Article

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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

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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

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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

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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