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), George Washington University, University of Hohenheim, Queen's University (Canada), Queen's School of Business, The Brattle Group, Faculty of Business and Economics, Dresden University of Technology, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, VU University Amsterdam, University of Queensland - Business School, Georgetown University - Department of Economics, University of Wisconsin - Milwaukee - Department of Finance, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex - Essex Business School, Radboud University Nijmegen - Institute for Management Research, Ardea Investment Management, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tübingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Economics, University of California, Berkeley - Haas School of Business, West Virginia University - John Chambers College of Business and Economics, Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, Northeastern University - D'Amore-McKim School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig Maximilian University of Munich (LMU), Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontificia Universidad Católica de Chile, HEC Montreal, University of Adelaide, Chemnitz University of Technology (CUT) - Department of Economics, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Researcher, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, ESCP Europe - ESCP Europe - Turin Campus, Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, Independent, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, UNSW Australia Business School, School of Banking and Finance, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, Royal Melbourne Institute of Technolog (RMIT University) - Blockchain Innovation Hub, University of Toronto, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Duisburg-Essen - Mercator School of Management, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of Basel - Faculty of Business and Economics, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, ESSEC Business School, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Edinburgh Business School, Oklahoma State University, HEC Paris - Finance Department, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, The University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU Amsterdam - School of Business and Economics, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, University of New South Wales (UNSW), University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol Business School, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol - Department of Finance and Accounting, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Vlerick Business School, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Reykjavik University, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex, Erasmus University Rotterdam, Central Michigan University, Aalto University, Columbia University, Singapore Management University - Lee Kong Chian School of Business, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS) - Monetary and Economic Department, University of Calgary - Haskayne School of Business, Vrije Universiteit Amsterdam, School of Business and Economics, Queen's University, HEC Paris, University of Birmingham, King’s College London, Cardiff Business School, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, State University of New York (SUNY) - Buffalo, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA Centre, Pontificia Universidad Católica de Chile and Zhongnan University of Economics and Law - School of Finance
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Citation 7

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nonstandard errors, multi-analyst study, liquidity

2.

Estimating Stock Market Betas via Machine Learning

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 99 Posted: 01 Oct 2021 Last Revised: 24 Mar 2024
University of Hamburg, Saarland University, University of Hamburg and University of Reading - ICMA Centre
Downloads 1,557 (23,087)
Citation 6

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Beta estimation, machine learning, active trading strategy

3.

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 and Marcel Prokopczuk
Saarland University and University of Reading - ICMA Centre
Downloads 1,442 (25,887)

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Beta estimation, Implied beta

4.

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, Lazaros Symeonidis and Chardin Wese Simen
University of Reading - ICMA Centre, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 1,171 (35,051)
Citation 29

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commodities, variance risk premia, variance swaps

5.

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 and Marcel Prokopczuk
University of Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 974 (45,585)
Citation 6

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

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 and Markus Rudolf
WHU - Otto Beisheim School of Management, University of Reading - ICMA Centre and WHU Otto Beisheim Graduate School of Management
Downloads 832 (56,619)
Citation 15

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Commodities, Seasonality, Options Pricing

7.

Systemic Risk: Is the Banking Sector Special?

Number of pages: 39 Posted: 24 May 2010
Wolfgang Bühler, Wolfgang Bühler and Marcel Prokopczuk
University of New South Wales, Australian Business SchoolUniversity of Mannheim - Department of Business Administration and Finance and University of Reading - ICMA Centre
Downloads 817 (58,023)
Citation 9

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G21, G15, G28, G11

8.

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 and Marcel Prokopczuk
University of Mannheim - Department of Business Administration and Finance and University of Reading - ICMA Centre
Downloads 814 (58,292)
Citation 6

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

9.

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 and Marcel Prokopczuk
University of Mannheim - Department of Business Administration and Finance and University of Reading - ICMA Centre
Downloads 797 (60,067)
Citation 2

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

10.

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, Jan B. Siewert and Volker Vonhoff
University of Reading - ICMA Centre, Unversity of Mannheim – Center for Doctoral Studies in Business and University of Mannheim - Department of Business Administration and Finance
Downloads 763 (63,670)
Citation 6

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

11.

