Details about Thomas Dimpfl

Access statistics for papers by Thomas Dimpfl.

Last updated 2022-03-07. Update your information in the RePEc Author Service.

Short-id: pdi551

Working Papers

2021

1. From orders to prices: A stochastic description of the limit order book to forecast intraday returns
   Papers, arXiv.org
2. Non-Standard Errors
   Post-Print, HAL
   Also in Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz (2021)
   Working Papers, Faculty of Economics and Statistics, University of Innsbruck (2021) View citations (1)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021)

2018

3. Price Discovery on Bitcoin Markets
   IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (24)
   See also Journal Article in Digital Finance (2019)

2015

4. A Cross-Country Analysis of Unemployment and Bonds with Long-Memory Relations
   VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association
5. Price discovery in the markets for credit risk: A Markov switching approach
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
   See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2016)

2014

6. Labor income risk and the reluctance of fouseholds to invest in risky financial assets: A panel data analysis
   University of Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics
7. The impact of the financial crisis on transatlantic information flows: An intraday analysis
   University of Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics View citations (31)
   See also Journal Article in Journal of International Financial Markets, Institutions and Money (2014)

2012

8. State-dependent Momentum in International Stock Markets
   Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)
9. Stock return autocorrelations revisited: A quantile regression approach
   University of Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics View citations (84)
   See also Journal Article in Journal of Empirical Finance (2012)
10. Using transfer entropy to measure information flows between financial markets
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (9)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2013)

2011

11. Can Internet search queries help to predict stock market volatility?
    University of Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics View citations (18)
    Also in CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2011) View citations (77)
    See also Journal Article in European Financial Management (2016)
12. Financial market spillovers around the globe
    Global Financial Markets Working Paper Series, Friedrich-Schiller-University Jena View citations (2)
    See also Journal Article in Applied Financial Economics (2012)

Journal Articles

2021

1. Nothing but noise? Price discovery across cryptocurrency exchanges
   Journal of Financial Markets, 2021, 54, (C) View citations (5)
2. Price Discovery and Learning during the German 5G Auction
   JRFM, 2021, 14, (6), 1-17
3. The volatility of Bitcoin and its role as a medium of exchange and a store of value
   Empirical Economics, 2021, 61, (5), 2663-2683 View citations (5)

2020

4. Bitcoin Price Risk—A Durations Perspective
   JRFM, 2020, 13, (7), 1-18

2019

5. A Quantile Regression Approach to Estimate the Variance of Financial Returns
   The Journal of Financial Econometrics, 2019, 17, (4), 616-644 View citations (1)
6. Group transfer entropy with an application to cryptocurrencies
   Physica A: Statistical Mechanics and its Applications, 2019, 516, (C), 543-551 View citations (5)
7. How Unemployment Affects Bond Prices: A Mixed Frequency Google Nowcasting Approach
   Computational Economics, 2019, 54, (2), 551-573
8. Investor Pessimism and the German Stock Market: Exploring Google Search Queries
   German Economic Review, 2019, 20, (1), 1-28 View citations (9)
   Also in German Economic Review, 2019, 20, (1), 1-28 (2019) View citations (9)
9. Price discovery in bitcoin spot or futures?
   Journal of Futures Markets, 2019, 39, (7), 803-817 View citations (39)
10. Price discovery on Bitcoin markets
    Digital Finance, 2019, 1, (1), 139-161 View citations (34)
    See also Working Paper (2018)
11. Think again: volatility asymmetry and volatility persistence
    Studies in Nonlinear Dynamics & Econometrics, 2019, 23, (1), 19
12. Today I got a million, tomorrow, I don't know: On the predictability of cryptocurrencies by means of Google search volume
    International Review of Financial Analysis, 2019, 63, (C), 147-159 View citations (9)

2018

13. Analyzing volatility transmission using group transfer entropy
    Energy Economics, 2018, 75, (C), 368-376 View citations (19)
14. Asymmetric volatility in cryptocurrencies
    Economics Letters, 2018, 173, (C), 148-151 View citations (80)
15. Bitcoin, gold and the US dollar – A replication and extension
    Finance Research Letters, 2018, 25, (C), 103-110 View citations (138)
16. The asymmetric return-volatility relationship of commodity prices
    Energy Economics, 2018, 76, (C), 378-387 View citations (21)

2017

17. Price discovery in agricultural commodity markets in the presence of futures speculation
    Journal of Commodity Markets, 2017, 5, (C), 50-62 View citations (34)

2016

18. Can Internet Search Queries Help to Predict Stock Market Volatility?
    European Financial Management, 2016, 22, (2), 171-192 View citations (101)
    See also Working Paper (2011)
19. Googling gold and mining bad news
    Resources Policy, 2016, 50, (C), 306-311 View citations (16)
20. Labor income risk and households’ risky asset holdings
    Studies in Economics and Finance, 2016, 33, (2), 262-280
21. Price discovery in the markets for credit risk: a Markov switching approach
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (3), 233-249 View citations (1)
    See also Working Paper (2015)

2014

22. A note on cointegration of international stock market indices
    International Review of Financial Analysis, 2014, 33, (C), 10-16 View citations (5)
23. The impact of the financial crisis on transatlantic information flows: An intraday analysis
    Journal of International Financial Markets, Institutions and Money, 2014, 31, (C), 1-13 View citations (31)
    See also Working Paper (2014)

2013

24. Using transfer entropy to measure information flows between financial markets
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (1), 85-102 View citations (27)
    See also Working Paper (2012)

2012

25. Financial market spillovers around the globe
    Applied Financial Economics, 2012, 22, (1), 45-57 View citations (18)
    See also Working Paper (2011)
26. Stock return autocorrelations revisited: A quantile regression approach
    Journal of Empirical Finance, 2012, 19, (2), 254-265 View citations (84)
    See also Working Paper (2012)

2011

27. The impact of US news on the German stock market—An event study analysis
    The Quarterly Review of Economics and Finance, 2011, 51, (4), 389-398 View citations (11)