Chardin Wese Simen

University of Liverpool Management School

Management School

University of Liverpool

Liverpool, L69 7ZH

United Kingdom

  • University of Liverpool Management School

SCHOLARLY PAPERS

24

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SSRN CITATIONS
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in Total Papers Citations

90

CROSSREF CITATIONS

17

Scholarly Papers (24)

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1.

Variance Risk in Commodity Markets

Journal of Banking and Finance, Vol. 81, 2017
Number of pages: 46 Posted: 04 Jan 2013 Last Revised: 21 Mar 2019
Marcel Prokopczuk, Lazaros Symeonidis and Chardin Wese Simen
University of Reading - ICMA Centre, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 1,157 (32,343)
Citation 27

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commodities, variance risk premia, variance swaps

2.

The Importance of the Volatility Risk Premium for Volatility Forecasting

Journal of Banking and Finance, Vol. 40, 2014
Number of pages: 50 Posted: 21 Mar 2013 Last Revised: 15 Jun 2014
Marcel Prokopczuk and Chardin Wese Simen
University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 589 (80,336)
Citation 10

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volatility forecasting, volatility risk premium, implied volatility

3.

Estimating Beta: Forecast Adjustments and the Impact of Stock Characteristics for a Broad Cross-Section

Journal of Financial Markets (2019), Vol. 44, pp. 91–118
Number of pages: 76 Posted: 14 Nov 2017 Last Revised: 18 Sep 2019
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Saarland University, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 489 (101,163)
Citation 12

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Beta Estimation, Forecast Combinations, Forecast Adjustments

4.

The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas

Management Science (2020), Vol. 66(6), pp. 2474-2494
Number of pages: 52 Posted: 25 Mar 2019 Last Revised: 14 Jan 2021
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Saarland University, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 407 (125,529)
Citation 7

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Beta estimation, conditional CAPM, high-frequency data

5.

The Risk Premium of Gold

Journal of International Money and Finance, Forthcoming
Number of pages: 63 Posted: 22 Nov 2017 Last Revised: 22 Mar 2019
Duc Binh Benno Nguyen, Marcel Prokopczuk and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 384 (134,177)

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Jump Risk, Tail Risk, Safe Haven, Hedge, Gold

6.

What Makes the Market Jump?

Number of pages: 37 Posted: 14 Jun 2014 Last Revised: 29 Jan 2018
Marcel Prokopczuk and Chardin Wese Simen
University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 358 (144,958)
Citation 3

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Jumps, News, Intraday, S&P 500, VIX

7.

Jump and Variance Risk Premia in the S&P 500

Journal of Banking and Finance, Vol. 69, 2016
Number of pages: 39 Posted: 02 Jul 2014 Last Revised: 22 Mar 2019
Maximilian Neumann, Marcel Prokopczuk and Chardin Wese Simen
Technische Universität München (TUM), University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 318 (164,591)
Citation 6

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Jump risk premia, Variance risk premia, S&P 500, Options, Markov Chain Monte Carlo

8.

The Natural Gas Announcement Day Puzzle

The Energy Journal, Forthcoming
Number of pages: 23 Posted: 08 May 2020
Marcel Prokopczuk, Chardin Wese Simen and Robert Wichmann
University of Reading - ICMA Centre, University of Liverpool Management School and ICMA Centre, University of Reading
Downloads 289 (181,989)

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Gas Markets, Announcement Effect, Storage News, Intraday

9.

Predictability in Commodity Markets: Evidence from More Than a Century

Journal of Commodity Markets (2021) Vol. 24, 100171
Number of pages: 51 Posted: 27 Apr 2020 Last Revised: 29 Nov 2021
Fabian Hollstein, Marcel Prokopczuk, Björn Tharann and Chardin Wese Simen
Saarland University, University of Reading - ICMA Centre, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 283 (185,898)
Citation 1

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Commodities, Return Predictability, Derivatives Introduction, Business Cycle, Volatility Predictability

10.

Convenience Yield Risk

Energy Economics, Forthcoming
Number of pages: 54 Posted: 31 Jan 2023
Marcel Prokopczuk, Lazaros Symeonidis, Chardin Wese Simen and Robert Wichmann
University of Reading - ICMA Centre, Essex Business School, University of Essex, University of Liverpool Management School and ICMA Centre, University of Reading
Downloads 271 (194,311)

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Commodity Risk Factors, Convenience Yield, Futures Curve, Return Predictability

11.

Beta Uncertainty

Journal of Banking and Finance (2020), Vol. 116, 105834
Number of pages: 71 Posted: 14 May 2020 Last Revised: 14 Jan 2021
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Saarland University, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 268 (196,464)
Citation 1

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Beta, CAPM, Disagreement, Ambiguity, Parameter Uncertainty

12.

The Index Effect: Evidence from the Option Market

Number of pages: 60 Posted: 07 Jan 2021 Last Revised: 17 Apr 2023
Fabian Hollstein and Chardin Wese Simen
Saarland University and University of Liverpool Management School
Downloads 257 (204,881)
Citation 1

Abstract:

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G10, G12, G14

13.

Predicting the Equity Market with Option-Implied Variables

European Journal of Finance (2019), Vol. 25(10), pp. 937–965
Number of pages: 63 Posted: 22 Nov 2017 Last Revised: 18 Sep 2019
Fabian Hollstein, Marcel Prokopczuk, Björn Tharann and Chardin Wese Simen
Saarland University, University of Reading - ICMA Centre, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 204 (255,365)
Citation 5

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Equity Premium, Option Implied Information, Portfolio Choice, Predictability, Timing Strategies

14.

