Marcel Prokopczuk

University of Reading - ICMA Centre

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

Leibniz Universität Hannover - Faculty of Economics and Management

Koenigsworther Platz 1

Hannover, 30167

Germany

SCHOLARLY PAPERS

70

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Scholarly Papers (70)

1.
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Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Consultant, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 5,808 (1,873)

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non-standard errors, multi-analyst approach, liquidity

2.

Estimating Beta

Journal of Financial and Quantitative Analysis (JFQA), Volume 51, Issue 4 (2016)
Number of pages: 78 Posted: 15 Dec 2014 Last Revised: 05 Jan 2017
Fabian Hollstein, Marcel Prokopczuk and Marcel Prokopczuk
Saarland University and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 1,312 (21,675)

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Beta estimation, Implied beta

3.

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 1,121 (27,343)
Citation 20

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commodities, variance risk premia, variance swaps

4.

The Dynamics of Commodity Prices

Quantitative Finance, Vol. 13, No. 4, 2013
Number of pages: 42 Posted: 23 May 2011 Last Revised: 29 Dec 2013
Chris Brooks, Marcel Prokopczuk and Marcel Prokopczuk
University of Bristol - School of Economics, Finance and Management and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 903 (37,188)
Citation 6

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Commodity prices, stochastic volatility, jumps, Markov Chain Monte Carlo

5.

Investing in Commodity Futures Markets: Can Pricing Models Help?

European Journal of Finance, Vol. 18, No. 1-2, 2012
Number of pages: 41 Posted: 27 Feb 2009 Last Revised: 24 Apr 2012
Raphael Paschke, Marcel Prokopczuk and Marcel Prokopczuk
University of Mannheim - Department of Business Administration and Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 757 (47,241)
Citation 2

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Commodity Investment, Futures, Crude Oil, Copper, Silver, Gold

6.

Integrating Multiple Commodities in a Model of Stochastic Price Dynamics

Journal of Energy Markets, Vol. 2, No. 3, 2009
Number of pages: 41 Posted: 06 Mar 2008 Last Revised: 24 Apr 2012
Raphael Paschke, Marcel Prokopczuk and Marcel Prokopczuk
University of Mannheim - Department of Business Administration and Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 748 (48,003)
Citation 4

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Commodities, Integrated Model, Futures, Kalman Filter, Crude Oil

7.

Seasonality and the Valuation of Commodity Options

Journal of Banking and Finance, Vol. 37, No. 2, 2013
Number of pages: 61 Posted: 29 Nov 2009 Last Revised: 02 Jan 2013
Janis Back, Marcel Prokopczuk, Marcel Prokopczuk and Markus Rudolf
WHU - Otto Beisheim School of Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and WHU Otto Beisheim Graduate School of Management
Downloads 714 (51,060)
Citation 9

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Commodities, Seasonality, Options Pricing

8.

Credit Risk in Covered Bonds

Journal of Empirical Finance, Vol. 21, No. 1, 2013
Number of pages: 46 Posted: 04 Oct 2010 Last Revised: 29 Dec 2013
Marcel Prokopczuk, Marcel Prokopczuk, Jan B. Siewert and Volker Vonhoff
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Unversity of Mannheim – Center for Doctoral Studies in Business and University of Mannheim - Department of Business Administration and Finance
Downloads 708 (51,643)
Citation 4

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Covered Bonds, Credit Risk, Cover Pool, Financial Crisis, Pfandbrief

9.

Systemic Risk: Is the Banking Sector Special?

Number of pages: 39 Posted: 24 May 2010
Wolfgang Bühler, Wolfgang Bühler, Marcel Prokopczuk and Marcel Prokopczuk
University of New South Wales, Australian Business SchoolUniversity of Mannheim - Department of Business Administration and Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 700 (52,457)
Citation 8

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G21, G15, G28, G11

10.

