Article

Hollstein, Fabian, Prokopczuk, Marcel, Tharann, Björn and Wese Simen, Chardin (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, Marcel, Wese Simen, Chardin and Wichmann, Robert (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, Marcel, Wese Simen, Chardin and Wichmann, Robert (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, Davide, Stancu, Andrei and Wese Simen, Chardin (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, Fabian, Prokopczuk, Marcel and Wese Simen, Chardin (2020) Beta uncertainty. Journal of Banking & Finance, 116. 105834. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2020.105834

Hollstein, Fabian, Prokopczuk, Marcel and Wese Simen, Chardin (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, Raphael, Prokopczuk, Marcel and Wese Simen, Chardin (2020) Curve momentum. Journal of Banking & Finance, 113. 105718. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2019.105718

Oikonomou, Ioannis, Stancu, Andrei, Symeonidis, Lazaros and Wese Simen, Chardin (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, Fabian, Nguyen, Duc Binh Benno, Prokopczuk, Marcel and Wese Simen, Chardin (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, Fabian, Prokopczuk, Marcel and Wese Simen, Chardin (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, Fabian, Prokopczuk, Marcel and Wese Simen, Chardin (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, Chris, Hoepner, Andreas G. F., McMillan, David, Vivian, Andrew and Wese Simen, Chardin (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, Fabian, Prokopczuk, Marcel, Tharann, Björn and Wese Simen, Chardin (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, Duc Binh Benno, Prokopczuk, Marcel and Wese Simen, Chardin (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, Marcel, Symeonidis, Lazaros and Wese Simen, Chardin (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, Marcel, Symeonidis, Lazaros and Wese Simen, Chardin (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, Marcel and Simen, Chardin 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, Marcel and Wese Simen, Chardin (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, Marcel and Wese Simen, Chardin (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