Thomas Dimpfl

University of Tuebingen - Department of Statistics and Econometrics

Germany

SCHOLARLY PAPERS

14

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Scholarly Papers (14)

Can Internet Search Queries Help to Predict Stock Market Volatility?

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper, European Financial Management, Forthcoming
Number of pages: 34 Posted: 10 Oct 2011 Last Revised: 07 Jan 2016
Thomas Dimpfl and Stephan Jank
University of Tuebingen - Department of Statistics and Econometrics and Deutsche Bundesbank
Downloads 1,034 (15,712)

Abstract:

realized volatility, forecasting, investor behavior, limited attention, noise trader, search engine data

Can Internet Search Queries Help to Predict Stock Market Volatility?

European Financial Management, Vol. 22, Issue 2, pp. 171-192, 2016
Number of pages: 22 Posted: 02 Mar 2016
Thomas Dimpfl and Stephan Jank
University of Tuebingen - Department of Statistics and Econometrics and Deutsche Bundesbank
Downloads 0

Abstract:

realised volatility, forecasting, investor behaviour, limited attention, noise trader, search engine data

2.

Stock Return Autocorrelations Revisited: A Quantile Regression Approach

Journal of Empirical Finance, Vol. 19, Issue 2, pp. 251-265, March 2012
Number of pages: 25 Posted: 20 Dec 2011 Last Revised: 09 Oct 2012
Dirk G. Baur, Thomas Dimpfl and Robert Jung
University of Western Australia - Business School, University of Tuebingen - Department of Statistics and Econometrics and University of Hohenheim - Institute of Economics
Downloads 381 (53,694)

Abstract:

stock return distribution, quantile autoregression, overreaction and underreaction

3.

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:

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

4.

State-Dependent Momentum in International Stock Markets

Number of pages: 37 Posted: 10 Jul 2012
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 118 (179,179)

Abstract:

quantile autoregression (QAR), return autocorrelation, investor behavior, momentum, underreaction, financial crisis

5.

A Note on Cointegration of International Stock Market Indices

International Review of Financial Analysis, Vol. 33, 2014
Number of pages: 26 Posted: 15 Dec 2010 Last Revised: 09 Jan 2016
Thomas Dimpfl
University of Tuebingen - Department of Statistics and Econometrics
Downloads 93 (211,499)

Abstract:

Cointegration, Random Walk, International Financial Markets

6.

A Cross-Country Analysis of Unemployment and Bonds with Long-Memory Relations

Number of pages: 40 Posted: 10 Mar 2015
Thomas Dimpfl and Tobias Langen
University of Tuebingen - Department of Statistics and Econometrics and University of Tübingen
Downloads 29 (305,935)

Abstract:

Nowcasting, Long-memory components, Heterogeneous VAR, Unemployment, Bond yields, Google searches

7.

Realized Bitcoin Volatility

Number of pages: 26 Posted: 11 Apr 2017
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 0 (208,666)

Abstract:

Bitcoin, digital currency, medium of exchange, realized volatility

8.

Bitcoin Market Microstructure

Number of pages: 25 Posted: 11 Apr 2017
Thomas Dimpfl
University of Tuebingen - Department of Statistics and Econometrics
Downloads 0 (234,623)

Abstract:

adverse selection, Bitcoin, liquidity, market microstructure

9.

Inter-Quantile Ranges and Volatility of Financial Data

Number of pages: 34 Posted: 08 Sep 2016 Last Revised: 05 Oct 2016
Thomas Dimpfl and Dirk G. Baur
University of Tuebingen - Department of Statistics and Econometrics and University of Western Australia - Business School
Downloads 0 (399,208)

Abstract:

quantile autoregression (QAR), asymmetric volatility, inter-quantile range

10.

Think Again: Volatility Asymmetry and Volatility Persistence

Number of pages: 37 Posted: 08 Jul 2016 Last Revised: 09 Feb 2017
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 0 (220,328)

Abstract:

volatility asymmetry; volatility persistence; volatility feedback; GARCH; realized volatility; jumps; quantile regression

11.

Investor Pessimism and the German Stock Market: Exploring Google Search Queries

Number of pages: 39 Posted: 29 Jun 2016 Last Revised: 05 Sep 2016
Thomas Dimpfl and Vladislav Kleiman
University of Tuebingen - Department of Statistics and Econometrics and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 0 (266,460)

Abstract:

Investor Pessimism; Sentiment; Google Search Queries; LASSO; Sparse PCA

12.

Googling Gold and Mining Bad News

Number of pages: 17 Posted: 08 Jan 2016 Last Revised: 28 Jul 2016
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 0 (243,230)

Abstract:

gold, volatility, investor attention, google, search queries

13.

The Impact of US News on the German Stock Market - An Event Study Analysis

Quarterly Review of Economics and Finance, Vol. 51, No. 4, pp. 389-398, 2010
Posted: 17 Feb 2009 Last Revised: 18 Oct 2011
Thomas Dimpfl
University of Tuebingen - Department of Statistics and Econometrics

Abstract:

event study, news impact, spillover, volatility, price discovery

14.

Financial Market Spillovers Around the Globe

Applied Financial Economics, Vol. 22, Issue 1, 2012
Posted: 19 Jul 2007 Last Revised: 07 Oct 2011
Thomas Dimpfl and Robert Jung
University of Tuebingen - Department of Statistics and Econometrics and University of Hohenheim - Institute of Economics

Abstract:

Spillovers, Index Futures, Realized Volatility, Structural VAR model, HAR-RV model