Chardin Wese Simen

University of Liverpool Management School

Management School

University of Liverpool

Liverpool, L69 7ZH

United Kingdom

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 12,130

SSRN RANKINGS

Top 12,130

in Total Papers Downloads

5,022

SSRN CITATIONS
Rank 16,324

SSRN RANKINGS

Top 16,324

in Total Papers Citations

51

CROSSREF CITATIONS

18

Scholarly Papers (23)

1.

Variance Risk in Commodity Markets

Journal of Banking and Finance, Vol. 81, 2017
Number of pages: 46 Posted: 04 Jan 2013 Last Revised: 21 Mar 2019
Marcel Prokopczuk, Lazaros Symeonidis and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 1,106 (24,299)
Citation 20

Abstract:

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commodities, variance risk premia, variance swaps

2.

The Importance of the Volatility Risk Premium for Volatility Forecasting

Journal of Banking and Finance, Vol. 40, 2014
Number of pages: 50 Posted: 21 Mar 2013 Last Revised: 15 Jun 2014
Marcel Prokopczuk and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 554 (62,223)
Citation 9

Abstract:

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volatility forecasting, volatility risk premium, implied volatility

3.

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
Number of pages: 76 Posted: 14 Nov 2017 Last Revised: 18 Sep 2019
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 383 (96,934)
Citation 8

Abstract:

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Beta Estimation, Forecast Combinations, Forecast Adjustments

4.

The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas

Management Science (2020), Vol. 66(6), pp. 2474-2494
Number of pages: 52 Posted: 25 Mar 2019 Last Revised: 14 Jan 2021
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 321 (118,014)
Citation 3

Abstract:

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Beta estimation, conditional CAPM, high-frequency data

5.

What Makes the Market Jump?

Number of pages: 37 Posted: 14 Jun 2014 Last Revised: 29 Jan 2018
Marcel Prokopczuk and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 320 (118,408)
Citation 3

Abstract:

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Jumps, News, Intraday, S&P 500, VIX

6.

The Risk Premium of Gold

Journal of International Money and Finance, Forthcoming
Number of pages: 63 Posted: 22 Nov 2017 Last Revised: 22 Mar 2019
Duc Binh Benno Nguyen, Marcel Prokopczuk and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 300 (126,880)

Abstract:

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Jump Risk, Tail Risk, Safe Haven, Hedge, Gold

7.

Jump and Variance Risk Premia in the S&P 500

Journal of Banking and Finance, Vol. 69, 2016
Number of pages: 39 Posted: 02 Jul 2014 Last Revised: 22 Mar 2019
Maximilian Neumann, Marcel Prokopczuk and Chardin Wese Simen
Technische Universität München (TUM), Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 272 (140,530)
Citation 6

Abstract:

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Jump risk premia, Variance risk premia, S&P 500, Options, Markov Chain Monte Carlo

8.

Predictability in Commodity Markets: Evidence from More Than a Century

Journal of Commodity Markets, forthcoming
Number of pages: 51 Posted: 27 Apr 2020 Last Revised: 14 Jan 2021
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 183 (204,708)
Citation 1

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Commodities, Return Predictability, Derivatives Introduction, Business Cycle, Volatility Predictability

9.

Time-Variations in Commodity Price Jumps

Journal of Empirical Finance, Vol. 31, 2015
Number of pages: 32 Posted: 10 Aug 2013 Last Revised: 22 Mar 2019
Laszlo Diewald, Marcel Prokopczuk and Chardin Wese Simen
Technische Universität München (TUM), Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 176 (211,716)
Citation 2

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Commodities, Jump frequency, Seasonality, Markov Chain Monte Carlo

10.

Predicting the Equity Market with Option-Implied Variables

European Journal of Finance (2019), Vol. 25(10), pp. 937–965
Number of pages: 63 Posted: 22 Nov 2017 Last Revised: 18 Sep 2019
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 167 (221,436)
Citation 3

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Equity Premium, Option Implied Information, Portfolio Choice, Predictability, Timing Strategies

11.

Beta Uncertainty

Journal of Banking and Finance (2020), Vol. 116, 105834
Number of pages: 71 Posted: 14 May 2020 Last Revised: 14 Jan 2021
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 163 (226,006)
Citation 1

Abstract:

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Beta, CAPM, Disagreement, Ambiguity, Parameter Uncertainty

12.

The Predictive Power of the Dividend Risk Premium

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 65 Posted: 11 May 2019
Davide E. Avino, Andrei Stancu and Chardin Wese Simen
University of Liverpool, University of East Anglia (UEA) - Norwich Business School and University of Liverpool Management School
Downloads 141 (254,682)
Citation 1

Abstract:

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Dividend risk premium, dividend strip, predictability, present value model

13.

The Natural Gas Announcement Day Puzzle

The Energy Journal, Forthcoming
Number of pages: 23 Posted: 08 May 2020
Marcel Prokopczuk, Chardin Wese Simen and Robert Wichmann
Leibniz Universität Hannover - Faculty of Economics and Management, University of Liverpool Management School and ICMA Centre, University of Reading
Downloads 121 (286,003)

Abstract:

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Gas Markets, Announcement Effect, Storage News, Intraday

14.

International Tail Risk and World Fear

Journal of International Money and Finance, Vol. 93, 2019
Number of pages: 35 Posted: 27 Nov 2017 Last Revised: 17 Sep 2019
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 117 (292,905)
Citation 1

Abstract:

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Jump Risk, Tail Risk, International Stock Market Returns, Return Predictability, International Asset Pricing, Factor Models

15.

The Index Effect: Evidence from the Option Market

Number of pages: 53 Posted: 07 Jan 2021
Fabian Hollstein and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management and University of Liverpool Management School
Downloads 105 (315,778)

Abstract:

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G12, G11, G17

16.

The Dynamics of Commodity Return Comovements

Journal of Futures Markets, Forthcoming (2021)
Number of pages: 58 Posted: 08 May 2020 Last Revised: 30 Apr 2021
Marcel Prokopczuk, Chardin Wese Simen and Robert Wichmann
Leibniz Universität Hannover - Faculty of Economics and Management, University of Liverpool Management School and ICMA Centre, University of Reading
Downloads 98 (330,408)

Abstract:

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Commodity Markets, Comovement, Financialization, Factor Model

17.

The Information Content of Short-Term Options

Journal of Financial Markets, Forthcoming
Number of pages: 52 Posted: 16 Sep 2019 Last Revised: 19 Sep 2019
University of Reading - ICMA Centre, University of East Anglia (UEA) - Norwich Business School, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 87 (356,198)
Citation 1

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Implied variance, Predictability, Realized variance, Weekly options

18.

The Term Structure of Systematic and Idiosyncratic Risk

Journal of Futures Markets (2019), Vol. 39(4), pp. 435–460
Number of pages: 70 Posted: 14 Nov 2017 Last Revised: 18 Sep 2019
Fabian Hollstein, Marcel Prokopczuk and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 84 (363,910)
Citation 1

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Systematic risk, idiosyncratic risk, options, term structure, expectations hypothesis, model-free option implied variance, implied correlation

19.

Predicting the Equity Premium around the Globe: Comprehensive Evidence from a Large Sample

Number of pages: 62 Posted: 27 Apr 2020
Leibniz University Hannover - School of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover and University of Liverpool Management School
Downloads 77 (382,878)
Citation 1

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International equity premium, return predictability, market efficiency

20.

Financial Data Science: The Birth of a New Financial Research Paradigm Complementing Econometrics?

The European Journal of Finance, Forthcoming
Number of pages: 21 Posted: 14 May 2020
University of Reading - ICMA Centre, Smurfit Graduate Business School, University College Dublin, University of Stirling, Loughborough University and University of Liverpool Management School
Downloads 73 (394,528)
Citation 4

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Big Data, Econometrics, Financial Data Science, Statistical Relevance, Statistical Significance Levels

21.

Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets

Journal of Futures Markets, Vol. 36, No. 8, 2016
Number of pages: 81 Posted: 28 Aug 2015 Last Revised: 22 Mar 2019
Marcel Prokopczuk, Lazaros Symeonidis and Chardin Wese Simen
Leibniz Universität Hannover - Faculty of Economics and Management, Essex Business School, University of Essex and University of Liverpool Management School
Downloads 71 (400,671)
Citation 4

Abstract:

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Realized volatility, jumps, high-frequency data, volatility forecasting, forecast evaluation

22.

Variance Risk: A Bird's Eye View

Journal of Econometrics (2020), Vol. 215(2), pp. 517-535.
Number of pages: 77 Posted: 19 Sep 2019 Last Revised: 14 Jan 2021
Fabian Hollstein and Chardin Wese Simen
Leibniz University Hannover - School of Economics and Management and University of Liverpool Management School
Downloads 54 (458,986)
Citation 1

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Correlation Swaps, Return Predictability, Return Variation, Variance Swaps

23.

Significance, Relevance and Explainability in the Machine Learning Age: An Econometrics and Financial Data Science Perspective

Forthcoming, European Journal of Finance
Number of pages: 14 Posted: 15 Dec 2020
Smurfit Graduate Business School, University College Dublin, University of Stirling, Loughborough University and University of Liverpool Management School
Downloads 49 (478,825)

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explainability, explainable artificial intelligence (xai), neural networks, relevance, regressions, significance