Franziska J. Peter
Franziska J. Peter
Bestätigte E-Mail-Adresse bei
Zitiert von
Zitiert von
Using transfer entropy to measure information flows between financial markets
T Dimpfl, FJ Peter
Studies in Nonlinear Dynamics and Econometrics 17 (1), 85-102, 2013
RTransferEntropy—Quantifying information flow between different time series using effective transfer entropy
S Behrendt, T Dimpfl, FJ Peter, DJ Zimmermann
SoftwareX 10, 100265, 2019
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
Telltale tails: A new approach to estimating unique market information shares
J Grammig, FJ Peter
Journal of Financial and Quantitative Analysis 48 (2), 459-488, 2013
The Fama-French five-factor model plus momentum: Evidence for the German market
P Dirkx, FJ Peter
Schmalenbach Business Review 72, 661-684, 2020
Analyzing volatility transmission using group transfer entropy
T Dimpfl, FJ Peter
Energy Economics 75, 368-376, 2018
Nothing but Noise? Price Discovery Across Cryptocurrency Exchanges
T Dimpfl, FJ Peter
forthcoming in Journal of Financial Markets, 2020
Group transfer entropy with an application to cryptocurrencies
T Dimpfl, FJ Peter
Physica A: Statistical Mechanics and its Applications 516, 543-551, 2019
An encyclopedia for stock markets? Wikipedia searches and stock returns
S Behrendt, FJ Peter, D Zimmermann
International Review of Financial Analysis, 2020
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
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
The Determinants of Banks’ AT1 CoCo Spreads
A Kind, P Oster, FJ Peter
European Financial Management, 2021
Are you a zombie? A supervised learning method to classify unviable firms and identify the determinants
A De Martiis, TL Heil, FJ Peter
SSRN wpn 3625473, 2021
Implementing the Fama-French five-factor model for the German stock market
P Dirkx, FJ Peter
Available at SSRN 3300642, 2018
Measuring 25 years of global equity market co-movement using a time-varying spatial model
TLA Heil, FJ Peter, P Prange
Journal of International Money and Finance 128, 102708, 2022
When Companies Don't Die: Analyzing Zombie and Distressed Firms in a Low Interest Rate Environment
A De Martiis, FJ Peter
Available at SSRN 3890788, 2021
Where is the market? Three econometric approaches to measure contributions to price discovery
FJ Peter
Universität Tübingen, 2011
Tumbling titans? The changing patterns of price discovery in the US equity market
J Grammig, FJ Peter
The Changing Patterns of Price Discovery in the US Equity Market (April 18 …, 2018
International price discovery in the presence of market microstructure effects
JG Grammig, FJ Peter
CFR working paper, 2008
International price discovery in stock markets-a unique intensity based information share
K Kehrle, FJ Peter
Available at SSRN 1569507, 2010
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