Chardin Wese Simen

University of Reading - ICMA Centre

Henley Business School

University of Reading

Reading, RG6 6BA

United Kingdom

  • University of Reading - ICMA Centre

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

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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
Leibniz Universität Hannover - Faculty of Economics and Management, University of East Anglia (UEA) - Norwich Business School and University of Reading - ICMA Centre
Downloads 1,046 (19,644)
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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
Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA Centre
Downloads 519 (51,518)

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volatility forecasting, volatility risk premium, implied volatility

3.

What Makes the Market Jump?

Number of pages: 37 Posted: 14 Jun 2014 Last Revised: 29 Jan 2018
Marcel Prokopczuk and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA Centre
Downloads 277 (107,260)

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

4.

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), Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA Centre
Downloads 252 (118,438)

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

5.

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

Journal of Financial Markets, Forthcoming
Number of pages: 76 Posted: 14 Nov 2017 Last Revised: 21 Mar 2019
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA Centre
Downloads 248 (120,359)

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Beta Estimation, Forecast Combinations, Forecast Adjustments

6.

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), Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA Centre
Downloads 164 (177,254)

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Commodities, Jump frequency, Seasonality, Markov Chain Monte Carlo

7.

Predicting the Equity Market with Option-Implied Variables

European Journal of Finance, Forthcoming
Number of pages: 63 Posted: 22 Nov 2017 Last Revised: 13 Nov 2018
Fabian Hollstein, Marcel Prokopczuk, Björn Tharann and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Reading - ICMA Centre
Downloads 131 (213,171)

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

8.

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, Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA Centre
Downloads 125 (220,983)

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

9.

The Conditional CAPM Revisited: Evidence from High-Frequency Betas

Management Science, Forthcoming
Number of pages: 52 Posted: 25 Mar 2019 Last Revised: 13 Apr 2019
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA Centre
Downloads 117 (232,169)

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Beta estimation, conditional CAPM, high-frequency data

10.

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: 22 Mar 2019
Fabian Hollstein, Duc Binh Benno Nguyen, Marcel Prokopczuk and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA Centre
Downloads 79 (300,510)

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

11.

The Term Structure of Systematic and Idiosyncratic Risk

Journal of Futures Markets, Forthcoming
Number of pages: 70 Posted: 14 Nov 2017 Last Revised: 16 Jan 2019
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA Centre
Downloads 70 (322,018)

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

12.

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
Leibniz Universität Hannover - Faculty of Economics and Management, University of East Anglia (UEA) - Norwich Business School and University of Reading - ICMA Centre
Downloads 62 (343,075)

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

13.

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 Liverpool, University of East Anglia (UEA) - Norwich Business School and University of Reading - ICMA Centre
Downloads 34 (438,873)

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