Items where Author is "Prokopczuk, Professor Marcel"Group by: Item Type | No Grouping Number of items: 62. ArticleDrobetz, W., Hollstein, F., Otto, T. and Prokopczuk, M. (2025) Estimating stock market betas via machine learning. Journal of Financial and Quantitative Analysis, 60 (3). pp. 1074-1110. ISSN 1756-6916 doi: 10.1017/S0022109024000036 Hollstein, F., Prokopczuk, M. and Würsig, C. M. (2024) Market power and systematic risk. Financial Management, 53 (2). pp. 233-266. ISSN 1755-053X doi: 10.1111/fima.12438 Dierkes, M., Hollstein, F., Prokopczuk, M. and Würsig, C. M. (2024) Measuring tail risk. Journal of Econometrics, 241 (2). 105769. ISSN 1872-6895 doi: 10.1016/j.jeconom.2024.105769 Dang, T. D., Hollstein, F. and Prokopczuk, M. (2023) Which factors for corporate bond returns? The Review of Asset Pricing Studies, 13 (4). pp. 615-652. ISSN 2045-9939 doi: 10.1093/rapstu/raad005 Hollstein, F. and Prokopczuk, M. (2023) Managing the market portfolio. Management Science, 69 (6). pp. 3157-3758. ISSN 1526-5501 doi: 10.1287/mnsc.2022.4459
Prokopczuk, M., Symeonidis, L.
Ammann, M., Moerke, M. Hollstein, F. and Prokopczuk, M. (2022) Testing factor models in the cross-section. Journal of Banking and Finance, 145. 106626. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2022.106626 Dang, T. D., Hollstein, F. and Prokopczuk, M. (2022) How do corporate bond investors measure performance? Evidence from mutual fund flows. Journal of Banking and Finance, 142. 106553. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2022.106553 Kanamura, T., Homann, L. and Prokopczuk, M. (2021) Pricing analysis of wind power derivatives for renewable energy risk management. Applied Energy, 304. 117827. ISSN 0306-2619 doi: 10.1016/j.apenergy.2021.117827 Hollstein, F., Prokopczuk, M. and Tharann, B. (2021) Anomalies in commodity futures markets. Quarterly Journal of Finance, 11 (4). 2150017. ISSN 2010-1392 doi: 10.1142/S2010139221500178 Hollstein, F., Prokopczuk, M., Tharann, B. and Wese Simen, C. (2021) Predictability in commodity markets: evidence from more than a century. Journal of Commodity Markets, 24. 100171. ISSN 2405-8513 doi: 10.1016/j.jcomm.2021.100171 Prokopczuk, M., Wese Simen, C. and Wichmann, R. (2021) The dynamics of commodity return comovements. Journal of Futures Markets, 41 (10). pp. 1597-1617. ISSN 1096-9934 doi: 10.1002/fut.22222 Prokopczuk, M., Wese Simen, C. and Wichmann, R. (2021) The natural gas announcement day puzzle. Energy Journal, 42 (2). ISSN 1944-9089 doi: 10.5547/01956574.42.2.mpro Becker, J., Hollstein, F., Prokopczuk, M. and Sibbertsen, P. (2021) The memory of beta. Journal of Banking & Finance, 124. 106026. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2020.106026 Hollstein, F., Prokopczuk, M. and Wese Simen, C. (2020) Beta uncertainty. Journal of Banking & Finance, 116. 105834. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2020.105834 Hollstein, F., Prokopczuk, M. and Wese Simen, C. (2020) The conditional capital asset pricing model revisited: evidence from high-frequency betas. Management Science, 66 (6). pp. 2291-2799. ISSN 1526-5501 doi: 10.1287/mnsc.2019.3317 Kang, B., Nikitopoulos, C. S. and Prokopczuk, M. (2020) Economic determinants of oil futures volatility: a term structure perspective. Energy Economics, 88. 104743. ISSN 0140-9883 doi: 10.1016/j.eneco.2020.104743 Paschke, R., Prokopczuk, M. and Wese Simen, C. (2020) Curve momentum. Journal of Banking & Finance, 113. 105718. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2019.105718 Hollstein, F., Prokopczuk, M. and Würsig, C. (2020) Volatility term structures in commodity markets. Journal of Futures Markets, 40 (4). pp. 527-555. ISSN 1096-9934 doi: 10.1002/fut.22083 Nguyen, D. B. B., Prokopczuk, M. and Sibbertsen, P. (2020) The memory of stock return volatility: asset pricing implications. Journal of Financial Markets, 47. 