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

15

DOWNLOADS
Rank 13,922

SSRN RANKINGS

Top 13,922

in Total Papers Downloads

3,545

SSRN CITATIONS
Rank 20,102

SSRN RANKINGS

Top 20,102

in Total Papers Citations

25

CROSSREF CITATIONS

15

Scholarly Papers (15)

Actions:
Email selected abstracts
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, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 1,074 (20,150)
Citation 16

Abstract:

Loading...

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 Liverpool Management School
Downloads 530 (53,276)
Citation 7

Abstract:

Loading...

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
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 295 (106,068)
Citation 2

Abstract:

Loading...

Beta Estimation, Forecast Combinations, Forecast Adjustments

4.

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 Liverpool Management School
Downloads 289 (108,456)
Citation 1

Abstract:

Loading...

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

5.

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 Liverpool Management School
Downloads 259 (121,673)
Citation 4

Abstract:

Loading...

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

6.

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

Management Science, Forthcoming
Number of pages: 52 Posted: 25 Mar 2019 Last Revised: 07 Oct 2019
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 200 (156,680)
Citation 1

Abstract:

Loading...

Beta estimation, conditional CAPM, high-frequency data

7.

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 Liverpool Management School
Downloads 178 (174,202)

Abstract:

Loading...

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

8.

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 Liverpool Management School
Downloads 168 (183,215)
Citation 2

Abstract:

Loading...

Commodities, Jump frequency, Seasonality, Markov Chain Monte Carlo

9.

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
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 150 (201,639)
Citation 1

Abstract:

Loading...

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

10.

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 Liverpool Management School
Downloads 92 (288,630)

Abstract:

Loading...

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

11.

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
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 87 (298,816)
Citation 1

Abstract:

Loading...

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

12.

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
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 76 (324,096)
Citation 1

Abstract:

Loading...

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

13.

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, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 68 (344,846)
Citation 1

Abstract:

Loading...

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

14.

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 51 (396,790)

Abstract:

Loading...

Implied variance, Predictability, Realized variance, Weekly options

15.

Variance Risk: A Bird's Eye View

Journal of Econometrics, Forthcoming
Number of pages: 77 Posted: 19 Sep 2019
Fabian Hollstein and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management and University of Liverpool Management School
Downloads 28 (492,130)

Abstract:

Loading...

Correlation Swaps, Return Predictability, Return Variation, Variance Swaps