Forschung
Publikationen

Publikationen

PUBLIKATIONEN IN REFERIERTEN FACHJOURNALEN

41. F. Hollstein, M. Prokopczuk, & C. Wese Simen: The Conditional CAPM Revisited: Evidence from High-Frequency Betas
Management Science, forthcoming (Link)
40. D.B.B. Nguyen, M. Prokopczuk, & P. Sibbertsen: The Memory of Stock Return Volatility: Asset Pricing Implications
Journal of Financial Markets, forthcoming (Link)
39. D.B.B. Nguyen, M. Prokopczuk & C. Wese Simen: The Risk Premium of Gold
Journal of International Money and Finance, forthcoming (Link)
38. F. Hollstein, M. Prokopczuk, & C. Wese Simen: 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 (Link)
37.F. Hollstein , D.B.B. Nguyen, & M. Prokopczuk: Asset Prices and "the Devil(s) You Know"
Journal of Banking and Finance (2019), Vol. 105, pp. 20–35 (Link)
36. F. D'Acunto, M. Prokopczuk, & Michael Weber: Historical Antisemitism, Ethnic Specialization, and Financial Development
Review of Economic Studies (2019), Vol. 86(3), pp.  1170–1206 (Link)
35.F. Hollstein, M. Prokopczuk, B. Tharann, & C. Wese Simen: Predicting the Equity Market with Option-Implied Variables
European Journal of Finance (2019), Vol. 25(10), pp. 937–965 (Link)
34. D.B.B. Nguyen, & M. Prokopczuk: Jumps in commodity markets
Journal of Commodity Markets (2019), Vol. 13, pp. 55-70 (Link)
33. F. Hollstein, M. Prokopczuk, & C. Wese Simen: The Term-Structure of Systematic and Idiosyncratic Risk
Journal of Futures Markets (2019), Vol. 39(4), pp. 435–460 (Link)
32. F. Hollstein, D.B.B. Nguyen, M. Prokopczuk, & C. Wese Simen: International Tail Risk and World Fear
Journal of International Money and Finance (2019), Vol. 93, pp. 244–259 (Link)
31. T. Fethke, & M.Prokopczuk: Is Commodity Index Investing Profitable?
The Journal of Index Investing (2018), Vol. 9 (3), pp.37-71 (Link)
30. F. Hollstein & M. Prokopczuk: How Aggregate Volatility-of-Volatility Affects Stock Returns
Review of Asset Pricing Studies (2018), Vol. 8(2), pp. 253–292 (Link)
29. M. Prokopczuk, L. Symeonidis, & C. Wese Simen: Variance Risk in Commodity Markets
Journal of Banking & Finance (2017), Vol. 81, pp. 136-149 (Link)
28. J. Arismendi, & M. Prokopczuk: A Moment Based Analytic Approximation of the Risk-neutral Density of American Options
Applied Mathematical Finance (2016), Vol. 23(6), pp. 409-444 (Link)
27. L. I. Hagfors, H. H. Kamperud, F. Paraschiv, M. Prokopczuk, A. Sator, & S. Westgaard: Prediction of Extreme Price Occurences in the German Day-Ahead Electricity Market
Quantitative Finance (2016), Vol. 16(12), pp. 1929-1948 (Link)
26. F. Hollstein, & M. Prokopczuk: Estimating Beta
Journal of Financial and Quantitative Analysis (2016), Vol. 51(4), pp. 1437–1466 (Link)
25. M. Neumann, M. Prokopczuk, & C. Wese Simen: Jump and Variance Risk Premia in the S&P 500
Journal of Banking and Finance (2016), Vol. 69, pp. 72-83 (Link)
24. M. Prokopczuk, L. Symeonidis, & C. Wese Simen: Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets
Journal of Futures Markets (2016), Vol. 36(8), pp. 758-792 (Link)
23. J. Arismendi, J. Back, R. Paschke, M. Prokopczuk, & M. Rudolf: Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options
Journal of Banking and Finance (2016), Vol. 66, pp. 53-65 (Link)
22. C. Brooks, M. Prokopczuk, & Y. Wu: Booms and Busts in Commodity Markets: Bubbles or Fundamentals?
Journal of Futures Markets (2015), Vol. 35(10), pp. 916-938 (Link)
21. S. Mahringer, & M. Prokopczuk: An Empirical Model Comparison for Valuing Crack Spread Options
Energy Economics (2015), Vol. 51, pp. 177-187 (Link)
20. R. Füss, S. Mahringer, & M. Prokopczuk: Electricity Derivatives Pricing with Forward-Looking Information
Journal of Economic Dynamics and Control (2015), Vol. 58, pp. 34-57 (Link)
19. L. Diewald, M. Prokopczuk, & C. Wese Simen: Time-Variations in Commodity Price Jumps