100487. ISSN 1386-4181 doi: 10.1016/j.finmar.2019.01.002 Hollstein, F., Nguyen, D. B. B. and Prokopczuk, M. (2019) Asset prices and “the devil(s) you know”. Journal of Banking and Finance, 105. pp. 20-35. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2019.04.003 Prokopczuk, M., Stancu, A. and Symeonidis, L. (2019) The economic drivers of commodity market volatility. Journal of International Money and Finance, 98. 102063. ISSN 0261-5606 doi: 10.1016/j.jimonfin.2019.102063 Hollstein, F., Nguyen, D. B. B., Prokopczuk, M. and Wese Simen, C. (2019) International tail risk and world fear. Journal of International Money and Finance, 93. pp. 244-259. ISSN 0261-5606 doi: 10.1016/j.jimonfin.2019.01.004 Hollstein, F., Prokopczuk, M. and Wese Simen, C. (2019) The term structure of systematic and idiosyncratic risk. Journal of Futures Markets, 39 (4). pp. 435-460. ISSN 1096-9934 doi: 10.1002/fut.21985 Nguyen, D. B. B. and Prokopczuk, M. (2019) Jumps in commodity markets. Journal of Commodity Markets, 13. pp. 55-70. ISSN 2405-8513 doi: 10.1016/j.jcomm.2018.10.002 Hollstein, F., Prokopczuk, M. and Wese Simen, C. (2019) Estimating beta: forecast adjustments and the impact of stock characteristics for a broad cross-section. Journal of Financial Markets, 44. pp. 91-118. ISSN 1386-4181 doi: 10.1016/j.finmar.2019.03.001 D'Acunto, F., Prokopczuk, M. and Weber, M. (2019) Historical antisemitism, ethnic specialization, and financial development. Review of Economic Studies, 86 (3). pp. 1170-1206. ISSN 1467-937X doi: 10.1093/restud/rdy021 Hollstein, F., Prokopczuk, M., Tharann, B. and Wese Simen, C. (2019) Predicting the equity market with option-implied variables. European Journal of Finance, 25 (10). pp. 937-965. ISSN 1466-4364 doi: 10.1080/1351847X.2018.1556176 Nguyen, D. B. B., Prokopczuk, M. and Wese Simen, C. (2019) The risk premium of gold. Journal of International Money and Finance, 94. pp. 140-159. ISSN 0261-5606 doi: 10.1016/j.jimonfin.2019.02.011 Hollstein, F. and Prokopczuk, M. (2018) How aggregate volatility-of-volatility affects stock returns. The Review of Asset Pricing Studies, 8 (2). pp. 253-292. ISSN 2045-9939 doi: 10.1093/rapstu/rax019 Prokopczuk, M., Symeonidis, L. and Wese Simen, C. (2017) Variance risk in commodity markets. Journal of Banking and Finance, 81. pp. 136-149. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2017.05.003 Prokopczuk, M., Symeonidis, L. and Wese Simen, C. (2016) Do jumps matter for volatility forecasting? Evidence from energy markets. Journal of Futures Markets, 36 (8). pp. 758-792. ISSN 1096-9934 doi: 10.1002/fut.21759 Hollstein, F. and Prokopczuk, M. (2016) Estimating Beta. Journal of Financial and Quantitative Analysis, 51 (4). pp. 1437-1466. ISSN 1756-6916 doi: 10.1017/S0022109016000508 Neumann, M., Prokopczuk, M. and Simen, C. W. (2016) Jump and variance risk premia in the S&P 500. Journal of Banking and Finance, 69. pp. 72-83. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2016.03.013 Arismendi, J. C., Back, J., Prokopczuk, M., Paschke, R. and Rudolf, M. (2016) Seasonal stochastic volatility: implications for the pricing of commodity options. Journal of Banking and Finance, 66. pp. 53-65. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2016.02.001 Hagfors, L. I., Kamperud, H. H., Paraschiv, F., Prokopczuk, M., Sator, A. and Westgaard, S. (2016) Prediction of extreme price occurrences in the German day-ahead electricity market. Quantitative Finance, 16 (12). pp. 1929-1948. ISSN 1469-7696 doi: 10.1080/14697688.2016.1211794
