Franziska J. Peter

Eberhard Karls Universität Tübingen

Mohlstrasse 36

72074 Tuebingen, Baden Wuerttemberg 72074

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

269

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

International Price Discovery in Stock Markets - A Unique Intensity Based Information Share

Number of pages: 33 Posted: 21 Oct 2009 Last Revised: 23 Apr 2010
Kerstin Kehrle and Franziska J. Peter
Independent and Eberhard Karls Universität Tübingen
Downloads 191 (178,767)

Abstract:

Loading...

Price Discovery, Multivariate Autoregressive Conditional Intensity, Cross-Listed Stocks

International Price Discovery in Stock Markets - A Unique Intensity Based Information Share

Number of pages: 39 Posted: 13 Mar 2010
Kerstin Kehrle and Franziska J. Peter
Independent and Eberhard Karls Universität Tübingen
Downloads 78 (350,880)

Abstract:

Loading...

2.

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 Tuebingen - Department of Statistics and Econometrics

Abstract:

Loading...

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

3.

Tell-Tale Tails: A New Approach to Estimating Unique Information Shares

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 05 Aug 2008 Last Revised: 18 Mar 2014
Joachim Grammig and Franziska J. Peter
Eberhard Karls Universität Tübingen and Eberhard Karls Universität Tübingen

Abstract:

Loading...

price discovery, information shares, tail dependence