Marcel Prokopczuk

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Identifer

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Affiliations

• Leibniz Universität Hannover / Wirtschaftswissenschaftliche Fakultät
  • EDIRC entry
  • location:

Research profile

author of:

• The Natural Gas Announcement Day Puzzle (repec:aen:journl:ej42-2-wichmann)
  by Marcel Prokopczuk, Chardin Wese Simen, and Robert Wichmann
• Market power and systematic risk (repec:bla:finmgt:v:53:y:2024:i:2:p:233-266)
  by Fabian Hollstein & Marcel Prokopczuk & Christoph Matthias Würsig
• Nonstandard Errors (repec:bla:jfinan:v:79:y:2024:i:3:p:2339-2390)
  by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy
• Historical Antisemitism, Ethnic Specialization, and Financial Development (repec:ces:ceswps:_6643)
  by Francesco D'Acunto & Marcel Prokopczuk & Michael Weber & Michael Weber
• Estimating Beta (repec:cup:jfinqa:v:51:y:2016:i:04:p:1437-1466_00)
  by Hollstein, Fabian & Prokopczuk, Marcel
• Estimating Stock Market Betas via Machine Learning (repec:cup:jfinqa:v:60:y:2025:i:3:p:1074-1110_1)
  by Drobetz, Wolfgang & Hollstein, Fabian & Otto, Tizian & Prokopczuk, Marcel
• Pricing analysis of wind power derivatives for renewable energy risk management (repec:eee:appene:v:304:y:2021:i:c:s0306261921011557)
  by Kanamura, Takashi & Homann, Lasse & Prokopczuk, Marcel
• Electricity derivatives pricing with forward-looking information (repec:eee:dyncon:v:58:y:2015:i:c:p:34-57)
  by Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel
• Futures basis, inventory and commodity price volatility: An empirical analysis (repec:eee:ecmode:v:29:y:2012:i:6:p:2651-2663)
  by Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese
• Measuring tail risk (repec:eee:econom:v:241:y:2024:i:2:s0304407624001155)
  by Dierkes, Maik & Hollstein, Fabian & Prokopczuk, Marcel & Würsig, Christoph Matthias
• Credit risk in covered bonds (repec:eee:empfin:v:21:y:2013:i:c:p:102-120)
  by Prokopczuk, Marcel & Siewert, Jan B. & Vonhoff, Volker
• Time-variations in commodity price jumps (repec:eee:empfin:v:31:y:2015:i:c:p:72-84)
  by Diewald, Laszlo & Prokopczuk, Marcel & Wese Simen, Chardin
• Convenience yield risk (repec:eee:eneeco:v:120:y:2023:i:c:s0140988323000348)
  by Prokopczuk, Marcel & Symeonidis, Lazaros & Wese Simen, Chardin & Wichmann, Robert
• Quantifying risk in the electricity business: A RAROC-based approach (repec:eee:eneeco:v:29:y:2007:i:5:p:1033-1049)
  by Prokopczuk, Marcel & Rachev, Svetlozar T. & Schindlmayr, Gero & Truck, Stefan
• The case of negative day-ahead electricity prices (repec:eee:eneeco:v:35:y:2013:i:c:p:22-34)
  by Fanone, Enzo & Gamba, Andrea & Prokopczuk, Marcel
• The (de)merits of minimum-variance hedging: Application to the crack spread (repec:eee:eneeco:v:36:y:2013:i:c:p:698-707)
  by Alexander, Carol & Prokopczuk, Marcel & Sumawong, Anannit
• An empirical model comparison for valuing crack spread options (repec:eee:eneeco:v:51:y:2015:i:c:p:177-187)
  by Mahringer, Steffen & Prokopczuk, Marcel
• Economic determinants of oil futures volatility: A term structure perspective (repec:eee:eneeco:v:88:y:2020:i:c:s0140988320300827)
  by Kang, Boda & Nikitopoulos, Christina Sklibosios & Prokopczuk, Marcel
• Responsible investing: Upside potential and downside protection? (repec:eee:finana:v:97:y:2025:i:c:s1057521924006860)
  by Gao, Yumeng & Hoepner, Andreas G.F. & Prokopczuk, Marcel & Rouxelin, Florent & Wuersig, Christoph
• Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section (repec:eee:finmar:v:44:y:2019:i:c:p:91-118)
  by Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin
• The memory of stock return volatility: Asset pricing implications (repec:eee:finmar:v:47:y:2020:i:c:s138641811830140x)