Managing the Market Portfolio

Management Science (2023), Vol. 69(6), pp. 3675-3696
Number of pages: 90 Posted: 12 Mar 2022 Last Revised: 27 Jun 2023
Fabian Hollstein and Marcel Prokopczuk
Saarland University and University of Reading - ICMA Centre
Downloads 754 (64,651)
Citation 5

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Conditioning variables, managed portfolios, market portfolio, market timing

12.

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 and Marcel Prokopczuk
WHU - Otto Beisheim School of Management and University of Reading - ICMA Centre
Downloads 708 (70,126)
Citation 2

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commodities, derivatives, review

13.

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 and Björn Tharann
Saarland University, University of Reading - ICMA Centre and Leibniz Universität Hannover
Downloads 686 (73,036)
Citation 1

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Anomalies, commodity futures markets, behavioral finance, systematic risk

14.

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 and Yingying Wu
University of Bristol - School of Economics, Finance and Management, University of Reading - ICMA Centre and Xi'an Jiaotong Liverpool University
Downloads 668 (75,568)
Citation 3

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commodity futures, theory of storage, risk premia

15.

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
University of Reading - ICMA Centre
Downloads 632 (80,947)
Citation 1

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Freight Futures, Hedging, Shipping Derivatives, Imarex

16.

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, Chris Brooks and Emese Lazar
Essex Business School, University of Essex, University of Reading - ICMA Centre, University of Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 614 (83,928)
Citation 8

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

17.

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 and Chardin Wese Simen
University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 601 (86,232)
Citation 11

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volatility forecasting, volatility risk premium, implied volatility

18.

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 and Chardin Wese Simen
Saarland University, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 515 (104,623)
Citation 15

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Beta Estimation, Forecast Combinations, Forecast Adjustments

19.

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

Quarterly Journal of Finance, 2023, Vol. 13(4), 2350011.
Number of pages: 72 Posted: 20 Sep 2021 Last Revised: 06 May 2024
Fabian Hollstein, Marcel Prokopczuk and Victoria Voigts
Saarland University, University of Reading - ICMA Centre and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 508 (106,388)

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Asset Pricing, Factors, Replication, Breakpoint Analysis, Robustness

20.

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 and Michael Weber
Georgetown University, University of Reading - ICMA Centre and University of Chicago - Finance
Downloads 497 (109,340)
Citation 1

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

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 and Marcel Prokopczuk
University of St.Gallen - Swiss Institute of Banking and Finance and University of Reading - ICMA Centre
Downloads 488 (111,692)
Citation 1

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Crack Spread Options, Option Valuation, Co-integrated Underlyings

22.

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 and Marcel Prokopczuk
University of Mannheim - Department of Business Administration and Finance and University of Reading - ICMA Centre
Downloads 478 (114,450)
Citation 5

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Commodity Pricing, CARMA, Futures, Crude Oil

23.

Measuring Tail Risk

Journal of Econometrics, Forthcoming
Number of pages: 101 Posted: 23 Feb 2021 Last Revised: 06 May 2024
Leibniz University Hannover, Saarland University, University of Reading - ICMA Centre and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 474 (115,575)
Citation 1

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Tail Risk, Return Forecasting, Tail Event Forecasting

24.

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 and Marcel Prokopczuk
University of Chicago - Finance and University of Reading - ICMA Centre
Downloads 441 (125,936)
Citation 1

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American Options, GARCH, Implied Calibration, Edgeworth Binomial Tree

25.

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 and Marcel Prokopczuk
Dolomiti Energia Trading S.p.A., University of Warwick - Finance Group and University of Reading - ICMA Centre
Downloads 424 (131,873)
Citation 5

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Electricity, Lèvy processes, Price spikes, Negative prices

26.

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 and Chardin Wese Simen
Saarland University, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 415 (135,125)
Citation 8

Abstract:

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Beta estimation, conditional CAPM, high-frequency data

27.

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 and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 411 (136,629)

Abstract:

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

28.

Commodity Tail Risks

Journal of Futures Markets, Forthcoming
Number of pages: 45 Posted: 23 Sep 2022
University of St. Gallen - School of Finance, University of St. Gallen - Swiss Institute of Banking and Finance, University of Reading - ICMA Centre and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 394 (143,399)

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Commodities, Tail Risks, Dependencies

29.

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
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 Centre, University of Mannheim - Department of Business Administration and Finance and WHU Otto Beisheim Graduate School of Management
Downloads 372 (152,935)
Citation 7

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

30.

