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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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Publications

  1. 2024
  2. 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 journalArticleResearchpeer review

  3. 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 journalArticleResearchpeer review

  4. 2023
  5. 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 journalArticleResearchpeer review

  6. 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 journalArticleResearchpeer review

  7. 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 journalArticleResearchpeer review

  8. Accepted/In press

    Non-Standard 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., 14 Feb 2023, (Accepted/In press) In: Journal of Finance.

    Research output: Contribution to journalArticleResearchpeer review

  9. 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 journalArticleResearchpeer review

  10. 2022
  11. Published

    Measuring commodity market quality

    Lauter, T. & Prokopczuk, M., Dec 2022, In: Journal of Banking and Finance. 145, 106658.

    Research output: Contribution to journalArticleResearchpeer review

  12. 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 journalArticleResearchpeer review

  13. 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 journalArticleResearchpeer review

  14. Published

    Volatility and Systematic Risks in Financial Markets

    Würsig, C. M., 2022, Hannover. 292 p.

    Research output: ThesisDoctoral thesis

  15. 2021
  16. Published

    The Natural Gas Announcement Day Puzzle

    Prokopczuk, M., Wese Simen, C. & Wichman, R., 25 Dec 2021, In: Energy Journal. 42, 2, p. 91-112

    Research output: Contribution to journalArticleResearchpeer review

  17. 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 journalArticleResearchpeer review

  18. 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 journalArticleResearchpeer review

  19. 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 journalArticleResearchpeer review

  20. Published

    The dynamics of commodity return comovements

    Prokopczuk, M., Wese Simen, C. & Wichmann, R., 17 Sept 2021, In: Journal of Futures Markets. 41, 10, p. 1597-1617 21 p.

    Research output: Contribution to journalArticleResearchpeer review

  21. 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 journalArticleResearchpeer review

  22. E-pub ahead of print

    Measuring Tail Risk

    Dierkes, M., Hollstein, F., Prokopczuk, M. & Würsig, C. M., 23 Feb 2021, (E-pub ahead of print) 96 p. (SSRN Electronic Journal).

    Research output: Working paper/PreprintWorking paper/Discussion paper

  23. E-pub ahead of print

    How Robust are Empirical Factor Models to the Choice of Breakpoints?

    Hollstein, F., Prokopczuk, M. & Voigts, V., 2021, (E-pub ahead of print) In: The Quarterly Journal of Finance.

    Research output: Contribution to journalArticleResearchpeer review

  24. 2020
  25. Published

    Estimating Beta: The International Evidence

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

    Research output: Contribution to journalArticleResearchpeer review

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