Franziska J. Peter

Zeppelin University

Am Seemooser Horn 20

Friedrichshafen, Lake Constance 88045

Germany

  • Zeppelin University

SCHOLARLY PAPERS

10

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Top 34,566

in Total Papers Downloads

2,866

SSRN CITATIONS

10

CROSSREF CITATIONS

3

Scholarly Papers (10)

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1.

Implementing the Fama-French Five-Factor Model for the German Stock Market

Number of pages: 23 Posted: 31 Dec 2018
Philipp Dirkx and Franziska J. Peter
Zeppelin University and Zeppelin University
Downloads 802 (60,845)
Citation 2

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asset pricing, Fama-French five factor model, German stock market

2.

Are you a Zombie Firm? An Early Warning System Based on Machine Learning Methods

Number of pages: 35 Posted: 07 Jul 2020 Last Revised: 01 Dec 2023
Angela De Martiis, Thomas Heil and Franziska J. Peter
University of Bern, Institute for Financial Management, Zeppelin Universität and Zeppelin University
Downloads 677 (75,846)
Citation 2

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machine learning, zombie firms, financial distress

3.

When Companies Don't Die: Analyzing Zombie and Distressed Firms in a Low Interest Rate Environment

Downloads 376 (154,090)

When Companies Don't Die: Analyzing Zombie and Distressed Firms in a Low Interest Rate Environment

Number of pages: 63 Posted: 24 Jul 2021
Angela De Martiis and Franziska J. Peter
University of Bern, Institute for Financial Management and Zeppelin University
Downloads 324 (179,766)

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zombie firms, distressed firms, interest rates, business cycle

When Companies Don't Die: Analyzing Zombie and Distressed Firms in a Low Interest Rate Environment

Number of pages: 70 Posted: 10 Dec 2021
Angela De Martiis and Franziska J. Peter
University of Bern, Institute for Financial Management and Zeppelin University
Downloads 52 (743,134)
Citation 1

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zombie firms, distressed firms, interest rates, business cycle

4.

Implementing Intraday Model-Free Implied Volatility for Individual Equities to Analyze the Return-Volatility Relationship

Number of pages: 30 Posted: 03 Aug 2020 Last Revised: 31 Jan 2023
Franziska J. Peter and Martin G. Haas
Zeppelin University and Zeppelin University
Downloads 323 (182,301)

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model-free implied volatility, individual equity options, intraday volatility, leverage, quantile regressions

5.

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 159 (357,448)
Citation 2

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

6.

Intraday Model-Free Implied Volatility for Individual Equities And  the Return-Volatility Relationship

Number of pages: 16 Posted: 29 Jun 2023
Franziska J. Peter and Martin G. Haas
Zeppelin University and Zeppelin University
Downloads 129 (422,433)

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model-free implied volatility, individual equity options, intraday volatility, quantile regressions

7.

The Best of Both Worlds? Predicting Realized Volatility Based on Convolutional Neural Nets and Coloured Intraday Return Images

Number of pages: 36 Posted: 19 Oct 2023 Last Revised: 14 Nov 2023
Niklas Betz, Thomas Heil and Franziska J. Peter
Zeppelin University, Zeppelin Universität and Zeppelin University
Downloads 121 (443,556)

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realized volatility forecasting, HAR model, convolutional neural nets, images

8.

Global Equity Market Co-Movement During Crisis Periods

Number of pages: 31 Posted: 22 Feb 2021
Thomas Heil, Franziska J. Peter and Philipp Prange
Zeppelin Universität, Zeppelin University and Zeppelin University
Downloads 95 (527,021)

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Co-movement; Contagion; Stock markets; Crisis ; Volatility; COVID- 9; GAS

9.

Tumbling Titans? The Changing Patterns of Price Discovery in the U.S. Equity Market

Number of pages: 40 Posted: 27 Jun 2018
Joachim Grammig and Franziska J. Peter
University of Tübingen and Zeppelin University
Downloads 94 (530,622)
Citation 3

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Equity Markets, Price Discovery, Market Fragmentation, Off-Exchange Markets, Liquidity

10.

Intraday Value at Risk Estimation with Multivariate Intensity Models: An Application to Cryptocurrencies

Number of pages: 34 Posted: 01 Feb 2023
Mariana Patino and Franziska J. Peter
Zeppelin University and Zeppelin University
Downloads 90 (545,543)

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High-Frequency Data, Extreme Value Theory, Intensity models, Self-Exciting Processes, Cryptocurrencies, Point Processes