Details about Thomas Dimpfl

Access statistics for papers by Thomas Dimpfl.

Last updated 2024-10-08. Update your information in the RePEc Author Service.

Short-id: pdi551

Working Papers

2024

1. Nonstandard errors
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   Also in Post-Print, HAL (2021)
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021)
   Working Papers, Lund University, Department of Economics (2021)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) (2024)

2021

2. From orders to prices: A stochastic description of the limit order book to forecast intraday returns
   Papers, arXiv.org View citations (1)

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 Price discovery on Bitcoin markets, Digital Finance, Springer (2019) View citations (49) (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

2014

5. 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
6. 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 (42)
   See also Journal Article The impact of the financial crisis on transatlantic information flows: An intraday analysis, Journal of International Financial Markets, Institutions and Money, Elsevier (2014) View citations (41) (2014)

2012

7. State-dependent Momentum in International Stock Markets
   Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)
8. 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 (99)
   See also Journal Article Stock return autocorrelations revisited: A quantile regression approach, Journal of Empirical Finance, Elsevier (2012) View citations (93) (2012)
9. Using transfer entropy to measure information flows between financial markets
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
   See also Journal Article Using transfer entropy to measure information flows between financial markets, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2013) View citations (46) (2013)

2011

10. 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 (79)
    See also Journal Article Can Internet Search Queries Help to Predict Stock Market Volatility?, European Financial Management, European Financial Management Association (2016) View citations (148) (2016)
11. Financial market spillovers around the globe
    Global Financial Markets Working Paper Series, Friedrich-Schiller-University Jena View citations (2)
    See also Journal Article Financial market spillovers around the globe, Applied Financial Economics, Taylor & Francis Journals (2012) View citations (24) (2012)

Journal Articles

2024

1. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390
   See also Working Paper Nonstandard errors, LSE Research Online Documents on Economics (2024) (2024)

2023

2. Attention and retail investor herding in cryptocurrency markets
   Finance Research Letters, 2023, 51, (C) View citations (4)
3. Information shares for markets with partially overlapping trading hours
   Journal of Banking & Finance, 2023, 154, (C)

2022

4. Estimating the SARS-CoV-2 infection fatality rate by data combination: The case of Germany’s first wave*
   (Vergleich europäischer Gesundheitssysteme in der COVID-19-Pandemie)
   The Econometrics Journal, 2022, 25, (2), 515-530
5. Knitting Multi-Annual High-Frequency Google Trends to Predict Inflation and Consumption
   Econometrics and Statistics, 2022, 24, (C), 1-26 View citations (1)

2021

6. Nothing but noise? Price discovery across cryptocurrency exchanges
   Journal of Financial Markets, 2021, 54, (C) View citations (16)
7. Price Discovery and Learning during the German 5G Auction
   JRFM, 2021, 14, (6), 1-17
8. 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 (46)
9. Volatility discovery in cryptocurrency markets
   Journal of Risk Finance, 2021, 22, (5), 313-331 View citations (1)

2020

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

2019

11. A Quantile Regression Approach to Estimate the Variance of Financial Returns
    Journal of Financial Econometrics, 2019, 17, (4), 616-644 View citations (1)
12. Group transfer entropy with an application to cryptocurrencies
    Physica A: Statistical Mechanics and its Applications, 2019, 516, (C), 543-551 View citations (12)
13. How Unemployment Affects Bond Prices: A Mixed Frequency Google Nowcasting Approach
    Computational Economics, 2019, 54, (2), 551-573 View citations (1)
14. Investor Pessimism and the German Stock Market: Exploring Google Search Queries
    German Economic Review, 2019, 20, (1), 1-28 View citations (13)
    Also in German Economic Review, 2019, 20, (1), 1-28 (2019) View citations (13)
15. Price discovery in bitcoin spot or futures?
    Journal of Futures Markets, 2019, 39, (7), 803-817 View citations (65)
16. Price discovery on Bitcoin markets
    Digital Finance, 2019, 1, (1), 139-161 View citations (49)
    See also Working Paper Price Discovery on Bitcoin Markets, IRTG 1792 Discussion Papers (2018) View citations (24) (2018)
17. Think again: volatility asymmetry and volatility persistence
    Studies in Nonlinear Dynamics & Econometrics, 2019, 23, (1), 19 View citations (2)
18. 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 (18)

2018

19. Analyzing volatility transmission using group transfer entropy
    Energy Economics, 2018, 75, (C), 368-376 View citations (30)
20. Asymmetric volatility in cryptocurrencies
    Economics Letters, 2018, 173, (C), 148-151 View citations (130)
21. Bitcoin, gold and the US dollar – A replication and extension
    Finance Research Letters, 2018, 25, (C), 103-110 View citations (177)
22. The asymmetric return-volatility relationship of commodity prices
    Energy Economics, 2018, 76, (C), 378-387 View citations (34)

2017

23. Price discovery in agricultural commodity markets in the presence of futures speculation
    Journal of Commodity Markets, 2017, 5, (C), 50-62 View citations (47)

2016

24. Can Internet Search Queries Help to Predict Stock Market Volatility?
    European Financial Management, 2016, 22, (2), 171-192 View citations (148)
    See also Working Paper Can Internet search queries help to predict stock market volatility?, University of Tübingen Working Papers in Business and Economics (2011) View citations (18) (2011)
25. Googling gold and mining bad news
    Resources Policy, 2016, 50, (C), 306-311 View citations (18)
26. Labor income risk and households’ risky asset holdings
    Studies in Economics and Finance, 2016, 33, (2), 262-280
27. Price discovery in the markets for credit risk: a Markov switching approach
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (3), 233-249 View citations (2)

2014

28. A note on cointegration of international stock market indices
    International Review of Financial Analysis, 2014, 33, (C), 10-16 View citations (5)
29. 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 (41)
    See also Working Paper The impact of the financial crisis on transatlantic information flows: An intraday analysis, University of Tübingen Working Papers in Business and Economics (2014) View citations (42) (2014)

2013

30. Using transfer entropy to measure information flows between financial markets
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (1), 85-102 View citations (46)
    See also Working Paper Using transfer entropy to measure information flows between financial markets, SFB 649 Discussion Papers (2012) (2012)

2012

31. Financial market spillovers around the globe
    Applied Financial Economics, 2012, 22, (1), 45-57 View citations (24)
    See also Working Paper Financial market spillovers around the globe, Global Financial Markets Working Paper Series (2011) View citations (2) (2011)
32. Stock return autocorrelations revisited: A quantile regression approach
    Journal of Empirical Finance, 2012, 19, (2), 254-265 View citations (93)
    See also Working Paper Stock return autocorrelations revisited: A quantile regression approach, University of Tübingen Working Papers in Business and Economics (2012) View citations (99) (2012)

2011

33. 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 (12)