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1

Seasonality and the valuation of commodity options

Janis Back, Marcel Prokopczuk, Markus Rudolf

Journal:

Journal of Banking & Finance

Year:

2013

Language:

english

File:

PDF, 557 KB

english, 2013

2

Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section

Hollstein, Fabian, Prokopczuk, Marcel, Wese Simen, Chardin

Journal:

Journal of Financial Markets

Year:

2019

Language:

english

File:

PDF, 1.32 MB

english, 2019

3

Booms and Busts in Commodity Markets: Bubbles or Fundamentals?

Brooks, Chris, Prokopczuk, Marcel, Wu, Yingying

Journal:

Journal of Futures Markets

Year:

2015

Language:

english

File:

PDF, 367 KB

english, 2015

4

Lipoprotein(a) Reduction in Persons with Cardiovascular Disease

Tsimikas, Sotirios, Karwatowska-Prokopczuk, Ewa, Gouni-Berthold, Ioanna, Tardif, Jean-Claude, Baum, Seth J., Steinhagen-Thiessen, Elizabeth, Shapiro, Michael D., Stroes, Erik S., Moriarty, Patrick M.,

Journal:

New England Journal of Medicine

Year:

2020

Language:

english

File:

PDF, 252 KB

english, 2020

5

Commodity derivatives valuation with autoregressive and moving average components in the price dynamics

Raphael Paschke, Marcel Prokopczuk

Journal:

Journal of Banking & Finance

Year:

2010

Language:

english

File:

PDF, 327 KB

english, 2010

6

COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW

BACK, JANIS, PROKOPCZUK, MARCEL

Journal:

International Journal of Theoretical and Applied Finance

Year:

2013

Language:

english

File:

PDF, 448 KB

english, 2013

7

Handbook of Research Methods and Applications in Empirical Finance || Competition in banking: measurement and interpretation

Bell, Adrian, Brooks, Chris, Prokopczuk, Marcel

Year:

2013

Language:

english

File:

PDF, 226 KB

english, 2013

8

The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas

Hollstein, Fabian, Prokopczuk, Marcel, Wese Simen, Chardin

Journal:

Management Science

Year:

2020

File:

PDF, 1.15 MB

2020

9

Beta uncertainty

Hollstein, Fabian, Prokopczuk, Marcel, Wese Simen, Chardin

Journal:

Journal of Banking & Finance

Year:

2020

File:

PDF, 931 KB

2020

10

Futures basis, inventory and commodity price volatility: An empirical analysis

Symeonidis, Lazaros, Prokopczuk, Marcel, Brooks, Chris, Lazar, Emese

Journal:

Economic Modelling

Year:

2012

Language:

english

File:

PDF, 323 KB

english, 2012

11

The dynamics of commodity prices

BROOKS, CHRIS, PROKOPCZUK, MARCEL

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 719 KB

english, 2013

12

Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage

Brooks, Chris, Prokopczuk, Marcel, Wu, Yingying

Journal:

The Quarterly Review of Economics and Finance

Year:

2013

Language:

english

File:

PDF, 592 KB

english, 2013

13

Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets

Prokopczuk, Marcel, Symeonidis, Lazaros, Wese Simen, Chardin

Journal:

Journal of Futures Markets

Year:

2016

Language:

english

File:

PDF, 211 KB

english, 2016

14

Handbook of Research Methods and Applications in Empirical Finance || Quantifying the uncertainty in VaR and expected shortfall estimates

Bell, Adrian, Brooks, Chris, Prokopczuk, Marcel

Year:

2013

Language:

english

File:

PDF, 292 KB

english, 2013

15

Handbook of Research Methods and Applications in Empirical Finance || Predicting financial distress of companies: revisiting the Z-Score and ZETA® models

Bell, Adrian, Brooks, Chris, Prokopczuk, Marcel

Year:

2013

Language:

english

File:

PDF, 254 KB

english, 2013

16

Investing in Commodity Futures Markets: Can Pricing Models Help?

