Publikationen

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2024


Drobetz, W., Hollstein, F., Otto, T., & Prokopczuk, M. (Angenommen/Im Druck). Estimating Stock Market Betas via Machine Learning. Journal of Financial and Quantitative Analysis. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3933048

2023


Amman, M., Moerke, M., Prokopczuk, M., & Würsig, C. M. (2023). Commodity Tail Risks. Journal of Futures Markets, 43(2), 168-197. https://doi.org/10.1002/fut.22381
Dang, T. D., Hollstein, F., & Prokopczuk, M. (2023). Which Factors for Corporate Bond Returns? Review of Asset Pricing Studies, 13(4), 615-652. https://doi.org/10.2139/ssrn.4012601
Hollstein, F., Prokopczuk, M., & Voigts, V. (Angenommen/Im Druck). How Robust are Empirical Factor Models to the Choice of Breakpoints? The Quarterly Journal of Finance. https://doi.org/10.2139/ssrn.3924821
Hollstein, F., Prokopczuk, M., & Würsig, C. M. (Angenommen/Im Druck). Market power and systematic risk. Financial Management, 2023, 1-34. https://doi.org/10.1111/fima.12438
Lauter, T., Prokopczuk, M., & Trück, S. (2023). Conscientiousness and Performance: The Influence of Personality on Investment Decisions. The Journal of Wealth Management, 25(4), 17-44. https://doi.org/10.3905/jwm.2023.1.199
Prokopczuk, M., Symeonidis, L., Wese Simen, C., & Wichmann, R. (2023). Convenience yield risk. Energy Economics, 120, [106536]. https://doi.org/10.1016/j.eneco.2023.106536
Prokopczuk, M., & Hollstein, F. (2023). Managing the Market Portfolio. Management Science, 69(6), 3675-3696. https://doi.org/10.1287/mnsc.2022.4459

2022


Dang, T. D., Hollstein, F., & Prokopczuk, M. (2022). How do corporate bond investors measure performance? Evidence from mutual fund flows. Journal of Banking and Finance, 142, [106553]. https://doi.org/10.1016/j.jbankfin.2022.106553
Hollstein, F., & Prokopczuk, M. (2022). Testing Factor Models in the Cross-Section. Journal of Banking and Finance, 145, [106626]. https://doi.org/10.1016/j.jbankfin.2022.106626
Lauter, T., & Prokopczuk, M. (2022). Measuring commodity market quality. Journal of Banking and Finance, 145, [106658]. https://doi.org/10.1016/j.jbankfin.2022.106658

2021


Becker, J., Hollstein, F., Prokopczuk, M., & Sibbertsen, P. (2021). The memory of beta. Journal of Banking and Finance, 124, [106026]. https://doi.org/10.1016/j.jbankfin.2020.106026
Hollstein, F., Prokopczuk, M., & Tharann, B. (2021). Anomalies in Commodity Futures Markets. The Quarterly Journal of Finance, 11(4), [2150017]. https://doi.org/10.1142/s2010139221500178
Hollstein, F., Prokopczuk, M., Tharann, B., & Wese Simen, C. (2021). Predictability in Commodity Markets: Evidence from More Than a Century. Journal of Commodity Markets, 24, [100171]. https://doi.org/10.1016/j.jcomm.2021.100171
Kanamura, T., Homann, L., & Prokopczuk, M. (2021). Pricing analysis of wind power derivatives for renewable energy risk management. Applied Energy, 304, [117827]. https://doi.org/10.1016/j.apenergy.2021.117827
Prokopczuk, M., Wese Simen, C., & Wichmann, R. (2021). The dynamics of commodity return comovements. Journal of Futures Markets, 41(10), 1597-1617. https://doi.org/10.1002/fut.22222
Prokopczuk, M., Wese Simen, C., & Wichman, R. (2021). The Natural Gas Announcement Day Puzzle. Energy Journal, 42(2), 91-112. https://doi.org/10.5547/01956574.42.2.mpro

