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Prof. Dr.  Marcel Prokopczuk

https://orcid.org/0000-0003-4886-2729
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Publications

  1. 2021
  2. Published

    The memory of beta

    Becker, J., Hollstein, F., Prokopczuk, M. & Sibbertsen, P., Mar 2021, In: Journal of Banking and Finance. 124, 106026.

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

  3. 2020
  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

    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

  13. 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

  14. 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

  15. 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

  16. Historical antisemitism, ethnic specialization, and financial development

    D’Acunto, F., Prokopczuk, M. & Weber, M., 1 May 2019, In: Review of Economic Studies. 86, 3, p. 1170-1206 37 p.

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

  17. Published

    International tail risk and World Fear

    Hollstein, F., Nguyen, D. B. B., Prokopczuk, M. & Wese Simen, C., May 2019, In: Journal of International Money and Finance. 93, p. 244-259 16 p.

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

  18. Published

    The term structure of systematic and idiosyncratic risk

    Hollstein, F., Prokopczuk, M. & Wese Simen, C., 4 Mar 2019, In: Journal of Futures Markets. 39, 4, p. 435-460 26 p.

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

  19. 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

  20. Published

    Predicting the equity market with option-implied variables

    Hollstein, F., Prokopczuk, M., Tharann, B. & Wese Simen, C., 2019, In: European Journal of Finance. 25, 10, p. 937-965 29 p.

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

  21. 2018

  22. How aggregate volatility-of-volatility affects stock returns

    Hollstein, F. & Prokopczuk, M., 1 Dec 2018, In: Review of Asset Pricing Studies. 8, 2, p. 253-292 40 p.

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

  23. 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

  24. 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

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