Time-Variations in Commodity Price Jumps

Journal of Empirical Finance, Vol. 31, 2015
Number of pages: 32 Posted: 10 Aug 2013 Last Revised: 22 Mar 2019
Laszlo Diewald, Marcel Prokopczuk and Chardin Wese Simen
Technische Universität München (TUM), University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 194 (267,158)
Citation 3

Abstract:

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Commodities, Jump frequency, Seasonality, Markov Chain Monte Carlo

15.

The Predictive Power of the Dividend Risk Premium

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 65 Posted: 11 May 2019
Davide E. Avino, Andrei Stancu and Chardin Wese Simen
University of LiverpoolFinancial Mathematics and Computation Cluster, University of East Anglia (UEA) - Norwich Business School and University of Liverpool Management School
Downloads 188 (274,830)
Citation 2

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Dividend risk premium, dividend strip, predictability, present value model

16.

Predicting the Equity Premium around the Globe: Comprehensive Evidence from a Large Sample

Number of pages: 66 Posted: 27 Apr 2020 Last Revised: 22 Aug 2023
Fabian Hollstein, Marcel Prokopczuk, Björn Tharann and Chardin Wese Simen
Saarland University, University of Reading - ICMA Centre, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 175 (292,582)

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International equity premium, return predictability, market efficiency

17.

International Tail Risk and World Fear

Journal of International Money and Finance, Vol. 93, 2019
Number of pages: 35 Posted: 27 Nov 2017 Last Revised: 17 Sep 2019
Fabian Hollstein, Duc Binh Benno Nguyen, Marcel Prokopczuk and Chardin Wese Simen
Saarland University, Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 159 (317,562)
Citation 5

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Jump Risk, Tail Risk, International Stock Market Returns, Return Predictability, International Asset Pricing, Factor Models

18.

Financial Data Science: The Birth of a New Financial Research Paradigm Complementing Econometrics?

The European Journal of Finance, Forthcoming
Number of pages: 21 Posted: 14 May 2020
Chris Brooks, Andreas G. F. Hoepner, David G. McMillan, Andrew Vivian and Chardin Wese Simen
University of Bristol - School of Economics, Finance and Management, Smurfit Graduate Business School, University College Dublin, University of Stirling, Loughborough University and University of Liverpool Management School
Downloads 150 (333,355)
Citation 4

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Big Data, Econometrics, Financial Data Science, Statistical Relevance, Statistical Significance Levels

19.

The Information Content of Short-Term Options

Journal of Financial Markets, Forthcoming
Number of pages: 52 Posted: 16 Sep 2019 Last Revised: 19 Sep 2019
Ioannis Oikonomou, Andrei Stancu, Lazaros Symeonidis and Chardin Wese Simen
University of Reading - ICMA Centre, University of East Anglia (UEA) - Norwich Business School, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 137 (358,176)
Citation 2

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Implied variance, Predictability, Realized variance, Weekly options

20.

The Dynamics of Commodity Return Comovements

Journal of Futures Markets, Forthcoming (2021)
Number of pages: 58 Posted: 08 May 2020 Last Revised: 30 Apr 2021
Marcel Prokopczuk, Chardin Wese Simen and Robert Wichmann
University of Reading - ICMA Centre, University of Liverpool Management School and ICMA Centre, University of Reading
Downloads 136 (360,261)

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Commodity Markets, Comovement, Financialization, Factor Model

21.

The Term Structure of Systematic and Idiosyncratic Risk

Journal of Futures Markets (2019), Vol. 39(4), pp. 435–460
Number of pages: 70 Posted: 14 Nov 2017 Last Revised: 18 Sep 2019
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Saarland University, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 122 (391,157)
Citation 1

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Systematic risk, idiosyncratic risk, options, term structure, expectations hypothesis, model-free option implied variance, implied correlation

22.

Variance Risk: A Bird's Eye View

Journal of Econometrics (2020), Vol. 215(2), pp. 517-535.
Number of pages: 77 Posted: 19 Sep 2019 Last Revised: 14 Jan 2021
Fabian Hollstein and Chardin Wese Simen
Saarland University and University of Liverpool Management School
Downloads 94 (470,004)
Citation 5

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Correlation Swaps, Return Predictability, Return Variation, Variance Swaps

23.

Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets

Journal of Futures Markets, Vol. 36, No. 8, 2016
Number of pages: 81 Posted: 28 Aug 2015 Last Revised: 22 Mar 2019
Marcel Prokopczuk, Lazaros Symeonidis and Chardin Wese Simen
University of Reading - ICMA Centre, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 90 (483,125)
Citation 6

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Realized volatility, jumps, high-frequency data, volatility forecasting, forecast evaluation

24.

Significance, Relevance and Explainability in the Machine Learning Age: An Econometrics and Financial Data Science Perspective

Forthcoming, European Journal of Finance
Number of pages: 14 Posted: 15 Dec 2020
Andreas G. F. Hoepner, David G. McMillan, Andrew Vivian and Chardin Wese Simen
Smurfit Graduate Business School, University College Dublin, University of Stirling, Loughborough University and University of Liverpool Management School
Downloads 88 (489,891)

Abstract:

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explainability, explainable artificial intelligence (xai), neural networks, relevance, regressions, significance