Raphael Paschke

University of Mannheim - Department of Business Administration and Finance

D-68131 Mannheim

Germany

SCHOLARLY PAPERS

4

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TOTAL CITATIONS
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Top 43,018

in Total Papers Citations

21

Scholarly Papers (4)

1.

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 829 (61,768)
Citation 7

Abstract:

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

2.

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 802 (64,569)
Citation 2

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

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 University of Reading - ICMA Centre
Downloads 482 (123,089)
Citation 5

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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
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 394 (155,840)
Citation 7

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