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Lehrstuhl für Empirische Kapitalmarktforschung & Ökonometrie

Publikationen

Franziska Peter

Originalarbeiten in wissenschaftlichen Fachzeitschriften mit Review-Verfahren

  • Peter, Franziska / Dimpfl, Thomas: Nothing but Noise? Price Discovery Across Cryptocurrency Exchanges, Journal of Financial Markets, 2020,
  • Kind, Axel / Oster, Philippe / Peter, Franziska: The Impact of the Bankers’ New Corset on AT1 CoCo Bond Spreads, European Financial Managment, 2020,
  • Behrendt, Simon / Peter, Franziska / Zimmermann, David: An encyclopedia for stock markets? Wikipedia searches and stock returns  , International Review of Financial Analysis, 2020,
  • Dimpfl,Thomas / Peter, Franziska: Group transfer entropy with an application to cryptocurrencies, Physica A, 2019, (516): 543 - 551,
  • Peter, Franziska / Grammig, Joachim: Tumbling Titans - The Changing Patterns of Price Discovery in the US Equity Market, Journal of Empirical Finance, 2019,
  • Peter, Franziska / Dirkx, Philipp: Implementing the Fama-French five-factor model for the German stock market, Schmalenbach Business Review, 2019,
  • Behrendt, Simon / Peter, Franziska / Zimmerann, David / Dimpfl, Thomas: RTransferEntropy - Quantifying Information Flow between Different Time Series Using Effective Transfer Entropy, SoftwareX, 2019, (10): 100265 - -,
  • Thomas Dimpfl / Franziska J. Peter: Analyzing Volatility Transmission Using Group Transfer Entropy, Energy Economics, 2018, (75): 368 - 376,
  • Dimpfl, Thomas / Peter, Franziska: Price 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, Franziska: The 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, Franziska: Tell-Tale Tails: A New Approach to Estimating Unique Market Information Shares, Journal of Financial and Quantitative Analysis, 2013, (48): 459 - 488,
  • Dimpfl, Thomas / Peter, Franziska: Using transfer entropy to measure information flows between financial markets , Studies in Nonlinear Dynamics and Econometric, 2013, (17): 85 - 102,
  • Kehrle, Kerstin / Peter, Franziska: Who moves first? An Intensity Based Measure for Information Flows Between Stock Exchanges , Journal of Banking and Finance, 2013, (37): 1629 - 1642,

Philipp Prange

Originalarbeiten in wissenschaftlichen Fachzeitschriften mit Review-Verfahren

  • Behrendt, Simon / Prange, Philipp: What are you searching for? On the equivalence of proxies for online investor attention, Finance Research Letters, 2020,

Simon Behrendt

Originalarbeiten in wissenschaftlichen Fachzeitschriften mit Review-Verfahren

  • Behrendt, Simon / Prange, Philipp: What are you searching for? On the equivalence of proxies for online investor attention, Finance Research Letters, 2020,
  • Behrendt, Simon / Peter, Franziska / Zimmerann, David / Dimpfl, Thomas: RTransferEntropy - Quantifying Information Flow between Different Time Series Using Effective Transfer Entropy, SoftwareX, 2019, (10): 100265 - -,
  • Behrendt, Simon / Schmidt, Alexander: The 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,

Discussion Papers

  • Behrendt, Simon / Zimmermann, David: Wikipedia Search Momentum and Stock Returns, SSRN, 2018, https://ssrn.com/abstract=3220053,
  • Behrendt, Simon / Wamser, Georg: Tax-Response Heterogeneity and the Effects of Double Taxation Treaties on the Location Choices of Multinational Enterprises, SSRN, 2017, https://ssrn.com/abstract=3144272,