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

54

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55

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41

Scholarly Papers (54)

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 and Marcel Prokopczuk
Leibniz University Hannover - School of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 1,154 (18,118)

Abstract:

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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, Lazaros Symeonidis and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 1,074 (20,150)
Citation 16

Abstract:

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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 and Marcel Prokopczuk
University of Reading - ICMA Centre and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 848 (28,377)
Citation 4

Abstract:

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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 and Marcel Prokopczuk
University of Mannheim - Department of Business Administration and Finance and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 721 (35,531)
Citation 2

Abstract:

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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 and Marcel Prokopczuk
University of Mannheim - Department of Business Administration and Finance and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 711 (36,209)
Citation 3

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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 and Markus Rudolf
WHU - Otto Beisheim School of Management, Leibniz Universität Hannover - Faculty of Economics and Management and WHU Otto Beisheim Graduate School of Management
Downloads 668 (39,350)
Citation 3

Abstract:

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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, Jan B. Siewert and Volker Vonhoff
Leibniz 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 653 (40,578)
Citation 2

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

8.

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 Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 613 (44,138)
Citation 2

Abstract:

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commodities, derivatives, review

9.

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 Reading - ICMA Centre, Leibniz Universität Hannover - Faculty of Economics and Management and Xi'an Jiaotong Liverpool University
Downloads 569 (48,694)
Citation 2

Abstract:

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commodity futures, theory of storage, risk premia

10.

Systemic Risk: Is the Banking Sector Special?

Number of pages: 39 Posted: 24 May 2010
Wolfgang Bühler and Marcel Prokopczuk
University of Mannheim - Department of Business Administration and Finance and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 554 (50,347)
Citation 7

Abstract:

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G21, G15, G28, G11

11.

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
Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 530 (53,276)
Citation 7

Abstract:

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volatility forecasting, volatility risk premium, implied volatility

12.

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
Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 522 (54,307)

Abstract:

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Freight Futures, Hedging, Shipping Derivatives, Imarex

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, Chris Brooks and Emese Lazar
Essex Business School, University of Essex, Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 462 (63,265)
Citation 6

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

14.

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 Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 427 (69,558)
Citation 4

Abstract:

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Commodity Pricing, CARMA, Futures, Crude Oil

15.

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 Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 381 (79,511)
Citation 1

Abstract:

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American Options, GARCH, Implied Calibration, Edgeworth Binomial Tree

16.

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
Boston College, Leibniz Universität Hannover - Faculty of Economics and Management and University of Chicago - Finance
Downloads 347 (88,691)

Abstract:

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

17.

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 Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 335 (92,234)

Abstract:

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Crack Spread Options, Option Valuation, Co-integrated Underlyings

18.

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 Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 318 (97,714)
Citation 2

Abstract:

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Electricity, Lèvy processes, Price spikes, Negative prices

19.

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
University of St. Gallen - School of Finance, University of St.Gallen - Swiss Institute of Banking and Finance and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 317 (98,064)

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

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 and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 295 (106,068)
Citation 2

Abstract:

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Beta Estimation, Forecast Combinations, Forecast Adjustments

21.

What Makes the Market Jump?

Number of pages: 37 Posted: 14 Jun 2014 Last Revised: 29 Jan 2018
Marcel Prokopczuk and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 289 (108,456)
Citation 1

Abstract:

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

22.

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), Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 259 (121,673)
Citation 4

Abstract:

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

23.

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, Leibniz Universität Hannover - Faculty of Economics and Management and University of Sussex
Downloads 241 (131,046)
Citation 3

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Hedging, Crack Spread, GARCH, Minimum-Variance Hedge

24.

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 Reading - ICMA Centre, Leibniz Universität Hannover - Faculty of Economics and Management and Xi'an Jiaotong Liverpool University
Downloads 219 (143,848)

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

25.

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
University of St. Gallen - School of Finance, University of St.Gallen - Swiss Institute of Banking and Finance and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 218 (144,518)

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

26.

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
Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 212 (148,358)
Citation 2

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

27.

The Determinants of Convenience Yields

Number of pages: 42 Posted: 30 Dec 2013 Last Revised: 03 Nov 2014
Marcel Prokopczuk and Yingying Wu
Leibniz Universität Hannover - Faculty of Economics and Management and Xi'an Jiaotong Liverpool University
Downloads 206 (152,438)
Citation 4

Abstract:

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Commodity futures; Convenience yield

28.

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

Management Science, Forthcoming
Number of pages: 52 Posted: 25 Mar 2019 Last Revised: 07 Oct 2019
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 200 (156,680)
Citation 1

Abstract:

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Beta estimation, conditional CAPM, high-frequency data

29.