Journal of Empirical Finance (2015), Vol 31, pp. 72-84 (Link)
18. M. Prokopczuk, & C. Wese Simen: The Importance of the Volatility Risk Premium for Volatility Forecasting
Journal of Banking and Finance (2014), Vol 40, pp. 303-320 (Link)
17. J. Back, & M. Prokopczuk: Commodity Price Dynamics and Derivatives Valuation: A Review
International Journal of Theoretical and Applied Finance (2013), Vol 16(6), pp. 1-30 (Link)
16. C. Brooks, & M. Prokopczuk: The Dynamics of Commodity Prices
Quantitative Finance (2013), Vol 13(4), pp. 527-542 (Link)
15. M. Prokopczuk, J. Siewert, & V. Vonhoff: Credit Risk in Covered Bonds
Journal of Empirical Finance (2013), Vol. 21(1), pp. 102-120 (Link)
14. J. Back, M. Prokopczuk, & M. Rudolf: Seasonality and the Valuation of Commodity Options
Journal of Banking and Finance (2013), Vol. 37(2), pp. 273-290 (Link)
13. C. Alexander, M. Prokopczuk, & A. Sumawong: The (De)Merits of Minimum-Variance Hedging: Application to the Crack Spread
Energy Economics (2013), Vol. 36(1), pp. 698-707 (Link)
12. C. Brooks, M. Prokopczuk, & Y. Wu: Commodity Futures Prices: More Evidence on Forecast Power, Risk Premia and the Theory of Storage
Quarterly Review of Economics and Finance (2013), Vol. 53(1), pp. 73-85 (Link)
11. A. Gamba, E. Fanone, & M. Prokopczuk: The Case of Negative Day-ahead Electricity Prices
Energy Economics (2013), Vol. 35(1), pp. 22-34 (Link)
10. M. Prokopczuk, & V. Vonhoff: Risk Premia in Covered Bond Markets
Journal of Fixed Income (2012), Vol. 22(2), pp. 19-29 (Link)
9. L. Symeonidis, M. Prokopczuk, C. Brooks, & E. Lazar: Futures Basis, Inventory and Commodity Price Volatility: An Empirical Analysis
Economic Modelling (2012), Vol. 29(6), pp. 2651-2663 (Link)
8. R. Paschke, & M. Prokopczuk: Investing in Commodity Futures Markets: Can Pricing Models Help?
European Journal of Finance (2012), Vol. 18(1), pp. 59-87 (Link)
7. M. Weber, & M. Prokopczuk: American Option Valuation: Implied Calibration of GARCH Pricing Models
Journal of Futures Markets (2011), Vol. 31(10), pp. 971-994 (Link)
6. M. Prokopczuk: Optimal Portfolio Choice in the Presence of Domestic Systemic Risk: Empirical Evidence from Stock Markets
Decisions in Economics and Finance (2011), Vol. 34(2), pp. 141-168 (Link)
5. M. Prokopczuk: Pricing and Hedging in the Freight Futures Market
Journal of Futures Markets (2011), Vol. 31(5), pp. 440-464 (Link)
4. M. Prokopczuk: Intra-Industry Contagion Effects of Earnings Surprises in the Banking Sector
Applied Financial Economics (2010), Vol. 20(20), pp. 1601-1613 (Link)
3. R. Paschke, & M. Prokopczuk: Commodity Derivatives Valuation with Autoregressive and Moving Average Components in the Price Dynamics
Journal of Banking and Finance (2010), Vol. 34(11), pp. 2741-2752 (Link)
2. R. Paschke, & M. Prokopczuk: Integrating Multiple Commodities in a Model of Stochastic Price Dynamics
Journal of Energy Markets (2009), Vol. 2(3), pp. 47-82 (Link)
1. M. Prokopczuk, S.T. Rachev, G. Schindlmayr, & S. Trueck: Quantifying Risk in the Electricity Business: A RAROC-based Approach
Energy Economics (2007), Vol. 29(5), pp. 1033-1049 (Link)

BÜCHER

2. M. Prokopczuk (Editor): Energy Pricing Models: Recent Advances, Methods, and Tools
Palgrave Macmillan, New York, 2014 (Link)
1. A. Bell, C. Brooks, & M. Prokopczuk (Editors): Handbook of Research Methods and Applications in Empirical Finance
Edward Elgar, 2013 (Link)

KAPITEL IN BÜCHERN

2. M. Prokopczuk, & Y. Wu: Estimating Term Structure Models with the Kalman Filter
In: C. Brooks, A. Bell and M. Prokopczuk (Eds.), Handbook of Research Methods and Applications in Empirical Finance (2013), Edward Elgar
(with Y. Wu)  (Link)
1. M. Prokopczuk: Are Banks’ Earnings Surprises Contagious?
In: R. Kolb (Hrsg.), Financial Contagion: The Viral Threat to the Wealth of Nations (2011), Wiley (Link)