Specialisms
Marcel is a Professor of Finance at Leibniz University Hannover and Visiting Professor of Finance at the ICMA Centre, Henley Business School.
He holds a PhD in Finance from the University of Mannheim, Germany and previously graduated from the University of Karlsruhe, Germany with a MSc in Business Engineering. He is a CFA charterholder and holder of the Professional Risk Manager (PRM) designation. Marcel’s main research interests are commodity markets, derivatives, and risk management.
Reference: Dierkes, M., Hollstein, F., Prokopczuk, M. and Würsig, C. M. (2024) Measuring tail risk. Journal of Econometrics, 241 (2). 105769. ISSN 1872-6895 doi: https://doi.org/10.1016/j.jeconom.2024.105769
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Drobetz, W., Hollstein, F., Otto, T. and Prokopczuk, M. (2024) Estimating stock market betas via machine learning. Journal of Financial and Quantitative Analysis. ISSN 1756-6916 doi: https://doi.org/10.1017/S0022109024000036
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Hollstein, F., Prokopczuk, M. and Würsig, C. M. (2023) Market power and systematic risk. Financial Management. ISSN 1755-053X doi: https://doi.org/10.1111/fima.12438
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Prokopczuk, M. , Symeonidis, L., Wese Simen, C. and Wichmann, R. (2023) Convenience yield risk. Energy Economics, 120. 106536. ISSN 1873-6181 doi: https://doi.org/10.1016/j.eneco.2023.106536
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Brooks, C. and Prokopczuk, M. (2022) The dynamics of commodity prices. In: Dempster, M. A. H. and Tang, K. (eds.) Commodities: second edition. Chapman and Hall/CRC, Oxon, pp. 389-398, 864 pages. ISBN 9781032208176 doi: https://doi.org/10.1201/9781003265399-22
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Dang, T. D., Hollstein, F. and Prokopczuk, M. (2023) Which factors for corporate bond returns? The Review of Asset Pricing Studies, 13 (4). pp. 615-652. ISSN 2045-9939 doi: https://doi.org/10.1093/rapstu/raad005
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Ammann, M., Moerke, M., Prokopczuk, M. and Würsig, C. M. (2023) Commodity tail risks. Journal of Futures Markets, 43 (2). pp. 168-197. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.22381
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Hollstein, F. and Prokopczuk, M. (2022) Testing factor models in the cross-section. Journal of Banking and Finance, 145. 106626. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2022.106626
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Dang, T. D., Hollstein, F. and Prokopczuk, M. (2022) How do corporate bond investors measure performance? Evidence from mutual fund flows. Journal of Banking & Finance, 142. 106553. ISSN 03784266 doi: https://doi.org/10.1016/j.jbankfin.2022.106553
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Hollstein, F. and Prokopczuk, M. (2023) Managing the market portfolio. Management Science, 69 (6). pp. 3157-3758. ISSN 1526-5501 doi: https://doi.org/10.1287/mnsc.2022.4459
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Dang, T. D., Hollstein, F. and Prokopczuk, M. (2022) How do corporate bond investors measure performance? Evidence from mutual fund flows. Journal of Banking and Finance, 142. 106553. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2022.106553
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Hollstein, F., Prokopczuk, M. and Tharann, B. (2021) Anomalies in commodity futures markets. Quarterly Journal of Finance, 11 (4). 2150017. ISSN 2010-1392 doi: https://doi.org/10.1142/S2010139221500178
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Kanamura, T., Homann, L. and Prokopczuk, M. (2021) Pricing analysis of wind power derivatives for renewable energy risk management. Applied Energy, 304. 117827. ISSN 0306-2619 doi: https://doi.org/10.1016/j.apenergy.2021.117827
