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Details about Thomas Dimpfl

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Workplace:Wirtschaftswissenschaftlichen Fakultät (School of Business and Economics), Eberhard-Karls-Universität Tübingen (University of Tuebingen), (more information at EDIRC)

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

  1. The What, When and Where of Limit Order Books
    Papers, arXiv.org Downloads

2015

  1. 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 Downloads
  2. Price discovery in the markets for credit risk: A Markov switching approach
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2016)

2014

  1. 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 Downloads
  2. 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 Downloads View citations (22)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2014)

2012

  1. State-dependent Momentum in International Stock Markets
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads
  2. 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 Downloads View citations (61)
    See also Journal Article in Journal of Empirical Finance (2012)
  3. Using transfer entropy to measure information flows between financial markets
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2013)

2011

  1. 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 Downloads View citations (13)
    Also in CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2011) Downloads View citations (66)

    See also Journal Article in European Financial Management (2016)
  2. Financial market spillovers around the globe
    Global Financial Markets Working Paper Series, Friedrich-Schiller-University Jena Downloads View citations (2)
    See also Journal Article in Applied Financial Economics (2012)

Journal Articles

2020

  1. Bitcoin Price Risk—A Durations Perspective
    Journal of Risk and Financial Management, 2020, 13, (7), 1-18 Downloads

2019

  1. A Quantile Regression Approach to Estimate the Variance of Financial Returns
    Journal of Financial Econometrics, 2019, 17, (4), 616-644 Downloads
  2. Group transfer entropy with an application to cryptocurrencies
    Physica A: Statistical Mechanics and its Applications, 2019, 516, (C), 543-551 Downloads View citations (1)
  3. How Unemployment Affects Bond Prices: A Mixed Frequency Google Nowcasting Approach
    Computational Economics, 2019, 54, (2), 551-573 Downloads
  4. Investor Pessimism and the German Stock Market: Exploring Google Search Queries
    German Economic Review, 2019, 20, (1), 1-28 Downloads
    Also in German Economic Review, 2019, 20, (1), 1-28 (2019) Downloads View citations (2)
  5. Price discovery in bitcoin spot or futures?
    Journal of Futures Markets, 2019, 39, (7), 803-817 Downloads View citations (14)
  6. Price discovery on Bitcoin markets
    Digital Finance, 2019, 1, (1), 139-161 Downloads View citations (3)
  7. Think again: volatility asymmetry and volatility persistence
    Studies in Nonlinear Dynamics & Econometrics, 2019, 23, (1), 19 Downloads View citations (1)
  8. 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 Downloads View citations (1)

2018

  1. Analyzing volatility transmission using group transfer entropy
    Energy Economics, 2018, 75, (C), 368-376 Downloads View citations (4)
  2. Asymmetric volatility in cryptocurrencies
    Economics Letters, 2018, 173, (C), 148-151 Downloads View citations (33)
  3. Bitcoin, gold and the US dollar – A replication and extension
    Finance Research Letters, 2018, 25, (C), 103-110 Downloads View citations (85)
  4. The asymmetric return-volatility relationship of commodity prices
    Energy Economics, 2018, 76, (C), 378-387 Downloads View citations (6)

2017

  1. Price discovery in agricultural commodity markets in the presence of futures speculation
    Journal of Commodity Markets, 2017, 5, (C), 50-62 Downloads View citations (19)

2016

  1. Can Internet Search Queries Help to Predict Stock Market Volatility?
    European Financial Management, 2016, 22, (2), 171-192 Downloads View citations (42)
    See also Working Paper (2011)
  2. Googling gold and mining bad news
    Resources Policy, 2016, 50, (C), 306-311 Downloads View citations (11)
  3. Labor income risk and households’ risky asset holdings
    Studies in Economics and Finance, 2016, 33, (2), 262-280 Downloads
  4. Price discovery in the markets for credit risk: a Markov switching approach
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (3), 233-249 Downloads View citations (1)
    See also Working Paper (2015)

2014

  1. A note on cointegration of international stock market indices
    International Review of Financial Analysis, 2014, 33, (C), 10-16 Downloads View citations (1)
  2. 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 Downloads View citations (22)
    See also Working Paper (2014)

2013

  1. Using transfer entropy to measure information flows between financial markets
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (1), 85-102 Downloads View citations (11)
    See also Working Paper (2012)

2012

  1. Financial market spillovers around the globe
    Applied Financial Economics, 2012, 22, (1), 45-57 Downloads View citations (15)
    See also Working Paper (2011)
  2. Stock return autocorrelations revisited: A quantile regression approach
    Journal of Empirical Finance, 2012, 19, (2), 254-265 Downloads View citations (61)
    See also Working Paper (2012)

2011

  1. 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 Downloads View citations (6)
 
Page updated 2021-02-23