Raphael Paschke

University of Mannheim - Department of Business Administration and Finance

D-68131 Mannheim

Germany

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

1.

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 717 (34,570)
Citation 1

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

2.

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 704 (35,442)
Citation 3

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

3.

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 425 (67,679)
Citation 3

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Commodity Pricing, CARMA, Futures, Crude Oil

4.

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 109 (249,965)
Citation 6

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