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Marcel Prokopczuk

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This is information that was supplied by Marcel Prokopczuk in registering through RePEc. If you are Marcel Prokopczuk , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Marcel
Middle Name:
Last Name: Prokopczuk
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RePEc Short-ID: ppr113

Email:
Homepage: http://www.zu.de/deutsch/lehrstuehle/oekono/profil.php?navid=178
Postal Address: Chair of Empirical Finance and Econometrics Zeppelin University Am Seemooser Horn 20 88045 Friedrichshafen Germany
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Affiliation

Department Wirtschaftswissenschaften
Zeppelin Universität
Location: Friedrichshafen, Germany
Homepage: http://www.zeppelin-university.de/deutsch/lehrstuehle/cme.php?navid=124
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Handle: RePEc:edi:dczepde (more details at EDIRC)

Works

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Working papers

  1. Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2013. "Electricity Spot and Derivatives Pricing when Markets are Interconnected," Working Papers on Finance 1323, University of St. Gallen, School of Finance.
  2. Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2013. "Electricity Derivatives Pricing with Forward-Looking Information," Working Papers on Finance 1317, University of St. Gallen, School of Finance.
  3. Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," MPRA Paper 39903, University Library of Munich, Germany.
  4. : Enzo Fanone & Andrea Gamba & Marcel Prokopczuk, 2011. "The Case of Negative Day-Ahead Electricity Prices," Working Papers wpn11-01, Warwick Business School, Finance Group.
  5. Marcel Prokopczuk, 2010. "Pricing and Hedging in the Freight Futures Market," ICMA Centre Discussion Papers in Finance icma-dp2010-04, Henley Business School, Reading University.
  6. Michael Weber & Marcel Prokopczuk, 2010. "American Option Valuation: Implied Calibration of GARCH Pricing-Models," ICMA Centre Discussion Papers in Finance icma-dp2010-02, Henley Business School, Reading University.
  7. Steffen Mahringer & Marcel Prokopczuk, 2010. "An Empirical Model Comparison for Valuing Crack Spread Options," ICMA Centre Discussion Papers in Finance icma-dp2010-01, Henley Business School, Reading University.
  8. Raphael Paschke & Marcel Prokopczuk , 2009. "Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics," ICMA Centre Discussion Papers in Finance icma-dp2009-10, Henley Business School, Reading University, revised Sep 2009.
  9. Paschke, Raphael & Prokopczuk, Marcel, 2007. "Integrating Multiple Commodities in a Model of Stochastic Price Dynamics," MPRA Paper 5412, University Library of Munich, Germany.

Articles

  1. Prokopczuk, Marcel & Wese Simen, Chardin, 2014. "The importance of the volatility risk premium for volatility forecasting," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 303-320.
  2. Prokopczuk, Marcel & Siewert, Jan B. & Vonhoff, Volker, 2013. "Credit risk in covered bonds," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 102-120.
  3. Fanone, Enzo & Gamba, Andrea & Prokopczuk, Marcel, 2013. "The case of negative day-ahead electricity prices," Energy Economics, Elsevier, vol. 35(C), pages 22-34.
  4. Alexander, Carol & Prokopczuk, Marcel & Sumawong, Anannit, 2013. "The (de)merits of minimum-variance hedging: Application to the crack spread," Energy Economics, Elsevier, vol. 36(C), pages 698-707.
  5. Chris Brooks & Marcel Prokopczuk, 2013. "The dynamics of commodity prices," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 527-542, March.
  6. Brooks, Chris & Prokopczuk, Marcel & Wu, Yingying, 2013. "Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(1), pages 73-85.
  7. Janis Back & Marcel Prokopczuk, 2013. "Commodity Price Dynamics And Derivative Valuation: A Review," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(06), pages 1350032-1-1.
  8. Back, Janis & Prokopczuk, Marcel & Rudolf, Markus, 2013. "Seasonality and the valuation of commodity options," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 273-290.
  9. Raphael Paschke & Marcel Prokopczuk, 2012. "Investing in commodity futures markets: can pricing models help?," The European Journal of Finance, Taylor & Francis Journals, vol. 18(1), pages 59-87, January.
  10. Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," Economic Modelling, Elsevier, vol. 29(6), pages 2651-2663.
  11. Marcel Prokopczuk, 2011. "Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets," Decisions in Economics and Finance, Springer, vol. 34(2), pages 141-168, November.
  12. Marcel Prokopczuk, 2010. "Intra-industry contagion effects of earnings surprises in the banking sector," Applied Financial Economics, Taylor & Francis Journals, vol. 20(20), pages 1601-1613.
  13. Paschke, Raphael & Prokopczuk, Marcel, 2010. "Commodity derivatives valuation with autoregressive and moving average components in the price dynamics," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2742-2752, November.
  14. Prokopczuk, Marcel & Rachev, Svetlozar T. & Schindlmayr, Gero & Truck, Stefan, 2007. "Quantifying risk in the electricity business: A RAROC-based approach," Energy Economics, Elsevier, vol. 29(5), pages 1033-1049, September.

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-AGR: Agricultural Economics (1) 2012-07-14
  2. NEP-CFN: Corporate Finance (2) 2010-05-22 2010-05-22. Author is listed
  3. NEP-ENE: Energy Economics (2) 2007-10-27 2013-10-18. Author is listed
  4. NEP-REG: Regulation (1) 2013-10-18

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