2020


Hollstein, F., Prokopczuk, M., & Wese Simen, C. (2020). Beta uncertainty. Journal of Banking and Finance, 116, [105834]. https://doi.org/10.1016/j.jbankfin.2020.105834
Hollstein, F., Prokopczuk, M., & Wese Simen, C. (2020). The conditional capital asset pricing model revisited: evidence from high-frequency betas. Management Science, 66(6), 2474-2494. https://doi.org/10.1287/mnsc.2019.3317
Hollstein, F., Prokopczuk, M., & Würsig, C. (2020). Volatility term structures in commodity markets. Journal of Futures Markets, 40(4), 527-555. https://doi.org/10.1002/fut.22083
Kang, B., Nikitopoulos, C. S., & Prokopczuk, M. (2020). Economic Determinants of Oil Futures Volatility: A Term Structure Perspective. Energy Economics, 88, [104743]. https://doi.org/10.1016/j.eneco.2020.104743, https://doi.org/10.2139/ssrn.3417706
Nguyen, D. B. B., Prokopczuk, M., & Sibbertsen, P. (2020). The memory of stock return volatility: Asset pricing implications. Journal of Financial Markets, 47, [100487]. https://doi.org/10.1016/j.finmar.2019.01.002
Paschke, R., Prokopczuk, M., & Wese Simen, C. (2020). Curve momentum. Journal of Banking and Finance, 113, [105718]. https://doi.org/10.1016/j.jbankfin.2019.105718

2019


D’Acunto, F., Prokopczuk, M., & Weber, M. (2019). Historical antisemitism, ethnic specialization, and financial development. Review of Economic Studies, 86(3), 1170-1206. https://doi.org/10.1093/restud/rdy021
Hollstein, F., Nguyen, D. B. B., & Prokopczuk, M. (2019). Asset prices and “the devil(s) you know”. Journal of Banking and Finance, 105, 20-35. https://doi.org/10.1016/j.jbankfin.2019.04.003
Hollstein, F., Prokopczuk, M., & Wese Simen, C. (2019). Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section. Journal of Financial Markets, 44, 91-118. https://doi.org/10.1016/j.finmar.2019.03.001
Hollstein, F., Nguyen, D. B. B., Prokopczuk, M., & Wese Simen, C. (2019). International tail risk and World Fear. Journal of International Money and Finance, 93, 244-259. https://doi.org/10.1016/j.jimonfin.2019.01.004
Hollstein, F., Prokopczuk, M., Tharann, B., & Wese Simen, C. (2019). Predicting the equity market with option-implied variables. European Journal of Finance, 25(10), 937-965. https://doi.org/10.1080/1351847X.2018.1556176
Hollstein, F., Prokopczuk, M., & Wese Simen, C. (2019). The term structure of systematic and idiosyncratic risk. Journal of Futures Markets, 39(4), 435-460. https://doi.org/10.1002/fut.21985
Nguyen, D. B. B., & Prokopczuk, M. (2019). Jumps in commodity markets. Journal of Commodity Markets, 13, 55-70. https://doi.org/10.1016/j.jcomm.2018.10.002
Nguyen, D. B. B., Prokopczuk, M., & Wese Simen, C. (2019). The risk premium of gold. Journal of International Money and Finance, 94, 140-159. https://doi.org/10.1016/j.jimonfin.2019.02.011
Prokopczuk, M., Stancu, A., & Symeonidis, L. (2019). The economic drivers of commodity market volatility. Journal of International Money and Finance, 98, [102063]. https://doi.org/10.1016/j.jimonfin.2019.102063

2018


Hollstein, F., & Prokopczuk, M. (2018). How aggregate volatility-of-volatility affects stock returns. Review of Asset Pricing Studies, 8(2), 253-292. https://doi.org/10.1093/rapstu/rax019
Prokopczuk, M., & Fethke, T. (2018). Is Commodity Index Investing Profitable? Journal of Index Investing, 9(3), 37-71. https://doi.org/10.3905/jii.2018.1.064

2017


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

2016


Arismendi, J. C., & Prokopczuk, M. (2016). A moment-based analytic approximation of the risk-neutral density of American options. Applied Mathematical Finance, 23(6), 409-444. https://doi.org/10.1080/1350486X.2017.1297726
Arismendi, J. C., Back, J., Prokopczuk, M., Paschke, R., & Rudolf, M. (2016). Seasonal Stochastic Volatility: Implications for the pricing of commodity options. Journal of Banking and Finance, 66, 53-65. https://doi.org/10.1016/j.jbankfin.2016.02.001
Hagfors, L. I., Kamperud, H. H., Paraschiv, F., Prokopczuk, M., Sator, A., & Westgaard, S. (2016). Prediction of extreme price occurrences in the German day-ahead electricity market. Quantitative Finance, 16(12), 1929-1948. https://doi.org/10.1080/14697688.2016.1211794
Hollstein, F., & Prokopczuk, M. (2016). Estimating Beta. Journal of Financial and Quantitative Analysis, 51(4), 1437-1466. https://doi.org/10.1017/s0022109016000508
Neumann, M., Prokopczuk, M., & Wese Simen, C. (2016). Jump and variance risk premia in the S&P 500. Journal of Banking and Finance, 69, 72-83. https://doi.org/10.1016/j.jbankfin.2016.03.013
Prokopczuk, M., Symeonidis, L., & Wese Simen, C. (2016). Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets. Journal of Futures Markets, 36(8), 758-792. https://doi.org/10.1002/fut.21759