Paschke, Raphael, Prokopczuk, Marcel

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 256 KB

english, 2008

17

Asset prices and “the devil(s) you know”

Hollstein, Fabian, Nguyen, Duc Binh Benno, Prokopczuk, Marcel

Journal:

Journal of Banking & Finance

Year:

2019

Language:

english

File:

PDF, 710 KB

english, 2019

18

Volatility term structures in commodity markets

Hollstein, Fabian, Prokopczuk, Marcel, Würsig, Christoph

Journal:

Journal of Futures Markets

Year:

2019

File:

PDF, 2.15 MB

2019

19

Economic determinants of oil futures volatility: A term structure perspective

Kang, Boda, Nikitopoulos, Christina Sklibosios, Prokopczuk, Marcel

Journal:

Energy Economics

Year:

2020

File:

PDF, 1.22 MB

2020

20

Credit risk in covered bonds

Prokopczuk, Marcel, Siewert, Jan B., Vonhoff, Volker

Journal:

Journal of Empirical Finance

Year:

2013

Language:

english

File:

PDF, 343 KB

english, 2013

21

The importance of the volatility risk premium for volatility forecasting

Prokopczuk, Marcel, Wese Simen, Chardin

Journal:

Journal of Banking & Finance

Year:

2014

Language:

english

File:

PDF, 409 KB

english, 2014

22

Handbook of Research Methods and Applications in Empirical Finance || Estimating term structure models with the Kalman filter

Bell, Adrian, Brooks, Chris, Prokopczuk, Marcel

Year:

2013

Language:

english

File:

PDF, 285 KB

english, 2013

23

Variance risk in commodity markets

Prokopczuk, Marcel, Symeonidis, Lazaros, Wese Simen, Chardin

Journal:

Journal of Banking & Finance

Year:

2017

Language:

english

File:

PDF, 590 KB

english, 2017

24

Historical Antisemitism, Ethnic Specialization, and Financial Development

D'Acunto, Francesco, Prokopczuk, Marcel, Weber, Michael

Journal:

Review of Economic Studies

Year:

2018

Language:

english

File:

PDF, 3.53 MB

english, 2018

25

Curve Momentum

Paschke, Raphael, Prokopczuk, Marcel, Simen, Chardin Wese

Journal:

Journal of Banking & Finance

Year:

2019

File:

PDF, 1.14 MB

2019

26

Pricing and hedging in the freight futures market

Marcel Prokopczuk

Journal:

Journal of Futures Markets

Year:

2011

Language:

english

File:

PDF, 157 KB

english, 2011

27

Safety and Feasibility of a Novel Dosing Regimen of Tirofiban Administered in Patients with Acute Myocardial Infarction with ST Elevation Before Primary Coronary Angioplasty: A Pilot Study

Waclaw Kochman, Slawomir Dobrzycki, Konrad S. Nowak, Stefan Chlopicki, Pawel Kralisz, Przemyslaw Prokopczuk, Hanna Bachorzewska-Gajewska, Kamil Gugala, Maciej_Niewada, Grzegorz Mezynski, Bogdan Poniat

Journal:

Journal of Thrombosis and Thrombolysis

Year:

2004

Language:

english

File:

PDF, 80 KB

english, 2004

28

Simulation des Schwungrad-Reibschweißprozesses mit ABAQUS

Prokopczuk, P., Pöhler, A., Hupfer, A., Zäh, M. F.

Journal:

Forschung im Ingenieurwesen

Year:

2012

Language:

german

File:

PDF, 1.29 MB

german, 2012

29

Estimating Beta

Hollstein, Fabian, Prokopczuk, Marcel

Journal:

Journal of Financial and Quantitative Analysis

Year:

2016

Language:

english

File:

PDF, 368 KB

english, 2016

30

Handbook of Research Methods and Applications in Empirical Finance || Empirical mergers and acquisitions research: a review of methods, evidence and managerial implications

Bell, Adrian, Brooks, Chris, Prokopczuk, Marcel

Year:

2013

Language:

english

File:

PDF, 182 KB

english, 2013

31

Handbook of Research Methods and Applications in Empirical Finance || The construction and valuation effect of corporate governance indices

Bell, Adrian, Brooks, Chris, Prokopczuk, Marcel

Year:

2013

Language:

english

File:

PDF, 233 KB

english, 2013

32

Handbook of Research Methods and Applications in Empirical Finance || Portfolio optimization: theory and practical implementation

Bell, Adrian, Brooks, Chris, Prokopczuk, Marcel

Year:

2013

Language:

english

File:

PDF, 1.11 MB

english, 2013

33

A moment-based analytic approximation of the risk-neutral density of American options

Arismendi, J. C., Prokopczuk, Marcel

Journal:

Applied Mathematical Finance

Year:

2016

Language:

english

File:

PDF, 3.06 MB

english, 2016

34

How Aggregate Volatility-of-Volatility Affects Stock Returns*

Hollstein, Fabian, Prokopczuk, Marcel

Journal:

Review of Asset Pricing Studies

Year:

2017

Language:

english

File:

PDF, 1.10 MB

english, 2017

35

Characterizing Familial Chylomicronemia Syndrome: Baseline Data of the APPROACH Study

Blom, Dirk J., O’Dea, Louis, Digenio, Andres, Alexander, Veronica J., Karwatowska-Prokopczuk, Ewa, Williams, Karren R., Hemphill, Linda, Muñiz-Grijalvo, Ovidio, Santos, Raul D., Baum, Seth, Witztum, J

Journal:

Journal of Clinical Lipidology

Year:

2018

Language:

english

File:

PDF, 996 KB

english, 2018

36

Is Commodity Index Investing Profitable?

