Marcel Kremer

University of Duisburg-Essen

Postdoctoral Researcher

Universitaetsstrasse 12

Essen, 45141

Germany

http://www.lef.wiwi.uni-due.de/en/team/marcel-kremer/

SCHOLARLY PAPERS

6

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SSRN CITATIONS

4

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

An Econometric Model for Intraday Electricity Trading

Philosophical Transactions of the Royal Society A, Forthcoming
Number of pages: 26 Posted: 31 Dec 2019 Last Revised: 03 Aug 2020
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School
Downloads 583 (57,504)
Citation 6

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Intraday electricity market; Econometric modeling; 15-minute contracts; Renewable power forecasts; Merit order curve; Threshold regression

2.

Volatility and Liquidity on High-frequency Electricity Futures Markets: Empirical Analysis and Stochastic Modeling

International Journal of Theoretical and Applied Finance, 23(4):2050027, 2020
Number of pages: 34 Posted: 17 Jun 2019 Last Revised: 03 Aug 2020
University of Duisburg-Essen, University of Oslo, University of Duisburg-Essen and University of Duisburg-Essen - Faculty of Economic Science
Downloads 282 (133,451)
Citation 1

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Volatility, Liquidity, Electricity futures, High-frequency prices, Stochastic modeling, Monte Carlo simulation, Time-weighted realized variance

3.

Economic and Political Effects on Currency Clustering Dynamics

Quantitative Finance, 19(5):705-716, 2019
Number of pages: 17 Posted: 20 Sep 2017 Last Revised: 12 Aug 2019
University of Duisburg-Essen, Boston University - Department of Administrative Sciences, Boston University Metropolitan College, Boston University - Center for Polymer Studies and University of Duisburg-Essen
Downloads 228 (164,847)
Citation 1

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Symbolic performance; Currency clustering; Currency dynamics; Central bank intervention

4.

Intraday Electricity Pricing of Night Contracts

Energies, 13(17):4501, 2020
Number of pages: 16 Posted: 16 Sep 2020 Last Revised: 07 Oct 2020
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School
Downloads 97 (328,310)

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Intraday electricity market, Econometric modeling, Night contracts, 15-minute contracts, Fundamentals, Renewable power forecasts

5.

Dependence Structure of Market States

Journal of Statistical Mechanics: Theory and Experiment, 2015(8):P08012, 2015
Number of pages: 19 Posted: 07 Mar 2020
Desislava Chetalova, Marcel Kremer and Rudi Schäfer
University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 46 (485,112)
Citation 1

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Copulas, Market states, Nonstationarity, Asymmetry, Multivariate mixture, K-copula

Impact of Nonstationarity on Estimating and Modeling Empirical Copulas of Daily Stock Returns

Journal of Risk, 19(1):1-23, 2016
Number of pages: 19 Posted: 05 Mar 2020
Marcel Kremer and Rudi Schäfer
University of Duisburg-Essen and University of Duisburg-Essen
Downloads 44 (503,513)

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Copulas, Financial time series, Nonstationarity, Asymmetry, Multivariate mixture, K-copula

Impact of Nonstationarity on Estimating and Modeling Empirical Copulas of Daily Stock Returns

Journal of Risk, Vol. 19, No. 1, 2016
Number of pages: 24 Posted: 08 Oct 2016
Marcel Kremer and Rudi Schäfer
University of Duisburg-Essen and University of Duisburg-Essen
Downloads 1 (813,335)
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copulas, financial time series, nonstationarity, asymmetry, multivariate mixture, K-copula