Thomas Dimpfl

University of Hohenheim

Germany

SCHOLARLY PAPERS

34

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Scholarly Papers (34)

1.
Downloads 3,882 ( 3,288)

Non-Standard Errors

Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 29 Nov 2021
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Prokopczuk Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund (IMF), Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Lum University Giuseppe Degennaro, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, affiliation not provided to SSRN, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, Vrije Universiteit Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, Vrije Universiteit Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, Queen's University - Smith School of Business, University of Technology Sydney (UTS), Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of Sydney Business School, Université Paris Dauphine, Hong Kong Institute for Monetary and Financial Research, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, Cornell University, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University, Justus Liebig University Giessen, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Faculty of Economics and Administration, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, University of Maryland, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), Vrije Universiteit Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna Graduate School of Finance (VGSF), Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, Vrije Universiteit Amsterdam, Auburn University, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Vrije Universiteit Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, Leibniz University Hannover, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 3,882 (3,359)

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non-standard errors, multi-analyst approach, liquidity

2.

Bitcoin Market Microstructure

Number of pages: 25 Posted: 11 Apr 2017
Thomas Dimpfl
University of Hohenheim
Downloads 1,343 (19,083)
Citation 13

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adverse selection, Bitcoin, liquidity, market microstructure

Can Internet Search Queries Help to Predict Stock Market Volatility?

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper, European Financial Management, Forthcoming
Number of pages: 34 Posted: 10 Oct 2011 Last Revised: 07 Jan 2016
Thomas Dimpfl, Stephan Jank and Stephan Jank
University of Hohenheim and Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR)
Downloads 1,278 (20,238)
Citation 23

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realized volatility, forecasting, investor behavior, limited attention, noise trader, search engine data

Can Internet Search Queries Help to Predict Stock Market Volatility?

European Financial Management, Vol. 22, Issue 2, pp. 171-192, 2016
Number of pages: 22 Posted: 02 Mar 2016
Thomas Dimpfl, Stephan Jank and Stephan Jank
University of Hohenheim and Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR)
Downloads 1 (849,271)
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realised volatility, forecasting, investor behaviour, limited attention, noise trader, search engine data

4.

Excess Volatility as an Impediment for a Digital Currency

Number of pages: 40 Posted: 11 Apr 2017 Last Revised: 04 May 2018
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Hohenheim
Downloads 1,043 (27,747)
Citation 7

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Bitcoin, digital currency, medium of exchange, realized volatility

5.

Stock Return Autocorrelations Revisited: A Quantile Regression Approach

Journal of Empirical Finance, Vol. 19, Issue 2, pp. 251-265, March 2012
Number of pages: 25 Posted: 20 Dec 2011 Last Revised: 09 Oct 2012
Dirk G. Baur, Thomas Dimpfl and Robert Jung
University of Western Australia - Business School, University of Hohenheim and University of Hohenheim - Institute of Economics
Downloads 517 (70,941)
Citation 2

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stock return distribution, quantile autoregression, overreaction and underreaction

6.

Bitcoin, Gold and the Dollar - A Replication and Extension

Number of pages: 21 Posted: 24 Aug 2017 Last Revised: 26 Aug 2017
Dirk G. Baur, Thomas Dimpfl and Konstantin Kuck
University of Western Australia - Business School, University of Hohenheim and University of Hohenheim - Computational Science Lab (CSL)
Downloads 452 (83,477)
Citation 30

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replication study, Bitcoin, cryptocurrencies

7.

Price Discovery in Bitcoin Spot or Futures?

Number of pages: 35 Posted: 13 May 2018 Last Revised: 01 Dec 2018
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Hohenheim
Downloads 414 (92,406)
Citation 22

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Bitcoin, Futures, Price Discovery, Co-Integration, Information Shares

8.

A Safe Haven Index

Number of pages: 36 Posted: 02 Jul 2020 Last Revised: 24 Feb 2021
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Hohenheim
Downloads 274 (145,296)

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safe haven, volatility, gold, government bonds, Bitcoin, COVID-19, safe assets

9.

Today I Got a Million, Tomorrow, I Don't Know: On the Predictability of Cryptocurrencies by Means of Google Search Volume

Number of pages: 34 Posted: 28 Feb 2018 Last Revised: 27 Mar 2019
Johannes Bleher and Thomas Dimpfl
University of Tuebingen - Department of Statistics and Econometrics and University of Hohenheim
Downloads 273 (145,834)
Citation 6

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Bitcoin, Cryptocurrency, Volatility, Prediction, Google Search Volume

10.

