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Historical antisemitism, ethnic specialization, and financial development
D'Acunto, Francesco; Prokopczuk, Marcel; Weber, Michael - 2017
Persistent link: https://www.econbiz.de/10011740931
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A moment-based analytic approximation of the risk-neutral density of American options
Arismendi Zambrano, Juan Carlos; Prokopczuk, Marcel - In: Applied mathematical finance 23 (2016) 5/6, pp. 409-444
Persistent link: https://www.econbiz.de/10011704266
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An empirical model comparison for valuing crack spread options
Mahringer, Steffen; Prokopczuk, Marcel - In: Energy economics 51 (2015), pp. 177-187
Persistent link: https://www.econbiz.de/10011564825
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Do jumps matter for volatility forecasting? : evidence from energy markets
Prokopczuk, Marcel; Symeonidis, Lazaros; Wese Simen, Chardin - In: The journal of futures markets 36 (2016) 8, pp. 758-792
Persistent link: https://www.econbiz.de/10011568562
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Electricity derivatives pricing with forward-looking information
Füss, Roland; Mahringer, Steffen; Prokopczuk, Marcel - In: Journal of economic dynamics & control 58 (2015), pp. 34-57
Persistent link: https://www.econbiz.de/10011574636
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Seasonal Stochastic Volatility : implications for the pricing of commodity options
Arismendi Zambrano, Juan Carlos; Back, Janis; … - In: Journal of banking & finance 66 (2016), pp. 53-65
Persistent link: https://www.econbiz.de/10011634553
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Jump and variance risk premia in the S&P 500
Neumann, Maximilian; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 69 (2016), pp. 72-83
Persistent link: https://www.econbiz.de/10011635040
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Variance risk in commodity markets
Prokopczuk, Marcel; Symeonidis, Lazaros; Wese Simen, Chardin - In: Journal of banking & finance 81 (2017), pp. 136-149
Persistent link: https://www.econbiz.de/10011816431
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Estimating beta
Hollstein, Fabian; Prokopczuk, Marcel - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 4, pp. 1437-1466
Persistent link: https://www.econbiz.de/10011610446
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How robust are empirical factor models to the choice of breakpoints?
Hollstein, Fabian; Prokopczuk, Marcel; Voigts, Victoria - In: The Quarterly Journal of Finance : QJF 13 (2023) 4, pp. 1-68
Persistent link: https://www.econbiz.de/10014490274