Estimating Stock Market Betas via Machine Learning

Number of pages: 83 Posted: 01 Oct 2021 Last Revised: 22 Jun 2022
Wolfgang Drobetz, Fabian Hollstein, Tizian Otto, Marcel Prokopczuk and Marcel Prokopczuk
University of Hamburg, Saarland University, University of Hamburg and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 674 (55,096)

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Beta estimation, machine learning

11.

Commodity Price Dynamics and Derivatives Valuation: A Review

International Journal of Theoretical and Applied Finance, Vol. 16, No. 6, 2013
Number of pages: 39 Posted: 22 Aug 2012 Last Revised: 29 Dec 2013
Janis Back, Marcel Prokopczuk and Marcel Prokopczuk
WHU - Otto Beisheim School of Management and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 643 (58,509)
Citation 2

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commodities, derivatives, review

12.

Commodity Futures Prices: More Evidence on Forecast Power, Risk Premia and the Theory of Storage

Quarterly Review of Economics and Finance, Vol. 53, No. 1, 2013
Number of pages: 35 Posted: 25 Oct 2011 Last Revised: 29 Dec 2013
Chris Brooks, Marcel Prokopczuk, Marcel Prokopczuk and Yingying Wu
University of Bristol - School of Economics, Finance and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Xi'an Jiaotong Liverpool University
Downloads 608 (62,849)
Citation 2

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commodity futures, theory of storage, risk premia

13.

Pricing and Hedging in the Freight Futures Market

Journal of Futures Markets, Vol. 31, No. 5, 2011
Number of pages: 36 Posted: 06 Mar 2010 Last Revised: 26 Apr 2012
Marcel Prokopczuk and Marcel Prokopczuk
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 592 (64,979)
Citation 1

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Freight Futures, Hedging, Shipping Derivatives, Imarex

14.

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 562 (69,405)
Citation 9

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volatility forecasting, volatility risk premium, implied volatility

15.

Futures Basis, Inventory and Commodity Price Volatility: An Empirical Analysis

Economic Modelling, Vol. 29, No. 6, 2012
Number of pages: 36 Posted: 25 Oct 2011 Last Revised: 02 Jan 2013
Lazaros Symeonidis, Marcel Prokopczuk, Marcel Prokopczuk, Chris Brooks and Emese Lazar
Essex Business School, University of Essex, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, University of Bristol - School of Economics, Finance and Management and University of Reading - ICMA Centre
Downloads 519 (76,667)
Citation 8

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Forward curves, scarcity, commodity price volatility, theory of storage, convenience yield

16.

How Robust are Empirical Factor Models to the Choice of Breakpoints?

Number of pages: 55 Posted: 20 Sep 2021 Last Revised: 09 Aug 2022
Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk and Victoria Voigts
Saarland University, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 485 (83,223)

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Asset Pricing, Factors, Replication, Breakpoint Analysis, Robustness

17.

Anomalies in Commodity Futures Markets

Quarterly Journal of Finance (2021) Vol. 11(4), 2150017
Number of pages: 56 Posted: 27 Apr 2020 Last Revised: 29 Nov 2021
Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk and Björn Tharann
Saarland University, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover
Downloads 459 (88,949)
Citation 1

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Anomalies, commodity futures markets, behavioral finance, systematic risk

18.

Commodity Derivatives Valuation with Autoregressive and Moving Average Components in the Price Dynamics

Journal of Banking and Finance, Vol. 34, No. 11, 2010
Number of pages: 36 Posted: 22 Jul 2009 Last Revised: 26 Apr 2012
Raphael Paschke, Marcel Prokopczuk and Marcel Prokopczuk
University of Mannheim - Department of Business Administration and Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 444 (92,432)
Citation 5

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Commodity Pricing, CARMA, Futures, Crude Oil

19.

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
Saarland University, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 418 (99,064)
Citation 8

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Beta Estimation, Forecast Combinations, Forecast Adjustments

20.

