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Thomas Dimpfl

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Thomas Dimpfl & Vladislav Kleiman, 2019. "Investor Pessimism and the German Stock Market: Exploring Google Search Queries," German Economic Review, Verein für Socialpolitik, vol. 20(1), pages 1-28, February.

    Mentioned in:

    1. Investor Pessimism and the German Stock Market: Exploring Google Search Queries (German Economic Review 2019) in ReplicationWiki ()

Working papers

  1. Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & To, 2021. "Non-Standard Errors," Working Paper Series, Social and Economic Sciences 2021-11, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
    • Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
    • Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
    • Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Nate Breznau & Eike Mark Rinke & Alexander Wuttke & Hung H. V. Nguyen & Muna Adem & Jule Adriaans & Amalia Alvarez-Benjumea & Henrik K. Andersen & Daniel Auer & Flavio Azevedo & Oke Bahnsen & Dave Bal, 2022. "Observing many researchers using the same data and hypothesis reveals a hidden universe of uncertainty," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 119(44), pages 2203150119-, November.
    2. Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
    3. Dreber, Anna & Johannesson, Magnus, 2023. "A framework for evaluating reproducibility and replicability in economics," I4R Discussion Paper Series 38, The Institute for Replication (I4R).
    4. Müller, Isabella & Noth, Felix & Tonzer, Lena, 2022. "A note on the use of syndicated loan data," IWH Discussion Papers 17/2022, Halle Institute for Economic Research (IWH).
    5. Fišar, Miloš & Greiner, Ben & Huber, Christoph & Katok, Elena & Ozkes, Ali & Collaboration, Management Science Reproducibility, 2023. "Reproducibility in Management Science," OSF Preprints mydzv, Center for Open Science.
    6. Christoph Huber & Christian König-Kersting, 2022. "Experimenting with Financial Professionals," Working Papers 2022-07, Faculty of Economics and Statistics, Universität Innsbruck.
    7. Stephen A. Gorman & Frank J. Fabozzi, 2023. "Alternative risk premium: specification noise," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 459-473, October.
    8. Christophe Pérignon & Olivier Akmansoy & Christophe Hurlin & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johanneson & Michael Kirchler & Albert Menkveld & Michael Razen & Utz Weitzel, 2022. "Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance," Working Papers hal-03810013, HAL.

  2. Pagnottoni, Paolo & Baur, Dirk G. & Dimpfl, Thomas, 2018. "Price Discovery on Bitcoin Markets," IRTG 1792 Discussion Papers 2018-014, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

    Cited by:

    1. Augustin, Patrick & Rubtsov, Alexey & Shin, Donghwa, 2022. "The impact of derivatives on spot markets: Evidence from the introduction of bitcoin futures contracts," LawFin Working Paper Series 41, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
    2. Packham, Natalie, 2018. "Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present," IRTG 1792 Discussion Papers 2018-033, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    3. Fan, Qingliang & Zhong, Wei, 2018. "Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective," IRTG 1792 Discussion Papers 2018-052, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    4. Giudici, Paolo & Abu-Hashish, Iman, 2019. "What determines bitcoin exchange prices? A network VAR approach," Finance Research Letters, Elsevier, vol. 28(C), pages 309-318.
    5. Lai T. Hoang & Dirk G. Baur, 2020. "Forecasting bitcoin volatility: Evidence from the options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1584-1602, October.
    6. Olli-Pekka Hilmola, 2021. "On Prices of Privacy Coins and Bitcoin," JRFM, MDPI, vol. 14(8), pages 1-15, August.
    7. Shimeng Shi, 2022. "Bitcoin futures risk premia," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2190-2217, December.
    8. Cai, Zongwu & Fang, Ying & Lin, Ming & Su, Jia, 2018. "Inferences for a Partially Varying Coefficient Model With Endogenous Regressors," IRTG 1792 Discussion Papers 2018-047, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    9. Victor Chernozhukov & Wolfgang Härdle & Chen Huang & Weining Wang, 2019. "LASSO-Driven Inference in Time and Space," CeMMAP working papers CWP20/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    10. Eduard Silantyev, 2019. "Order flow analysis of cryptocurrency markets," Digital Finance, Springer, vol. 1(1), pages 191-218, November.
    11. Jörg Osterrieder & Andrea Barletta, 2019. "Editorial on the Special Issue on Cryptocurrencies," Digital Finance, Springer, vol. 1(1), pages 1-4, November.
    12. Andrieş, Alin Marius & Ongena, Steven & Sprincean, Nicu & Tunaru, Radu, 2022. "Risk spillovers and interconnectedness between systemically important institutions," Journal of Financial Stability, Elsevier, vol. 58(C).
    13. Sai Srikar Nimmagadda & Pawan Sasanka Ammanamanchi, 2019. "BitMEX Funding Correlation with Bitcoin Exchange Rate," Papers 1912.03270, arXiv.org.
    14. Parthajit Kayal & Purnima Rohilla, 2021. "Bitcoin in the economics and finance literature: a survey," SN Business & Economics, Springer, vol. 1(7), pages 1-21, July.
    15. Wang, Honglin & Yu, Fan & Zhou, Yinggang, 2018. "Property Investment and Rental Rate under Housing Price Uncertainty: A Real Options Approach," IRTG 1792 Discussion Papers 2018-051, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    16. Huang, Guan-Ying & Gau, Yin-Feng & Wu, Zhen-Xing, 2022. "Price discovery in fiat currency and cryptocurrency markets," Finance Research Letters, Elsevier, vol. 47(PA).
    17. Prashant Sharma & Prashant Gupta & Dinesh Kumar Sharma & Gaurav Agarwal, 2022. "Investigating the Efficiency of Bitcoin Futures in Price Discovery," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 104-109, May.
    18. Carol Alexander & Jun Deng & Bin Zou, 2021. "Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading," Papers 2101.01261, arXiv.org, revised Aug 2021.
    19. Yang Hu & Yang (Greg) Hou & Les Oxley, 2019. "Spot and Futures Prices of Bitcoin: Causality, Cointegration and Price Discovery from a Time-Varying Perspective," Working Papers in Economics 19/13, University of Waikato.
    20. Oliver Entrop & Bart Frijns & Marco Seruset, 2020. "The determinants of price discovery on bitcoin markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 816-837, May.
    21. Yan, Ji Gao, 2018. "Complete Convergence and Complete Moment Convergence for Maximal Weighted Sums of Extended Negatively Dependent Random Variables," IRTG 1792 Discussion Papers 2018-040, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    22. Jun Deng & Huifeng Pan & Shuyu Zhang & Bin Zou, 2021. "Optimal Bitcoin trading with inverse futures," Annals of Operations Research, Springer, vol. 304(1), pages 139-163, September.
    23. Pagnottoni, Paolo, 2023. "Superhighways and roads of multivariate time series shock transmission: Application to cryptocurrency, carbon emission and energy prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 615(C).
