Author Page for Chardin Wese Simen

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 1,346 (36,888)

Citation 31

Abstract:

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 675 (96,615)

Citation 12

Abstract:

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 637 (104,605)

Citation 20

Abstract:

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 521 (134,337)

Citation 8

Abstract:

5.

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 519 (134,651)

Abstract:

6.

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 506 (138,539)

Abstract:

7.

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 485 (147,279)

Abstract:

8.

How do Investors Trade Option Anomalies?

Number of pages: 89 Posted: 13 Jan 2025 Last Revised: 28 Aug 2025

Fabian Hollstein and Chardin Wese Simen

Saarland University and University of Liverpool Management School

Downloads 463 (156,627)

Abstract:

9.

The Index Effect: Evidence from the Option Market

Number of pages: 101 Posted: 07 Jan 2021 Last Revised: 02 Feb 2026

Fabian Hollstein and Chardin Wese Simen

Saarland University and University of Liverpool Management School

Downloads 459 (158,280)

Citation 2

Abstract:

10.

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 430 (168,427)

Citation 3

Abstract:

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 399 (185,218)

Citation 3

Abstract:

12.

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 388 (190,168)

Citation 6

Abstract:

13.

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 376 (197,695)

Citation 1

Abstract:

14.

Decomposing Option Anomaly Returns

Number of pages: 56 Posted: 13 Jun 2025

Fabian Hollstein and Chardin Wese Simen

Saarland University and University of Liverpool Management School

Downloads 335 (228,126)

Abstract:

15.

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

International Journal of Forecasting, volume 41, issue 1, 2025[10.1016/j.ijforecast.2024.05.002]

Number of pages: 66 Posted: 27 Apr 2020 Last Revised: 03 Jan 2025

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 301 (251,365)

Citation 2

Abstract:

16.

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 281 (271,230)

Citation 2

Abstract:

17.

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 268 (286,114)

Citation 5

Abstract:

18.

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 244 (312,643)

Citation 8

Abstract:

19.

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 Reading - ICMA Centre, Smurfit Graduate Business School, University College Dublin, University of Stirling, Loughborough University and University of Liverpool Management School

Downloads 227 (336,244)

Citation 4

Abstract:

20.

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 223 (342,220)

Citation 3

Abstract:

21.

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 178 (424,491)

Citation 3

Abstract:

22.

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 175 (433,279)

Abstract:

23.

Market-Level Tug of War and Asset Pricing

Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2024

Number of pages: 59 Posted: 05 Dec 2024 Last Revised: 30 Nov 2025

Lei Zhao, Chardin Wese Simen and Ran Tao

ESCP Business School, University of Liverpool Management School and Accounting and Finance Department, University of Bristol

Downloads 170 (447,215)

Abstract:

24.

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 157 (474,889)

Citation 7

Abstract:

25.

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 157 (474,889)

Citation 1

Abstract:

26.

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 135 (547,695)

Abstract:

27.

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 116 (613,149)

Citation 7

Chardin Wese Simen

University of Liverpool Management School

27

Top 11,175

10,171

Top 12,319

128

Scholarly Papers (27)

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract: