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Institute of Finance and Commodity Markets

Organisational unit: Institute

Type of address: Visitor address.
Königsworther Platz 1
30167
Hannover
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21 - 40 out of 53Page size: 20

Publications

  1. 2020
  2. Published

    Estimating Beta: The International Evidence

    Hollstein, F., Dec 2020, In: Journal of Banking and Finance. 121, 105968.

    Research output: Contribution to journal › Article › Research › peer review

  3. Published

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

    Hollstein, F., Prokopczuk, M., Tharann, B. & Wese Simen, C., 22 Aug 2020, In: SSRN Electronic Journal. 62 p.

    Research output: Contribution to journal › Article › Research

  4. Published

    Economic Determinants of Oil Futures Volatility: A Term Structure Perspective

    Kang, B., Nikitopoulos, C. S. & Prokopczuk, M., May 2020, In: Energy Economics. 88, 46 p., 104743.

    Research output: Contribution to journal › Article › Research › peer review

  5. Published

    Beta uncertainty

    Hollstein, F., Prokopczuk, M. & Wese Simen, C., 27 Apr 2020, In: Journal of Banking and Finance. 116, 105834.

    Research output: Contribution to journal › Article › Research › peer review

  6. Published

    Curve momentum

    Paschke, R., Prokopczuk, M. & Wese Simen, C., Apr 2020, In: Journal of Banking and Finance. 113, 105718.

    Research output: Contribution to journal › Article › Research › peer review

  7. Published

    Volatility term structures in commodity markets

    Hollstein, F., Prokopczuk, M. & Würsig, C., 3 Mar 2020, In: Journal of Futures Markets. 40, 4, p. 527-555 29 p.

    Research output: Contribution to journal › Article › Research › peer review

  8. Published

    The conditional capital asset pricing model revisited: evidence from high-frequency betas

    Hollstein, F., Prokopczuk, M. & Wese Simen, C., 22 Jan 2020, In: Management Science. 66, 6, p. 2474-2494 21 p.

    Research output: Contribution to journal › Article › Research › peer review

  9. Published

    The memory of stock return volatility: Asset pricing implications

    Nguyen, D. B. B., Prokopczuk, M. & Sibbertsen, P., Jan 2020, In: Journal of Financial Markets. 47, 100487.

    Research output: Contribution to journal › Article › Research › peer review

  10. Published

    Electricity market coupling in europe: Status quo and future challenges

    Füss, R., Mahringer, S. & Prokopczuk, M., 2020, Handbook of energy finance: Theories, practices and simulations. New Jersey: World Scientific, p. 93-120 28 p.

    Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research

  11. 2019
  12. Published

    Variance risk: A bird's eye view

    Hollstein, F. & Wese Simen, C., 23 Nov 2019, In: Journal of Econometrics. 215, 2, p. 517-535 19 p.

    Research output: Contribution to journal › Article › Research › peer review

  13. Published

    The economic drivers of commodity market volatility

    Prokopczuk, M., Stancu, A. & Symeonidis, L., Nov 2019, In: Journal of International Money and Finance. 98, 102063.

    Research output: Contribution to journal › Article › Research › peer review

  14. Published

    Asset prices and “the devil(s) you know”

    Hollstein, F., Nguyen, D. B. B. & Prokopczuk, M., Aug 2019, In: Journal of Banking and Finance. 105, p. 20-35 16 p.

    Research output: Contribution to journal › Article › Research › peer review

  15. Published

    Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section

    Hollstein, F., Prokopczuk, M. & Wese Simen, C., Jun 2019, In: Journal of Financial Markets. 44, p. 91-118 28 p.

    Research output: Contribution to journal › Article › Research › peer review

  16. Published

    The risk premium of gold

    Nguyen, D. B. B., Prokopczuk, M. & Wese Simen, C., Jun 2019, In: Journal of International Money and Finance. 94, p. 140-159 20 p.

    Research output: Contribution to journal › Article › Research › peer review

  17. Published

    Jumps in commodity markets

    Nguyen, D. B. B. & Prokopczuk, M., Mar 2019, In: Journal of Commodity Markets. 13, p. 55-70 16 p.

    Research output: Contribution to journal › Article › Research › peer review

  18. Published

    Predictability and anomalies in equity and commodity markets

    Tharann, B., 2019, Hannover. 398 p.

    Research output: Thesis › Doctoral thesis

  19. 2018
  20. Published

    Is Commodity Index Investing Profitable?

    Prokopczuk, M. & Fethke, T., Dec 2018, In: Journal of Index Investing. 9, 3, p. 37-71 35 p.

    Research output: Contribution to journal › Article › Research › peer review

  21. Published

    Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance

    Roncoroni, A., Prokopczuk, M. & Ronn, E. I., Oct 2018, In: Journal of Banking and Finance. 95, p. 1-4 4 p.

    Research output: Contribution to journal › Editorial in journal › Research

  22. Published

    Tail risk and long memory in financial markets

    Nguyen, D. B. B., 2018, Hannover.

    Research output: Thesis › Doctoral thesis

  23. 2017
  24. Published

    The long memory of equity volatility: international evidence

    Nguyen, D. B. B., Prokopczuk, M. & Sibbertsen, P., 2017, [Hannover], (Hannover economic papers (HEP); vol. Nummer: 614 (Nov 2017)).

    Research output: Working paper/Preprint › Working paper/Discussion paper

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