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~person:"Prokopczuk, Marcel"
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Search: subject:"Commodity Markets"
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Commodity market
22
Rohstoffmarkt
22
Commodity derivative
20
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20
Commodity price
13
Rohstoffpreis
13
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22
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Prokopczuk, Marcel
Gilbert, Christopher L.
17
Labys, Walter C.
17
Baffes, John
14
Chevallier, Julien
14
Pichl, Claudia
12
Sauerbeck, A.
12
Triantafyllou, Athanasios
12
Wright, Brian D.
12
Akiyama, Takamasa
11
Claessens, Stijn
11
Frankel, Jeffrey A.
11
Kilian, Lutz
11
Maizels, Alfred
11
Roache, Shaun K.
11
Tang, Ke
11
Varangis, Panayotis N.
11
Xiong, Wei
11
Hammoudeh, Shawkat
10
Ielpo, Florian
10
Ji, Qiang
10
Kolbe, Heinz
10
Lord, Montague J.
10
Manera, Matteo
10
Nguyen, Duc Khuong
10
Sapsford, David
10
Benth, Fred Espen
9
Bohl, Martin T.
9
Deaton, Angus
9
Geman, Hélyette
9
Guesmi, Khaled
9
McAleer, Michael
9
Narayan, Paresh Kumar
9
Peersman, Gert
9
Pindyck, Robert S.
9
Radetzki, Marian
9
Stuermer, Martin
9
Tiwari, Aviral Kumar
9
Algieri, Bernardina
8
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Journal of banking & finance
4
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
2
Diskussionspapiere / Hannover Center of Finance e.V.
1
International journal of theoretical and applied finance
1
Journal of empirical finance
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Journal of international money and finance
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ECONIS (ZBW)
22
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22
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1
Commodity Tail Risks
Ammann, Manuel
;
Moerke, Mathis
;
Prokopczuk, Marcel
; …
-
2022
In this study, we investigate the cross-section of option implied tail risks in
commodity
markets
. In contrast to …
Persistent link: https://www.econbiz.de/10014239679
Saved in:
2
Measuring commodity market quality
Lauter, Tobias
;
Prokopczuk, Marcel
- In:
Journal of banking & finance
145
(
2022
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013538965
Saved in:
3
Commodity tail risks
Ammann, Manuel
;
Mörke, Mathis
;
Prokopczuk, Marcel
; …
- In:
The journal of futures markets
43
(
2023
)
2
,
pp. 168-197
Persistent link: https://www.econbiz.de/10014292992
Saved in:
4
The Dynamics of Commodity Return Comovements
Prokopczuk, Marcel
-
2020
This paper studies comovements in commodity futures markets. We compare factor models with respect to their fit of commodity return comovements. A model based on traded long-short portfolio returns outperforms a macroeconomic model, and explains 96% of the realised comovement. Dissecting the...
Persistent link: https://www.econbiz.de/10012837070
Saved in:
5
Volatility Term Structures in
Commodity
Markets
Hollstein, Fabian
-
2019
In this study, we comprehensively examine the volatility term structures in
commodity
markets
. We model state … this forecast power. There thus seems to be substantial information transmission between different
commodity
markets
…
Persistent link: https://www.econbiz.de/10012858896
Saved in:
6
Booms and Busts in
Commodity
Markets
: Bubbles or Fundamentals?
Brooks, Chris
-
2019
belief that the extreme price movements observed in
commodity
markets
were caused by pure speculation to be unsustainable …
Persistent link: https://www.econbiz.de/10012905029
Saved in:
7
Time-Variations in Commodity Price Jumps
Diewald, Laszlo
-
2019
different
commodity
markets
. We find strong statistical evidence to suggest that our model with seasonal jump intensity …
Persistent link: https://www.econbiz.de/10012905261
Saved in:
8
Variance Risk in
Commodity
Markets
Prokopczuk, Marcel
-
2019
We analyze the variance risk of
commodity
markets
. We construct synthetic variance swaps and find significantly …
Persistent link: https://www.econbiz.de/10012905452
Saved in:
9
The Economic Drivers of Commodity Market Volatility
Prokopczuk, Marcel
-
2019
commodity
markets
(i.e. post-2004) and it peaks around the 2008-2009 global financial crisis …
Persistent link: https://www.econbiz.de/10012866910
Saved in:
10
Jumps in
Commodity
Markets
Nguyen, Duc Binh Benno
-
2019
This paper investigates price jumps in
commodity
markets
. We find that jumps are rare and extreme events but occur less …
Persistent link: https://www.econbiz.de/10012900597
Saved in:
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