  by Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp
• Predicting the equity premium around the globe: Comprehensive evidence from a large sample (repec:eee:intfor:v:41:y:2025:i:1:p:208-228)
  by Hollstein, Fabian & Prokopczuk, Marcel & Tharann, Björn & Wese Simen, Chardin
• Asset prices and “the devil(s) you know” (repec:eee:jbfina:v:105:y:2019:i:c:p:20-35)
  by Hollstein, Fabian & Nguyen, Duc Binh Benno & Prokopczuk, Marcel
• Curve momentum (repec:eee:jbfina:v:113:y:2020:i:c:s0378426619302912)
  by Paschke, Raphael & Prokopczuk, Marcel & Wese Simen, Chardin
• Beta uncertainty (repec:eee:jbfina:v:116:y:2020:i:c:s0378426620301011)
  by Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin
• The memory of beta (repec:eee:jbfina:v:124:y:2021:i:c:s0378426620302879)
  by Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp
• How do corporate bond investors measure performance? Evidence from mutual fund flows (repec:eee:jbfina:v:142:y:2022:i:c:s0378426622001492)
  by Dang, Thuy Duong & Hollstein, Fabian & Prokopczuk, Marcel
• Testing Factor Models in the Cross-Section (repec:eee:jbfina:v:145:y:2022:i:c:s0378426622002060)
  by Hollstein, Fabian & Prokopczuk, Marcel
• Measuring commodity market quality (repec:eee:jbfina:v:145:y:2022:i:c:s0378426622002382)
  by Lauter, Tobias & Prokopczuk, Marcel
• Commodity derivatives valuation with autoregressive and moving average components in the price dynamics (repec:eee:jbfina:v:34:y:2010:i:11:p:2742-2752)
  by Paschke, Raphael & Prokopczuk, Marcel
• Seasonality and the valuation of commodity options (repec:eee:jbfina:v:37:y:2013:i:2:p:273-290)
  by Back, Janis & Prokopczuk, Marcel & Rudolf, Markus
• The importance of the volatility risk premium for volatility forecasting (repec:eee:jbfina:v:40:y:2014:i:c:p:303-320)
  by Prokopczuk, Marcel & Wese Simen, Chardin
• Seasonal Stochastic Volatility: Implications for the pricing of commodity options (repec:eee:jbfina:v:66:y:2016:i:c:p:53-65)
  by Arismendi, Juan C. & Back, Janis & Prokopczuk, Marcel & Paschke, Raphael & Rudolf, Markus
• Jump and variance risk premia in the S&P 500 (repec:eee:jbfina:v:69:y:2016:i:c:p:72-83)
  by Neumann, Maximilian & Prokopczuk, Marcel & Wese Simen, Chardin
• Variance risk in commodity markets (repec:eee:jbfina:v:81:y:2017:i:c:p:136-149)
  by Prokopczuk, Marcel & Symeonidis, Lazaros & Wese Simen, Chardin
• Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance (repec:eee:jbfina:v:95:y:2018:i:c:p:1-4)
  by Roncoroni, Andrea & Prokopczuk, Marcel & Ronn, Ehud I.
• International tail risk and World Fear (repec:eee:jimfin:v:93:y:2019:i:c:p:244-259)
  by Hollstein, Fabian & Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin
• The risk premium of gold (repec:eee:jimfin:v:94:y:2019:i:c:p:140-159)
  by Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin
• The economic drivers of commodity market volatility (repec:eee:jimfin:v:98:y:2019:i:c:4)
  by Prokopczuk, Marcel & Stancu, Andrei & Symeonidis, Lazaros
• Journal of Commodity Markets, Elsevier (repec:eee:jocoma)
  edited by
• Jumps in commodity markets (repec:eee:jocoma:v:13:y:2019:i:c:p:55-70)
  by Nguyen, Duc Binh Benno & Prokopczuk, Marcel
• Predictability in commodity markets: Evidence from more than a century (repec:eee:jocoma:v:24:y:2021:i:c:s2405851321000052)
  by Hollstein, Fabian & Prokopczuk, Marcel & Tharann, Björn & Wese Simen, Chardin
• Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage (repec:eee:quaeco:v:53:y:2013:i:1:p:73-85)
  by Brooks, Chris & Prokopczuk, Marcel & Wu, Yingying
• Nonstandard errors (repec:ehl:lserod:123002)
  by Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac
• Handbook of Research Methods and Applications in Empirical Finance (repec:elg:eebook:14545)
  by Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.)
