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Commodity price dynamics and derivative valuation : a review

Back, Janis; Prokopczuk, Marcel - In: International journal of theoretical and applied finance 16 (2013) 6, pp. 1-30

Persistent link: https://www.econbiz.de/10010197182

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

Symeonidis, Lazaros; Prokopczuk, Marcel; Brooks, Chris; … - In: Economic modelling 29 (2012) 6, pp. 2651-2663

Persistent link: https://www.econbiz.de/10009673627

The economic drivers of commodity market volatility

Prokopczuk, Marcel; Stancu, Andrei; Symeonidis, Lazaros - In: Journal of international money and finance 98 (2019), pp. 1-13

Persistent link: https://www.econbiz.de/10012140078

Is commodity index investing profitable?

Fethke, Tobias; Prokopczuk, Marcel - 2018

Persistent link: https://www.econbiz.de/10011869031

Is commodity index investing profitable?

Fethke, Tobias; Prokopczuk, Marcel - 2018

Using a comprehensive dataset of first, second and third generation commodity indices, we investigate the potential diversification benefits in equity-bond portfolios. The results show that first generation commodity indices are outperformed by enhanced indices. Second generation indices provide...

Persistent link: https://www.econbiz.de/10011879959

Time-variations in commodity price jumps

Diewald, Laszlo; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of empirical finance 31 (2015), pp. 72-84

Persistent link: https://www.econbiz.de/10011489343

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

Paschke, Raphael; Prokopczuk, Marcel - In: Journal of banking & finance 34 (2010) 11, pp. 2742-2752

Persistent link: https://www.econbiz.de/10008858840

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

Brooks, Chris; Prokopczuk, Marcel; Wu, Yingying - 2011

Persistent link: https://www.econbiz.de/10009375423

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

Brooks, Chris; Prokopczuk, Marcel; Wu, Yingying - In: The quarterly review of economics and finance : journal … 53 (2013) 1, pp. 73-85

Persistent link: https://www.econbiz.de/10009721369

Investing in commodity futures markets : can pricing models help?

Paschke, Raphael; Prokopczuk, Marcel - In: The European journal of finance 18 (2012) 1/2, pp. 59-87

Persistent link: https://www.econbiz.de/10009565253