Chardin Wese Simen

University of Liverpool Management School

Management School

University of Liverpool

Liverpool, L69 7ZH

United Kingdom

SCHOLARLY PAPERS

24

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5,924

SSRN CITATIONS
Rank 15,990

SSRN RANKINGS

Top 15,990

in Total Papers Citations

51

CROSSREF CITATIONS

18

Scholarly Papers (24)

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 1,130 (29,169)
Citation 20

Abstract:

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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 572 (73,137)
Citation 9

Abstract:

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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 440 (100,641)
Citation 8

Abstract:

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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 387 (116,704)
Citation 3

Abstract:

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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 353 (129,435)

Abstract:

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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 341 (134,460)
Citation 3

Abstract:

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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 297 (155,557)
Citation 6

Abstract:

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

8.

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
Saarland University, University of Reading - ICMA Centre, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 244 (189,820)
Citation 1

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

9.

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 242 (191,327)
Citation 1

Abstract:

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Beta, CAPM, Disagreement, Ambiguity, Parameter Uncertainty

10.

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 214 (215,078)

Abstract:

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Gas Markets, Announcement Effect, Storage News, Intraday

11.

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 187 (243,018)
Citation 2

Abstract:

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Commodities, Jump frequency, Seasonality, Markov Chain Monte Carlo

12.

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
Saarland University, University of Reading - ICMA Centre, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 182 (248,799)
Citation 3

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

13.

The Index Effect: Evidence from the Option Market

Number of pages: 53 Posted: 07 Jan 2021
Fabian Hollstein and Chardin Wese Simen
Saarland University and University of Liverpool Management School
Downloads 178 (253,670)

Abstract:

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G12, G11, G17

14.

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 173 (260,017)
Citation 1

Abstract:

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

15.

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

Number of pages: 62 Posted: 27 Apr 2020
Saarland University, University of Reading - ICMA Centre, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 135 (318,490)
Citation 1

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International equity premium, return predictability, market efficiency

16.

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
Saarland University, Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 133 (322,176)
Citation 1

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

17.

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
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 127 (333,569)
Citation 4

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

18.

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 122 (343,550)

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Commodity Markets, Comovement, Financialization, Factor Model

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
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 114 (360,632)
Citation 1

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Implied variance, Predictability, Realized variance, Weekly options

20.

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 102 (389,430)
Citation 1

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

21.

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 82 (446,839)
Citation 1

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Correlation Swaps, Return Predictability, Return Variation, Variance Swaps

22.

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 81 (450,002)
Citation 4

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

23.

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
Smurfit Graduate Business School, University College Dublin, University of Stirling, Loughborough University and University of Liverpool Management School
Downloads 75 (470,292)

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

24.

Convenience Yield Risk

Energy Economics, Forthcoming
Number of pages: 54 Posted: 31 Jan 2023
University of Reading - ICMA Centre, Essex Business School, University of Essex, University of Liverpool Management School and ICMA Centre, University of Reading
Downloads 13 (831,256)

Abstract:

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