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Hollstein, Fabian; Nguyen, Duc Binh Benno; Prokopczuk, … - In: Journal of international money and finance 93 (2019), pp. 244-259

Persistent link: https://www.econbiz.de/10012138644

International tail risk and world fear

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

Persistent link: https://www.econbiz.de/10011751251

Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets

Prokopczuk, Marcel - 2019

This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecasting. Using high-frequency data on four prominent energy markets, we perform a model-free decomposition of realized variance into its continuous and discontinuous components. We find strong...

Persistent link: https://www.econbiz.de/10012904046

Tail risk and long memory in financial markets

Nguyen, Duc Binh Benno - 2018

Persistent link: https://www.econbiz.de/10012173996

The importance of the volatility risk premium for volatility forecasting

Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 40 (2014), pp. 303-320

Persistent link: https://www.econbiz.de/10010402181

Predictability in commodity markets : evidence from more than a century

Hollstein, Fabian; Prokopczuk, Marcel; Tharann, Björn; … - In: Journal of commodity markets 24 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013392396

Essays on financial time series with a focus on high-frequency data

Becker, Janis - 2020

Persistent link: https://www.econbiz.de/10012225306

Volatility and systematic risks in financial markets

Würsig, Christoph Matthias - 2022

Persistent link: https://www.econbiz.de/10013256100

Do jumps matter for volatility forecasting? : evidence from energy markets

Prokopczuk, Marcel; Symeonidis, Lazaros; Wese Simen, Chardin - In: The journal of futures markets 36 (2016) 8, pp. 758-792

Persistent link: https://www.econbiz.de/10011568562

The long memory of equity volatility : international evidence

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, … - 2017

This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in eighty-two countries and that the degree of memory can be related to macroeconomic variables such as inflation, unemployment rates, interest rates or stability of a...

Persistent link: https://www.econbiz.de/10011750751