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Prokopczuk, M. , Wese Simen, C. and Wichmann, R. (2021) The dynamics of commodity return comovements. Journal of Futures Markets, 41 (10). pp. 1597-1617. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.22222
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Hollstein, F., Prokopczuk, M. , Tharann, B. and Wese Simen, C. (2021) Predictability in commodity markets: evidence from more than a century. Journal of Commodity Markets, 24. 100171. ISSN 2405-8513 doi: https://doi.org/10.1016/j.jcomm.2021.100171
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Becker, J., Hollstein, F., Prokopczuk, M. and Sibbertsen, P. (2021) The memory of beta. Journal of Banking & Finance, 124. 106026. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2020.106026
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Hollstein, F., Prokopczuk, M. and Wese Simen, C. (2020) Beta uncertainty. Journal of Banking & Finance, 116. 105834. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2020.105834
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Prokopczuk, M. , Wese Simen, C. and Wichmann, R. (2021) The natural gas announcement day puzzle. Energy Journal, 42 (2). ISSN 1944-9089 doi: https://doi.org/10.5547/01956574.42.2.mpro
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Kang, B., Nikitopoulos, C. S. and Prokopczuk, M. (2020) Economic determinants of oil futures volatility: a term structure perspective. Energy Economics, 88. 104743. ISSN 0140-9883 doi: https://doi.org/10.1016/j.eneco.2020.104743
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Hollstein, F., Prokopczuk, M. and Würsig, C. (2020) Volatility term structures in commodity markets. Journal of Futures Markets, 40 (4). pp. 527-555. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.22083
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Paschke, R., Prokopczuk, M. and Wese Simen, C. (2020) Curve momentum. Journal of Banking & Finance, 113. 105718. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2019.105718
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Prokopczuk, M. , Stancu, A. and Symeonidis, L. (2019) The economic drivers of commodity market volatility. Journal of International Money and Finance, 98. 102063. ISSN 0261-5606 doi: https://doi.org/10.1016/j.jimonfin.2019.102063
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Hollstein, F., Nguyen, D. B. B. and Prokopczuk, M. (2019) Asset prices and “the devil(s) you know”. Journal of Banking and Finance, 105. pp. 20-35. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2019.04.003
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Hollstein, F., Prokopczuk, M. and Wese Simen, C. (2020) The conditional capital asset pricing model revisited: evidence from high-frequency betas. Management Science, 66 (6). pp. 2291-2799. ISSN 1526-5501 doi: https://doi.org/10.1287/mnsc.2019.3317
Henley faculty authors:
Professor Marcel Prokopczuk Fabian Hollstein
Reference: Nguyen, D. B. B., Prokopczuk, M. and Sibbertsen, P. (2020) The memory of stock return volatility: asset pricing implications. Journal of Financial Markets, 47. 100487. ISSN 1386-4181 doi: https://doi.org/10.1016/j.finmar.2019.01.002
Henley faculty authors:
Professor Marcel Prokopczuk Duc Binh Benno Nguyen- Philipp Sibbertsen
Reference: Nguyen, D. B. B., Prokopczuk, M. and Wese Simen, C. (2019) The risk premium of gold. Journal of International Money and Finance, 94. pp. 140-159. ISSN 0261-5606 doi: https://doi.org/10.1016/j.jimonfin.2019.02.011
Henley faculty authors:
Professor Marcel Prokopczuk Duc Binh Benno Nguyen
