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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

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

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

Seasonality and the valuation of commodity options

Back, Janis; Prokopczuk, Marcel; Rudolf, Markus - In: Journal of banking & finance 37 (2013) 2, pp. 273-290

Persistent link: https://www.econbiz.de/10009705701

Curve momentum

Paschke, Raphael; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 113 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012226133

Introduction: special issue on commodity and energy markets in the Journal of Banking and Finance

Roncoroni, Andrea; Prokopczuk, Marcel; Ronn, Ehud I. - In: Journal of banking & finance 95 (2018), pp. 1-4

Persistent link: https://www.econbiz.de/10011966673

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

The importance of the volatility risk premium for volatility forecasting

Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 40 (2014), pp. 303-320

Persistent link: https://www.econbiz.de/10010402181

Prediction of extreme price occurrences in the German day-ahead electricity market

Hagfors, Lars Ivar; Kamperud, Hilde Horthe; Paraschiv, … - 2016

Understanding the mechanisms that drive extreme negative and positive prices in day-ahead electricity prices is crucial for managing risk and market design. In this paper, we consider the problem of understanding how fundamental drivers impact the probability of extreme price occurrences in the...

Persistent link: https://www.econbiz.de/10011687117

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