Chair of Empirical Finance and Econometrics
Publications
Franziska Peter
- Peter, Franziska / Dimpfl, ThomasNothing but Noise? Price Discovery Across Cryptocurrency Exchanges, Journal of Financial Markets, 2020
- Kind, Axel / Oster, Philippe / Peter, FranziskaThe Impact of the Bankers’ New Corset on AT1 CoCo Bond Spreads, European Financial Managment, 2020
- Behrendt, Simon / Peter, Franziska / Zimmermann, DavidAn encyclopedia for stock markets? Wikipedia searches and stock returns , International Review of Financial Analysis, 2020
- Dimpfl,Thomas / Peter, FranziskaGroup transfer entropy with an application to cryptocurrencies, Physica A, 2019, (516): 543 - 551
- Peter, Franziska / Grammig, JoachimTumbling Titans - The Changing Patterns of Price Discovery in the US Equity Market, Journal of Empirical Finance, 2019
- Peter, Franziska / Dirkx, PhilippImplementing the Fama-French five-factor model for the German stock market, Schmalenbach Business Review, 2019
- Behrendt, Simon / Peter, Franziska / Zimmerann, David / Dimpfl, ThomasRTransferEntropy - Quantifying Information Flow between Different Time Series Using Effective Transfer Entropy, SoftwareX, 2019, (10): 100265 - -
- Thomas Dimpfl / Franziska J. PeterAnalyzing Volatility Transmission Using Group Transfer Entropy, Energy Economics, 2018, (75): 368 - 376
- Dimpfl, Thomas / Peter, FranziskaPrice discovery in the markets for credit risk: A Markov switching approach
, Studies in Nonlinear Dynamics and Econometrics, 2016, (20): 223 - 249, http://dx.doi.org/10.1515/snde-2015-0032
- Thomas, Dimpfl / Peter, FranziskaThe impact of the financial crisis on transatlantic information flows: an intraday analysis
, Journal of International Financial Markets, Institutions & Money, 2014, (31): 1 - 13
- Grammig, Joachim / Peter, FranziskaTell-Tale Tails: A New Approach to Estimating Unique Market Information Shares, Journal of Financial and Quantitative Analysis, 2013, (48): 459 - 488
- Dimpfl, Thomas / Peter, FranziskaUsing transfer entropy to measure information flows between financial markets , Studies in Nonlinear Dynamics and Econometric, 2013, (17): 85 - 102
- Kehrle, Kerstin / Peter, FranziskaWho moves first? An Intensity Based Measure for Information Flows Between Stock Exchanges
, Journal of Banking and Finance, 2013, (37): 1629 - 1642
- De Martiis, Angela / Heil, Thomas L.A. / Peter, Franziska / Are you a Zombie? Understanding the Determinants of Distressed and Zombie Companies, SSRN, 2020, http://dx.doi.org/10.2139/ssrn.3625473
Philipp Prange
- Behrendt, Simon / Prange, PhilippWhat are you searching for? On the equivalence of proxies for online investor attention, Finance Research Letters, 2020
- Baur, Dirk / Prange, Philipp / Schweikert, KarstenFlight to quality - Gold mining shares versus gold bullion., SSRN, 2020, http://dx.doi.org/10.2139/ssrn.3488633
- Prange, PhilippIn Search of Gold: Insights From Google Searches on Portfolio Hedging Effectiveness , SSRN, 2020, http://dx.doi.org/10.2139/ssrn.3551940
Simon Behrendt
- Behrendt, Simon / Prange, PhilippWhat are you searching for? On the equivalence of proxies for online investor attention, Finance Research Letters, 2020
- Behrendt, Simon / Peter, Franziska / Zimmerann, David / Dimpfl, ThomasRTransferEntropy - Quantifying Information Flow between Different Time Series Using Effective Transfer Entropy, SoftwareX, 2019, (10): 100265 - -
- Behrendt, Simon / Schmidt, AlexanderThe Twitter Myth Revisited: Intraday Investor Sentiment, Twitter Activity and Individual-Level Stock Return Volatility, Journal of Banking and Finance, 2018, (96): 355 - 367, https://doi.org/10.1016/j.jbankfin.2018.09.016
- Behrendt, Simon / Zimmermann, DavidWikipedia Search Momentum and Stock Returns, SSRN, 2018, https://ssrn.com/abstract=3220053
- Behrendt, Simon / Wamser, GeorgTax-Response Heterogeneity and the Effects of Double Taxation Treaties on the Location Choices of Multinational Enterprises, SSRN, 2017, https://ssrn.com/abstract=3144272
Thomas Heil
- Dirkx, Philipp / Heil, Thomas L.A.Investment Factor Timing: Harvesting The Low-Risk Anomaly Using Artificial Neural Networks, SSRN, 2020, http://dx.doi.org/10.2139/ssrn.3579333
- De Martiis, Angela / Heil, Thomas L.A. / Peter, Franziska / Are you a Zombie? Understanding the Determinants of Distressed and Zombie Companies, SSRN, 2020, http://dx.doi.org/10.2139/ssrn.3625473