The Long Shadow of Jewish Persecution on Financial Decisions

Number of pages: 61 Posted: 16 Dec 2013 Last Revised: 10 May 2017
Francesco D'Acunto, Marcel Prokopczuk, Marcel Prokopczuk and Michael Weber
Boston College, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Chicago - Finance
Downloads 413 (100,484)
Citation 1

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Cultural Economics, Social Stereotypes, Household Finance, History & Finance

21.

American Option Valuation: Implied Calibration of GARCH Pricing-Models

Journal of Futures Markets, Vol. 31, No. 10, 2011
Number of pages: 36 Posted: 09 Sep 2009 Last Revised: 10 May 2017
Michael Weber, Marcel Prokopczuk and Marcel Prokopczuk
University of Chicago - Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 404 (103,035)
Citation 1

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American Options, GARCH, Implied Calibration, Edgeworth Binomial Tree

22.

An Empirical Model Comparison for Valuing Crack Spread Options

Energy Economics, Vol. 51, 2015
Number of pages: 45 Posted: 11 Mar 2010 Last Revised: 22 Mar 2019
Steffen Mahringer, Marcel Prokopczuk and Marcel Prokopczuk
University of St.Gallen - Swiss Institute of Banking and Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 384 (109,323)

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Crack Spread Options, Option Valuation, Co-integrated Underlyings

23.

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
Saarland University, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 363 (116,410)
Citation 3

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Beta estimation, conditional CAPM, high-frequency data

24.

The Case of Negative Day-Ahead Electricity Prices

Energy Economics, Vol. 35, No. 1, 2013, WBS Finance Group Research Paper No. 158
Number of pages: 46 Posted: 13 May 2011 Last Revised: 26 Dec 2019
Enzo Fanone, Andrea Gamba, Marcel Prokopczuk and Marcel Prokopczuk
Dolomiti Energia Trading S.p.A., University of Warwick - Finance Group and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 360 (117,496)
Citation 5

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Electricity, Lèvy processes, Price spikes, Negative prices

25.

Managing the Market Portfolio

Management Science, Forthcoming
Number of pages: 90 Posted: 12 Mar 2022
Fabian Hollstein, Marcel Prokopczuk and Marcel Prokopczuk
Saarland University and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 348 (121,943)

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Conditioning variables, managed portfolios, market portfolio, market timing

26.

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 336 (126,712)

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

27.

Electricity Derivatives Pricing with Forward-Looking Information

Journal of Economic Dynamics and Control, 58, September, 34-57 (2015)
Number of pages: 57 Posted: 19 Feb 2013 Last Revised: 29 Mar 2016
Roland Füss, Steffen Mahringer, Marcel Prokopczuk and Marcel Prokopczuk
Swiss Finance Institute, University of St.Gallen - Swiss Institute of Banking and Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 335 (127,113)
Citation 2

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Electricity Futures, Fundamental Model, Derivatives Pricing, Forward-looking Information, Enlargement of Filtrations

28.

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 334 (127,562)
Citation 3

Abstract:

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

29.

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 282 (152,112)
Citation 6

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

30.

Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options

Journal of Banking and Finance, Vol. 66, 2016
Number of pages: 53 Posted: 05 Jul 2011 Last Revised: 22 Mar 2019
Juan Arismendi-Zambrano, Janis Back, Marcel Prokopczuk, Marcel Prokopczuk, Raphael Paschke and Markus Rudolf
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students, WHU - Otto Beisheim School of Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, University of Mannheim - Department of Business Administration and Finance and WHU Otto Beisheim Graduate School of Management
Downloads 270 (158,956)
Citation 7

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commodities, seasonality, stochastic volatility, options pricing, natural gas, corn

31.

The Determinants of Convenience Yields

Number of pages: 42 Posted: 30 Dec 2013 Last Revised: 03 Nov 2014
Marcel Prokopczuk, Marcel Prokopczuk and Yingying Wu
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Xi'an Jiaotong Liverpool University
Downloads 260 (165,097)
Citation 4

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Commodity futures; Convenience yield

32.