2015


Brooks, C., Prokopczuk, M., & Wu, Y. (2015). Booms and Busts in Commodity Markets: Bubbles or Fundamentals? Journal of Futures Markets, 35(10), 916-938. https://doi.org/10.1002/fut.21721
Diewald, L., Prokopczuk, M., & Wese Simen, C. (2015). Time-variations in commodity price jumps. Journal of Empirical Finance, 31, 72-84. https://doi.org/10.1016/j.jempfin.2015.02.004
Füss, R., Mahringer, S., & Prokopczuk, M. (2015). Electricity derivatives pricing with forward-looking information. Journal of Economic Dynamics and Control, 58, 34-57. https://doi.org/10.1016/j.jedc.2015.05.016
Mahringer, S., & Prokopczuk, M. (2015). An empirical model comparison for valuing crack spread options. Energy Economics, 51, 177-187. https://doi.org/10.1016/j.eneco.2015.06.015

2014


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

2013


Alexander, C., Prokopczuk, M., & Sumawong, A. (2013). The (de)merits of minimum-variance hedging: Application to the crack spread. Energy Economics, 36, 698-707. https://doi.org/10.1016/j.eneco.2012.11.016
Back, J., & Prokopczuk, M. (2013). Commodity price dynamics and derivative valuation: A review. International Journal of Theoretical and Applied Finance, 16(6), [1350032]. https://doi.org/10.1142/S0219024913500325
Back, J., Prokopczuk, M., & Rudolf, M. (2013). Seasonality and the valuation of commodity options. Journal of Banking and Finance, 37(2), 273-290. https://doi.org/10.1016/j.jbankfin.2012.08.025
Brooks, C., Prokopczuk, M., & Wu, Y. (2013). Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage. Quarterly Review of Economics and Finance, 53(1), 73-85. https://doi.org/10.1016/j.qref.2013.01.003
Brooks, C., & Prokopczuk, M. (2013). The dynamics of commodity prices. Quantitative Finance, 13(4), 527-542. https://doi.org/10.1080/14697688.2013.769689
Fanone, E., Gamba, A., & Prokopczuk, M. (2013). The case of negative day-ahead electricity prices. Energy Economics, 35, 22-34. https://doi.org/10.1016/j.eneco.2011.12.006
Prokopczuk, M., Siewert, J. B., & Vonhoff, V. (2013). Credit risk in covered bonds. Journal of empirical finance, 21(1), 102-120. https://doi.org/10.1016/j.jempfin.2012.12.003

2012


Paschke, R., & Prokopczuk, M. (2012). Investing in commodity futures markets: Can pricing models help? European Journal of Finance, 18(1), 59-87. https://doi.org/10.1080/1351847X.2011.601658
Prokopczuk, M., & Vonhoff, V. (2012). Risk premia in covered bond markets. Journal of Fixed Income, 22(2), 19-29. https://doi.org/10.3905/jfi.2012.22.2.019
Symeonidis, L., Prokopczuk, M., Brooks, C., & Lazar, E. (2012). Futures basis, inventory and commodity price volatility: An empirical analysis. Economic modelling, 29(6), 2651-2663. https://doi.org/10.1016/j.econmod.2012.07.016

2011


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), 141-168. https://doi.org/10.1007/s10203-011-0111-5
Prokopczuk, M. (2011). Pricing and hedging in the freight futures market. Journal of Futures Markets, 31(5), 440-464. https://doi.org/10.1002/fut.20480
Weber, M., & Prokopczuk, M. (2011). American option valuation: Implied calibration of GARCH pricing models. Journal of Futures Markets, 31(10), 971-994. https://doi.org/10.1002/fut.20496

2010


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