Working Papers

Working Papers



How Robust are Empirical Factor Models to the Choice of Breakpoints? (Link)
(F. Hollstein, M. Prokopczuk and V. Voigts)

Convenience Yield Risk
(M. Prokopczuk, L. Symeonidis, C. Wese Simen and R. Wichman)

Market Power and Systematic Risk (Link)
(F. Hollstein, M. Prokopczuk, and C. Würsig)

Measuring Tail Risk (Link)
(M. Dierkes, F. Hollstein, M. Prokopczuk, and C. Würsig)

Predicting the Equity Premium: Comprehensive Evidence from a Large Sample (Link)
(F. Hollstein, M. Prokopczuk, B. Tharann, and C. Wese Simen)

The Long Memory of Equity Volatility and the Macroeconomy: International Evidence (Link)
(L. Draeger, D.B.B. Nguyen, M. Prokopczuk, and P. Sibbertsen)

What Makes the Market Jump? (Link)
(M. Prokopczuk and C. Wese Simen)
accepted for presentation at:
- FIRN Meeting, Uluru, 2017
- European Finance Association, Oslo, 2016
- World Finance Conference, New York, 2016
- British Accounting and Finance Association (BAFA), Bath, 2016
- German Finance Association, Leipzig, 2015
- World Congress of the Econometric Society, Montreal, 2015
- Society of Financial Econometrics Conference, Aarhus, 2015
- Annual Conference of the Royal Economic Society, Manchester, 2015
- Financial Management Association (FMA), Nashville, 2014
- Northern Finance Association (NFA), Ottawa, 2014
- French Finance Association, Aix-en-Provence, 2014

The Determinants of Convenience Yields (Link)
(M. Prokopczuk and Y. Wu)
accepted for presentation at:
- International Conference on Computational and Financial Econometrics, London, 2015
- Eastern Finance Association, Pittsburg, 2014
- Conference on Energy and Commodity Finance, Oslo, 2013
- International Conference on Futures and other Derivatives Markets, Beijing, 2013

Electricity Spot and Derivatives Pricing when Markets are Interconnected (Link)
(R. Füss, S. Mahringer, and M. Prokopczuk)
accepted for presentation at:
- EURO Working Group Commodities and Financial Modelling, Ankara, Turkey, 2015
- SIRE Conference on Finance and Commodities, St. Andrews, 2013

Commodity Forward Curve Dynamics with Inventory Information (Link)
(M. Prokopczuk and S. Vicedom)
accepted for presentation at:
- World Finance Conference, New York, 2016
- German Finance Association, Leipzig, 2015
- Commodity Markets Workshop, Oslo, 2015
- Financial Management Association (FMA), Orlando, 2015
- International Finance and Banking Society (IFABS), Hangzhou, 2015
- French Finance Association, Cergy, 2015

Rising and Volatile Food Prices: Are Index Fund Investors to Blame? (Link)
(M. Prokopczuk, L. Symeonidis, and T. Verlaat)

Systemic Risk: Is the Banking Sector Special? (Link)
(M. Prokopczuk and W. Bühler)
accepted for presentation at:
- German Finance Association, Dresden, 2007
- German Economic Association, Munich, 2007
- Australasian Finance & Banking Conference, 2007