Forschung
Publikationen

Publikationen

PUBLIKATIONEN IN REFERIERTEN FACHJOURNALEN

Vordruck Versionen der Publikationen sind auf SSRN verfügbar: link

2020


Hollstein F, Prokopczuk M, Wese Simen C. Beta uncertainty. Journal of Banking and Finance. 2020 Apr 27;116. 105834. doi.org/10.1016/j.jbankfin.2020.105834


Hollstein F, Prokopczuk M, Wese Simen C. The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas. Management science. 2020 Jun 1;66(6):2474-2494. doi.org/10.1287/mnsc.2019.3317


Hollstein F, Wese Simen C. Variance risk: A bird's eye view. Journal of econometrics. 2020 Apr;215(2):517-535. doi.org/10.1016/j.jeconom.2019.09.006


Kang B, Nikitopoulos CS, Prokopczuk M. Economic determinants of oil futures volatility: A term structure perspective. Energy Economics. 2020 Mär 21;88. 104743. doi.org/10.1016/j.eneco.2020.104743


Nguyen DBB, Prokopczuk M, Sibbertsen P. The memory of stock return volatility: Asset pricing implications. Journal of financial markets. 2020 Jan;47. 100487. doi.org/10.1016/j.finmar.2019.01.002


Prokopczuk M, Wese Simen C, Wichman R. The Natural Gas Announcement Day Puzzle. Energy Journal. 2020. doi.org/10.5547/01956574.39.2.ibla


2019


D’Acunto F, Prokopczuk M, Weber M. Historical antisemitism, ethnic specialization, and financial development. Review of Economic Studies. 2019 Jan 1;86(3):1170-1206. doi.org/10.1093/restud/rdy021


Hollstein F, Nguyen DBB, Prokopczuk M. Asset prices and “the devil(s) you know”. Journal of Banking and Finance. 2019 Aug;105:20-35. doi.org/10.1016/j.jbankfin.2019.04.003


Hollstein F, Prokopczuk M, Wese Simen C. Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section. Journal of financial markets. 2019 Jun;44:91-118. doi.org/10.1016/j.finmar.2019.03.001


Hollstein F, Nguyen DBB, Prokopczuk M, Wese Simen C. International tail risk and World Fear. Journal of International Money and Finance. 2019 Mai;93:244-259. doi.org/10.1016/j.jimonfin.2019.01.004


Hollstein F, Prokopczuk M, Tharann B, Wese Simen C. Predicting the equity market with option-implied variables. European Journal of Finance. 2019 Jul 3;25(10):937-965. doi.org/10.1080/1351847X.2018.1556176


Hollstein F, Prokopczuk M, Wese Simen C. The term structure of systematic and idiosyncratic risk. Journal of Futures Markets. 2019 Apr;39(4):435-460. doi.org/10.1002/fut.21985


Hollstein F, Prokopczuk M, Würsig C. Volatility term structures in commodity markets. Journal of Futures Markets. 2019 Dez 16. doi.org/10.1002/fut.22083


Nguyen DBB, Prokopczuk M. Jumps in commodity markets. Journal of Commodity Markets. 2019 Mär;13:55-70. doi.org/10.1016/j.jcomm.2018.10.002


Nguyen DBB, Prokopczuk M, Wese Simen C. The risk premium of gold. Journal of International Money and Finance. 2019 Jun;94:140-159. doi.org/10.1016/j.jimonfin.2019.02.011


Paschke R, Prokopczuk M, Wese Simen C. Curve momentum. Journal of Banking and Finance. 2019 Dez 6;113. 105718. doi.org/10.1016/j.jbankfin.2019.105718


Prokopczuk M, Stancu A, Symeonidis L. The economic drivers of commodity market volatility. Journal of International Money and Finance. 2019 Nov;98. 102063. doi.org/10.1016/j.jimonfin.2019.102063