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
University of St. Gallen - School of Finance, University of St.Gallen - Swiss Institute of Banking and Finance, Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 180 (172,494)

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

30.

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, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 178 (174,202)

Abstract:

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

31.

Commodity Forward Curve Dynamics with Inventory Information

Number of pages: 38 Posted: 18 Mar 2015
Marcel Prokopczuk and Sebastian Vicedom
Leibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 171 (180,434)

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

32.

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), Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 168 (183,215)
Citation 2

Abstract:

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Commodities, Jump frequency, Seasonality, Markov Chain Monte Carlo

33.

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, Leibniz Universität Hannover - Faculty of Economics and Management and University of Hannover
Downloads 154 (197,358)
Citation 1

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Asset Pricing; Long Memory; Persistence; Volatility

34.

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
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 150 (201,639)
Citation 1

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

35.

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
Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 147 (205,075)

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Systemic Risk, Optimal Portfolio Choice

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
Boston College, Leibniz Universität Hannover - Faculty of Economics and Management and University of Chicago - Finance
Downloads 97 (280,867)

Abstract:

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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
Boston College, Leibniz Universität Hannover - Faculty of Economics and Management and University of Chicago - Finance
Downloads 26 (517,938)

Abstract:

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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
Francesco D'Acunto, Marcel Prokopczuk and Michael Weber
Boston College, Leibniz Universität Hannover - Faculty of Economics and Management and University of Chicago - Finance
Downloads 6 (655,030)

Abstract:

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37.

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
National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics, WHU - Otto Beisheim School of Management, Leibniz 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 119 (241,882)
Citation 5

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

38.

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
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 87 (298,816)
Citation 1

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

39.

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
National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 86 (301,044)

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

40.

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
Leibniz Universität Hannover - Faculty of Economics and Management, Essex Business School, University of Essex and Zeppelin University
Downloads 86 (301,044)
Citation 1

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Food prices, index funds, volatility, agricultural futures

41.

Oil Futures Volatility and the Economy

Number of pages: 68 Posted: 11 Jul 2019
Lacima Group, University of Technology Sydney - Business School and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 84 (305,433)
Citation 1

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oil market, volatility, term structure, macroeconomy

42.

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 Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 81 (312,302)

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Commodities, Jump Risk, Tail Risk, Hedge

43.

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
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 76 (324,096)
Citation 1

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

44.

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
Leibniz Universität Hannover - Faculty of Economics and Management, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 68 (344,846)
Citation 1

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

45.

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), Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School, Leibniz 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
Downloads 52 (393,336)
Citation 1

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EnergyMarkets, Fundamental Analysis, Spikes, EPEX

46.

The Memory of Beta

Number of pages: 58 Posted: 01 Jan 2020
Leibniz University Hannover, Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Hannover
Downloads 51 (396,790)

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Long memory, beta, persistence, forecasting, predictability

47.

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
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 51 (396,790)

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

48.

Volatility Term Structures in Commodity Markets

Journal of Futures Markets, Forthcoming
Number of pages: 65 Posted: 12 Dec 2019
Fabian Hollstein, Marcel Prokopczuk and Christoph Wuersig
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 49 (403,612)

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commodities, information transmission, spillovers, volatility term structure

49.

The Long Memory of Equity Volatility: International Evidence

Number of pages: 44 Posted: 22 Nov 2017
Duc Binh Benno Nguyen, Marcel Prokopczuk and Philipp Sibbertsen
Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Hannover
Downloads 45 (418,076)

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International, Long Memory, Volatility

50.

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
Leibniz Universität Hannover - Faculty of Economics and Management, University of East Anglia (UEA) - Norwich Business School and Essex Business School, University of Essex
Downloads 37 (450,032)
Citation 1

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Commodities, Economic Uncertainty, Volatility, Financialization, Crisis

51.

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

Number of pages: 53 Posted: 12 Dec 2019
Thuy Duong Dang, Fabian Hollstein and Marcel Prokopczuk
Leibniz University Hannover, Leibniz University Hannover - School of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 34 (463,076)

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

52.

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 Leibniz Universität Hannover - Faculty of Economics and Management

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Commodities, Investing, Index

53.

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
Leibniz 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

54.

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

Energy Economics, Vol. 29, No. 5, 2007
Posted: 24 Oct 2007
Texas Tech University, Leibniz 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)

Total Downloads: 0
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 and Marcel Prokopczuk
Leibniz University Hannover - School of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management

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