Brooks, C. Füss, R., Mahringer, S. and Prokopczuk, M. (2015) Electricity derivatives pricing with forward-looking information. Journal of Economic Dynamics and Control, 58. pp. 34-57. ISSN 0165-1889 doi: 10.1016/j.jedc.2015.05.016 Mahringer, S. and Prokopczuk, M. (2015) An empirical model comparison for valuing crack spread options. Energy Economics, 51. pp. 177-187. ISSN 0140-9883 doi: 10.1016/j.eneco.2015.06.015 Diewald, L., Prokopczuk, M. and Wese Simen, C. (2015) Time-variations in commodity price jumps. Journal of Empirical Finance, 31. pp. 72-84. ISSN 0927-5398 doi: 10.1016/j.jempfin.2015.02.004 Prokopczuk, M. and Wese Simen, C. (2014) The importance of the volatility risk premium for volatility forecasting. Journal of Banking and Finance, 40. pp. 303-320. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2013.12.002
Brooks, C. Alexander, C., Prokopczuk, M. and Sumawong, A. (2013) The (de)merits of minimum-variance hedging: application to the crack spread. Energy Economics, 36. pp. 698-707. ISSN 0140-9883 doi: 10.1016/j.eneco.2012.11.016 Fanone, E., Gamba, A. and Prokopczuk, M. (2013) The case of negative day-ahead electricity prices. Energy Economics, 35. pp. 22-34. ISSN 0140-9883
Brooks, C. Back, J. and Prokopczuk, M. (2013) Commodity price dynamics and derivatives valuation: a review. International Journal of Theoretical and Applied Finance, 16 (6). ISSN 1793-6322 doi: 10.2139/ssrn.2133158 Prokopczuk, M., Siewert, J. B. and Vonhoff, V. (2013) Credit risk in covered bonds. Journal of Empirical Finance, 21 (1). pp. 273-290. ISSN 0927-5398 doi: 10.1016/j.jempfin.2012.12.003 Back, J., Prokopczuk, M. and Rudolf, M. (2013) Seasonality and the valuation of commodity options. Journal of Banking and Finance, 37 (2). pp. 273-290. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2012.08.025
Symeonidis, L., Prokopczuk, M., Brooks, C. Paschke, R. and Prokopczuk, M. (2012) Investing in commodity futures markets: can pricing models help? European Journal of Finance, 18 (1). pp. 59-87. ISSN 1466-4364 doi: 10.1080/1351847X.2011.601658 Prokopczuk, M. and Vonhoff, V. (2012) Risk premia in covered bond markets. Journal of Fixed Income, 22 (2). pp. 19-29. ISSN 1059-8596 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). pp. 141-168. ISSN 1593-8883 doi: 10.1007/s10203-011-0111-5 Weber, M. and Prokopczuk, M. (2011) American option valuation: implied calibration of GARCH pricing models. The Journal of Futures Markets, 31 (10). pp. 971-994. ISSN 1096-9934 doi: 10.1002/fut.20496 Prokopczuk, M. (2011) Pricing and hedging in the freight futures market. Journal of Futures Markets, 31 (5). pp. 440-464. ISSN 1096-9934 doi: 10.1002/fut.20480 Paschke, R. and Prokopczuk, M. (2010) Commodity derivatives valuation with autoregressive and moving average components in the price dynamics. Journal of Banking & Finance, 34 (11). pp. 2742-2752. ISSN 0378-4266 doi: 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). pp. 1601-1613. ISSN 0960-3107 doi: 10.1080/09603107.2010.508718 Paschke, R. and Prokopczuk, M. (2009) Integrating multiple commodities in a model of stochastic price dynamics. Journal of Energy Markets, 2 (3). ISSN 1756-3607 Prokopczuk, M., Rachev, S. T., Schindlmayr, G. and Trück, S. (2007) Quantifying risk in the electricity business: a RAROC-based approach. Energy Economics, 29 (5). pp. 1033-1049. ISSN 0140-9883 doi: 10.1016/j.eneco.2006.08.006 Book or Report Section
Brooks, C. Prokopczuk, M. (2011) Are banks’ earnings surprises contagious? In: Kolb, R. W. (ed.) Financial contagion: the viral threat to the wealth of nations. Kolb series in finance: essential perspectives. Wiley, Hoboken, New Jersey, pp. 391-396. ISBN 9780470922385 Book
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