Research
Publications

Publications

Publications in refreered journals

Preprint versions of the publications are available on SSRN: link

2022


Amman, M., Moerke, M., Prokopczuk, M., & Würsig, C. M. (Accepted/In press). Commodity Tail Risks. Journal of Futures Markets.

doi.org/10.1002/fut.22381

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.

papers.ssrn.com/sol3/papers.cfm

Hollstein, F. (2022). Local, regional, or global asset pricing? Journal of Financial and Quantitative Analysis, 57(1), 291-320.

doi.org/10.1017/S0022109021000028

Hollstein, F., & Prokopczuk, M. (2022). Testing Factor Models in the Cross-Section. Journal of Banking and Finance, 145, [106626].

doi.org/10.1016/j.jbankfin.2022.106626

Lauter, T., & Prokopczuk, M. (2022). Measuring commodity market quality. Journal of Banking and Finance, 145, [106658].

doi.org/10.1016/j.jbankfin.2022.106658

Prokopczuk, M., & Hollstein, F. (Accepted/In press). Managing the Market Portfolio. Management Science.

papers.ssrn.com/sol3/papers.cfm


2021


Becker, J., Hollstein, F., Prokopczuk, M., & Sibbertsen, P. (2021). The memory of beta. Journal of Banking and Finance, 124, [106026].

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].

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].

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].

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.

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.

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].

doi.org/10.1016/j.jbankfin.2020.105834

Hollstein, F. (2020). Estimating Beta: The International Evidence. Journal of Banking and Finance, 121, [105968].

doi.org/10.1016/j.jbankfin.2020.105968

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.

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.

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].

doi.org/10.1016/j.eneco.2020.104743

Nguyen, D. B. B., Prokopczuk, M., & Sibbertsen, P. (2020). The memory of stock return volatility: Asset pricing implications. Journal of Financial Markets, 47, [100487].

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].

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.

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.

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.

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.

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.

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.

doi.org/10.1002/fut.21985

Hollstein, F., & Wese Simen, C. (2019). Variance risk: A bird's eye view. Journal of Econometrics, 215(2), 517-535.

doi.org/10.1016/j.jeconom.2019.09.006

Nguyen, D. B. B., & Prokopczuk, M. (2019). Jumps in commodity markets. Journal of Commodity Markets, 13, 55-70.

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.

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].

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.

doi.org/10.1093/rapstu/rax019

Prokopczuk, M., & Fethke, T. (2018). Is Commodity Index Investing Profitable? Journal of Index Investing, 9(3), 37-71.

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.

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.

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.

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.

doi.org/10.1080/14697688.2016.1211794

Hollstein, F., & Prokopczuk, M. (2016). Estimating Beta. Journal of Financial and Quantitative Analysis, 51(4), 1437-1466.

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.

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.

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.

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.

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.

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.

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.

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.

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].

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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), 1601-1613.

doi.org/10.1080/09603107.2010.508718


2009


Paschke, R., & Prokopczuk, M. (2009). Integrating Multiple Commodities in a Model of Stochastic Price Dynamics. Journal of Energy Markets, 2(3), 47.

doi.org/10.2139/ssrn.1023843


2007


Prokopczuk, M., Rachev, S. T., Schindlmayr, G., & Trück, S. (2007). Quantifying risk in the electricity business: A RAROC-based approach. Energy Economics, 29(5), 1033-1049.

doi.org/10.1016/j.eneco.2006.08.006


Books


Prokopczuk, M. (2014). Energy Pricing Models: Recent Advances, Methods, and Tools. Palgrave Macmillan Ltd.

Bell, A. R., Brooks, C., & Prokopczuk, M. (2013). Handbook of research methods and applications in empirical finance. Edward Elgar Publishing Ltd.

doi.org/10.4337/9780857936097


Chapters in Books


Prokopczuk, M., Füss, R., & Mahringer, S. (2020). Electricity market coupling in europe: Status quo and future challenges. In Handbook of energy finance: Theories, practices and simulations (pp. 93-120). World Scientific.

doi.org/10.1142/9789813278387_0005

Brooks, C., & Prokopczuk, M. (2015). The dynamics of commodity prices. In Commodities (pp. 501-522). CRC Press.

doi.org/10.1201/b19020

Prokopczuk, M., & Wu, Y. (2013). Estimating term structure models with the kalman filter. In Handbook of Research Methods and Applications in Empirical Finance (pp. 97-113). Edward Elgar Publishing Ltd..

doi.org/10.4337/9780857936097.00011

Prokopczuk, M. (2011). Are Banks' Earnings Surprises Contagious? In Financial Contagion: The Viral Threat to the Wealth of Nations (pp. 391-395). John Wiley and Sons Inc..

doi.org/10.1002/9781118267646.ch46