The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread

Energy Economics, Vol. 36, No. 1, 2013
Number of pages: 26 Posted: 16 Jan 2012 Last Revised: 29 Dec 2013
Carol Alexander, Marcel Prokopczuk, Marcel Prokopczuk and Anannit Sumawong
University of Sussex Business School, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Sussex
Downloads 260 (165,097)
Citation 4

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Hedging, Crack Spread, GARCH, Minimum-Variance Hedge

33.

Electricity Market Coupling in Europe: Status Quo and Future Challenges

University of St.Gallen, School of Finance Research Paper No. 2015/12
Number of pages: 36 Posted: 15 Oct 2014 Last Revised: 13 Mar 2017
Roland Füss, Steffen Mahringer, Marcel Prokopczuk and Marcel Prokopczuk
Swiss Finance Institute, University of St.Gallen - Swiss Institute of Banking and Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 257 (167,009)
Citation 1

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Energy Market Coupling, Electricity Market Reforms, Explicit and Implicit Auction, Price Convergence

34.

Booms and Busts in Commodity Markets: Bubbles or Fundamentals?

Journal of Futures Markets, Vol. 35, No. 10, 2015
Number of pages: 38 Posted: 02 Feb 2014 Last Revised: 22 Mar 2019
Chris Brooks, Marcel Prokopczuk, Marcel Prokopczuk and Yingying Wu
University of Bristol - School of Economics, Finance and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Xi'an Jiaotong Liverpool University
Downloads 254 (168,941)

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Commodity futures, Speculative bubble, Switching regression, Convenience yield, Macroeconomic factors

35.

Measuring Tail Risk

Number of pages: 96 Posted: 23 Feb 2021 Last Revised: 05 Aug 2021
Maik Dierkes, Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk and Christoph Wuersig
Leibniz University Hannover, Saarland University, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 233 (183,506)

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Tail Risk, Return Forecasting, Tail Event Forecasting

36.

Intra-Industry Contagion Effects of Earnings Surprises in the Banking Sector

Applied Financial Economics, Vol. 20, No. 20, 2010
Number of pages: 31 Posted: 02 Feb 2010 Last Revised: 26 Apr 2012
Marcel Prokopczuk and Marcel Prokopczuk
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 226 (188,863)
Citation 2

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Intra-Industry Contagion, Banking Sector, Systemic Risk, Earnings Surprises, Event Study

37.

Commodity Forward Curve Dynamics with Inventory Information

Number of pages: 38 Posted: 18 Mar 2015
Marcel Prokopczuk, Marcel Prokopczuk and Sebastian Vicedom
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 218 (195,588)

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Commodities, theory of storage, forward curve dynamics, crude oil, futures markets, hedging, inventory, convenience yield

38.

Economic Determinants of Oil Futures Volatility: A Term Structure Perspective

Energy Economics, Vol. 88, No. 104743, 2020
Number of pages: 46 Posted: 11 Jul 2019 Last Revised: 09 Nov 2020
Boda Kang, Christina Sklibosios Nikitopoulos, Marcel Prokopczuk and Marcel Prokopczuk
AMP, University of Technology Sydney - Business School and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 213 (199,771)
Citation 2

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oil market, volatility, term structure, macroeconomy

39.

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, Marcel Prokopczuk, Björn Tharann and Chardin Wese Simen
Saarland University, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 212 (200,633)
Citation 1

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

40.

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
Saarland University, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 210 (202,435)
Citation 1

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Beta, CAPM, Disagreement, Ambiguity, Parameter Uncertainty

41.

Electricity Spot and Derivatives Pricing under Market Coupling

University of St.Gallen, School of Finance Research Paper No. 13/23
Number of pages: 41 Posted: 13 Jan 2014 Last Revised: 20 Aug 2017
Roland Füss, Steffen Mahringer, Florentina Paraschiv, Marcel Prokopczuk and Marcel Prokopczuk
Swiss Finance Institute, University of St.Gallen - Swiss Institute of Banking and Finance, Zeppelin University, Chair of Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 203 (208,897)

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Electricity Pricing, Fundamental Model, Multi-Market Modeling, Derivatives

42.

