← All authors Thomas Dimpfl University of Tübingen (from arXiv:2004.11953, 2020) · ORCID · OpenAlex
40 papers in scope · 39 published · 2 on the econ.EM arXiv · 2,961 citations · h-index 23 (over the papers listed here)
Papers (1 of 40)
Have cryptocurrencies arrived in the system of fiat currencies? An appraisal based on monetary policy uncertainty
published 2025 · Finance research letters · 3 citations
with Efe Çağlar Çağlı
Nonstandard Errors
published 2024 · The Journal of Finance · 96 citations
Cut Your Losses and Let Your Profits Run
published 2023 · The Journal of Portfolio Management · 1 citations · first circulated 2022
with Dirk G. Baur
Information shares for markets with partially overlapping trading hours
published 2023 · Journal of Banking & Finance · 5 citations
Attention and retail investor herding in cryptocurrency markets
published 2022 · Finance research letters · 36 citations
with Sophia Koch
Estimating the SARS-CoV-2 infection fatality rate by data combination: the case of Germany’s first wave
published 2022 · Econometrics Journal · 1 citations
with Jantje Sönksen, Ingo Bechmann, Joachim Grammig
Future portfolio returns and the VIX term structure
published 2022 · The Journal of Risk · 2 citations
with David Y. Aharon
Knitting Multi-Annual High-Frequency Google Trends to Predict Inflation and Consumption.
published 2021 · Econometrics and Statistics · 25 citations
Volatility discovery in cryptocurrency markets
published 2021 · The Journal of Risk Finance · 12 citations · first circulated 2020
with Dalia Elshiaty
Price Discovery and Learning during the German 5G Auction
published 2021 · Journal of risk and financial management · 2 citations · first circulated 2020
with Alexander Reining
Estimation of Relative Entropy Measures based on Quantile Regression
published 2021 · Proceedings of Entropy 2021: The Scientific Tool of the 21st Century · 1 citations
The volatility of Bitcoin and its role as a medium of exchange and a store of value
published 2021 · Empirical Economics · 228 citations
with Dirk G. Baur
Bitcoin Price Risk—A Durations Perspective
published 2020 · Journal of risk and financial management · 5 citations
with Stefania Odelli
Nothing but noise? Price discovery across cryptocurrency exchanges
published 2020 · Journal of Financial Markets · 63 citations
with Franziska J. Peter
working paper 2020 · arXiv
RTransferEntropy — Quantifying information flow between different time series using effective transfer entropy
published 2019 · SoftwareX · 178 citations
with Simon Behrendt, Franziska J. Peter, David J. Zimmermann
Price discovery on Bitcoin markets
published 2019 · Digital Finance · 52 citations · first circulated 2018
with Paolo Pagnottoni, Dirk Baur, Dirk G. Baur
Today I got a million, tomorrow, I don't know: On the predictability of cryptocurrencies by means of Google search volume
published 2019 · International Review of Financial Analysis · 79 citations
Price discovery in bitcoin spot or futures?
published 2019 · Journal of Futures Markets · 135 citations · first circulated 2018
with Dirk G. Baur
Group transfer entropy with an application to cryptocurrencies
published 2018 · Physica A Statistical Mechanics and its Applications · 41 citations
with Franziska J. Peter
Asymmetric volatility in cryptocurrencies
published 2018 · Economics Letters · 349 citations
with Dirk G. Baur
The asymmetric return-volatility relationship of commodity prices
published 2018 · Energy Economics · 63 citations
with Dirk G. Baur
A Quantile Regression Approach to Estimate the Variance of Financial Returns*
published 2018 · Journal of Financial Econometrics · 16 citations
with Dirk G. Baur
Analyzing volatility transmission using group transfer entropy
published 2018 · Energy Economics · 56 citations
with Franziska J. Peter
How Unemployment Affects Bond Prices: A Mixed Frequency Google Nowcasting Approach
published 2018 · Computational Economics · 3 citations
with Tobias Langen
Think again: volatility asymmetry and volatility persistence
published 2018 · Studies in Nonlinear Dynamics and Econometrics · 16 citations · first circulated 2017
with Dirk G. Baur
Bitcoin, gold and the US dollar – A replication and extension
published 2017 · Finance research letters · 522 citations
with Dirk G. Baur, Konstantin Kuck
Investor Pessimism and the German Stock Market: Exploring Google Search Queries
published 2017 · German Economic Review · 37 citations · first circulated 2016
with Vladislav Kleiman
Price discovery in agricultural commodity markets in the presence of futures speculation
published 2017 · Journal of commodity markets · 82 citations
with Michael Flad, Robert C. Jung
Googling gold and mining bad news
published 2016 · Resources Policy · 25 citations
with Dirk G. Baur
Price discovery in the markets for credit risk: a Markov switching approach
published 2015 · Studies in Nonlinear Dynamics and Econometrics · 1 citations
with Franziska J. Peter
Can Internet Search Queries Help to Predict Stock Market Volatility?
published 2015 · European Financial Management · 355 citations · first circulated 2012
with Stephan Jank
The impact of the financial crisis on transatlantic information flows: An intraday analysis
published 2014 · Journal of International Financial Markets Institutions and Money · 105 citations
with Franziska J. Peter
A note on cointegration of international stock market indices
published 2013 · International Review of Financial Analysis · 19 citations
EDITORIAL
published 2013 · Geburtshilfe und Frauenheilkunde
Using transfer entropy to measure information flows between financial markets
published 2013 · Studies in Nonlinear Dynamics and Econometrics · 215 citations · first circulated 2010
with Franziska J. Peter, Peter Franziska Julia, Luis Huergo
Vol. 8, Issue 3, June 2013 / Band 8, Heft 3, Juni 2013
published 2013 · Breast Care
with Mike Kipling, Christopher Christou, Ludger Barthelmes, Metehan Gümüş, Hatice Gümüş, Sue Jones, Peter A. Jones, Ali Sever, Jennifer Weeks, Monika Eichholzer, Dorothy Jane Huang, Alexandra Modlasiak, …
Stock return autocorrelations revisited: A quantile regression approach
published 2012 · Journal of Empirical Finance · 30 citations · first circulated 2011
with Dirk G. Baur, Robert C. Jung
Financial market spillovers around the globe
published 2011 · Applied Financial Economics · 60 citations
with Robert C. Jung
The impact of US news on the German stock market—An event study analysis
published 2011 · The Quarterly Review of Economics and Finance · 42 citations · first circulated 2009
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