2018


Hollstein F, Prokopczuk M. How aggregate volatility-of-volatility affects stock returns. Review of Asset Pricing Studies. 2018 Jan 1;8(2):253-292. doi.org/10.1093/rapstu/rax019


Prokopczuk M, Fethke T. Is Commodity Index Investing Profitable? Journal of Index Investing. 2018;9(3). doi.org/10.3905/jii.2018.1.064


2017


Prokopczuk M, Symeonidis L, Wese Simen C. Variance risk in commodity markets. Journal of Banking and Finance. 2017 Aug;81:136-149. doi.org/10.1016/j.jbankfin.2017.05.003


2016


Arismendi JC, Prokopczuk M. A moment-based analytic approximation of the risk-neutral density of American options. Applied Mathematical Finance. 2016 Nov 1;23(6):409-444. doi.org/10.1080/1350486X.2017.1297726


Arismendi JC, Back J, Prokopczuk M, Paschke R, Rudolf M. Seasonal Stochastic Volatility: Implications for the pricing of commodity options. Journal of Banking and Finance. 2016 Mai 1;66:53-65. doi.org/10.1016/j.jbankfin.2016.02.001


Hagfors LI, Kamperud HH, Paraschiv F, Prokopczuk M, Sator A, Westgaard S. Prediction of extreme price occurrences in the German day-ahead electricity market. Quantitative finance. 2016 Dez 1;16(12):1929-1948. doi.org/10.1080/14697688.2016.1211794


Hollstein F, Prokopczuk M. Estimating Beta. Journal of Financial and Quantitative Analysis. 2016 Aug 1;51(4):1437-1466. doi.org/10.1017/S0022109016000508


Neumann M, Prokopczuk M, Wese Simen C. Jump and variance risk premia in the S&P 500. Journal of Banking and Finance. 2016 Jan 1;69:72-83. doi.org/10.1016/j.jbankfin.2016.03.013


Prokopczuk M, Symeonidis L, Wese Simen C. Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets. Journal of Futures Markets. 2016 Aug 1;36(8):758-792. doi.org/10.1002/fut.21759


2015


Brooks C, Prokopczuk M, Wu Y. Booms and Busts in Commodity Markets: Bubbles or Fundamentals? Journal of Futures Markets. 2015 Okt 1;35(10):916-938. doi.org/10.1002/fut.21721


Brooks C, Prokopczuk M. The dynamics of commodity prices. in Commodities. CRC Press. 2015. S. 501-522 doi.org/10.1201/b19020


Diewald L, Prokopczuk M, Wese Simen C. Time-variations in commodity price jumps. Journal of empirical finance. 2015 Mär 1;31:72-84. doi.org/10.1016/j.jempfin.2015.02.004


Füss R, Mahringer S, Prokopczuk M. Electricity derivatives pricing with forward-looking information. Journal of Economic Dynamics and Control. 2015 Sep 1;58:34-57. doi.org/10.1016/j.jedc.2015.05.016


Mahringer S, Prokopczuk M. An empirical model comparison for valuing crack spread options. Energy economics. 2015 Sep 1;51:177-187. doi.org/10.1016/j.eneco.2015.06.015


2014


Prokopczuk M, Wese Simen C. The importance of the volatility risk premium for volatility forecasting. Journal of Banking and Finance. 2014 Mär;40(1):303-320. doi.org/10.1016/j.jbankfin.2013.12.002


2013


Alexander C, Prokopczuk M, Sumawong A. The (de)merits of minimum-variance hedging: Application to the crack spread. Energy economics. 2013 Mär 1;36:698-707. doi.org/10.1016/j.eneco.2012.11.016


Back J, Prokopczuk M. Commodity price dynamics and derivative valuation: A review. International Journal of Theoretical and Applied Finance. 2013 Sep 1;16(6). 1350032. doi.org/10.1142/S0219024913500325


Back J, Prokopczuk M, Rudolf M. Seasonality and the valuation of commodity options. Journal of Banking and Finance. 2013 Feb 1;37(2):273-290. doi.org/10.1016/j.jbankfin.2012.08.025