Reference: Hollstein, F., Prokopczuk, M. and Wese Simen, C. (2019) Estimating beta: forecast adjustments and the impact of stock characteristics for a broad cross-section. Journal of Financial Markets, 44. pp. 91-118. ISSN 1386-4181 doi: https://doi.org/10.1016/j.finmar.2019.03.001
Henley faculty authors:
Professor Marcel Prokopczuk Fabian Hollstein
Reference: Hollstein, F., Nguyen, D. B. B., Prokopczuk, M. and Wese Simen, C. (2019) International tail risk and world fear. Journal of International Money and Finance, 93. pp. 244-259. ISSN 0261-5606 doi: https://doi.org/10.1016/j.jimonfin.2019.01.004
Henley faculty authors:
Professor Marcel Prokopczuk Fabian Hollstein- Duc Binh Benno Nguyen
Reference: Hollstein, F., Prokopczuk, M. , Tharann, B. and Wese Simen, C. (2019) Predicting the equity market with option-implied variables. European Journal of Finance, 25 (10). pp. 937-965. ISSN 1466-4364 doi: https://doi.org/10.1080/1351847X.2018.1556176
Henley faculty authors:
Professor Marcel Prokopczuk Fabian Hollstein- Björn Tharann
Reference: Nguyen, D. B. B. and Prokopczuk, M. (2019) Jumps in commodity markets. Journal of Commodity Markets, 13. pp. 55-70. ISSN 2405-8513 doi: https://doi.org/10.1016/j.jcomm.2018.10.002
Henley faculty authors:
Professor Marcel Prokopczuk Duc Binh Benno Nguyen
Reference: Hollstein, F., Prokopczuk, M. and Wese Simen, C. (2019) The term structure of systematic and idiosyncratic risk. Journal of Futures Markets, 39 (4). pp. 435-460. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.21985
Henley faculty authors:
Professor Marcel Prokopczuk Fabian Hollstein
Reference: D'Acunto, F., Prokopczuk, M. and Weber, M. (2019) Historical antisemitism, ethnic specialization, and financial development. Review of Economic Studies, 86 (3). pp. 1170-1206. ISSN 1467-937X doi: https://doi.org/10.1093/restud/rdy021
Henley faculty authors:
Professor Marcel Prokopczuk Francesco D'Acunto- Michael Weber
Reference: Hollstein, F. and Prokopczuk, M. (2018) How aggregate volatility-of-volatility affects stock returns. The Review of Asset Pricing Studies, 8 (2). pp. 253-292. ISSN 2045-9939 doi: https://doi.org/10.1093/rapstu/rax019
Henley faculty authors:
Professor Marcel Prokopczuk Fabian Hollstein
Reference: Prokopczuk, M. , Symeonidis, L. and Wese Simen, C. (2017) Variance risk in commodity markets. Journal of Banking and Finance, 81. pp. 136-149. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2017.05.003
Henley faculty authors:
Professor Marcel Prokopczuk Lazaros Symeonidis
Reference: Hagfors, L. I., Kamperud, H. H., Paraschiv, F., Prokopczuk, M. , Sator, A. and Westgaard, S. (2016) Prediction of extreme price occurrences in the German day-ahead electricity market. Quantitative Finance, 16 (12). pp. 1929-1948. ISSN 1469-7696 doi: https://doi.org/10.1080/14697688.2016.1211794
Henley faculty authors:
Professor Marcel Prokopczuk Sjur Westgaard- Lars Ivar Hagfors- Hilde Horthe Kamperud- Florentina Paraschiv- Alma Sator- Sjur Westgaard
Reference: Arismendi, J. C., Back, J., Prokopczuk, M. , Paschke, R. and Rudolf, M. (2016) Seasonal stochastic volatility: implications for the pricing of commodity options. Journal of Banking and Finance, 66. pp. 53-65. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2016.02.001
Henley faculty authors:
Professor Marcel Prokopczuk Juan C. Arismendi- Janis Back- Raphael Paschke- Markus Rudolf
Reference: Neumann, M., Prokopczuk, M. and Simen, C. W. (2016) Jump and variance risk premia in the S&P 500. Journal of Banking and Finance, 69. pp. 72-83. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2016.03.013
Henley faculty authors:
Professor Marcel Prokopczuk M. Neumann
Reference: Füss, R., Mahringer, S. and Prokopczuk, M. (2015) Electricity derivatives pricing with forward-looking information. Journal of Economic Dynamics and Control, 58. pp. 34-57. ISSN 0165-1889 doi: https://doi.org/10.1016/j.jedc.2015.05.016
