Thomas Dimpfl

University of Tuebingen - Department of Statistics and Econometrics

Germany

SCHOLARLY PAPERS

24

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Scholarly Papers (24)

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 1,205 (16,057)
Citation 13

Abstract:

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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 1 (684,913)
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realised volatility, forecasting, investor behaviour, limited attention, noise trader, search engine data

2.

Excess Volatility as an Impediment for a Digital Currency

Number of pages: 40 Posted: 11 Apr 2017 Last Revised: 04 May 2018
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 922 (24,353)
Citation 3

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Bitcoin, digital currency, medium of exchange, realized volatility

3.

Bitcoin Market Microstructure

Number of pages: 25 Posted: 11 Apr 2017
Thomas Dimpfl
University of Tuebingen - Department of Statistics and Econometrics
Downloads 904 (25,140)
Citation 6

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adverse selection, Bitcoin, liquidity, market microstructure

4.

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 484 (57,757)

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stock return distribution, quantile autoregression, overreaction and underreaction

5.

Bitcoin, Gold and the Dollar - A Replication and Extension

Number of pages: 21 Posted: 24 Aug 2017 Last Revised: 26 Aug 2017
Dirk G. Baur, Thomas Dimpfl and Konstantin Kuck
University of Western Australia - Business School, University of Tuebingen - Department of Statistics and Econometrics and University of Hohenheim - Institute for Economics (520K) - Department of Econometrics and Statistics
Downloads 281 (108,161)
Citation 4

Abstract:

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replication study, Bitcoin, cryptocurrencies

6.

Price Discovery in Bitcoin Spot or Futures?

Number of pages: 35 Posted: 13 May 2018 Last Revised: 01 Dec 2018
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 237 (129,007)
Citation 4

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Bitcoin, Futures, Price Discovery, Co-Integration, Information Shares

7.

Today I Got a Million, Tomorrow, I Don't Know: On the Predictability of Cryptocurrencies by Means of Google Search Volume

Number of pages: 34 Posted: 28 Feb 2018 Last Revised: 27 Mar 2019
Johannes Bleher and Thomas Dimpfl
University of Tuebingen - Department of Statistics and Econometrics and University of Tuebingen - Department of Statistics and Econometrics
Downloads 193 (157,018)

Abstract:

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Bitcoin, Cryptocurrency, Volatility, Prediction, Google Search Volume

8.

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 183 (164,747)
Citation 2

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

9.

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 152 (193,450)

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

10.

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 129 (220,729)

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Cointegration, Random Walk, International Financial Markets

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 109 (249,910)

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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 99 (266,945)

Abstract:

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gold, volatility, investor attention, google, search queries

13.

Price Discovery on Bitcoin Markets

Number of pages: 25 Posted: 16 Nov 2018 Last Revised: 16 Dec 2018
Paolo Pagnottoni and Thomas Dimpfl
University of Pavia - Department of Economics and Management and University of Tuebingen - Department of Statistics and Econometrics
Downloads 79 (307,486)
Citation 2

Abstract:

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price discovery, bitcoin, hasbrouck information shares

14.

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 67 (337,257)

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

15.

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 58 (362,757)

Abstract:

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

16.

Persistent Imbalances: The Impact of Exchange Rate Appreciation on China's Trade Balances

Number of pages: 29 Posted: 24 Mar 2018 Last Revised: 15 Sep 2019
Thomas Dimpfl and Alexander Schmidt
University of Tuebingen - Department of Statistics and Econometrics and University of Hohenheim
Downloads 55 (372,180)

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Exchange Rate, Trade Balance, Structural Identification, China

17.

A Storm But No Damage? A Two-Country Equity and Currency Market Perspective of Brexit

Number of pages: 31 Posted: 20 Mar 2018
University of Western Australia - Business School, University of Tuebingen - Department of Statistics and Econometrics and The University of Western Australia
Downloads 52 (381,798)

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Brexit, Cross-Listing, Price Discovery, Volatility, High-Frequency Data, Contagion

18.

Recovering Google's Lost Frequencies: An Algorithm to Knit Multi-Annual High-Frequency Search Volume Time Series

Number of pages: 22 Posted: 10 Apr 2019
Johannes Bleher and Thomas Dimpfl
University of Tuebingen - Department of Statistics and Econometrics and University of Tuebingen - Department of Statistics and Econometrics
Downloads 49 (391,850)
Citation 1

Abstract:

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Google Trends, Search Volume Index, Consistent Time Series

19.

The Asymmetric Return - Volatility Relationship of Commodity Price Changes

Number of pages: 23 Posted: 01 Apr 2019
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 36 (440,892)
Citation 1

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asymmetric volatility, leverage effect, volatility feedback effect, commodities; financialization

20.

Insider Trading Laws as a Defeat Device

Number of pages: 27 Posted: 29 Apr 2019 Last Revised: 20 May 2019
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 23 (504,739)

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insider trading, trust, efficient markets, illusion, defeat device, extreme price movements, crash risk, manipulation

21.

Asymmetric Volatility in Cryptocurrencies

Number of pages: 11 Posted: 29 Mar 2019
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 20 (522,267)
Citation 4

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asymmetric volatility, Bitcoin, cryptocurrencies, FOMO

22.

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

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

23.

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

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

24.

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

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