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 and Econometrics 17 (1), 85-102, 2013
1352013
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
602014
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
592013
RTransferEntropy—Quantifying information flow between different time series using effective transfer entropy
S Behrendt, T Dimpfl, FJ Peter, DJ Zimmermann
SoftwareX 10, 100265, 2019
472019
Analyzing volatility transmission using group transfer entropy
T Dimpfl, FJ Peter
Energy Economics 75, 368-376, 2018
252018
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
Group transfer entropy with an application to cryptocurrencies
T Dimpfl, FJ Peter
Physica A: Statistical Mechanics and its Applications 516, 543-551, 2019
162019
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
112011
Nothing but Noise? Price Discovery Across Cryptocurrency Exchanges
T Dimpfl, FJ Peter
forthcoming in Journal of Financial Markets, 2020
52020
International price discovery in the presence of market microstructure effects
JG Grammig, FJ Peter
CFR working paper, 2008
52008
Implementing the Fama-French Five-Factor Model for the German Stock Market
P Dirkx, FJ Peter
Available at SSRN 3300642, 2018
42018
The Fama-French Five-Factor Model Plus Momentum: Evidence for the German Market
P Dirkx, FJ Peter
Schmalenbach Business Review 72 (4), 661-684, 2020
32020
International price discovery in stock markets-a unique intensity based information share
K Kehrle, FJ Peter
Available at SSRN 1569507, 2010
32010
An encyclopedia for stock markets? Wikipedia searches and stock returns
S Behrendt, FJ Peter, D Zimmermann
International Review of Financial Analysis, 2020
22020
Tell-tale tails: A data driven approach to estimate unique market information shares
JG Grammig, FJ Peter
CFR working paper, 2010
22010
Are you a Zombie? A Supervised Learning Method to Classify Unviable Firms and Identify the Determinants
A De Martiis, TLA Heil, FJ Peter
Financial Times, 2020
12020
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
12018
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
12016
Global Equity Market Co-Movement During Crisis Periods
T Heil, FJ Peter, P Prange
Available at SSRN 3789513, 2021
2021
The Determinants of Banks’ AT1 CoCo Spreads
A Kind, P Oster, FJ Peter
European Financial Management, 2021
2021
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