Henley faculty authors:
Professor Marcel Prokopczuk Roland Füss- Steffen Mahringer
Reference: Mahringer, S. and Prokopczuk, M. (2015) An empirical model comparison for valuing crack spread options. Energy Economics, 51. pp. 177-187. ISSN 0140-9883 doi: https://doi.org/10.1016/j.eneco.2015.06.015
Henley faculty authors:
Professor Marcel Prokopczuk Steffen Mahringer
Reference: Prokopczuk, M. , Symeonidis, L. and Wese Simen, C. (2016) Do jumps matter for volatility forecasting? Evidence from energy markets. Journal of Futures Markets, 36 (8). pp. 758-792. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.21759
Henley faculty authors:
Professor Marcel Prokopczuk Lazaros Symeonidis
Reference: Diewald, L., Prokopczuk, M. and Wese Simen, C. (2015) Time-variations in commodity price jumps. Journal of Empirical Finance, 31. pp. 72-84. ISSN 0927-5398 doi: https://doi.org/10.1016/j.jempfin.2015.02.004
Henley faculty authors:
Professor Marcel Prokopczuk L. Diewald
Reference: Brooks, C. , Prokopczuk, M. and Wu, Y. (2015) Booms and busts in commodity markets: bubbles or fundamentals? Journal of Futures Markets, 35 (10). pp. 916-938. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.21721
Henley faculty authors:
Professor Marcel Prokopczuk Yingying Wu
Reference: Hollstein, F. and Prokopczuk, M. (2016) Estimating Beta. Journal of Financial and Quantitative Analysis, 51 (4). pp. 1437-1466. ISSN 1756-6916 doi: https://doi.org/10.1017/S0022109016000508
Henley faculty authors:
Professor Marcel Prokopczuk Fabian Hollstein
Reference: Back, J. and Prokopczuk, M. (2013) Commodity price dynamics and derivatives valuation: a review. International Journal of Theoretical and Applied Finance, 16 (6). ISSN 1793-6322 doi: https://doi.org/10.2139/ssrn.2133158
Henley faculty authors:
Professor Marcel Prokopczuk Janis Back
Reference: Prokopczuk, M. and Wese Simen, C. (2014) The importance of the volatility risk premium for volatility forecasting. Journal of Banking and Finance, 40. pp. 303-320. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2013.12.002
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Brooks, C. and Prokopczuk, M. (2013) The dynamics of commodity prices. Quantitative Finance, 13 (4). pp. 527-542. ISSN 1469-7696 doi: https://doi.org/10.1080/14697688.2013.769689
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Brooks, C. , Prokopczuk, M. and Wu, Y. (2013) Commodity futures prices: more evidence on forecast power, risk premia and the theory of storage. The Quarterly Review of Economics and Finance, 53 (1). pp. 73-85. ISSN 1062-9769 doi: https://doi.org/10.1016/j.qref.2013.01.003
Henley faculty authors:
Professor Marcel Prokopczuk Yingying Wu
Reference: Prokopczuk, M. , Siewert, J. B. and Vonhoff, V. (2013) Credit risk in covered bonds. Journal of Empirical Finance, 21 (1). pp. 273-290. ISSN 0927-5398 doi: https://doi.org/10.1016/j.jempfin.2012.12.003
Henley faculty authors:
Professor Marcel Prokopczuk Jan B. Siewert- Volker Vonhoff
Reference: Back, J., Prokopczuk, M. and Rudolf, M. (2013) Seasonality and the valuation of commodity options. Journal of Banking and Finance, 37 (2). pp. 273-290. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2012.08.025
Henley faculty authors:
Professor Marcel Prokopczuk Janis Back- Markus Rudolf
Reference: Alexander, C. , Prokopczuk, M. and Sumawong, A. (2013) The (de)merits of minimum-variance hedging: application to the crack spread. Energy Economics, 36. pp. 698-707. ISSN 0140-9883 doi: https://doi.org/10.1016/j.eneco.2012.11.016
Henley faculty authors:
Professor Marcel Prokopczuk Carol Alexander- Anannit Sumawong
