Publications
2023
Amman, M., Moerke, M., Prokopczuk, M., & Würsig, C. M. (2023). Commodity Tail Risks. Journal of Futures Markets, 43(2), 168-197.
Dang, T. D., Hollstein, F., & Prokopczuk, M. (2023). Which Factors for Corporate Bond Returns? Review of Asset Pricing Studies.
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.
Prokopczuk, M., Symeonidis, L., Wese Simen, C., & Wichman, R. (Accepted/In press). Convenience Yield Risk. Energy Economics, 2023.
2022
Dang, T. D., Hollstein, F., & Prokopczuk, M. (Accepted/In press). How Do Bond Investors Measure Performance? Evidence from Mutual Fund Flows. Journal of Banking and Finance.
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].
Hollstein, F., & Prokopczuk, M. (2022). Testing Factor Models in the Cross-Section. Journal of Banking and Finance, 145, [106626].
Lauter, T., & Prokopczuk, M. (2022). Measuring commodity market quality. Journal of Banking and Finance, 145, [106658].
Prokopczuk, M., & Hollstein, F. (Accepted/In press). Managing the Market Portfolio. Management Science.
2021
Becker, J., Hollstein, F., Prokopczuk, M., & Sibbertsen, P. (2021). The memory of beta. Journal of Banking and Finance, 124, [106026].
Hollstein, F., Prokopczuk, M., & Tharann, B. (2021). Anomalies in Commodity Futures Markets. The Quarterly Journal of Finance, 11(4), [2150017].
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].
Kanamura, T., Homann, L., & Prokopczuk, M. (2021). Pricing analysis of wind power derivatives for renewable energy risk management. Applied Energy, 304, [117827].
Prokopczuk, M., Wese Simen, C., & Wichmann, R. (2021). The dynamics of commodity return comovements. Journal of Futures Markets, 41(10), 1597-1617.
Prokopczuk, M., Wese Simen, C., & Wichman, R. (2021). The Natural Gas Announcement Day Puzzle. Energy Journal, 42(2), 91-112.
2020
Hollstein, F., Prokopczuk, M., & Wese Simen, C. (2020). Beta uncertainty. Journal of Banking and Finance, 116, [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.
Hollstein, F., Prokopczuk, M., & Würsig, C. (2020). Volatility term structures in commodity markets. Journal of Futures Markets, 40(4), 527-555.
Kang, B., Nikitopoulos, C. S., & Prokopczuk, M. (2020). Economic determinants of oil futures volatility: A term structure perspective. Energy Economics, 88, [104743].
Nguyen, D. B. B., Prokopczuk, M., & Sibbertsen, P. (2020). The memory of stock return volatility: Asset pricing implications. Journal of Financial Markets, 47, [100487].
Paschke, R., Prokopczuk, M., & Wese Simen, C. (2020). Curve momentum. Journal of Banking and Finance, 113, [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.
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.
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.
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.
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.
Hollstein, F., Prokopczuk, M., & Wese Simen, C. (2019). The term structure of systematic and idiosyncratic risk. Journal of Futures Markets, 39(4), 435-460.
Nguyen, D. B. B., & Prokopczuk, M. (2019). Jumps in commodity markets. Journal of Commodity Markets, 13, 55-70.
Nguyen, D. B. B., Prokopczuk, M., & Wese Simen, C. (2019). The risk premium of gold. Journal of International Money and Finance, 94, 140-159.
Prokopczuk, M., Stancu, A., & Symeonidis, L. (2019). The economic drivers of commodity market volatility. Journal of International Money and Finance, 98, [102063].
2018
Hollstein, F., & Prokopczuk, M. (2018). How aggregate volatility-of-volatility affects stock returns. Review of Asset Pricing Studies, 8(2), 253-292.
Prokopczuk, M., & Fethke, T. (2018). Is Commodity Index Investing Profitable? Journal of Index Investing, 9(3), 37-71.
2017
Prokopczuk, M., Symeonidis, L., & Wese Simen, C. (2017). Variance risk in commodity markets. Journal of Banking and Finance, 81, 136-149.
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.
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.
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.
Hollstein, F., & Prokopczuk, M. (2016). Estimating Beta. Journal of Financial and Quantitative Analysis, 51(4), 1437-1466.
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.
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.
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.
Diewald, L., Prokopczuk, M., & Wese Simen, C. (2015). Time-variations in commodity price jumps. Journal of Empirical Finance, 31, 72-84.
Füss, R., Mahringer, S., & Prokopczuk, M. (2015). Electricity derivatives pricing with forward-looking information. Journal of Economic Dynamics and Control, 58, 34-57.
Mahringer, S., & Prokopczuk, M. (2015). An empirical model comparison for valuing crack spread options. Energy Economics, 51, 177-187.
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.
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.
Back, J., & Prokopczuk, M. (2013). Commodity price dynamics and derivative valuation: A review. International Journal of Theoretical and Applied Finance, 16(6), [1350032].
Back, J., Prokopczuk, M., & Rudolf, M. (2013). Seasonality and the valuation of commodity options. Journal of Banking and Finance, 37(2), 273-290.
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.
Brooks, C., & Prokopczuk, M. (2013). The dynamics of commodity prices. Quantitative Finance, 13(4), 527-542.
Fanone, E., Gamba, A., & Prokopczuk, M. (2013). The case of negative day-ahead electricity prices. Energy Economics, 35, 22-34.
Prokopczuk, M., Siewert, J. B., & Vonhoff, V. (2013). Credit risk in covered bonds. Journal of empirical finance, 21(1), 102-120.
2012
Paschke, R., & Prokopczuk, M. (2012). Investing in commodity futures markets: Can pricing models help? European Journal of Finance, 18(1), 59-87.
Prokopczuk, M., & Vonhoff, V. (2012). Risk premia in covered bond markets. Journal of Fixed Income, 22(2), 19-29.
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.
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.
Prokopczuk, M. (2011). Pricing and hedging in the freight futures market. Journal of Futures Markets, 31(5), 440-464.
Weber, M., & Prokopczuk, M. (2011). American option valuation: Implied calibration of GARCH pricing models. Journal of Futures Markets, 31(10), 971-994.
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.
Prokopczuk, M. (2010). Intra-industry contagion effects of earnings surprises in the banking sector. Applied Financial Economics, 20(20), 1601-1613.
2009
Paschke, R., & Prokopczuk, M. (2009). Integrating Multiple Commodities in a Model of Stochastic Price Dynamics. Journal of Energy Markets, 2(3), 47.