Which Factors for Corporate Bond Returns?

Number of pages: 45 Posted: 04 Mar 2022
Thuy Duong Dang, Fabian Hollstein, Marcel Prokopczuk and Marcel Prokopczuk
Leibniz Universität Hannover, Saarland University and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 201 (210,786)

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Factor models, corporate bonds, model comparison, marginal likelihood

43.

The Memory of Stock Return Volatility: Asset Pricing Implications

Journal of Financial Markets, Forthcoming
Number of pages: 66 Posted: 22 Nov 2017 Last Revised: 18 Jan 2019
Duc Binh Benno Nguyen, Marcel Prokopczuk, Marcel Prokopczuk and Philipp Sibbertsen
Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Hannover
Downloads 185 (226,763)
Citation 2

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Asset Pricing; Long Memory; Persistence; Volatility

Historical Antisemitism, Ethnic Specialization, and Financial Development

Becker Friedman Institute for Research in Economics Working Paper No. 2018-19, Chicago Booth Research Paper No. 17-26, Fama-Miller Working Paper
Number of pages: 68 Posted: 01 Sep 2017
Francesco D'Acunto, Marcel Prokopczuk, Marcel Prokopczuk and Michael Weber
Boston College, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Chicago - Finance
Downloads 116 (329,838)

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Cultural Economics, Intergenerational Transmission of Norms, Religious Identity, Household Finance, History & Finance

Historical Antisemitism, Ethnic Specialization, and Financial Development

NBER Working Paper No. w23785
Number of pages: 64 Posted: 11 Sep 2017 Last Revised: 29 Jun 2022
Francesco D'Acunto, Marcel Prokopczuk, Marcel Prokopczuk and Michael Weber
Boston College, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Chicago - Finance
Downloads 37 (602,433)
Citation 2

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Historical Antisemitism, Ethnic Specialization, and Financial Development

CESifo Working Paper Series No. 6643
Number of pages: 66 Posted: 22 Sep 2017
Francesco D'Acunto, Marcel Prokopczuk, Marcel Prokopczuk and Michael Weber
Boston College, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Chicago - Finance
Downloads 32 (633,418)

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Cultural Economics, Intergenerational Transmission of Norms, Religious Identity, Household Finance, History & Finance

45.

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 182 (230,006)

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Gas Markets, Announcement Effect, Storage News, Intraday

46.

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 179 (233,259)
Citation 2

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Commodities, Jump frequency, Seasonality, Markov Chain Monte Carlo

47.

The Memory of Beta

Journal of Banking and Finance (2021), Vol. 124, 106026
Number of pages: 65 Posted: 01 Jan 2020 Last Revised: 14 Jan 2021
Janis Becker, Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk and Philipp Sibbertsen
Leibniz Universität Hannover, Saarland University, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Hannover
Downloads 176 (236,713)
Citation 1

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Long memory, beta, persistence, forecasting, predictability

48.

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
Saarland University, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 173 (240,188)
Citation 3

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

49.

Optimal Portfolio Choice in the Presence of Domestic Systemic Risk: Empirical Evidence from Stock Markets

Decisions in Economics and Finance, Vol. 34, No. 2, pp. 141-168, 2011
Number of pages: 41 Posted: 10 Feb 2011 Last Revised: 30 Jan 2012
Marcel Prokopczuk and Marcel Prokopczuk
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 156 (261,922)

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Systemic Risk, Optimal Portfolio Choice

50.

