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Volatility discovery in cryptocurrency markets

Dimpfl, Thomas; Elshiaty, Dalia - In: The Journal of Risk Finance 22 (2021) 5, pp. 313-331

Purpose: Cryptocurrency markets are notoriously noisy, but not all markets might behave in the exact same way. Therefore, the aim of this paper is to investigate which one of the cryptocurrency markets contributes the most to the common volatility component inherent in the market....

Persistent link: https://www.econbiz.de/10012641143

Price discovery in bitcoin spot or futures?

Baur, Dirk G.; Dimpfl, Thomas - In: Journal of Futures Markets 39 (2019) 7, pp. 803-817

Persistent link: https://www.econbiz.de/10012082195

Using transfer entropy to measure information flows between financial markets

Dimpfl, Thomas; Peter, Franziska Julia - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 1, pp. 85-102

Persistent link: https://www.econbiz.de/10009728461

Can internet search queries help to predict stock market volatility?

Dimpfl, Thomas; Jank, Stephan - In: European financial management : the journal of the … 22 (2016) 2, pp. 171-192

Persistent link: https://www.econbiz.de/10011482049

Price discovery in the markets for credit risk : a Markov switching approach

Dimpfl, Thomas; Peter, Franziska Julia - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 3, pp. 233-249

Persistent link: https://www.econbiz.de/10011507523

Analyzing volatility transmission using group transfer entropy

Dimpfl, Thomas; Peter, Franziska Julia - In: Energy economics 75 (2018), pp. 368-376

Persistent link: https://www.econbiz.de/10011974349

The asymmetric return-volatility relationship of commodity prices

Baur, Dirk G.; Dimpfl, Thomas - In: Energy economics 76 (2018), pp. 378-387

Persistent link: https://www.econbiz.de/10011976677

Labor income risk and households' risky asset holdings

Becker, Gideon; Dimpfl, Thomas - In: Studies in economics and finance 33 (2016) 2, pp. 262-280

Persistent link: https://www.econbiz.de/10011719146

Bitcoin, gold and the US dollar : a replication and extension

Baur, Dirk G.; Dimpfl, Thomas; Kuck, Konstantin - In: Finance research letters 25 (2018), pp. 103-110

Persistent link: https://www.econbiz.de/10012003479

A quantile regression approach to estimate the variance of financial returns

Baur, Dirk G.; Dimpfl, Thomas - In: Journal of financial econometrics 17 (2019) 4, pp. 616-644

Persistent link: https://www.econbiz.de/10012152237