Dierkes, M., Hollstein, F., Prokopczuk, M. and Würsig, C. M. (2024) Measuring tail risk. Journal of Econometrics, 241 (2). 105769. ISSN 1872-6895 doi: https://doi.org/10.1016/j.jeconom.2024.105769

Drobetz, W., Hollstein, F., Otto, T. and Prokopczuk, M. (2024) Estimating stock market betas via machine learning. Journal of Financial and Quantitative Analysis. ISSN 1756-6916 doi: https://doi.org/10.1017/S0022109024000036

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: https://doi.org/10.1093/rapstu/raad005

Hollstein, F., Prokopczuk, M. and Würsig, C. M. (2023) Market power and systematic risk. Financial Management. ISSN 1755-053X doi: https://doi.org/10.1111/fima.12438

Hollstein, F. and Prokopczuk, M. (2023) Managing the market portfolio. Management Science, 69 (6). pp. 3157-3758. ISSN 1526-5501 doi: https://doi.org/10.1287/mnsc.2022.4459

Prokopczuk, M., Symeonidis, L. ORCID: https://orcid.org/0000-0001-5678-9977, Wese Simen, C. ORCID: https://orcid.org/0000-0003-4119-3024 and Wichmann, R. ORCID: https://orcid.org/0000-0001-8895-4404 (2023) Convenience yield risk. Energy Economics, 120. 106536. ISSN 1873-6181 doi: https://doi.org/10.1016/j.eneco.2023.106536

Ammann, M., Moerke, M. ORCID: https://orcid.org/0000-0003-3428-450X, Prokopczuk, M. and Würsig, C. M. (2023) Commodity tail risks. Journal of Futures Markets, 43 (2). pp. 168-197. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.22381

Hollstein, F. and Prokopczuk, M. (2022) Testing factor models in the cross-section. Journal of Banking and Finance, 145. 106626. ISSN 0378-4266 doi: https://doi.org/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: https://doi.org/10.1016/j.jbankfin.2022.106553

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 and Prokopczuk, M. (2022) The dynamics of commodity prices. In: Dempster, M. A. H. and Tang, K. (eds.) Commodities: second edition. Chapman and Hall/CRC, Oxon, pp. 389-398, 864 pages. ISBN 9781032208176 doi: https://doi.org/10.1201/9781003265399-22

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: https://doi.org/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: https://doi.org/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: 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

Becker, J., Hollstein, F., Prokopczuk, M. and Sibbertsen, P. (2021) The memory of beta. Journal of Banking & Finance, 124. 106026. ISSN 0378-4266 doi: https://doi.org/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: 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

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: https://doi.org/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: https://doi.org/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: https://doi.org/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: https://doi.org/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: https://doi.org/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: https://doi.org/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: 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

Nguyen, D. B. B. and Prokopczuk, M. (2019) Jumps in commodity markets. Journal of Commodity Markets, 13. pp. 55-70. ISSN 2405-8513 doi: https://doi.org/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: https://doi.org/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: https://doi.org/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: 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

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: https://doi.org/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: 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

Hollstein, F. and Prokopczuk, M. (2016) Estimating Beta. Journal of Financial and Quantitative Analysis, 51 (4). pp. 1437-1466. ISSN 1756-6916 doi: https://doi.org/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: https://doi.org/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: https://doi.org/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: https://doi.org/10.1080/14697688.2016.1211794

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153, Prokopczuk, M. and Wu, Y. (2015) Booms and busts in commodity markets: bubbles or fundamentals? Journal of Futures Markets, 35 (10). pp. 916-938. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.21721

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: https://doi.org/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: https://doi.org/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: 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

Bell, A. ORCID: https://orcid.org/0000-0003-4531-0072, Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 and Prokopczuk, M., eds. (2013) Handbook of research methods and applications in empirical finance. Edward Elgar, Cheltenham, pp512. ISBN 9780857936080

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 and Prokopczuk, M. (2013) The dynamics of commodity prices. Quantitative Finance, 13 (4). pp. 527-542. ISSN 1469-7696 doi: https://doi.org/10.1080/14697688.2013.769689

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: https://doi.org/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. ORCID: https://orcid.org/0000-0002-2668-1153, Prokopczuk, M. and Wu, Y. (2013) Commodity futures prices: more evidence on forecast power, risk premia and the theory of storage. The Quarterly Review of Economics and Finance, 53 (1). pp. 73-85. ISSN 1062-9769 doi: https://doi.org/10.1016/j.qref.2013.01.003

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: https://doi.org/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: https://doi.org/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: https://doi.org/10.1016/j.jbankfin.2012.08.025

Symeonidis, L., Prokopczuk, M., Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 and Lazar, E. ORCID: https://orcid.org/0000-0002-8761-0754 (2012) Futures basis, inventory and commodity price volatility: an empirical analysis. Economic Modelling, 29 (6). pp. 2651-2663. ISSN 0264-9993 doi: https://doi.org/10.1016/j.econmod.2012.07.016 (http://www.sciencedirect.com/science/journal/02649993)

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: https://doi.org/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: https://doi.org/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: https://doi.org/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: https://doi.org/10.1002/fut.20480

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

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: https://doi.org/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: https://doi.org/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: https://doi.org/10.1016/j.eneco.2006.08.006