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Working Papers

 

Is Commodity Index Investing Profitable? (Link)
(T. Fethke and Marcel Prokopczuk)

Predictability in Commodity Markets: Evidence from more than a Century

(M. Prokopczuk, B. Tharann and C. Wese Simen)
accepted for presentation at:
- Swiss Society for Financial Market Research (SGF), Zurich, 2018
- Commodity and Energy Markets Association (CEMA) Annual Meeting, Oxford, 2017

The Risk Premium of Gold (Link)
(D.B.B. Nguyen, M. Prokopczuk and C. Wese Simen)
accepted for presentation at:
- Commodity and Energy Markets Association (CEMA) Annual Meeting, Oxford, 2017

The Long Memory of Equity Volatility: International Evidence (Link)
(D.B.B. Nguyen, M. Prokopczuk and P. Sibbertsen)

How to Estimate Beta?
(Link)
(F. Hollstein, M. Prokopczuk and C. Wese Simen)

International Tail Risk and World Fear
(Link)
(D.B.B. Nguyen, M. Prokopczuk and C. Wese Simen)
accepted for presentation at:
- 53rd Annual Meeting of the Eastern Finance Association (EFA), Jacksonville, 2017
- 66th Annual Meeting of the Midwest Finance Association (MFA), Chicago, 2017

Predicting the Equity Market with Option Implied Variables (Link)
(M. Prokopczuk, B. Tharann and C. Wese Simen)
accepted for presentation at:
- Financial Markets Association (FMA) Annual Meeting, Boston, 2017

The Memory of Stock Return Volatility: Asset Pricing Implications (Link)
(D.B.B. Nguyen, M. Prokopczuk and P. Sibbertsen)
accepted for presentation at:
- 24th Annual Meeting of the German Finance Association (DGF), Ulm, 2017
- Auckland Finance Meeting (ACFR), Queenstown, 2017

What Makes the Market Jump? (Link)
(M. Prokopczuk and C. Wese Simen)
accepted for presentation at:
- FIRN Meeting, Uluru, 2017
- European Finance Association, Oslo, 2016
- World Finance Conference, New York, 2016
- British Accounting and Finance Association (BAFA), Bath, 2016
- German Finance Association, Leipzig, 2015
- World Congress of the Econometric Society, Montreal, 2015
- Society of Financial Econometrics Conference, Aarhus, 2015
- Annual Conference of the Royal Economic Society, Manchester, 2015
- Financial Management Association (FMA), Nashville, 2014
- Northern Finance Association (NFA), Ottawa, 2014
- French Finance Association, Aix-en-Provence, 2014

The Determinants of Convenience Yields (Link)
(M. Prokopczuk and Y. Wu)
accepted for presentation at:
- International Conference on Computational and Financial Econometrics, London, 2015
- Eastern Finance Association, Pittsburg, 2014
- Conference on Energy and Commodity Finance, Oslo, 2013
- International Conference on Futures and other Derivatives Markets, Beijing, 2013

Electricity Spot and Derivatives Pricing when Markets are Interconnected (Link)
(R. Füss, S. Mahringer and M. Prokopczuk)
accepted for presentation at:
- EURO Working Group Commodities and Financial Modelling, Ankara, Turkey, 2015
- SIRE Conference on Finance and Commodities, St. Andrews, 2013

On the Economic Sources of Commodity Market Volatility
(M. Prokopczuk and L. Symeonidis)
accepted for presentation at:
- Energy and Commoditiy Finance Conference, Cergy, 2016
- World Finance Conference, New York, 2016
- FMA Annual Meeting, Chicago, 2013
- Financial Management Association (FMA), European Meeting, Luxembourg, 2013
- FDIC Conference on Risk Management and Derivatives, Arlington, 2013
- World Finance Conference, Cyprus, 2013

Commodity Forward Curve Dynamics with Inventory Information (Link)
(M. Prokopczuk and S. Vicedom)
accepted for presentation at:
- World Finance Conference, New York, 2016
- German Finance Association, Leipzig, 2015
- Commodity Markets Workshop, Oslo, 2015
- Financial Management Association (FMA), Orlando, 2015
- International Finance and Banking Society (IFABS), Hangzhou, 2015
- French Finance Association, Cergy, 2015

Rising and Volatile Food Prices: Are Index Fund Investors to Blame? (Link)
(M. Prokopczuk, L. Symeonidis and T. Verlaat)

Systemic Risk: Is the Banking Sector Special? (Link)
(M. Prokopczuk and W. Bühler)
accepted for presentation at:
- German Finance Association, Dresden, 2007
- German Economic Association, Munich, 2007
- Australasian Finance & Banking Conference, 2007