Marcel Prokopczuk

Leibniz Universität Hannover - Faculty of Economics and Management

Koenigsworther Platz 1

Hannover, 30167

Germany

University of Reading - Henley Business School - ICMA Centre

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

SCHOLARLY PAPERS

38

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CITATIONS
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22

Scholarly Papers (38)

1.

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 726 (23,540)
Citation 3

Abstract:

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

2.

Variance Risk Premia in Commodity Markets

Number of pages: 59 Posted: 04 Jan 2013 Last Revised: 07 Apr 2014
Marcel Prokopczuk and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management and ICMA Centre
Downloads 695 (20,973)
Citation 2

Abstract:

commodities, variance risk premia, variance swaps

3.

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 647 (28,475)

Abstract:

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

4.

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 626 (29,779)
Citation 4

Abstract:

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

5.

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 571 (33,836)
Citation 3

Abstract:

Commodities, Seasonality, Options Pricing

6.

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 Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 537 (17,274)

Abstract:

Beta estimation, Implied beta

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 502 (37,840)

Abstract:

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

8.

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 481 (41,407)

Abstract:

commodity futures, theory of storage, risk premia

9.

Commodity Price Dynamics and Derivatives Valuation: A Review

International Journal of Theoretical and Applied Finance, Vol. 16, No. 6, 2013
Number of pages: 39 Posted: 22 Aug 2012 Last Revised: 29 Dec 2013
Janis Back and Marcel Prokopczuk
WHU - Otto Beisheim School of Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 447 (41,015)

Abstract:

commodities, derivatives, review

10.

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 431 (47,116)
Citation 2

Abstract:

Freight Futures, Hedging, Shipping Derivatives, Imarex

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 ICMA Centre
Downloads 416 (48,279)

Abstract:

volatility forecasting, volatility risk premium, implied volatility

12.

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 391 (55,601)

Abstract:

Commodity Pricing, CARMA, Futures, Crude Oil

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
University of East Anglia (UEA) - Norwich Business School, Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 375 (55,601)
Citation 2

Abstract:

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

14.

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 319 (56,617)

Abstract:

G21, G15, G28, G11

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: 26 Apr 2012
Michael Weber and Marcel Prokopczuk
University of Chicago - Finance and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 314 (70,604)

Abstract:

American Options, GARCH, Implied Calibration, Edgeworth Binomial Tree

16.

An Empirical Model Comparison for Valuing Crack Spread Options

Energy Economics, Forthcoming
Number of pages: 45 Posted: 11 Mar 2010 Last Revised: 21 Jun 2015
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 294 (74,950)

Abstract:

Crack Spread Options, Option Valuation, Co-integrated Underlyings

17.

The Case of Negative Day-Ahead Electricity Prices

Energy Economics, Vol. 35, No. 1, 2013
Number of pages: 46 Posted: 13 May 2011 Last Revised: 11 Mar 2014
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 250 (88,104)
Citation 3

Abstract:

Electricity, Lèvy processes, Price spikes, Negative prices

18.

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 - School of Business, Management and Economics, Leibniz Universität Hannover - Faculty of Economics and Management and University of Sussex
Downloads 203 (111,193)

Abstract:

Hedging, Crack Spread, GARCH, Minimum-Variance Hedge

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 188 (81,479)

Abstract:

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

20.

The Long Shadow of Jewish Persecution on Financial Decisions

Number of pages: 61 Posted: 16 Dec 2013 Last Revised: 04 Feb 2017
Francesco D'Acunto, Marcel Prokopczuk and Michael Weber
University of Maryland - Robert H. Smith School of Business, Leibniz Universität Hannover - Faculty of Economics and Management and University of Chicago - Finance
Downloads 181 (90,284)

Abstract:

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

21.

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 166 (127,426)
Citation 1

Abstract:

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

22.

Booms and Busts in Commodity Markets: Bubbles or Fundamentals?

Journal of Futures Markets, Forthcoming
Number of pages: 38 Posted: 02 Feb 2014 Last Revised: 01 Mar 2015
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 134 (150,360)

Abstract:

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

23.