How Do Corporate Bond Investors Measure Performance? Evidence from Mutual Fund Flows

Journal of Banking and Finance (2022), Vol. 142, 106553
Number of pages: 84 Posted: 12 Dec 2019 Last Revised: 18 Jul 2022
Thuy Duong Dang, Fabian Hollstein, Marcel Prokopczuk and Marcel Prokopczuk
Leibniz Universität Hannover, Saarland University and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 143 (280,758)
Citation 1

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Bond factor models, Sharpe ratio, bond mutual funds, investor flows, performance evaluation, flow--performance sensitivity

51.

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
Saarland University, 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 123 (314,824)
Citation 1

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

52.

Testing Factor Models in the Cross-Section

Journal of Banking and Finance, Forthcoming
Number of pages: 58 Posted: 20 Sep 2021 Last Revised: 09 Aug 2022
Fabian Hollstein, Marcel Prokopczuk and Marcel Prokopczuk
Saarland University and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 119 (322,260)

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Factor models, cross-sectional tests, no-arbitrage pricing, beta estimation

53.

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
Saarland University, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 115 (330,098)
Citation 1

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International equity premium, return predictability, market efficiency

54.

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 110 (340,525)

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Commodity Markets, Comovement, Financialization, Factor Model

55.

Responsible Investing: Upside Potential and Downside Protection?

Number of pages: 51 Posted: 18 Mar 2022
Yumeng Gao, Andreas G. F. Hoepner, Marcel Prokopczuk, Marcel Prokopczuk and Christoph Wuersig
Michael Smurfit Graduate Business School, University College Dublin, Smurfit Graduate Business School, University College Dublin, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 106 (349,116)

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Responsible investment, ESG, implied volatility, upside potential, downside risk, options

56.

Volatility Term Structures in Commodity Markets

Journal of Futures Markets (2020), Vol. 40(4), pp. 527-555
Number of pages: 65 Posted: 12 Dec 2019 Last Revised: 14 Jan 2021
Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk and Christoph Wuersig
Saarland University, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 100 (362,810)
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commodities, information transmission, spillovers, volatility term structure

57.

A Moment Based Analytic Approximation of the Risk-neutral Density of American Options

Applied Mathematical Finance, Volume 23, 2016 - Issue 6
Number of pages: 44 Posted: 25 Aug 2014 Last Revised: 04 Feb 2018
Juan Arismendi-Zambrano, Marcel Prokopczuk and Marcel Prokopczuk
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 97 (369,943)

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Multi-asset Risk-neutral Density, American Multi-asset Options, Higher-order Moments

58.

Market Power and Systematic Risk

Number of pages: 55 Posted: 28 May 2021 Last Revised: 18 Jul 2022
Fabian Hollstein, Marcel Prokopczuk, Marcel Prokopczuk and Christoph Wuersig
Saarland University, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 96 (372,331)

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Market power, systematic risk, market beta, mergers and acquisitions, product market competition, discount-rate beta

59.

The Economic Drivers of Commodity Market Volatility

Journal of International Money and Finance, Forthcoming
Number of pages: 66 Posted: 11 Jul 2019
Marcel Prokopczuk, Marcel Prokopczuk, Andrei Stancu and Lazaros Symeonidis
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, University of East Anglia (UEA) - Norwich Business School and Essex Business School, University of Essex
Downloads 96 (372,331)
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Commodities, Economic Uncertainty, Volatility, Financialization, Crisis

60.

Rising and Volatile Food Prices: Are Index Fund Investors to Blame?

Number of pages: 45 Posted: 15 Jun 2014
Marcel Prokopczuk, Marcel Prokopczuk, Lazaros Symeonidis and Timo Verlaat
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Essex Business School, University of Essex and Zeppelin University
Downloads 95 (374,735)
Citation 1

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Food prices, index funds, volatility, agricultural futures

61.

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
Saarland University, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 92 (382,372)
Citation 1

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

62.

Jumps in Commodity Markets

Journal of Commodity Markets, Vol. 13, 2019
Number of pages: 40 Posted: 22 Nov 2017 Last Revised: 22 Mar 2019
Duc Binh Benno Nguyen, Marcel Prokopczuk and Marcel Prokopczuk
Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 89 (390,262)
Citation 1

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Commodities, Jump Risk, Tail Risk, Hedge

63.