• Estimating term structure models with the Kalman filter (repec:elg:eechap:14545_4)
  by Marcel Prokopczuk & Yingying Wu
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• Nonstandard Errors (repec:hal:cesptp:hal-05077550)
  by Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai
• Nonstandard Errors (repec:hal:journl:hal-04676112)
  by Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai
• Nonstandard Errors (repec:hal:journl:hal-05077550)
  by Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai
• The Memory of Stock Return Volatility: Asset Pricing Implications (repec:han:dpaper:dp-613)
  by Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp
• The Long Memory of Equity Volatility: International Evidence (repec:han:dpaper:dp-614)
  by Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp
• Jumps in Commodity Markets (repec:han:dpaper:dp-615)
  by Nguyen, Duc Binh Benno & Prokopczuk, Marcel
• The Risk Premium of Gold (repec:han:dpaper:dp-616)
  by Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin
• How to Estimate Beta? (repec:han:dpaper:dp-617)
  by Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin
• The Term Structure of Systematic and Idiosyncratic Risk (repec:han:dpaper:dp-618)
  by Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin
• Predicting the Equity Market with Option Implied Variables (repec:han:dpaper:dp-619)
  by Prokopczuk, Marcel & Tharann, Björn & Wese Simen, Chardin
• International Tail Risk and World Fear (repec:han:dpaper:dp-620)
  by Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin
• Is Commodity Index Investing Profitable? (repec:han:dpaper:dp-635)
  by Fethke, Tobias & Prokopczuk, Marcel
• The Memory of Beta Factors (repec:han:dpaper:dp-661)
  by Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp
• The Long Memory of Equity Volatility and the Macroeconomy: International Evidence (repec:han:dpaper:dp-667)
  by Dräger, Lena & Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp
• What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS (repec:han:dpaper:dp-732)
  by Dittmann, Bente & Lauter, Tobias & Prokopczuk, Marcel & Sibbertsen, Philipp
• Non-Standard Errors (repec:hhs:lunewp:2021_017)
  by Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena
• The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas (repec:inm:ormnsc:v:66:y:2020:i:6:p:2474-2494)
  by Fabian Hollstein & Marcel Prokopczuk & Chardin Wese Simen
• Managing the Market Portfolio (repec:inm:ormnsc:v:69:y:2023:i:6:p:3675-3696)
  by Fabian Hollstein & Marcel Prokopczuk
• Non-Standard Errors (repec:inn:wpaper:2021-31)
  by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi
• Historical Antisemitism, Ethnic Specialization, and Financial Development (repec:nbr:nberwo:23785)
  by Francesco D’Acunto & Marcel Prokopczuk & Michael Weber
• Which Factors for Corporate Bond Returns? (repec:oup:rasset:v:13:y:2023:i:4:p:615-652.)
  by Thuy Duong Dang & Fabian Hollstein & Marcel Prokopczuk & Zhiguo He
• Historical Antisemitism, Ethnic Specialization, and Financial Development (repec:oup:restud:v:86:y:2019:i:3:p:1170-1206.)
  by Francesco D’Acunto & Marcel Prokopczuk & Michael Weber
• Futures basis, inventory and commodity price volatility: An empirical analysis (repec:pra:mprapa:39903)
  by Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese
• Integrating Multiple Commodities in a Model of Stochastic Price Dynamics (repec:pra:mprapa:5412)
  by Paschke, Raphael & Prokopczuk, Marcel
• Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics (repec:rdg:icmadp:icma-dp2009-10)
  by Raphael Paschke & Marcel ProkopczukÂ
• An Empirical Model Comparison for Valuing Crack Spread Options (repec:rdg:icmadp:icma-dp2010-01)
  by Steffen Mahringer & Marcel Prokopczuk
• American Option Valuation: Implied Calibration of GARCH Pricing-Models (repec:rdg:icmadp:icma-dp2010-02)
  by Michael Weber & Marcel Prokopczuk
• Pricing and Hedging in the Freight Futures Market (repec:rdg:icmadp:icma-dp2010-04)
  by Marcel Prokopczuk
• Seasonality and the Valuation of Commodity Options (repec:rdg:icmadp:icma-dp2010-08)
  by Janis Back & Marcel Prokopczuk & Markus Rudolf
• The Dynamics of Commodity Prices (repec:rdg:icmadp:icma-dp2011-09)
  by Chris Brooks & Marcel Prokopczuk
• Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options (repec:rdg:icmadp:icma-dp2011-16)
  by Janis Back & Marcel Prokopczuk & Markus Rudolf
• The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread (repec:rdg:icmadp:icma-dp2012-01)
  by Carol Alexander & Marcel Prokopczuk & Anannit Sumawon
