Econometrics, Statistics and Empirical Economics

Publications

Nothing but noise? Price discovery across cryptocurrency exchanges
Journal of Financial Markets, accepted for publication
with Franziska J. Peter

Bitcoin Price Risk - A Durations Perspective
Journal of Risk and Financial Management, Volume 13, 2020
with Stefania Odelli
data+code

RTransferEntropy - Quantifying information flow between different time series using effective transfer entropy
SoftwareX, Volume 10, 2019
with Simon Behrendt, Franziska J. Peter, and David J. Zimmermann

Price discovery on Bitcoin markets
Digital Finance, Volume 1, Issue 1-4, 2019
with Paolo Pagnottoni

A Quantile Regression Approach to Estimate the Variance of Financial Returns
Journal of Financial Econometrics, Volume 17, Issue 4, 2019
with Dirk G. Baur
data+code

How Unemployment Affects Bond Prices: A Mixed Frequency Google Nowcasting Approach
Computational Economics, Volume 54, Issue 2, 2019
with Tobias Langen

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, 2019
with Johannes Bleher

Price discovery in bitcoin spot or future?
Journal of Futures Markets, Volume 39, Issue 7, 2019
with Dirk G. Baur

Think Again: Volatility Asymmetry and Volatility Persistence
Studies in Nonlinear Dynamics and Econometrics, Volume 23, Issue 1, 2019
with Dirk G. Baur

Investor Pessimism and the German Stock Market: Exploring Google Search Queries
German Economic Review, Volume 20, Issue 1, 2019
with Vladislav Kleiman

Group Transfer Entropy with an application to cryptocurrencies
Physica A, Volume 516, 2019
with Franziska J. Peter

The Asymmetric Return - Volatility Relationship of Commodity Prices
Energy Economics, Volume 76, 2018
with Dirk G. Baur

Asymmetric Volatility in Cryptocurrencies
Economics Letters, Volume 173, 2018
with Dirk G. Baur

Analyzing Volatility Transmission Using Group Transfer Entropy
Energy Economics, Volume 75, 2018
with Franziska J. Peter

Bitcoin, Gold and the US Dollar - A Replication and Extension
Finance Research Letters, Volume 25, 2018
with Dirk G. Baur and Konstantin Kuck

Price discovery in agricultural commodity markets in the presence of futures speculation
Journal of Commodity Markets, Volume 5, 2017
with Michael Flad and Robert C. Jung

Googling Gold and Mining Bad News
Resources Policy, Volume 50, 2016
with Dirk G. Baur

Price discovery in the markets for credit risk: A Markov switching approach
Studies in Nonlinear Dynamics and Econometrics, Volume 20, Issue 3, 2016
with Franziska J. Peter

Labor income risk and households' risky asset holdings
Studies in Economics and Finance, Volume 33, Issue 2, 2016
with Gideon Becker

Can Internet Search Queries Help to Predict Stock Market Volatility?
European Financial Management, Volume 22, Issue 2, 2016
with Stephan Jank
EFM Reader's Choice Best Paper Award

The impact of the financial crisis on transatlantic information flows: an intraday analysis
Journal of International Financial Markets, Institutions & Money, Volume 31, 2014
with Franziska J. Peter
Software to implement Rényi transfer entropy

A Note on Cointegration of International Stock Market Indices
International Review of Financial Analysis, Volume 33, 2014

Using transfer entropy to measure information flows between financial markets
Studies in Nonlinear Dynamics and Econometrics, Volume 17, Issue 1, 2013
with Franziska J. Peter
Software to implement transfer entropy

Stock Return Autocorrelations Revisited: A Quantile Regression Approach
Journal of Empirical Finance, Volume 19, Issue 2, 2012
with Dirk G. Baur and Robert C. Jung

Financial Market Spillovers around the Globe
Applied Financial Economics, Volume 22, Issue 1, 2012,
with 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, Issue 4, 2011

 

Working papers

A Safe Haven Index (2020)
with Dirk G. Baur

Insider Trading Laws as a Defeat Device (2019)
with Dirk G. Baur

Persistent Imbalances: The Impact of Exchange Rate Appreciation on China's Trade Balances (2018)
with Alexander Schmidt

A Storm But No Damage? A Two-Country Equity and Currency Market Perspective of Brexit (2018)
with Dirk G. Baur and Sirimon Treepongkaruna

Bitcoin Market Microstructure (2017)

Realized Bitcoin Volatility (2017)
with Dirk G. Baur

Inter-quantile ranges and volatility of financial data (2016)
with Dirk G. Baur

State-Dependent Momentum in International Stock Markets (2012)
with Dirk G. Baur