Details about Thomas Dimpfl
Access statistics for papers by Thomas Dimpfl.
Last updated 2021-02-15. Update your information in the RePEc Author Service.
Short-id: pdi551
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Working Papers
2020
- The What, When and Where of Limit Order Books
Papers, arXiv.org
2015
- 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
- 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
- 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
- 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 (22)
See also Journal Article in Journal of International Financial Markets, Institutions and Money (2014)
2012
- State-dependent Momentum in International Stock Markets
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
- 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 (61)
See also Journal Article in Journal of Empirical Finance (2012)
- Using transfer entropy to measure information flows between financial markets
SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (4)
See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2013)
2011
- 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 (13)
Also in CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2011) View citations (66)
See also Journal Article in European Financial Management (2016)
- 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
2020
- Bitcoin Price Risk—A Durations Perspective
Journal of Risk and Financial Management, 2020, 13, (7), 1-18
2019
- A Quantile Regression Approach to Estimate the Variance of Financial Returns
Journal of Financial Econometrics, 2019, 17, (4), 616-644
- Group transfer entropy with an application to cryptocurrencies
Physica A: Statistical Mechanics and its Applications, 2019, 516, (C), 543-551 View citations (1)
- How Unemployment Affects Bond Prices: A Mixed Frequency Google Nowcasting Approach
Computational Economics, 2019, 54, (2), 551-573
- Investor Pessimism and the German Stock Market: Exploring Google Search Queries
German Economic Review, 2019, 20, (1), 1-28 
Also in German Economic Review, 2019, 20, (1), 1-28 (2019) View citations (2)
- Price discovery in bitcoin spot or futures?
Journal of Futures Markets, 2019, 39, (7), 803-817 View citations (14)
- Price discovery on Bitcoin markets
Digital Finance, 2019, 1, (1), 139-161 View citations (3)
- Think again: volatility asymmetry and volatility persistence
Studies in Nonlinear Dynamics & Econometrics, 2019, 23, (1), 19 View citations (1)
- 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 (1)
2018
- Analyzing volatility transmission using group transfer entropy
Energy Economics, 2018, 75, (C), 368-376 View citations (4)
- Asymmetric volatility in cryptocurrencies
Economics Letters, 2018, 173, (C), 148-151 View citations (33)
- Bitcoin, gold and the US dollar – A replication and extension
Finance Research Letters, 2018, 25, (C), 103-110 View citations (85)
- The asymmetric return-volatility relationship of commodity prices
Energy Economics, 2018, 76, (C), 378-387 View citations (6)
2017
- Price discovery in agricultural commodity markets in the presence of futures speculation
Journal of Commodity Markets, 2017, 5, (C), 50-62 View citations (19)
2016
- Can Internet Search Queries Help to Predict Stock Market Volatility?
European Financial Management, 2016, 22, (2), 171-192 View citations (42)
See also Working Paper (2011)
- Googling gold and mining bad news
Resources Policy, 2016, 50, (C), 306-311 View citations (11)
- Labor income risk and households’ risky asset holdings
Studies in Economics and Finance, 2016, 33, (2), 262-280
- 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
- A note on cointegration of international stock market indices
International Review of Financial Analysis, 2014, 33, (C), 10-16 View citations (1)
- 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 (22)
See also Working Paper (2014)
2013
- Using transfer entropy to measure information flows between financial markets
Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (1), 85-102 View citations (11)
See also Working Paper (2012)
2012
- Financial market spillovers around the globe
Applied Financial Economics, 2012, 22, (1), 45-57 View citations (15)
See also Working Paper (2011)
- Stock return autocorrelations revisited: A quantile regression approach
Journal of Empirical Finance, 2012, 19, (2), 254-265 View citations (61)
See also Working Paper (2012)
2011
- 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 (6)
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