• An Analytic Approximation of the Implied Risk-Neutral Density of American Multi-Asset Options (repec:rdg:icmadp:icma-dp2014-07)
  by Juan C. Arismendi & Marcel Prokopczuk
• Distrust in Finance Lingers: Jewish Persecution and Households' Investments (repec:red:sed015:26)
  by Marcel Prokopczuk & Francesco D'Acunto & Michael Weber
• Integrating multiple commodities in a model of stochastic price dynamics (repec:rsk:journ2:2160795)
  by Raphael Paschke & Marcel Prokopczuk
• The Natural Gas Announcement Day Puzzle (repec:sae:enejou:v:42:y:2021:i:2:p:91-112)
  by Marcel Prokopczuk & Chardin Wese Simen & Robert Wichmann
• Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets (repec:spr:decfin:v:34:y:2011:i:2:p:141-168)
  by Marcel Prokopczuk
• Intra-industry contagion effects of earnings surprises in the banking sector (repec:taf:apfiec:v:20:y:2010:i:20:p:1601-1613)
  by Marcel Prokopczuk
• A moment-based analytic approximation of the risk-neutral density of American options (repec:taf:apmtfi:v:23:y:2016:i:6:p:409-444)
  by J. C. Arismendi & Marcel Prokopczuk
• Investing in commodity futures markets: can pricing models help? (repec:taf:eurjfi:v:18:y:2012:i:1:p:59-87)
  by Raphael Paschke & Marcel Prokopczuk
• Predicting the equity market with option-implied variables (repec:taf:eurjfi:v:25:y:2019:i:10:p:937-965)
  by Fabian Hollstein & Marcel Prokopczuk & Björn Tharann & Chardin Wese Simen
• The dynamics of commodity prices (repec:taf:quantf:v:13:y:2013:i:4:p:527-542)
  by Chris Brooks & Marcel Prokopczuk
• Prediction of extreme price occurrences in the German day-ahead electricity market (repec:taf:quantf:v:16:y:2016:i:12:p:1929-1948)
  by Lars Ivar Hagfors & Hilde Hørthe Kamperud & Florentina Paraschiv & Marcel Prokopczuk & Alma Sator & Sjur Westgaard
• Electricity Derivatives Pricing with Forward-Looking Information (repec:usg:sfwpfi:2013:17)
  by Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel
• Electricity Spot and Derivatives Pricing when Markets are Interconnected (repec:usg:sfwpfi:2013:23)
  by Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel
• Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach (repec:usg:sfwpfi:2015:12)
  by Mahringer, Steffen & Fuess, Roland & Prokopczuk, Marcel
• Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market (repec:usg:sfwpfi:2016:22)
  by Hagfors, Lars Ivar & Kamperud , Hilde Horthe & Paraschiv, Florentina & Prokopczuk, Marcel & Sator, Alma & Westgaard, Sjur
• Economic Determinants of Oil Futures Volatility: A Term Structure Perspective (repec:uts:rpaper:401)
  by Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk
• American option valuation: Implied calibration of GARCH pricing models (repec:wly:jfutmk:v:31:y:2011:i:10:p:971-994)
  by Michael Weber & Marcel Prokopczuk
• Pricing and hedging in the freight futures market (repec:wly:jfutmk:v:31:y:2011:i:5:p:440-464)
  by Marcel Prokopczuk
• Booms and Busts in Commodity Markets: Bubbles or Fundamentals? (repec:wly:jfutmk:v:35:y:2015:i:10:p:916-938)
  by Chris Brooks & Marcel Prokopczuk & Yingying Wu
• Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets (repec:wly:jfutmk:v:36:y:2016:i:8:p:758-792)
  by Marcel Prokopczuk & Lazaros Symeonidis & Chardin Wese Simen
• The term structure of systematic and idiosyncratic risk (repec:wly:jfutmk:v:39:y:2019:i:4:p:435-460)
  by Fabian Hollstein & Marcel Prokopczuk & Chardin Wese Simen
• Volatility term structures in commodity markets (repec:wly:jfutmk:v:40:y:2020:i:4:p:527-555)
  by Fabian Hollstein & Marcel Prokopczuk & Christoph Würsig
• The dynamics of commodity return comovements (repec:wly:jfutmk:v:41:y:2021:i:10:p:1597-1617)
  by Marcel Prokopczuk & Chardin Wese Simen & Robert Wichmann
• Commodity tail risks (repec:wly:jfutmk:v:43:y:2023:i:2:p:168-197)
  by Manuel Ammann & Mathis Moerke & Marcel Prokopczuk & Christoph Matthias Würsig
• Commodity Price Dynamics And Derivative Valuation: A Review (repec:wsi:ijtafx:v:16:y:2013:i:06:n:s0219024913500325)
  by Janis Back & Marcel Prokopczuk
• Anomalies in Commodity Futures Markets (repec:wsi:qjfxxx:v:11:y:2021:i:04:n:s2010139221500178)
  by Fabian Hollstein & Marcel Prokopczuk & Björn Tharann
• How Robust are Empirical Factor Models to the Choice of Breakpoints? (repec:wsi:qjfxxx:v:13:y:2023:i:04:n:s2010139223500118)
  by Fabian Hollstein & Marcel Prokopczuk & Victoria Voigts
• Electricity Market Coupling in Europe: Status Quo and Future Challenges (repec:wsi:wschap:9789813278387_0005)
  by Roland Füss & Steffen Mahringer & Marcel Prokopczuk