Think Again: Volatility Asymmetry and Volatility Persistence

Number of pages: 37 Posted: 08 Jul 2016 Last Revised: 09 Feb 2017
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Hohenheim
Downloads 215 (183,997)
Citation 5

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volatility asymmetry; volatility persistence; volatility feedback; GARCH; realized volatility; jumps; quantile regression

11.

Knitting Multi-Annual High-Frequency Google Trends to Predict Inflation and Consumption

Number of pages: 54 Posted: 10 Apr 2019 Last Revised: 08 Dec 2019
Johannes Bleher and Thomas Dimpfl
University of Tuebingen - Department of Statistics and Econometrics and University of Hohenheim
Downloads 191 (205,147)
Citation 1

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Google Trends, Search Volume Index, Consistent Time Series; Inflation, Consumption

12.

State-Dependent Momentum in International Stock Markets

Number of pages: 37 Posted: 10 Jul 2012
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Hohenheim
Downloads 167 (230,384)

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quantile autoregression (QAR), return autocorrelation, investor behavior, momentum, underreaction, financial crisis

13.

A Note on Cointegration of International Stock Market Indices

International Review of Financial Analysis, Vol. 33, 2014
Number of pages: 26 Posted: 15 Dec 2010 Last Revised: 09 Jan 2016
Thomas Dimpfl
University of Hohenheim
Downloads 164 (233,907)

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Cointegration, Random Walk, International Financial Markets

14.

Safe Haven Assets - The Bigger Picture

Number of pages: 29 Posted: 22 Mar 2021
Dirk G. Baur, Thomas Dimpfl and Konstantin Kuck
University of Western Australia - Business School, University of Hohenheim and University of Hohenheim - Computational Science Lab (CSL)
Downloads 148 (254,750)

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safe haven, safe assets, quantile regression, crisis

15.

Asymmetric Volatility in Cryptocurrencies

Number of pages: 11 Posted: 29 Mar 2019
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Hohenheim
Downloads 129 (283,378)
Citation 15

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asymmetric volatility, Bitcoin, cryptocurrencies, FOMO

16.

Price Discovery on Bitcoin Markets

Number of pages: 25 Posted: 16 Nov 2018 Last Revised: 16 Dec 2018
Paolo Pagnottoni and Thomas Dimpfl
University of Pavia - Department of Economics and Management and University of Hohenheim
Downloads 125 (290,244)
Citation 9

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price discovery, bitcoin, hasbrouck information shares

17.

Investor Pessimism and the German Stock Market: Exploring Google Search Queries

Number of pages: 39 Posted: 29 Jun 2016 Last Revised: 05 Sep 2016
Thomas Dimpfl and Vladislav Kleiman
University of Hohenheim and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 123 (293,713)
Citation 1

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Investor Pessimism; Sentiment; Google Search Queries; LASSO; Sparse PCA

18.

Information Transmission across Cryptocurrency Markets and the Role of the Blockchain

Number of pages: 42 Posted: 06 May 2020
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Hohenheim
Downloads 112 (313,874)

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Bitcoin, cryptocurrencies, blockchain, market efficiency, latency, sampling frequency

19.

Googling Gold and Mining Bad News

Number of pages: 17 Posted: 08 Jan 2016 Last Revised: 28 Jul 2016
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Hohenheim
Downloads 108 (321,858)
Citation 2

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gold, volatility, investor attention, google, search queries

20.

Volatility Discovery in Cryptocurrency Markets

Number of pages: 28 Posted: 06 Jan 2021
Thomas Dimpfl and Dalia Elshiaty
University of Hohenheim and University of Tuebingen - Department of Statistics and Econometrics
Downloads 105 (328,065)
Citation 1

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Volatility, volatility discovery, Bitcoin, cryptocurrency

21.

A Storm But No Damage? A Two-Country Equity and Currency Market Perspective of Brexit

Number of pages: 31 Posted: 20 Mar 2018
University of Western Australia - Business School, University of Hohenheim and The University of Western Australia
Downloads 103 (332,244)

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Brexit, Cross-Listing, Price Discovery, Volatility, High-Frequency Data, Contagion

22.

From orders to prices: A stochastic description of the limit order book to forecast intraday returns

Number of pages: 82 Posted: 28 May 2020 Last Revised: 21 Apr 2021
Johannes Bleher, Michael Bleher and Thomas Dimpfl
University of Tuebingen - Department of Statistics and Econometrics, Heidelberg University - Mathematisches Institut and University of Hohenheim
Downloads 86 (372,615)
Citation 1

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Limit Order Book, Master Equation, Continuous Markov Process, High Frequency, Market Microstructure

23.

