Selected Publications

  • F. Hollstein:  Local, Regional, or Global Asset Pricing?,
    Journal of Financial and Quantitative Analysis
    , forthcoming (Link)

  • J.Becker, F. Hollstein, M. Prokopczuk, & P. Sibbertsen:  The memory of beta,
    Journal of Banking and Finance
    (2021), Vol. 124, no. 106026 (Link)

  • F. Hollstein:  Estimating Beta: The International Evidence,
    Journal of Banking and Finance
    (2020), Vol. 121, no. 105968 (Link)

  • L. Dräger, & C. Proaño: Cross-Border Banking and Macroprudential Policies in Asymmetric Currency Unions,
    Macroeconomic Dynamics
    (2020), Vol. 24(2), pp. 255-290 (Link)

  • L. Dräger, & G. Nghiem: Are Consumers' Spending Decisions in Line With an Euler Equation?
    The Review of Economic and Statistics (2020), forthcoming (Link)

  • F. Hollstein, M. Prokopczuk, & C. Wese Simen:  Beta Uncertainty
    Journal of Banking and Finance
    (2020), Vol. 166, no. 105834 (Link)

  • R. Paschke, M. Prokopczuk, & C. Wese Simen:  Curve Momentum
    Journal of Banking and Finance (2020),   Vol. 113, no. 105718 (Link)

  • F. Hollstein, M. Prokopczuk, & C. Wese Simen: The Conditional CAPM Revisited: Evidence from High-Frequency Betas
    Management Science
    (2020), Vol. 66(6), pp. 2474-2494 (Link)

  • F. Hollstein, D.B.B. Nguyen, & M. Prokopczuk:  Asset Prices and “the Devil(s) You Know“
    Journal of Banking and Finance
    (2019),   Vol. 105, pp. 20–35 (Link)

  • F. Hollstein & M. Prokopczuk: How Aggregate Volatility-of-Volatility Affects Stock Returns
    Review of Asset Pricing Studies
    (2018), Vol. 8(2), pp. 253-292 (Link)

  • F. D'Acunto, M. Prokopczuk, & Michael Weber: Historical Antisemitism, Ethnic Specialization, and Financial Development
    Review of Economic Studies (2018), Vol. 86, pp. 1170-1206 (Link)

  • P. Sibbertsen, C. Leschinski, & M. Busch: A Multivariate Test Against Spurious Long Memory,
    Journal of Econometrics (2018), Vol. 203, pp. 33-49 (Link)

  • D. Eilers, C. Köpp, C. Gleue, & M.H. Breitner: It's not a Bug, it's a Feature: How Visual Model Evaluation can help to incorporate Human Domain Knowledge in Data Science
    ICIS 2017 Proceedings
    , Paper 15 (Link)

  • J.H. Piel, J.F.H. Hamann, A. Koukal, & M.H. Breitner:   Promoting the System Integration of Renewable Energies: Toward a Decision Support System for Incentivizing Spatially Diversified Deployment
    Journal of Management Information Systems
      (2017), Vol. 34(4), pp. 994-1022 (Link)

  • M. Prokopczuk, L. Symeonidis, & C. Wese Simen: Variance Risk in Commodity Markets,
    Journal of Banking & Finance (2017), Vol. 81, pp. 136-149 (Link)

  • L. Dräger, & M.J. Lamla:  Imperfect Information and Inflation Expectations: Evidence from Microdata,
    Oxford Bulletin of Economics & Statistics (2017), Vol. 79, pp. 933-968 (Link)

  • L. Dräger, & M.J. Lamla:  Explaining Disagreement on Interest Rates in a Taylor-rule Setting,
    The Scandinavian Journal of Economics (2017), Vol. 119, pp. 987-1009 (Link)

  • L. Dräger, M. Lamla, & D. Pfajfar: Are Survey Expectations Theory-Consistent? The Role of Central Bank Communication and News
    European Economic Review
    (2016), Vol. 65, pp. 1000-1073 (Link)

  • F. Hollstein & M. Prokopczuk: Estimating Beta,
    Journal of Financial and Quantitative Analysis (2016), Vol. 51(4), pp. 1437–1466 (Link)

  • M. Neumann, M. Prokopczuk, & C. Wese Simen: Jump and Variance Risk Premia in the S&P 500
    Journal of Banking and Finance
    (2016), Vol. 69, pp. 72-83 (Link)

  • J. Arismendi, J. Back, R. Paschke, M. Prokopczuk, & M. Rudolf: Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options
    Journal of Banking and Finance
    (2016), Vol. 66, pp. 53-65 (Link)

  • R. Füss, S. Mahringer, & M. Prokopczuk: Electricity Derivatives Pricing with Forward-Looking Information,
    Journal of Economic Dynamics and Control
    (2015), Vol. 58, pp. 34-57 (Link)

  • M. Prokopczuk & C. Wese Simen: The Importance of the Volatility Risk Premium for Volatility Forecasting,
    Journal of Banking and Finance (2014), Vol 40, pp. 303-320 (Link)

  • P. Sibbertsen, C. Wegener & T. Basse: Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds,
    Journal of Banking and Finance
    (2014), Vol. 41, pp 109 - 118 (Link)

  • J. Back, M. Prokopczuk, & M. Rudolf: Seasonality and the Valuation of Commodity Options,
    Journal of Banking and Finance
    (2013), Vol. 37(2), pp. 273-290 (Link)

  • M. Dierkes, C. Erner, T. Langer & L. Norden: Business credit information sharing and default risk of private firms,
    Journal of Banking and Finance
    (2013), Vol. 37, pp. 2867 - 2878 (Link)

  • M. Dierkes, C. Erner & S. Zeisberger: Investment horizon and the attractiveness of investment strategies: A behavioral approach,
    Journal of Banking and Finance
    (2010), Vol. 34, pp. 1032 - 1046 (Link)

  • v. Mettenheim, H.-J. & Breitner, M. H.: Robust Decision Support Systems with Matrix Forecasts and Shared Layer Perceptions for Finance and Other Applications,
    ICIS 2010 Proceedings
    , Paper 83 (Link)

  • R. Paschke & M. Prokopczuk: Commodity Derivatives Valuation with Autoregressive and Moving Average Components in the Price Dynamics,
    Journal of Banking and Finance (2010), Vol. 34(11), pp. 2741-2752 (Link)

  • J. Davidson. & P. Sibbertsen: Generating schemes for long memory processes,
    Journal of Econometrics (2005), Vol. 128(2), pp 253 - 282 (Link)