IDEAS home Printed from https://ideas.repec.org/f/ppa385.html
   My authors  Follow this author

Raphael Paschke

Personal Details

First Name:Raphael
Middle Name:
Last Name:Paschke
Suffix:
RePEc Short-ID:ppa385
[This author has chosen not to make the email address public]

Affiliation

Fakultät für Betriebswirtschaftslehre
Universität Mannheim

Mannheim, Germany
http://www.bwl.uni-mannheim.de/
RePEc:edi:bvmande (more details at EDIRC)

Research output

as
Jump to: Working papers

Working papers

  1. Paschke, Raphael & Prokopczuk, Marcel, 2007. "Integrating Multiple Commodities in a Model of Stochastic Price Dynamics," MPRA Paper 5412, University Library of Munich, Germany.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Paschke, Raphael & Prokopczuk, Marcel, 2007. "Integrating Multiple Commodities in a Model of Stochastic Price Dynamics," MPRA Paper 5412, University Library of Munich, Germany.

    Cited by:

    1. Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2015. "Electricity derivatives pricing with forward-looking information," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 34-57.
    2. Chris Brooks & Marcel Prokopczuk, 2011. "The Dynamics of Commodity Prices," ICMA Centre Discussion Papers in Finance icma-dp2011-09, Henley Business School, University of Reading.
    3. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks," MPRA Paper 50235, University Library of Munich, Germany.
    4. Kovacevic, Raimund M. & Paraschiv, Florentina, 2012. "Medium-term Planning for Thermal Electricity Production," Working Papers on Finance 1220, University of St. Gallen, School of Finance.
    5. Fred Espen Benth & Marco Piccirilli & Tiziano Vargiolu, 2017. "Additive energy forward curves in a Heath-Jarrow-Morton framework," Papers 1709.03310, arXiv.org, revised Jun 2018.
    6. Jaime Casassus & Peng Liu & Ke Tang, 2015. "Maximal Gaussian Affine Models for Multiple Commodities: A Note," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(1), pages 75-86, January.
    7. Back, Janis & Prokopczuk, Marcel & Rudolf, Markus, 2013. "Seasonality and the valuation of commodity options," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 273-290.
    8. Steffen Mahringer & Marcel Prokopczuk, 2010. "An Empirical Model Comparison for Valuing Crack Spread Options," ICMA Centre Discussion Papers in Finance icma-dp2010-01, Henley Business School, University of Reading.
    9. Jaime Casassus & Peng Liu & Ke Tang, 2011. "Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns," Documentos de Trabajo 404, Instituto de Economia. Pontificia Universidad Católica de Chile..
    10. Daniel Leonhardt & Antony Ware & Rudi Zagst, 2017. "A Cointegrated Regime-Switching Model Approach with Jumps Applied to Natural Gas Futures Prices," Risks, MDPI, vol. 5(3), pages 1-19, September.
    11. Anh Ngoc Lai & Constantin Mellios, 2016. "Valuation of commodity derivatives with an unobservable convenience yield," Post-Print halshs-01183166, HAL.
    12. Marcel Prokopczuk & Yingying Wu, 2013. "Estimating term structure models with the Kalman filter," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 4, pages 97-113, Edward Elgar Publishing.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ENE: Energy Economics (1) 2007-10-27

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Raphael Paschke should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.