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Marcel Prokopczuk

Global rank #4238 95%

Institution: Leibniz Universität Hannover

Primary Field: Finance (weighted toward more recent publications)

Homepage: http://www.fmt.uni-hannover.de/prokopczuk.html

First Publication: 2007

Most Recent: 2022

RePEc ID: ppr113 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 3.18 0.00 3.18
Last 10 Years 0.67 0.67 10.46 0.00 14.48
All Time 0.67 3.52 13.81 0.00 23.78

Publication Statistics

Raw Publications 26
Coauthorship-Adjusted Count 18.58

Publications (26)

Year Article Journal Tier Authors
2022 Measuring commodity market quality Journal of Banking & Finance B 2
2022 Testing Factor Models in the Cross-Section Journal of Banking & Finance B 2
2022 How do corporate bond investors measure performance? Evidence from mutual fund flows Journal of Banking & Finance B 3
2021 The memory of beta Journal of Banking & Finance B 4
2020 Economic determinants of oil futures volatility: A term structure perspective Energy Economics A 3
2020 Curve momentum Journal of Banking & Finance B 3
2020 Beta uncertainty Journal of Banking & Finance B 3
2019 International tail risk and World Fear Journal of International Money and Finance B 4
2019 The risk premium of gold Journal of International Money and Finance B 3
2019 Asset prices and “the devil(s) you know” Journal of Banking & Finance B 3
2019 The economic drivers of commodity market volatility Journal of International Money and Finance B 3
2019 Historical Antisemitism, Ethnic Specialization, and Financial Development Review of Economic Studies S 3
2018 Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance Journal of Banking & Finance B 3
2017 Variance risk in commodity markets Journal of Banking & Finance B 3
2016 Seasonal Stochastic Volatility: Implications for the pricing of commodity options Journal of Banking & Finance B 5
2016 Jump and variance risk premia in the S&P 500 Journal of Banking & Finance B 3
2016 Estimating Beta Journal of Financial and Quantitative Analysis B 2
2015 Electricity derivatives pricing with forward-looking information Journal of Economic Dynamics and Control B 3
2015 An empirical model comparison for valuing crack spread options Energy Economics A 2
2014 The importance of the volatility risk premium for volatility forecasting Journal of Banking & Finance B 2
2013 The (de)merits of minimum-variance hedging: Application to the crack spread Energy Economics A 3
2013 The case of negative day-ahead electricity prices Energy Economics A 3
2013 Seasonality and the valuation of commodity options Journal of Banking & Finance B 3
2012 Futures basis, inventory and commodity price volatility: An empirical analysis Economic Modeling C 4
2010 Commodity derivatives valuation with autoregressive and moving average components in the price dynamics Journal of Banking & Finance B 2
2007 Quantifying risk in the electricity business: A RAROC-based approach Energy Economics A 4