Number of items: 19.
Article
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: https://doi.org/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: https://doi.org/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: https://doi.org/10.5547/01956574.42.2.mpro
Avino, D., Stancu, A. and Wese Simen, C.
(2020)
The predictive power of the dividend risk premium.
Journal of Financial and Quantitative Analysis.
ISSN 1756-6916
doi: https://doi.org/10.1017/S0022109020000733
Hollstein, F., Prokopczuk, M. and Wese Simen, C.
(2020)
Beta uncertainty.
Journal of Banking & Finance, 116.
105834.
ISSN 0378-4266
doi: https://doi.org/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: https://doi.org/10.1287/mnsc.2019.3317
Paschke, R., Prokopczuk, M. and Wese Simen, C.
(2020)
Curve momentum.
Journal of Banking & Finance, 113.
105718.
ISSN 0378-4266
doi: https://doi.org/10.1016/j.jbankfin.2019.105718
Oikonomou, I., Stancu, A., Symeonidis, L. and Wese Simen, C.
(2019)
The information content of short-term options.
Journal of Financial Markets, 46.
100504.
ISSN 1386-4181
doi: https://doi.org/10.1016/j.finmar.2019.07.003
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: https://doi.org/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: https://doi.org/10.1002/fut.21985
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: https://doi.org/10.1016/j.finmar.2019.03.001
Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153, Hoepner, A. G. F., McMillan, D., Vivian, A. and Wese Simen, C.
(2019)
Financial data science: the birth of a new financial research paradigm complementing econometrics?
European Journal of Finance, 25 (17).
pp. 1627-1636.
ISSN 1466-4364
doi: https://doi.org/10.1080/1351847x.2019.1662822
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: https://doi.org/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: https://doi.org/10.1016/j.jimonfin.2019.02.011
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: https://doi.org/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: https://doi.org/10.1002/fut.21759
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: https://doi.org/10.1016/j.jbankfin.2016.03.013
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: https://doi.org/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: https://doi.org/10.1016/j.jbankfin.2013.12.002
This list was generated on Sat Oct 12 21:58:25 2024 UTC.