Publications
- 2024
- E-pub ahead of print
Responsible investing: Upside potential and downside protection?
Gao, Y., Hoepner, A. G. F., Prokopczuk, M., Rouxelin, F. & Würsig, C. M., 15 Nov 2024, (E-pub ahead of print) In: International Review of Financial Analysis.Research output: Contribution to journal › Article › Research › peer review
- E-pub ahead of print
Predicting the equity premium around the globe: Comprehensive evidence from a large sample
Hollstein, F., Prokopczuk, M., Tharann, B. & Wese Simen, C., 8 Jun 2024, (E-pub ahead of print) In: International Journal of Forecasting. 41, 1, p. 208-228 21 p.Research output: Contribution to journal › Article › Research › peer review
- Published
Nonstandard Errors
Menkveld, A., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Razen, M., Weitzel, U., Abad, D., Abudy, M., Adrian, T., Ait-Sahalia, Y., Akmansoy, O., Alcock, J., Alexeev, V., Aloosh, A., Amato, L., Amaya, D., Angel, J., Bach, A., Baidoo, E., Bakalli, G., Barbon, A., Baschchenko, O., Bindra, P. C., Bjonnes, G. H., Black, J., Black, B. S., Bohorquez, S., Bondarenko, O., Bos, C. S., Bosch-Rosa, C., Bouri, E., Brownlees, C. T., Calamia, A., Cao, V. N., Capelle-Blancard, G., Capera, L., Caporin, M., Carrion, A., Caskurlu, T., Chakrabarty, B., Chernov, M., Cheung, W. M., Chincarini, L., Chordia, T., Chow, S. C., Clapham, B., Colliard, J., Comerton-Forde, C., Curran, E., Dao, T., Dare, W., Davies, R. J., De Blasis, R., De Nard, G., Declerck, F., Deev, O., Degryse, H., Deku, S., Desagre, C., van Dijk, M. A., Dim, C., Dimpfl, T., Dong, Y., Drummond, P., Dudda, T. L., Dumitrescu, A., Dyakov, T., Haubo Dyhrberg, A., Dzielinski, M., Eksi, A., El Kalak, I., ter Ellen, S., Eugster, N., Evans, M. D. D., Farrell, M., Felez-Vinas, E., Ferrara, G., Ferrouhi, E. M., Flori, A., Fluharty-Jaidee, J., Foley, S., Fong, K. Y. L., Foucault, T., Franus, T., Franzoni, F. A., Frijns, B., Frömmel, M., Fu, S., Füllbrunn, S., Gan, B., Gehrig, T., Gerritsen, D., Gil-Bazo, J., Glosten, L. R., Gomez, T., Gorbenko, A., Gücbilmez, U., Grammig, J., Gregoire, V., Hagströmer, B., Hambuckers, J., Hapnes, E., Harris, J. H., Harris, L., Hartmann, S., Hasse, J., Hautsch, N., He, X., Heath, D., Hediger, S., Hendershott, T., Hibbert, A. M., Hjalmarsson, E., Hoelscher, S. A., Hoffmann, P., Holden, C. W., Horenstein, A. R., Huang, W., Huang, D., Hurlin, C., Ivashchenko, A., Iyer, S. R., Jahanshahloo, H., Jalkh, N., Jones, C. M., Jurkatis, S., Jylha, P., Kaeck, A., Kaiser, G., Karam, A., Karmaziene, E., Kassner, B., Kaustia, M., Kazak, E., Kearney, F., van Kervel, V., Khan, S., Khomyn, M., Klein, T., Klein, O., Klos, A., Koetter, M., Krahnen, J. P., Kolokolov, A., Korajczyk, R. A., Kozhan, R., Kwan, A., Lajaunie, Q., Lambert, M., Langlois, H., Lausen, J., Lauter, T., Leippold, M., Levin, V., Li, Y., Li, M. H., Liew, C. Y., Lindner, T., Linton, O. B., Liu, J., Liu, A., Llorente, G., Loff, M., Lohr, A., Longstaff, F. A., Lopez-Lira, A., Mankad, S., Mano, N., Marchal, A., Martinaeu, C., Mazzola, F., Meloso, D., Mihet, R., Mohan, V., Moinas, S., Moore, D., Mu, L., Muravyev, D., Murphy, D., Neszveda, G., Neumeier, C., Nielsson, U., Nimalendran, M., Nolte, S., Norden, L. L., O'Neill, P., Obaid, K., Odegaard, B. A., Östberg, P., Painter, M., Palan, S., Palit, I., Park, A., Pascual, R., Pasquariello, P., Pastor, L., Patel, V., Patton, A. J., Pearson, N. D., Pelizzon, L., Pelster, M., Perignon, C., Pfiffer, C., Philip, R., Plihal, T., Prakash, P., Press, O., Prodromou, T., Prutnins, T. J., Raizada, G., Rakowski, D. A., Ranaldo, A., Regis, L., Reitz, S., Renault, T., Renjie, R. W., Reno, R., Riddiough, S., Rinne, K., Rintamäki, P., Riordan, R., Rittmannsberger, T., Rodriguez-Longarela, I., Rösch, D., Rognone, L., Roseman, B., Rosu, I., Roy, S., Rudolf, N., Rush, S., Rzayev, K., Rzeznik, A., Sanford, A., Sankaran, H., Sarkar, A., Sarno, L., Scaillet, O., Scharnowski, S., Schenk-Hoppe, K. R., Schertler, A., Schneider, M., Schroeder, F., Schuerhoff, N., Schuster, P., Schwarz, M. A., Seasholes, M. S., Seeger, N., Shachar, O., Shkilko, A., Shui, J., Sikic, M., Simion, G., Smales, L. A., Söderlind, P., Sojli, E., Sokolov, K., Spokeviciute, L., Stefanova, D., Subrahmanyam, M. G., Neusüss, S., Szaszi, B., Talavera, O., Tang, Y., Taylor, N., Tham, W. W., Theissen, E., Thimme, J., Tonks, I., Tran, H., Trapin, L., Trolle, A. B., Valente, G., Van Ness, R. A., Vasquez, A., Verousis, T., Verwijmeren, P., Vilhelmsson, A., Vilkov, G., Vladimirov, V., Vogel, S., Voigt, S., Wagner, W., Walther, T., Weiss, P., van der Wel, M., Werner, I. M., Westerholm, P. J., Westheide, C., Wipplinger, E., Wolf, M., Wolff, C. C. P., Wolk, L., Wong, W. K., Wrampelmeyer, J., Xia, S., Xiu, D., Xu, K., Xu, C., Yadav, P. K., Yagüe , J., Yan, C., Yang, A., Yoo, W., Yu, W., Yu, S., Yueshen, B. Z., Yuferova, D., Zamojski, M., Zareei, A., Zeisberger, S., Zhang, S. S., Zhang, X., Zhong, Z., Zhou, Z. I., Zhou, C., Zhu, S., Zoican, M., Zwinkels, R. C. J., Chen, J., Duevski, T., Gao, G., Gemayel, R., Gilder, D., Kuhle, P., Pagnotta, E., Pelli, M., Sönksen, J., Zhang, L., Ilczuk, K., Bogoev, D., Qian, Y., Wika, H. C., Yu, Y., Zhao, L., Mi, M., Bao, L., Vaduva, A., Prokopczuk, M., Avetikian, A. & Wu, Z., Jun 2024, In: Journal of Finance. p. 2339-2390 52 p.Research output: Contribution to journal › Article › Research › peer review
- Published
Market power and systematic risk
Hollstein, F., Prokopczuk, M. & Würsig, C. M., 7 May 2024, In: Financial Management. 53, 2, p. 233-266 34 p.Research output: Contribution to journal › Article › Research › peer review
- Published
Measuring Tail Risk
Dierkes, M., Hollstein, F., Prokopczuk, M. & Würsig, C. M., Apr 2024, In: Journal of Econometrics. 241, 2, 24 p., 105769.Research output: Contribution to journal › Article › Research › peer review
- Accepted/In press
Estimating Stock Market Betas via Machine Learning
Drobetz, W., Hollstein, F., Otto, T. & Prokopczuk, M., 2024, (Accepted/In press) In: Journal of Financial and Quantitative Analysis.Research output: Contribution to journal › Article › Research › peer review
- 2023
- Published
How Robust are Empirical Factor Models to the Choice of Breakpoints?
