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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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The term structure of systematic and idiosyncratic risk
Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017
We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...
Persistent link: https://www.econbiz.de/10011751173
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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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Predicting the equity market with option implied variables
Prokopczuk, Marcel; Tharann, Björn; Wese Simen, Chardin - 2017
We comprehensively analyze the predictive power of several option implied variables for monthly S & P 500 excess returns and realized variance. The correlation risk premium (CRP) emerges as a strong predictor of both excess returns and realized variance. This is true both in- and out-of-sample....
Persistent link: https://www.econbiz.de/10011751188
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Pricing and hedging in the freight futures market
Prokopczuk, Marcel - In: The journal of futures markets 31 (2011) 5, pp. 440-464
Persistent link: https://www.econbiz.de/10009009224
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Pricing and hedging in the freight futures market
Prokopczuk, Marcel - 2010
Persistent link: https://www.econbiz.de/10009375870
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Pricing and Hedging in the Freight Futures Market
Prokopczuk, Marcel - 2012
In this article, we consider the pricing and hedging of single route dry bulk freight futures contracts traded on the … empirically compare the pricing and hedging accuracy of a variety of continuous-time futures pricing models. Our results show that … the inclusion of a second stochastic factor significantly improves the pricing and hedging accuracy. Overall, the results …
Persistent link: https://www.econbiz.de/10013116338
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Jumps in commodity markets
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017
This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity sectors. Energy, metal and grains commodities show...
Persistent link: https://www.econbiz.de/10011751125
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The (de)merits of minimum-variance hedging : application to the crack spread
Alexander, Carol; Prokopczuk, Marcel; Sumawong, Anannit - In: Energy economics 36 (2013), pp. 698-707
Persistent link: https://www.econbiz.de/10009724605
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The (de)merits of minimum-variance hedging : application to the crack spread
Alexander, Carol; Prokopczuk, Marcel; Sumawong, Anannit - 2012
Persistent link: https://www.econbiz.de/10009520538