Publications

TitleYearPublication typeAuthor (s)
Nonstandard Errors
The Journal of Finance
2024Journal article (peer-reviewed)Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Thomas Dimpfl et al.
Cut your losses and let your profits run
The Journal of Portfolio Management, Volume 50, Issue 1
2023Journal article 
(peer-reviewed)

Dirk G. Baur, Thomas Dimpfl

Information shares for markets with partially overlapping trading hours 
Journal of Banking & Finance, Volume 154

2023

Journal article (peer-reviewed)

Karsten Schweikert, Thomas Dimpfl
Attention and Retail Investor Herding in Cryptocurrency Markets
Finance Research Letters, Volume 51
2023Journal article 
(peer-reviewed)
Sophia Koch, Thomas Dimpfl 
Future portfolio returns and the VIX term structure
Journal of Risk, Volume 24 (5)
2022Journal article (peer-reviewed)David Yechiam Aharon, Thomas Dimpfl
Estimating the SARS-CoV-2 infection fatality rate by data combination: The case of Germany's first wave
The Econometrics Journal, Volume 25 (2)
2022Journal article (peer-reviewed)Thomas Dimpfl, Jantje Sönksen, Ingo Bechmann, Joachim Grammig
Benefits of additional online practice opportunities in higher education
 The Internet and Higher Education, Volume 53, 100834
2022Journal contribution (peer-reviewed)Jakob Schwerter, Thomas Dimpfl, Johannes Bleher, Kou Murayama

Knitting Multi-Annual High Frequency Google Trends to Predict Inflation and Consumption Econometrics and Statistics, Volume 24
Code

2022

Journal contribution (peer-reviewed)

Johannes Bleher, Thomas Dimpfl
Volatility Discovery in Cryptocurrency Markets
Journal of Risk Finance, Volume 22 (5)
2021Journal contribution (peer-reviewed)Thomas Dimpfl, Dalia Elshiaty
Price Discovery and Learning during the German 5G Auction
Journal of Risk and Financial Management, Volume 14 (6)
2021Journal contribution (peer-reviewed)Thomas Dimpfl, Alexander Reining
Computergestützte Methodenkompetenzvermittlung für Studienanfänger in den wirtschaftswissenschaftlichen Studiengängen
Tübinger Beiträge zur Hochschuldidaktik
2021MonographJohannes Bleher, Thomas Dimpfl
The Volatility of Bitcoin and its Role as a Medium of Exchange and a Store of Value
Empirical Economics
2021Journal contribution (peer-reviewed)Dirk G. Baur, Thomas Dimpfl

Nothing but noise? Price discovery across cryptocurrency exchanges
Journal of Financial Markets, Volume 54

2021Journal contribution (peer-reviewed)Thomas Dimpfl, Franziska J. Peter
Bitcoin Price Risk - A Durations Perspective
Journal of Risk and Financial Management, Volume 13
Data+Code
2020Journal contribution (peer-reviewed)Thomas Dimpfl, Stefania Odelli
RTransferEntropy - Quantifying information flow between different time series using effective transfer entropy
SoftwareX, Volume 10
2019Journal contribution (peer-reviewed)Simon Behrendt, Thomas Dimpfl, Franziska J. Peter and David V. Zimmernann
Price discovery on Bitcoin markets
Digital Finance, Volume 1 
2019Journal contribution (peer-reviewed)Thomas Dimpfl, Paolo Pagnottoni
A Quantile Regression Approach to Estimate the Variance of Financial Returns
Journal of Financial Econometrics, Volume 17 (4)
Data+Code
2019Journal contribution (peer-reviewed)Dirk G. Baur, Thomas Dimpfl
How Unemployment Affects Bond Prices: A Mixed Frequency Google Nowcasting Approach
Computational Economics, Volume 54 (2)
2019Journal contribution (peer-reviewed)Thomas Dimpfl, Tobias Langen

Price discovery in bitcoin spot or future?
Journal of Futures Markets, Volume 39 (7)

