Marcel Prokopczuk
Marcel Prokopczuk
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The Case of Negative Day-Ahead Electricity Prices
E Fanone, A Gamba, M Prokopczuk
Energy Economics, 2011
The Dynamics of Commodity Prices
C Brooks, M Prokopczuk
Quantitative Finance, 2011
Futures basis, inventory and commodity price volatility: An empirical analysis
L Symeonidis, M Prokopczuk, C Brooks, E Lazar
Economic Modelling 29 (6), 2651-2663, 2012
Historical antisemitism, ethnic specialization, and financial development
F D’Acunto, M Prokopczuk, M Weber
The Review of Economic Studies 86 (3), 1170-1206, 2019
Do jumps matter for volatility forecasting? Evidence from energy markets
M Prokopczuk, L Symeonidis, C Wese Simen
Journal of Futures Markets 36 (8), 758-792, 2016
Seasonality and the valuation of commodity options
J Back, M Prokopczuk, M Rudolf
Journal of Banking and Finance, 2009
Quantifying risk in the electricity business: A RAROC-based approach
M Prokopczuk, ST Rachev, G Schindlmayr, S Truck
Energy Economics 29 (5), 1033-1049, 2007
Commodity derivatives valuation with autoregressive and moving average components in the price dynamics
R Paschke, M Prokopczuk
Journal of Banking & Finance 34 (11), 2742-2752, 2010
Credit risk in covered bonds
M Prokopczuk, JB Siewert, V Vonhoff
Journal of Empirical Finance 21, 102-120, 2013
Prediction of extreme price occurrences in the German day-ahead electricity market
LI Hagfors, HH Kamperud, F Paraschiv, M Prokopczuk, A Sator, ...
Quantitative finance 16 (12), 1929-1948, 2016
Systemic risk: Is the banking sector special?
W Bühler, M Prokopczuk
Available at SSRN 1612683, 2010
Booms and busts in commodity markets: bubbles or fundamentals?
C Brooks, M Prokopczuk, Y Wu
Journal of Futures Markets 35 (10), 916-938, 2015
Integrating multiple commodities in a model of stochastic price dynamics
R Paschke, M Prokopczuk
Journal of Energy Markets, 2007
The Importance of the Volatility Risk Premium for Volatility Forecasting
M Prokopczuk, C Wese Simen
Electricity Derivatives Pricing with Forward-Looking Information
R Füss, S Mahringer, M Prokopczuk
Pricing and hedging in the freight futures market
M Prokopczuk
Journal of Futures Markets 31 (5), 440-464, 2011
Seasonal stochastic volatility: Implications for the pricing of commodity options
JC Arismendi, J Back, M Prokopczuk, R Paschke, M Rudolf
Journal of Banking & Finance 66, 53-65, 2016
The (de) merits of minimum-variance hedging: Application to the crack spread
C Alexander, M Prokopczuk, A Sumawong
Energy Economics 36, 698-707, 2013
Commodity Futures Prices: More Evidence on Forecast Power, Risk Premia and the Theory of Storage
C Brooks, M Prokopczuk, Y Wu
Quarterly Review of Economics and Finance, 2011
Estimating beta
F Hollstein, M Prokopczuk
Journal of Financial and Quantitative Analysis 51 (4), 1437-1466, 2016
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