What Makes the Market Jump?

Number of pages: 37 Posted: 14 Jun 2014 Last Revised: 29 Jan 2018
Marcel Prokopczuk and Chardin Wese Simen
University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 371 (153,393)
Citation 3

Abstract:

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

31.

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 and Marcel Prokopczuk
Swiss Finance Institute, University of St.Gallen - Swiss Institute of Banking and Finance and University of Reading - ICMA Centre
Downloads 369 (154,302)
Citation 4

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

32.

Convenience Yield Risk

Energy Economics, Forthcoming
Number of pages: 54 Posted: 31 Jan 2023
University of Reading - ICMA Centre, Essex Business School, University of Essex, University of Liverpool Management School and ICMA Centre, University of Reading
Downloads 347 (165,043)

Abstract:

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Commodity Risk Factors, Convenience Yield, Futures Curve, Return Predictability

33.

The Natural Gas Announcement Day Puzzle

The Energy Journal, Forthcoming
Number of pages: 23 Posted: 08 May 2020
Marcel Prokopczuk, Chardin Wese Simen and Robert Wichmann
University of Reading - ICMA Centre, University of Liverpool Management School and ICMA Centre, University of Reading
Downloads 342 (167,589)

Abstract:

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Gas Markets, Announcement Effect, Storage News, Intraday

34.

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 and Chardin Wese Simen
Technische Universität München (TUM), University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 339 (169,159)
Citation 6

Abstract:

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

35.

The Determinants of Convenience Yields

Number of pages: 42 Posted: 30 Dec 2013 Last Revised: 03 Nov 2014
Marcel Prokopczuk and Yingying Wu
University of Reading - ICMA Centre and Xi'an Jiaotong Liverpool University
Downloads 336 (170,821)
Citation 4

Abstract:

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Commodity futures; Convenience yield

36.

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
Saarland University, University of Reading - ICMA Centre, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 313 (184,133)
Citation 1

Abstract:

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

37.

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 and Marcel Prokopczuk
Swiss Finance Institute, University of St.Gallen - Swiss Institute of Banking and Finance and University of Reading - ICMA Centre
Downloads 311 (185,364)
Citation 1

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

38.

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 and Chardin Wese Simen
Saarland University, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 305 (189,245)
Citation 3

Abstract:

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Beta, CAPM, Disagreement, Ambiguity, Parameter Uncertainty

39.

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 and Yingying Wu
University of Bristol - School of Economics, Finance and Management, University of Reading - ICMA Centre and Xi'an Jiaotong Liverpool University
Downloads 296 (195,439)

Abstract:

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

40.

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
AMP, University of Technology Sydney - Business School and University of Reading - ICMA Centre
Downloads 295 (196,129)
Citation 2

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oil market, volatility, term structure, macroeconomy

41.

Responsible Investing: Upside Potential and Downside Protection?

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 22-9
Number of pages: 54 Posted: 18 Mar 2022 Last Revised: 31 Jan 2024
Yale University, Smurfit Graduate Business School, University College Dublin, University of Reading - ICMA Centre and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 294 (196,796)

Abstract:

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Responsible investment, ESG, implied volatility, upside potential, downside risk, options

42.

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 and Anannit Sumawong
University of Sussex Business School, University of Reading - ICMA Centre and University of Sussex
Downloads 292 (198,195)
Citation 5

Abstract:

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Hedging, Crack Spread, GARCH, Minimum-Variance Hedge

43.

Predicting Equity Returns with Forecast Combinations of Deep Learning and Ensemble Methods

Number of pages: 74 Posted: 07 Jul 2023 Last Revised: 29 Mar 2024
Eike-Christian Brinkop, Emese Lazar and Marcel Prokopczuk
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 282 (206,134)

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Equity Return Prediction, Forecast Combination, Deep Learning

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 and Michael Weber
Georgetown University, University of Reading - ICMA Centre and University of Chicago - Finance
Downloads 147 (374,303)

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

Historical Antisemitism, Ethnic Specialization, and Financial Development

CESifo Working Paper Series No. 6643
Number of pages: 66 Posted: 22 Sep 2017
Francesco D'Acunto, Marcel Prokopczuk and Michael Weber
Georgetown University, University of Reading - ICMA Centre and University of Chicago - Finance
Downloads 60 (682,489)

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

Historical Antisemitism, Ethnic Specialization, and Financial Development

NBER Working Paper No. w23785
Number of pages: 64 Posted: 11 Sep 2017 Last Revised: 29 Jun 2023
Francesco D'Acunto, Marcel Prokopczuk and Michael Weber
Georgetown University, University of Reading - ICMA Centre and University of Chicago - Finance
Downloads 56 (706,228)
Citation 28

Abstract:

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45.