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 134 (166,544)
Citation 1

Abstract:

Systemic Risk, Optimal Portfolio Choice

24.

Time-Variations in Commodity Price Jumps

Journal of Empirical Finance, Forthcoming
Number of pages: 32 Posted: 10 Aug 2013 Last Revised: 21 Feb 2015
Laszlo Diewald, Marcel Prokopczuk and Chardin Wese Simen
Technische Universität München (TUM), Leibniz Universität Hannover - Faculty of Economics and Management and ICMA Centre
Downloads 119 (162,766)

Abstract:

Commodities, Jump frequency, Seasonality, Markov Chain Monte Carlo

25.

Jump and Variance Risk Premia in the S&P 500

Journal of Banking and Finance, Forthcoming
Number of pages: 39 Posted: 02 Jul 2014 Last Revised: 02 Apr 2016
Maximilian Neumann, Marcel Prokopczuk and Chardin Wese Simen
Technische Universität München (TUM), Leibniz Universität Hannover - Faculty of Economics and Management and ICMA Centre
Downloads 108 (118,679)

Abstract:

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

26.

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 103 (138,931)

Abstract:

Commodity futures; Convenience yield

27.

What Makes the Market Jump?

Number of pages: 37 Posted: 14 Jun 2014 Last Revised: 26 Aug 2015
Marcel Prokopczuk and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management and ICMA Centre
Downloads 98 (132,690)

Abstract:

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

28.

Electricity Spot and Derivatives Pricing When Markets are Interconnected

University of St.Gallen, School of Finance Research Paper No. 13/23
Number of pages: 39 Posted: 13 Jan 2014 Last Revised: 17 Jun 2015
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 87 (174,473)
Citation 1

Abstract:

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

29.

Electricity Market Coupling in Europe: Status Quo and Future Challenges

University of St.Gallen, School of Finance Research Paper No. 2015/12
Number of pages: 36 Posted: 15 Oct 2014 Last Revised: 13 Mar 2017
Roland Füss, Steffen Mahringer 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 73 (178,750)

Abstract:

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

30.

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 59 (185,490)

Abstract:

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

31.

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, University of East Anglia (UEA) - Norwich Business School and Zeppelin University
Downloads 44 (258,994)

Abstract:

Food prices, index funds, volatility, agricultural futures

32.

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

Applied Mathematical Finance, Forthcoming
Number of pages: 44 Posted: 25 Aug 2014 Last Revised: 11 Feb 2017
Juan Arismendi Zambrano and Marcel Prokopczuk
University of Reading - ICMA Centre and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 38 (299,896)

Abstract:

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

33.

Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets

Journal of Futures Markets, Forthcoming
Number of pages: 81 Posted: 28 Aug 2015 Last Revised: 31 Aug 2015
Marcel Prokopczuk, Lazaros Symeonidis and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management, University of East Anglia (UEA) - Norwich Business School and ICMA Centre
Downloads 22 (310,454)

Abstract:

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

34.

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 (NTNU) - Department of Economics, 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 0 (386,816)

Abstract:

EnergyMarkets, Fundamental Analysis, Spikes, EPEX

35.

On the Economic Sources of Commodity Market Volatility

Number of pages: 63 Posted: 24 Oct 2015
Marcel Prokopczuk and Lazaros Symeonidis
Leibniz Universität Hannover - Faculty of Economics and Management and University of East Anglia (UEA) - Norwich Business School
Downloads 0 (159,118)

Abstract:

Economic uncertainty, realized volatility, financialization, variance risk premium

36.

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

Abstract:

covered bonds, bond risk premia, yield spreads

37.

Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options

Journal of Banking and Finance, Forthcoming
Number of pages: 53 Posted: 05 Jul 2011 Last Revised: 02 Feb 2016
University of Reading - ICMA Centre, 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 0 (297,319)

Abstract:

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

38.

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

Energy Economics, Vol. 29, No. 5, 2007
Posted: 24 Oct 2007
Stony Brook 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

Abstract:

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