Hollstein, F., Prokopczuk, M. & Voigts, V., 8 Nov 2023, In: The Quarterly Journal of Finance. 13, 4, 2350011.Research output: Contribution to journal › Article › Research › peer review
- Published
Managing the Market Portfolio
Hollstein, F. & Prokopczuk, M., Jun 2023, In: Management Science. 69, 6, p. 3675-3696 22 p.Research output: Contribution to journal › Article › Research › peer review
- Published
Conscientiousness and Performance: The Influence of Personality on Investment Decisions
Lauter, T., Prokopczuk, M. & Trück, S., Mar 2023, In: The Journal of Wealth Management. 25, 4, p. 17-44 28 p.Research output: Contribution to journal › Article › Research › peer review
- Published
Which Factors for Corporate Bond Returns?
Dang, T. D., Hollstein, F. & Prokopczuk, M., 23 Feb 2023, In: Review of Asset Pricing Studies. 13, 4, p. 615-652 38 p.Research output: Contribution to journal › Article › Research › peer review
- Published
Commodity Tail Risks
Amman, M., Moerke, M., Prokopczuk, M. & Würsig, C. M., 7 Jan 2023, In: Journal of Futures Markets. 43, 2, p. 168-197 30 p.Research output: Contribution to journal › Article › Research › peer review
- Published
Essays on asset pricing factor models
Dang, T. D., 2023, Hannover. 217 p.Research output: Thesis › Doctoral thesis
- 2022
- Published
Measuring commodity market quality
Lauter, T. & Prokopczuk, M., Dec 2022, In: Journal of Banking and Finance. 145, 106658.Research output: Contribution to journal › Article › Research › peer review
- Published
Testing Factor Models in the Cross-Section
Hollstein, F. & Prokopczuk, M., Dec 2022, In: Journal of Banking and Finance. 145, 106626.Research output: Contribution to journal › Article › Research › peer review
- Published
Local, regional, or global asset pricing?
Hollstein, F., Feb 2022, In: Journal of Financial and Quantitative Analysis. 57, 1, p. 291-320 30 p.Research output: Contribution to journal › Article › Research › peer review
- Published
Volatility and Systematic Risks in Financial Markets
Würsig, C. M., 2022, Hannover. 292 p.Research output: Thesis › Doctoral thesis
- 2021
- Published
The Natural Gas Announcement Day Puzzle
Prokopczuk, M., Wese Simen, C. & Wichman, R., 25 Dec 2021, In: Energy Journal. 42, 2, p. 91-112Research output: Contribution to journal › Article › Research › peer review
- Published
Pricing analysis of wind power derivatives for renewable energy risk management
Kanamura, T., Homann, L. & Prokopczuk, M., 15 Dec 2021, In: Applied Energy. 304, 117827.Research output: Contribution to journal › Article › Research › peer review
- Published
Predictability in Commodity Markets: Evidence from More Than a Century
Hollstein, F., Prokopczuk, M., Tharann, B. & Wese Simen, C., Dec 2021, In: Journal of Commodity Markets. 24, 100171.Research output: Contribution to journal › Article › Research › peer review
- Published
Anomalies in Commodity Futures Markets
Hollstein, F., Prokopczuk, M. & Tharann, B., 6 Oct 2021, In: The Quarterly Journal of Finance. 11, 4, 43 p., 2150017.Research output: Contribution to journal › Article › Research › peer review