Publikationen
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2011
Prokopczuk, M. (2011). Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets. Decisions in Economics and Finance, 34(2), 141-168. https://doi.org/10.1007/s10203-011-0111-5
Prokopczuk, M. (2011). Pricing and hedging in the freight futures market. Journal of Futures Markets, 31(5), 440-464. https://doi.org/10.1002/fut.20480
Weber, M., & Prokopczuk, M. (2011). American option valuation: Implied calibration of GARCH pricing models. Journal of Futures Markets, 31(10), 971-994. https://doi.org/10.1002/fut.20496
2010
Paschke, R., & Prokopczuk, M. (2010). Commodity derivatives valuation with autoregressive and moving average components in the price dynamics. Journal of Banking and Finance, 34(11), 2742-2752. https://doi.org/10.1016/j.jbankfin.2010.05.010
Prokopczuk, M. (2010). Intra-industry contagion effects of earnings surprises in the banking sector. Applied Financial Economics, 20(20), 1601-1613. https://doi.org/10.1080/09603107.2010.508718
2009
Paschke, R., & Prokopczuk, M. (2009). Integrating Multiple Commodities in a Model of Stochastic Price Dynamics. Journal of Energy Markets, 2(3), 47. https://doi.org/10.2139/ssrn.1023843
2007
Prokopczuk, M., Rachev, S. T., Schindlmayr, G., & Trück, S. (2007). Quantifying risk in the electricity business: A RAROC-based approach. Energy Economics, 29(5), 1033-1049. https://doi.org/10.1016/j.eneco.2006.08.006