Nothing but Noise? Price Discovery between Cryptocurrency Exchanges

Number of pages: 47 Posted: 24 Apr 2020
Thomas Dimpfl and Franziska J. Peter
University of Hohenheim and Zeppelin University
Downloads 83 (380,687)
Citation 2

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price discovery, cryptocurrency, Bitcoin, information share, microstructure noise

24.

Persistent Imbalances: The Impact of Exchange Rate Appreciation on China's Trade Balances

Number of pages: 29 Posted: 24 Mar 2018 Last Revised: 15 Sep 2019
Thomas Dimpfl and Alexander Schmidt
University of Hohenheim and University of Hohenheim
Downloads 78 (394,732)

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Exchange Rate, Trade Balance, Structural Identification, China

25.

Inter-Quantile Ranges and Volatility of Financial Data

Number of pages: 34 Posted: 08 Sep 2016 Last Revised: 05 Oct 2016
Thomas Dimpfl and Dirk G. Baur
University of Hohenheim and University of Western Australia - Business School
Downloads 76 (400,603)

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quantile autoregression (QAR), asymmetric volatility, inter-quantile range

26.

A Cross-Country Analysis of Unemployment and Bonds with Long-Memory Relations

Number of pages: 40 Posted: 10 Mar 2015
Thomas Dimpfl and Tobias Langen
University of Hohenheim and University of Tübingen
Downloads 72 (412,756)

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Nowcasting, Long-memory components, Heterogeneous VAR, Unemployment, Bond yields, Google searches

27.

Dry As the Desert? On the Liquidity of a Bitcoin Exchange

Number of pages: 58 Posted: 02 Dec 2020 Last Revised: 15 Nov 2021
Thomas Dimpfl and Kai Mäckle
University of Hohenheim and University of Mannheim Graduate School of Economic and Social Sciences, Students
Downloads 70 (419,143)

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microstructure, Bitcoin, liquidity, spread, Kraken

28.

The Asymmetric Return - Volatility Relationship of Commodity Price Changes

Number of pages: 23 Posted: 01 Apr 2019
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Hohenheim
Downloads 65 (435,751)
Citation 4

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asymmetric volatility, leverage effect, volatility feedback effect, commodities; financialization

29.

Price Discovery and Learning During the German 5G Auctions

Number of pages: 32 Posted: 07 May 2020 Last Revised: 18 Nov 2020
Thomas Dimpfl and Alexander Reining
University of Hohenheim and University of Tübingen
Downloads 63 (442,693)

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5G auction, price formation, learning

30.

Insider Trading Laws as a Defeat Device

Number of pages: 27 Posted: 29 Apr 2019 Last Revised: 20 May 2019
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Hohenheim
Downloads 46 (509,807)

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insider trading, trust, efficient markets, illusion, defeat device, extreme price movements, crash risk, manipulation

31.

Practice Makes Perfect? Self-testing with External Rewards

Number of pages: 64 Posted: 23 Apr 2021
affiliation not provided to SSRN, University of Hohenheim, University of Tuebingen - Department of Statistics and Econometrics and affiliation not provided to SSRN
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Abstract:

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e-learning, higher education, mathematics, learning outcomes

32.

Using Transfer Entropy to Measure Information Flows Between Financial Markets

Midwest Finance Association 2012 Annual Meetings Paper
Posted: 29 Sep 2010 Last Revised: 18 Apr 2017
Franziska J. Peter and Thomas Dimpfl
Eberhard Karls Universität Tübingen and University of Hohenheim

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CDS, entropy, information flow, non-linear dynamics, price discovery

33.

The Impact of US News on the German Stock Market - An Event Study Analysis

Quarterly Review of Economics and Finance, Vol. 51, No. 4, pp. 389-398, 2010
Posted: 17 Feb 2009 Last Revised: 18 Oct 2011
Thomas Dimpfl
University of Hohenheim

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event study, news impact, spillover, volatility, price discovery

34.

Financial Market Spillovers Around the Globe

Applied Financial Economics, Vol. 22, Issue 1, 2012
Posted: 19 Jul 2007 Last Revised: 07 Oct 2011
Thomas Dimpfl and Robert Jung
University of Hohenheim and University of Hohenheim - Institute of Economics

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Spillovers, Index Futures, Realized Volatility, Structural VAR model, HAR-RV model