2024
Asimakopoulos, S., Simen, C. W., & Vivian, A. (2024). Sustainable finance and governance: an overview. The European Journal of Finance, 30(7), 669-672. doi:10.1080/1351847x.2023.2251532DOI: 10.1080/1351847x.2023.2251532
Hollstein, F., Prokopczuk, M., Tharann, B., & Wese Simen, C. (2024). Predicting the equity premium around the globe: Comprehensive evidence from a large sample. International Journal of Forecasting. doi:10.1016/j.ijforecast.2024.05.002DOI: 10.1016/j.ijforecast.2024.05.002
2023
Prokopczuk, M., Symeonidis, L., Simen, C. W., & Wichmann, R. (2023). Convenience yield risk. ENERGY ECONOMICS, 120. doi:10.1016/j.eneco.2023.106536DOI: 10.1016/j.eneco.2023.106536
2021
Avino, D. E., Stancu, A., & Wese Simen, C. (n.d.). The Predictive Power of the Dividend Risk Premium. Journal of Financial and Quantitative Analysis. doi:10.1017/S0022109020000733DOI: 10.1017/S0022109020000733
Prokopczuk, M., Wese Simen, C., & Wichmann, R. (2021). The dynamics of commodity return comovements. JOURNAL OF FUTURES MARKETS, 41(10), 1597-1617. doi:10.1002/fut.22222DOI: 10.1002/fut.22222
Avino, D. E., Stancu, A., & Wese Simen, C. (2021). Dissecting Macroeconomic News. Journal of Money, Credit and Banking.
Hoepner, A. G. F., McMillan, D., Vivian, A., & Wese Simen, C. (2021). Significance, relevance and explainability in the machine learning age: an econometrics and financial data science perspective. EUROPEAN JOURNAL OF FINANCE, 27(1-2), 1-7. doi:10.1080/1351847X.2020.1847725DOI: 10.1080/1351847X.2020.1847725
Hollstein, F., Prokopczuk, M., Tharann, B., & Simen, C. W. (2021). Predictability in commodity markets: Evidence from more than a century. JOURNAL OF COMMODITY MARKETS, 24. doi:10.1016/j.jcomm.2021.100171DOI: 10.1016/j.jcomm.2021.100171
Prokopczuk, M., Simen, C. W., & Wichmann, R. (2021). The Natural Gas Announcement Day Puzzle. The Energy Journal, 42(2), 91-112. doi:10.5547/01956574.42.2.mproDOI: 10.5547/01956574.42.2.mpro
2020
The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas (Journal article)
Hollstein, F., Prokopczuk, M., & Wese Simen, C. (2020). The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas. Management Science, 66(6), 2291-2799. doi:10.1287/mnsc.2019.3317DOI: 10.1287/mnsc.2019.3317
Hollstein, F., Prokopczuk, M., & Wese Simen, C. (2020). Beta Uncertainty. Journal of Banking and Finance. doi:10.1016/j.jbankfin.2020.105834DOI: 10.1016/j.jbankfin.2020.105834
Paschke, R., Prokopczuk, M., & Wese Simen, C. (2020). Curve momentum. Journal of Banking & Finance, 113, 105718. doi:10.1016/j.jbankfin.2019.105718DOI: 10.1016/j.jbankfin.2019.105718
Hollstein, F., & Wese Simen, C. (2020). Variance Risk: A Bird's Eye View. Journal of Econometrics, 215(2), 517-535. doi:10.1016/j.jeconom.2019.09.006DOI: 10.1016/j.jeconom.2019.09.006
2019
Brooks, C., Hoepner, A. G. F., McMillan, D., Vivian, A., & Wese Simen, C. (2019). Financial data science: the birth of a new financial research paradigm complementing econometrics?. EUROPEAN JOURNAL OF FINANCE, 25(17), 1627-1636. doi:10.1080/1351847X.2019.1662822DOI: 10.1080/1351847X.2019.1662822
Oikonomou, I., Stancu, A., Symeonidis, L., & Wese Simen, C. (2019). The Information Content of Short-Term Options. Journal of Financial Markets, 46. doi:10.1016/j.finmar.2019.07.003DOI: 10.1016/j.finmar.2019.07.003
Predicting the equity market with option-implied variables (Journal article)
Hollstein, F., Prokopczuk, M., Tharann, B., & Simen, C. W. (2019). Predicting the equity market with option-implied variables. EUROPEAN JOURNAL OF FINANCE, 25(10), 937-965. doi:10.1080/1351847X.2018.1556176DOI: 10.1080/1351847X.2018.1556176
Hollstein, F., Prokopczuk, M., & Wese Simen, C. (2019). Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section. Journal of Financial Markets, 44, 91-118. doi:10.1016/j.finmar.2019.03.001DOI: 10.1016/j.finmar.2019.03.001
Nguyen, D. B. B., Prokopczuk, M., & Wese Simen, C. (2019). The risk premium of gold. Journal of International Money and Finance, 94, 140-159. doi:10.1016/j.jimonfin.2019.02.011DOI: 10.1016/j.jimonfin.2019.02.011
Hollstein, F., Nguyen, D. B. B., Prokopczuk, M., & Wese Simen, C. (2019). International tail risk and World Fear. Journal of International Money and Finance, 93, 244-259. doi:10.1016/j.jimonfin.2019.01.004DOI: 10.1016/j.jimonfin.2019.01.004
Hollstein, F., Prokopczuk, M., & Wese Simen, C. (2019). The term structure of systematic and idiosyncratic risk. JOURNAL OF FUTURES MARKETS, 39(4), 435-460. doi:10.1002/fut.21985DOI: 10.1002/fut.21985
2017
Prokopczuk, M., Symeonidis, L., & Simen, C. W. (2017). Variance Risk in Commodity Markets. Journal of Banking and Finance, 81, 136-149. doi:10.1016/j.jbankfin.2017.05.003DOI: 10.1016/j.jbankfin.2017.05.003
2016
Prokopczuk, M., Symeonidis, L., & Wese Simen, C. (2016). Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets. Journal of Futures Markets, 36(8), 758-792. doi:10.1002/fut.21759DOI: 10.1002/fut.21759
Neumann, M., Prokopczuk, M., & Simen, C. W. (2016). Jump and variance risk premia in the S&P 500. JOURNAL OF BANKING & FINANCE, 69, 72-83. doi:10.1016/j.jbankfin.2016.03.013DOI: 10.1016/j.jbankfin.2016.03.013
2015
Diewald, L., Prokopczuk, M., & Simen, C. W. (2015). Time-variations in commodity price jumps. JOURNAL OF EMPIRICAL FINANCE, 31, 72-84. doi:10.1016/j.jempfin.2015.02.004DOI: 10.1016/j.jempfin.2015.02.004
2014
Prokopczuk, M., & Wese, S. C. (2014). The Importance of the Volatility Risk Premium for Volatility Forecasting. Journal of Banking and Finance, 40, 303-320.
