Franziska Peter
Franziska Peter
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Titel
Zitiert von
Zitiert von
Jahr
Using transfer entropy to measure information flows between financial markets
T Dimpfl, FJ Peter
Studies in Nonlinear Dynamics & Econometrics 17 (1), 85-102, 2013
992013
Telltale tails: A new approach to estimating unique market information shares
J Grammig, FJ Peter
Journal of Financial and Quantitative Analysis, 459-488, 2013
512013
The impact of the financial crisis on transatlantic information flows: An intraday analysis
T Dimpfl, FJ Peter
Journal of International Financial Markets, Institutions and Money 31, 1-13, 2014
432014
RTransferEntropy—Quantifying information flow between different time series using effective transfer entropy
S Behrendt, T Dimpfl, FJ Peter, DJ Zimmermann
SoftwareX 10, 100265, 2019
182019
Who moves first? An intensity-based measure for information flows across stock exchanges
K Kehrle, FJ Peter
Journal of Banking & Finance 37 (5), 1629-1642, 2013
172013
Analyzing volatility transmission using group transfer entropy
T Dimpfl, FJ Peter
Energy Economics 75, 368-376, 2018
142018
Using transfer entropy to measure information flows from and to the CDS market
FJ Peter, T Dimpfl, L Huergo
Midwest Finance Association 2012 Annual Meetings Paper; Available online …, 2011
102011
Group transfer entropy with an application to cryptocurrencies
T Dimpfl, FJ Peter
Physica A: Statistical Mechanics and its Applications 516, 543-551, 2019
72019
International price discovery in the presence of market microstructure effects
JG Grammig, FJ Peter
CFR working paper, 2008
42008
International price discovery in stock markets-a unique intensity based information share
K Kehrle, FJ Peter
Available at SSRN 1569507, 2010
32010
Tell-tale tails: A data driven approach to estimate unique market information shares
JG Grammig, FJ Peter
CFR working paper, 2010
32010
Implementing the Fama-French Five-Factor Model for the German Stock Market
P Dirkx, F Peter
Available at SSRN 3300642, 2018
22018
The Fama-French Five-Factor Model Plus Momentum: Evidence for the German Market
P Dirkx, FJ Peter
Schmalenbach Business Review, 1-24, 2020
2020
No Model No Cry? Intraday Model-Free Implied Volatility and the Leverage Effect for Individual Equities
FJ Peter, MG Haas
Intraday Model-Free Implied Volatility and the Leverage Effect for …, 2020
2020
Are you a Zombie? Understanding the Determinants of Distressed and Zombie Companies
A De Martiis, T Heil, F Peter
Understanding the Determinants of Distressed and Zombie Companies (June 12 …, 2020
2020
An encyclopedia for stock markets? Wikipedia searches and stock returns
S Behrendt, FJ Peter, D Zimmermann
International Review of Financial Analysis, 2020
2020
Nothing but Noise? Price Discovery Across Cryptocurrency Exchanges
T Dimpfl, FJ Peter
forthcoming in Journal of Financial Markets, 2020
2020
Tumbling Titans? The Changing Patterns of Price Discovery in the US Equity Market
J Grammig, F Peter
The Changing Patterns of Price Discovery in the US Equity Market (April 18 …, 2018
2018
Fall of giants? An empirical analysis of price discovery in US equity markets
J Grammig, FJ Peter
2017
Price discovery in the markets for credit risk: a Markov switching approach
T Dimpfl, FJ Peter
Studies in Nonlinear Dynamics & Econometrics 20 (3), 233-249, 2016
2016
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