Fethke, Tobias, Prokopczuk, Marcel

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 365 KB

english, 2018

37

Jumps in commodity markets

Benno Nguyen, Duc Binh, Prokopczuk, Marcel

Journal:

Journal of Commodity Markets

Year:

2018

Language:

english

File:

PDF, 1.07 MB

english, 2018

38

Commodity Forward Curve Dynamics with Inventory Information

Prokopczuk, Marcel, Vicedom, Sebastian

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 601 KB

english, 2015

39

The Risk Premium of Gold

Benno Nguyen, Duc Binh, Prokopczuk, Marcel, Simen, Chardin Wese

Journal:

Journal of International Money and Finance

Year:

2019

Language:

english

File:

PDF, 1.37 MB

english, 2019

40

Seasonality and the Valuation of Commodity Options

Back, Janis, Prokopczuk, Marcel, Rudolf, Markus

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 293 KB

english, 2011

41

American option valuation: Implied calibration of GARCH pricing models

Michael Weber, Marcel Prokopczuk

Journal:

Journal of Futures Markets

Year:

2011

Language:

english

File:

PDF, 151 KB

english, 2011

42

Quantifying risk in the electricity business: A RAROC-based approach

Marcel Prokopczuk, Svetlozar T. Rachev, Gero Schindlmayr, Stefan Trück

Journal:

Energy Economics

Year:

2007

Language:

english

File:

PDF, 723 KB

english, 2007

43

Electrophysiological Features of Orthodromic Atrioventricular Reentry Tachycardia in Patients with Wolff-Parkinson-White Syndrome and Atrial Fibrillation

ZBIGNIEW KALARUS, OSKAR KOWALSKI, RADOSŁAW LENARCZYK, JANUSZ PROKOPCZUK, STANISŁAW PASYK

Journal:

Pacing and Clinical Electrophysiology

Year:

2003

Language:

english

File:

PDF, 174 KB

english, 2003

44

Evaluation of fructose diphosphate in RBC preservation

Tibor J. Greenwalt, Jennifer F. Gormas, Neeta Rugg, Jorge Rios, Jonathan C. Goldsmith, Ewa Prokopczuk, Christopher D. Hardin, Tina M. Roberts

Journal:

Transfusion (Wiley)

Year:

2002

Language:

english

File:

PDF, 345 KB

english, 2002

45

Excitation- and rest-dependent shifts of Ca in guinea-pig ventricular myocardium

Bohdan Pytkowski, Bohdan Lewartowski, Andrzej Prokopczuk, Krysztof Zdanowski, Krystyna Lewandowska

Journal:

Pflügers Archiv European Journal of Physiology

Year:

1983

Language:

english

File:

PDF, 1.26 MB

english, 1983

46

Effect of inhibitors of slow calcium current on rested state contraction of papillary muscles and post rest contractions of atrial muscle of the cat and rabbit hearts

Bohdan Lewartowski, Andrzej Prokopczuk, Bohdan Pytkowski

Journal:

Pflügers Archiv European Journal of Physiology

Year:

1978

Language:

english

File:

PDF, 835 KB

english, 1978

47

On the cellular mechanism of the inotropic action of acetylcholine on isolated rabbit and dog atria

Andrzej Prokopczuk, Bohdan Lewartowski, Maria Czarnecka

Journal:

Pflügers Archiv European Journal of Physiology

Year:

1973

Language:

english

File:

PDF, 1.11 MB

english, 1973

48

Ultrastructural demonstration of endothelial glycocalyx disruption in the reperfused rat heart. Involvement of oxygen free radicals

E. Czarnowska, E. Karwatowska-Prokopczuk

Journal:

Basic Research in Cardiology

Year:

1995

Language:

english

File:

PDF, 1.49 MB

english, 1995

49

Ultrastructural study of calcium shift in ischemic/reperfused rat heart under treatment with dimethylthiourea, diltiazem and amiloride

E. Czarnowska, E. Karwatowska-Prokopczuk, K. Kurzydlowski

Journal:

Basic Research in Cardiology

Year:

1998

Language:

english

File:

PDF, 622 KB

english, 1998

50

Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets

Marcel Prokopczuk

Journal:

Decisions in Economics and Finance

Year:

2011

Language:

english

File:

PDF, 308 KB

english, 2011

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