The Long Memory of Equity Volatility and the Macroeconomy: International Evidence

Number of pages: 41 Posted: 22 Nov 2017 Last Revised: 06 Apr 2020
Lena Dräger, Duc Binh Benno Nguyen, Marcel Prokopczuk, Marcel Prokopczuk and Philipp Sibbertsen
Leibniz University Hannover, Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Hannover
Downloads 83 (406,958)

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International, Long Memory, Volatility

64.

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 72 (440,812)
Citation 4

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

65.

Asset Prices and 'The Devil(s) You Know'

Journal of Banking and Finance (2019), Vol. 105, pp. 20–35
Number of pages: 69 Posted: 24 May 2019 Last Revised: 18 Sep 2019
Fabian Hollstein, Duc Binh Benno Nguyen, Marcel Prokopczuk and Marcel Prokopczuk
Saarland University, Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 68 (454,398)

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persistence, stock return distribution, option-implied central moments, asset pricing

66.

Prediction of Extreme Price Occurrences in the German Day-Ahead Electricity Market

Quantitative Finance, Vol. 16(12), 2016, University of St.Gallen, School of Finance Research Paper No. 2017/2
Number of pages: 28 Posted: 21 Dec 2016
Lars Hagfors, Hilde Kamperud, Florentina Paraschiv, Marcel Prokopczuk, Marcel Prokopczuk, Alma Sator and Sjur Westgaard
Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU), Zeppelin University, Chair of Finance, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 64 (468,599)
Citation 4

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EnergyMarkets, Fundamental Analysis, Spikes, EPEX

67.

Pricing Analysis of Wind Power Derivatives for Renewable Energy Risk Management

Kanamura, T., L. Homann, and M. Prokopczuk (2021) ``Pricing analysis of wind power derivatives for renewable energy risk management'', Applied Energy, forthcoming.
Number of pages: 36 Posted: 10 Sep 2021
Takashi Kanamura, Lasse Homann, Marcel Prokopczuk and Marcel Prokopczuk
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS), affiliation not provided to SSRN and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 45 (548,032)

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Wind power, load factor, good-deal bounds, futures and options, mean reversion, seasonality

68.

Is Commodity Index Investing Profitable?

Journal of Index Investing, Winter, 2018
Posted: 31 Mar 2018 Last Revised: 30 Nov 2018
Tobias Fethke, Marcel Prokopczuk and Marcel Prokopczuk
Leibniz Universität Hannover - Faculty of Economics and Management and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management

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Commodities, Investing, Index

69.

Risk Premia in Covered Bond Markets

Journal of Fixed Income, Vol. 22, No. 2, 2012
Posted: 18 Jan 2012 Last Revised: 02 Jan 2013
Marcel Prokopczuk, Marcel Prokopczuk and Volker Vonhoff
University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Mannheim - Department of Business Administration and Finance

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covered bonds, bond risk premia, yield spreads

70.

Quantifying Risk in the Electricity Business: A RAROC-based Approach

Energy Economics, Vol. 29, No. 5, 2007
Posted: 24 Oct 2007
Svetlozar Rachev, Marcel Prokopczuk, Marcel Prokopczuk, Gero Schindlmayr and Stefan Trück
Texas Tech University, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, affiliation not provided to SSRN and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies

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Power Markets, Spot Market Prices, Load Contracts, Risk Management, RAROC

Other Papers (1)

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1.

How Aggregate Volatility-of-Volatility Affects Stock Returns

Review of Asset Pricing Studies, Vol. 8, No. 2, 2018
Posted: 23 Jun 2017 Last Revised: 01 May 2019
Fabian Hollstein, Marcel Prokopczuk and Marcel Prokopczuk
Saarland University and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management

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Aggregate economic uncertainty, stock market volatility-of-volatility, VVIX