Brooks C, Prokopczuk M, Wu Y. Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage. Quarterly Review of Economics and Finance. 2013 Feb 1;53(1):73-85. doi.org/10.1016/j.qref.2013.01.003


Brooks C, Prokopczuk M. The dynamics of commodity prices. Quantitative finance. 2013 Apr 1;13(4):527-542. doi.org/10.1080/14697688.2013.769689


Fanone E, Gamba A, Prokopczuk M. The case of negative day-ahead electricity prices. Energy economics. 2013 Jan 1;35:22-34. doi.org/10.1016/j.eneco.2011.12.006


Prokopczuk M, Siewert JB, Vonhoff V. Credit risk in covered bonds. Journal of empirical finance. 2013 Mär 1;21(1):102-120. doi.org/10.1016/j.jempfin.2012.12.003


2012


Paschke R, Prokopczuk M. Investing in commodity futures markets: Can pricing models help? European Journal of Finance. 2012 Jan 1;18(1):59-87. doi.org/10.1080/1351847X.2011.601658


Prokopczuk M, Vonhoff V. Risk premia in covered bond markets. Journal of Fixed Income. 2012 Sep 1;22(2):19-29. doi.org/10.3905/jfi.2012.22.2.019


Symeonidis L, Prokopczuk M, Brooks C, Lazar E. Futures basis, inventory and commodity price volatility: An empirical analysis. Economic modelling. 2012 Nov 1;29(6):2651-2663. doi.org/10.1016/j.econmod.2012.07.016


2011


Prokopczuk M. Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets. Decisions in Economics and Finance. 2011 Nov 1;34(2):141-168. doi.org/10.1007/s10203-011-0111-5


Prokopczuk M. Pricing and hedging in the freight futures market. Journal of Futures Markets. 2011 Mai 1;31(5):440-464. doi.org/10.1002/fut.20480


Weber M, Prokopczuk M. American option valuation: Implied calibration of GARCH pricing models. Journal of Futures Markets. 2011 Okt 1;31(10):971-994. doi.org/10.1002/fut.20496


2010


Paschke R, Prokopczuk M. Commodity derivatives valuation with autoregressive and moving average components in the price dynamics. Journal of Banking and Finance. 2010 Nov 1;34(11):2742-2752. doi.org/10.1016/j.jbankfin.2010.05.010


Prokopczuk M. Intra-industry contagion effects of earnings surprises in the banking sector. Applied Financial Economics. 2010 Okt 14;20(20):1601-1613. doi.org/10.1080/09603107.2010.508718


2009


Paschke R, Prokopczuk M. Integrating Multiple Commodities in a Model of Stochastic Price Dynamics. Journal of Energy Markets. 2009;2(3):47. doi.org/10.2139/ssrn.1023843


2007


Prokopczuk M, Rachev ST, Schindlmayr G, Trück S. Quantifying risk in the electricity business: A RAROC-based approach. Energy economics. 2007 Sep 1;29(5):1033-1049. doi.org/10.1016/j.eneco.2006.08.006


BÜCHER

2. M. Prokopczuk (Editor): Energy Pricing Models: Recent Advances, Methods, and Tools
Palgrave Macmillan, New York, 2014 (Link)
1. A. Bell, C. Brooks, & M. Prokopczuk (Editors): Handbook of Research Methods and Applications in Empirical Finance
Edward Elgar, 2013 (Link)

KAPITEL IN BÜCHERN

2. M. Prokopczuk, & Y. Wu: Estimating Term Structure Models with the Kalman Filter
In: C. Brooks, A. Bell and M. Prokopczuk (Eds.), Handbook of Research Methods and Applications in Empirical Finance (2013), Edward Elgar
(with Y. Wu)  (Link)
1. M. Prokopczuk: Are Banks’ Earnings Surprises Contagious?
In: R. Kolb (Hrsg.), Financial Contagion: The Viral Threat to the Wealth of Nations (2011), Wiley (Link)