Reference: Prokopczuk, M. and Vonhoff, V. (2012) Risk premia in covered bond markets. Journal of Fixed Income, 22 (2). pp. 19-29. ISSN 1059-8596
Henley faculty authors:
Professor Marcel Prokopczuk Volker Vonhoff
Reference: Symeonidis, L., Prokopczuk, M. , Brooks, C. and Lazar, E. (2012) Futures basis, inventory and commodity price volatility: an empirical analysis. Economic Modelling, 29 (6). pp. 2651-2663. ISSN 0264-9993 doi: https://doi.org/10.1016/j.econmod.2012.07.016 (http://www.sciencedirect.com/science/journal/02649993)
Reference: Fanone, E., Gamba, A. and Prokopczuk, M. (2013) The case of negative day-ahead electricity prices. Energy Economics, 35. pp. 22-34. ISSN 0140-9883
Henley faculty authors:
Professor Marcel Prokopczuk Enzo Fanone- Andrea Gamba
Reference: Paschke, R. and Prokopczuk, M. (2012) Investing in commodity futures markets: can pricing models help? European Journal of Finance, 18 (1). pp. 59-87. ISSN 1466-4364 doi: https://doi.org/10.1080/1351847X.2011.601658
Henley faculty authors:
Professor Marcel Prokopczuk R. Paschke
Reference: Prokopczuk, M. (2011) Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets. Decisions in Economics and Finance, 34 (2). pp. 141-168. ISSN 1593-8883 doi: https://doi.org/10.1007/s10203-011-0111-5
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Prokopczuk, M. , Rachev, S. T., Schindlmayr, G. and Trück, S. (2007) Quantifying risk in the electricity business: a RAROC-based approach. Energy Economics, 29 (5). pp. 1033-1049. ISSN 0140-9883 doi: https://doi.org/10.1016/j.eneco.2006.08.006
Henley faculty authors:
Professor Marcel Prokopczuk Svetlozar T. Rachev- Gero Schindlmayr- Stefan Trück
Reference: Paschke, R. and Prokopczuk, M. (2009) Integrating multiple commodities in a model of stochastic price dynamics. Journal of Energy Markets, 2 (3). ISSN 1756-3607
Henley faculty authors:
Professor Marcel Prokopczuk Raphael Paschke
Reference: Prokopczuk, M. (2011) Pricing and hedging in the freight futures market. Journal of Futures Markets, 31 (5). pp. 440-464. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.20480
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Weber, M. and Prokopczuk, M. (2011) American option valuation: implied calibration of GARCH pricing models. The Journal of Futures Markets, 31 (10). pp. 971-994. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.20496
Henley faculty authors:
Professor Marcel Prokopczuk Michael Weber
Reference: Prokopczuk, M. (2011) Are banks’ earnings surprises contagious? In: Kolb, R. W. (ed.) Financial contagion: the viral threat to the wealth of nations. Kolb series in finance: essential perspectives. Wiley, Hoboken, New Jersey, pp. 391-396. ISBN 9780470922385
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Prokopczuk, M. (2010) Intra-industry contagion effects of earnings surprises in the banking sector. Applied Financial Economics, 20 (20). pp. 1601-1613. ISSN 0960-3107 doi: https://doi.org/10.1080/09603107.2010.508718
Henley faculty authors:
Professor Marcel Prokopczuk
Reference: Paschke, R. and Prokopczuk, M. (2010) Commodity derivatives valuation with autoregressive and moving average components in the price dynamics. Journal of Banking & Finance, 34 (11). pp. 2742-2752. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2010.05.010
Henley faculty authors:
Professor Marcel Prokopczuk Raphael PaschkeAlternative Investments and Structured Products
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Advanced Finance Theory with Empirical Applications
This module is designed for advanced Master’s students and doctoral students. It has a very high technical content. It aims to equip the students with the foundations of theoretical asset...
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Specialisms
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