Factor Pricing Across Asset Classes

Number of pages: 58 Posted: 18 Jun 2023 Last Revised: 26 Mar 2024
Thuy Duong Dang, Fabian Hollstein and Marcel Prokopczuk
Leibniz Universität Hannover, Saarland University and University of Reading - ICMA Centre
Downloads 260 (222,906)

Abstract:

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Factor models, asset classes, model comparison, market integration

46.

Commodity Forward Curve Dynamics with Inventory Information

Number of pages: 38 Posted: 18 Mar 2015
Marcel Prokopczuk and Sebastian Vicedom
University of Reading - ICMA Centre and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 260 (222,906)

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

47.

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
Swiss Finance Institute, University of St.Gallen - Swiss Institute of Banking and Finance, Zeppelin University, Chair of Finance and University of Reading - ICMA Centre
Downloads 252 (230,011)

Abstract:

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

48.

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
Leibniz Universität Hannover, Saarland University, University of Reading - ICMA Centre and University of Hannover
Downloads 249 (232,715)
Citation 4

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Long memory, beta, persistence, forecasting, predictability

49.

Testing Factor Models in the Cross-Section

Journal of Banking and Finance (2022), Vol. 145, 106626
Number of pages: 58 Posted: 20 Sep 2021 Last Revised: 31 Aug 2022
Fabian Hollstein and Marcel Prokopczuk
Saarland University and University of Reading - ICMA Centre
Downloads 244 (237,378)
Citation 1

Abstract:

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Factor models, cross-sectional tests, no-arbitrage pricing, beta estimation

50.

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
University of Reading - ICMA Centre
Downloads 242 (239,319)
Citation 2

Abstract:

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

51.

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

Journal of Banking and Finance (2022), Vol. 142, 106553
Number of pages: 84 Posted: 12 Dec 2019 Last Revised: 18 Jul 2022
Thuy Duong Dang, Fabian Hollstein and Marcel Prokopczuk
Leibniz Universität Hannover, Saarland University and University of Reading - ICMA Centre
Downloads 224 (257,759)
Citation 4

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

52.

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

Number of pages: 66 Posted: 27 Apr 2020 Last Revised: 22 Aug 2023
Saarland University, University of Reading - ICMA Centre, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 215 (267,922)

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International equity premium, return predictability, market efficiency

53.

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 and Philipp Sibbertsen
Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA Centre and University of Hannover
Downloads 213 (270,231)
Citation 4

Abstract:

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Asset Pricing; Long Memory; Persistence; Volatility

54.

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
Saarland University, University of Reading - ICMA Centre, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 212 (271,378)
Citation 5

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

55.

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 and Chardin Wese Simen
Technische Universität München (TUM), University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 204 (281,135)
Citation 3

Abstract:

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Commodities, Jump frequency, Seasonality, Markov Chain Monte Carlo

56.

Market Power and Systematic Risk

Financial Management 2024, Vol. 53(2), pp. 233-266
Number of pages: 51 Posted: 28 May 2021 Last Revised: 08 May 2024
Fabian Hollstein, Marcel Prokopczuk and Christoph Wuersig
Saarland University, University of Reading - ICMA Centre and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 197 (290,176)
Citation 1

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Market power, systematic risk, market beta, mergers and acquisitions, product market competition, discount-rate beta

57.

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
Saarland University, Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 181 (313,074)
Citation 6

Abstract:

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

58.

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 and Christoph Wuersig
Saarland University, University of Reading - ICMA Centre and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 177 (319,406)
Citation 8

Abstract:

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commodities, information transmission, spillovers, volatility term structure

59.

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
University of Reading - ICMA Centre
Downloads 176 (321,046)

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Systemic Risk, Optimal Portfolio Choice

60.

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, Chardin Wese Simen and Robert Wichmann
University of Reading - ICMA Centre, University of Liverpool Management School and ICMA Centre, University of Reading
Downloads 148 (371,883)

Abstract:

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Commodity Markets, Comovement, Financialization, Factor Model

61.