2019Journal contribution(peer-reviewed)Dirk G. Baur, Thomas Dimpfl
Today I got a million, tomorrow, I don't know: On the predictability of cryptocurrencies by means of Google search volume
International Review of Financial Analysis, Volume 63
2019Journal contribution (peer-reviewed)Johannes Bleher, Thomas Dimpfl
Think Again: Volatility Asymmetry and Volatility Persistence
Studies in Nonlinear Dynamics and Econometrics, Volume 23 (1)
2019Journal contribution (peer-reviewed)Dirk G. Baur, Thomas Dimpfl
Investor Pessimism and the German Stock Market: Exploring Google Search Queries
German Economic Review, Volume 20 (1)
2019Journal contribution (peer-reviewed)Thomas Dimpfl, Vladislav Kleiman
Group Transfer Entropy with an application to cryptocurrencies
Physica A, Volume 516
2019Journal contribution (peer-reviewed)Thomas Dimpfl, Franziska J. Peter
The Asymmetric Return - Volatility Relationship of Commodity Prices
Energy Economics, Volume 76
2018Journal contribution (peer-reviewed)Dirk G. Baur, Thomas Dimpfl
Asymmetric Volatility in Cryptocurrencies
Economics Letters, Volume 173
2018Journal contribution (peer-reviewed)Dirk G. Baur, Thomas Dimpfl
Analyzing Volatility Transmission Using Group Transfer Entropy
Energy Economics, Volume 7
2018Journal contribution (peer-reviewed)Thomas Dimpfl, Franziska J. Peter
Bitcoin, Gold and the US Dollar - A Replication and Extension
Finance Research Letters, Volume 25
2018Journal contribution (peer-reviewed)Dirk G. Baur, Thomas Dimpfl, Konstantin Kuck
Price discovery in agricultural commodity markets in the presence of futures speculation
Journal of Commodity Markets, Volume 5
2017Journal contribution (peer-reviewed)Thomas Dimpfl, Michael Flad, Robert C. Jung
Googling Gold and Mining Bad News
Resources Policy, Volume 5
2016Journal contribution (peer-reviewed)Dirk G. Baur, Thomas Dimpfl
Labor income risk and households' risky asset holdings
Studies in Economics and Finance, Volume 33 (2)
2016Journal contribution(peer-reviewed)Gideon Becker, Thomas Dimpfl
Price discovery in the markets for credit risk: A Markov switching approach
Studies in Nonlinear Dynamics and Econometrics, Volume 20 (3)
2016Journal contribution (peer-reviewed)Thomas Dimpfl, Franziska J. Peter

Can Internet Search Queries Help to Predict Stock Market Volatility? European Financial Management, Volume 22 (2)

2016Journal contribution(peer-reviewed)Thomas Dimpfl, Stephan Jank

The impact of the financial crisis on transatlantic information flows: an intraday analysis
Journal of International Financial Markets, Institutions & Money, Volume 31

2014Journal contribution(peer-reviewed)Thomas Dimpfl, Franziska J. Peter

A Note on Cointegration of International Stock Market Indice
International Review of Financial Analysis, Volume 33

2014Journal contribution(peer-reviewed)Thomas Dimpfl
Using transfer entropy to measure information
ows between fi nancial market

Studies in Nonlinear Dynamics & Econometrics, Volume 17 (1)
2013Journal contribution (peer-reviewed)Thomas Dimpfl, Franziska J. Peter

Stock Return Autocorrelations Revisited: A Quantile Regression Approach
Journal of Empirical Finance, Volume 19 (2) 

2012Journal contribution (peer-reviewed)Dirk G. Baur, Thomas Dimpfl, Robert. C. Jung

Financial Market Spillovers around the Globe
Applied Financial Economics, Volume 22 (1)

2012Journal contribution (peer-reviewed) Thomas Dimpfl, Robert C. Jung

The impact of US News on the German Stock Market - An Event Study Analysis
Quarterly Review of Economics and Finance, Volume 51 (4)


 

2011Journal contribution(peer-reviewed) Thomas Dimpfl