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: 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: 10.1017/S0022109024000036
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: 10.1287/mnsc.2022.4459
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: 10.1002/fut.22381
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: 10.1093/rapstu/raad005
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: 10.1016/j.eneco.2023.106536
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: 10.1111/fima.12438
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: 10.1201/9781003265399-22
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: 10.1016/j.jbankfin.2022.106553
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. (2022) Testing factor models in the cross-section. Journal of Banking and Finance, 145. 106626. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2022.106626
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: 10.5547/01956574.42.2.mpro
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: 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: 10.1016/j.jbankfin.2020.106026
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: 10.1002/fut.22222
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: 10.1016/j.apenergy.2021.117827
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: 10.1142/S2010139221500178
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: 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: 10.1016/j.finmar.2019.01.002
Henley faculty authors:
Professor Marcel Prokopczuk Duc Binh Benno Nguyen- Philipp Sibbertsen
Reference: Hollstein, F., Prokopczuk, M. and Wese Simen, C. (2020) Beta uncertainty. Journal of Banking & Finance, 116. 105834. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2020.105834
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: 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: 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: 10.1016/j.jbankfin.2019.105718
Henley faculty authors:
Professor Marcel Prokopczuk
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: 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: 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: 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: 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: 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: 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: 10.1093/restud/rdy021
Henley faculty authors:
Professor Marcel Prokopczuk Francesco D'Acunto- Michael Weber
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: 10.1016/j.jbankfin.2019.04.003
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: 10.1016/j.jimonfin.2019.102063
Henley faculty authors:
Professor Marcel Prokopczuk
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: 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: 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: 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: 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: 10.1016/j.jbankfin.2016.03.013
Henley faculty authors:
Professor Marcel Prokopczuk M. Neumann
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: 10.1002/fut.21759
Henley faculty authors:
Professor Marcel Prokopczuk Lazaros Symeonidis
Reference: Hollstein, F. and Prokopczuk, M. (2016) Estimating Beta. Journal of Financial and Quantitative Analysis, 51 (4). pp. 1437-1466. ISSN 1756-6916 doi: 10.1017/S0022109016000508
Henley faculty authors:
Professor Marcel Prokopczuk Fabian Hollstein
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: 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: 10.1016/j.eneco.2015.06.015
Henley faculty authors:
Professor Marcel Prokopczuk Steffen Mahringer
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: 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: 10.1002/fut.21721
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: 10.1016/j.jbankfin.2013.12.002
Henley faculty authors:
Professor Marcel Prokopczuk
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: 10.2139/ssrn.2133158
Henley faculty authors:
Professor Marcel Prokopczuk Janis Back
Reference: Brooks, C. and Prokopczuk, M. (2013) The dynamics of commodity prices. Quantitative Finance, 13 (4). pp. 527-542. ISSN 1469-7696 doi: 10.1080/14697688.2013.769689
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: 10.1016/j.qref.2013.01.003
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: 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: 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: 10.1016/j.eneco.2012.11.016
Henley faculty authors:
Professor Marcel Prokopczuk Carol Alexander- Anannit Sumawong
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: 10.1080/1351847X.2011.601658
Henley faculty authors:
Professor Marcel Prokopczuk R. Paschke
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: 10.1016/j.econmod.2012.07.016 (http://www.sciencedirect.com/science/journal/02649993)
Henley faculty authors:
Professor Marcel Prokopczuk - Chris Brooks - Professor Emese Lazar Lazaros Symeonidis
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: 10.1007/s10203-011-0111-5
Henley faculty authors:
Professor Marcel Prokopczuk
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: 10.1002/fut.20480
Henley faculty authors:
Professor Marcel Prokopczuk
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: 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: 10.1002/fut.20496
Henley faculty authors:
Professor Marcel Prokopczuk Michael Weber
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: 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: 10.1016/j.jbankfin.2010.05.010
Henley faculty authors:
Professor Marcel Prokopczuk Raphael Paschke
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. , 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: 10.1016/j.eneco.2006.08.006
Henley faculty authors:
Professor Marcel Prokopczuk Svetlozar T. Rachev- Gero Schindlmayr- Stefan TrückAdvanced 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...
Most recent news & media
Specialisms
This site uses cookies to improve your user experience. By using this site you agree to these cookies being set. You can read more about what cookies we use here. If you do not wish to accept cookies from this site please either disable cookies or refrain from using the site.