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

23

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SSRN CITATIONS
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Top 16,320

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51

CROSSREF CITATIONS

18

Scholarly Papers (23)

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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, Marcel Prokopczuk, Lazaros Symeonidis and Chardin Wese Simen
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 1,108 (24,542)
Citation 20

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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, Marcel Prokopczuk and Chardin Wese Simen
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 557 (62,517)
Citation 9

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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, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 388 (96,575)
Citation 8

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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, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 323 (118,510)
Citation 3

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Beta estimation, conditional CAPM, high-frequency data

5.

What Makes the Market Jump?

Number of pages: 37 Posted: 14 Jun 2014 Last Revised: 29 Jan 2018
Marcel Prokopczuk, Marcel Prokopczuk and Chardin Wese Simen
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 320 (119,716)
Citation 3

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

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, Marcel Prokopczuk and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 302 (127,375)

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

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, Marcel Prokopczuk and Chardin Wese Simen
Technische Universität München (TUM), University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 272 (142,016)
Citation 6

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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, forthcoming
Number of pages: 51 Posted: 27 Apr 2020 Last Revised: 14 Jan 2021
Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk, Björn Tharann and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 183 (206,879)
Citation 1

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

9.

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, Marcel Prokopczuk and Chardin Wese Simen
Technische Universität München (TUM), University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 178 (211,914)
Citation 2

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Commodities, Jump frequency, Seasonality, Markov Chain Monte Carlo

10.

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, Marcel Prokopczuk, Björn Tharann and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 169 (221,510)
Citation 3

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

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, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 165 (226,013)
Citation 1

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Beta, CAPM, Disagreement, Ambiguity, Parameter Uncertainty

12.

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, 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 141 (257,237)
Citation 1

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

13.

The Natural Gas Announcement Day Puzzle

The Energy Journal, Forthcoming
Number of pages: 23 Posted: 08 May 2020
Marcel Prokopczuk, Marcel Prokopczuk, Chardin Wese Simen and Robert Wichmann
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, University of Liverpool Management School and ICMA Centre, University of Reading
Downloads 127 (278,659)

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Gas Markets, Announcement Effect, Storage News, Intraday

14.

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, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 119 (292,359)
Citation 1

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

15.

The Index Effect: Evidence from the Option Market

Number of pages: 53 Posted: 07 Jan 2021
Fabian Hollstein and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management and University of Liverpool Management School
Downloads 111 (306,998)

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G12, G11, G17

16.

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, Marcel Prokopczuk, Chardin Wese Simen and Robert Wichmann
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, University of Liverpool Management School and ICMA Centre, University of Reading
Downloads 98 (333,728)

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Commodity Markets, Comovement, Financialization, Factor Model

17.

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 89 (354,702)
Citation 1

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Implied variance, Predictability, Realized variance, Weekly options

18.

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, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 85 (364,931)
Citation 1

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

19.

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

Number of pages: 62 Posted: 27 Apr 2020
Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk, Björn Tharann and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 82 (372,858)
Citation 1

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International equity premium, return predictability, market efficiency

20.

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 79 (381,070)
Citation 4

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

21.

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, Marcel Prokopczuk, Lazaros Symeonidis and Chardin Wese Simen
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 71 (404,664)
Citation 4

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

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
Leibniz University Hannover - School of Economics and Management and University of Liverpool Management School
Downloads 57 (452,349)
Citation 1

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Correlation Swaps, Return Predictability, Return Variation, Variance Swaps

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
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 51 (475,451)

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