The Economic Drivers of Commodity Market Volatility

Journal of International Money and Finance, Forthcoming
Number of pages: 66 Posted: 11 Jul 2019
Marcel Prokopczuk, Andrei Stancu and Lazaros Symeonidis
University of Reading - ICMA Centre, University of East Anglia (UEA) - Norwich Business School and Essex Business School, University of Essex
Downloads 135 (399,860)
Citation 12

Abstract:

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Commodities, Economic Uncertainty, Volatility, Financialization, Crisis

62.

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 and Chardin Wese Simen
Saarland University, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 132 (406,990)
Citation 1

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Systematic risk, idiosyncratic risk, options, term structure, expectations hypothesis, model-free option implied variance, implied correlation

63.

Financialization, Electronification, and Commodity Market Quality

Number of pages: 56 Posted: 26 Jan 2023 Last Revised: 13 Apr 2023
Tobias Lauter, Marcel Prokopczuk and Stefan Trück
Leibniz University Hannover, University of Reading - ICMA Centre and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 127 (419,171)

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Commodity Markets, Market Quality, Futures, Liquidity, Market Efficiency

64.

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 and Marcel Prokopczuk
Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA Centre
Downloads 125 (424,288)
Citation 1

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Commodities, Jump Risk, Tail Risk, Hedge

65.

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 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 Centre
Downloads 120 (437,595)

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Multi-asset Risk-neutral Density, American Multi-asset Options, Higher-order Moments

66.

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

Number of pages: 45 Posted: 15 Jun 2014
Marcel Prokopczuk, Lazaros Symeonidis and Timo Verlaat
University of Reading - ICMA Centre, Essex Business School, University of Essex and Zeppelin University
Downloads 119 (440,314)
Citation 1

Abstract:

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Food prices, index funds, volatility, agricultural futures

67.

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

Number of pages: 41 Posted: 22 Nov 2017 Last Revised: 06 Apr 2020
Leibniz University Hannover, Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA Centre and University of Hannover
Downloads 108 (473,130)

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International, Long Memory, Volatility

68.

Measuring Commodity Market Quality

Journal of Banking and Finance, Vol. 145, No. 106658, 2022
Number of pages: 77 Posted: 26 Sep 2022
Tobias Lauter and Marcel Prokopczuk
Leibniz University Hannover and University of Reading - ICMA Centre
Downloads 101 (496,184)

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Commodity Markets, Market Quality, Liquidity, Market Efficiency, High-Frequency Data

69.

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
Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU), Zeppelin University, Chair of Finance, University of Reading - ICMA Centre, Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 96 (513,072)
Citation 4

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EnergyMarkets, Fundamental Analysis, Spikes, EPEX

70.

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, Lazaros Symeonidis and Chardin Wese Simen
University of Reading - ICMA Centre, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 92 (527,348)
Citation 6

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Realized volatility, jumps, high-frequency data, volatility forecasting, forecast evaluation

71.

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 and Marcel Prokopczuk
Saarland University, Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA Centre
Downloads 84 (557,986)

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persistence, stock return distribution, option-implied central moments, asset pricing

72.

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 and Marcel Prokopczuk
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS), Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU), Students and University of Reading - ICMA Centre
Downloads 81 (570,336)
Citation 2

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Wind power, load factor, good-deal bounds, futures and options, mean reversion, seasonality

73.

Is Commodity Index Investing Profitable?

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

Abstract:

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Commodities, Investing, Index

74.

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 and Volker Vonhoff
University of Reading - ICMA Centre and University of Mannheim - Department of Business Administration and Finance

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covered bonds, bond risk premia, yield spreads

75.

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

Energy Economics, Vol. 29, No. 5, 2007
Posted: 24 Oct 2007
Texas Tech University, University of Reading - ICMA Centre, 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 (2)

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1.

Which Factors for Corporate Bond Returns?

Review of Asset Pricing Studies, forthcoming
Posted: 04 Mar 2022 Last Revised: 24 Feb 2023
Thuy Duong Dang, Fabian Hollstein and Marcel Prokopczuk
Leibniz Universität Hannover, Saarland University and University of Reading - ICMA Centre

Abstract:

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Corporate bonds, risk factors, model comparison

2.

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 and Marcel Prokopczuk
Saarland University and University of Reading - ICMA Centre

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