    24. Zhong, Wei & Liu, Xi & Ma, Shuangge, 2018. "Variable selection and direction estimation for single-index models via DC-TGDR method," IRTG 1792 Discussion Papers 2018-050, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    25. Alexander, Carol & Deng, Jun & Zou, Bin, 2023. "Hedging with automatic liquidation and leverage selection on bitcoin futures," European Journal of Operational Research, Elsevier, vol. 306(1), pages 478-493.
    26. Guo, Li & Tao, Yubo & Härdle, Wolfgang Karl, 2018. "Understanding Latent Group Structure of Cryptocurrencies Market: A Dynamic Network Perspective," IRTG 1792 Discussion Papers 2018-032, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    27. Sebastiano Michele Zema, 2023. "A non-Normal framework for price discovery: The independent component based information shares measure," LEM Papers Series 2023/03, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    28. Blasco, N. & Corredor, P. & Satrústegui, N., 2023. "Is there an expiration effect in the bitcoin market?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 647-663.
    29. Kalkbrener, Michael & Packham, Natalie, 2018. "Correlation Under Stress In Normal Variance Mixture Models," IRTG 1792 Discussion Papers 2018-035, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    30. Saketh Aleti & Bruce Mizrach, 2021. "Bitcoin spot and futures market microstructure," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 194-225, February.
    31. Alexander, Carol & Heck, Daniel F., 2020. "Price discovery in Bitcoin: The impact of unregulated markets," Journal of Financial Stability, Elsevier, vol. 50(C).
    32. Paolo Giudici & Gloria Polinesi, 2021. "Crypto price discovery through correlation networks," Annals of Operations Research, Springer, vol. 299(1), pages 443-457, April.
    33. Weige Huang & Xiang Gao, 2023. "Forecasting Bitcoin Futures: A Lasso-BMA Two-Step Predictor Selection for Investment and Hedging Strategies," SAGE Open, , vol. 13(1), pages 21582440231, January.
    34. Chan, Stephen & Chu, Jeffrey & Zhang, Yuanyuan & Nadarajah, Saralees, 2022. "An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 59(C).
    35. Helder Miguel Correia Virtuoso Sebastião & Paulo José Osório Rupino Da Cunha & Pedro Manuel Cortesão Godinho, 2021. "Cryptocurrencies and blockchain. Overview and future perspectives," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 21(3), pages 305-342.
    36. Packham, Natalie & Woebbeking, Fabian, 2018. "A factor-model approach for correlation scenarios and correlation stress-testing," IRTG 1792 Discussion Papers 2018-034, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    37. Chiu, Hsin-Yu & Chiang, Mi-Hsiu & Kuo, Wei-Yu, 2018. "Predicative Ability of Similarity-based Futures Trading Strategies," IRTG 1792 Discussion Papers 2018-045, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    38. Hu, Yang & Hou, Yang Greg & Oxley, Les, 2020. "What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?," International Review of Financial Analysis, Elsevier, vol. 72(C).
    39. Ferko, Alex & Moin, Amani & Onur, Esen & Penick, Michael, 2023. "Who trades bitcoin futures and why?," Global Finance Journal, Elsevier, vol. 55(C).
    40. Pati, Pratap Chandra, 2022. "Informativeness of CME Micro Bitcoin Futures in Pricing of Bitcoin: Intraday Evidence," Finance Research Letters, Elsevier, vol. 49(C).
    41. Dirk G. Baur & Lee A. Smales, 2022. "Trading behavior in bitcoin futures: Following the “smart money”," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1304-1323, July.
    42. Giudici, Paolo & Leach, Thomas & Pagnottoni, Paolo, 2022. "Libra or Librae? Basket based stablecoins to mitigate foreign exchange volatility spillovers," Finance Research Letters, Elsevier, vol. 44(C).
    43. Guo, Shaojun & Li, Dong & Li, Muyi, 2018. "Strict Stationarity Testing and GLAD Estimation of Double Autoregressive Models," IRTG 1792 Discussion Papers 2018-049, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    44. Xiaojia Bao & Qingliang Fan, 2020. "The impact of temperature on gaming productivity: evidence from online games," Empirical Economics, Springer, vol. 58(2), pages 835-867, February.
    45. Emilio Barucci & Giancarlo Giuffra Moncayo & Daniele Marazzina, 2022. "Cryptocurrencies and stablecoins: a high-frequency analysis," Digital Finance, Springer, vol. 4(2), pages 217-239, September.
    46. Efe Caglar Cagli & Pinar Evrim Mandaci, 2021. "Information transmission between bitcoin derivatives and spot markets: high-frequency causality analysis with Fourier approximation," Economics and Business Letters, Oviedo University Press, vol. 10(4), pages 394-402.
    47. Nicoló Andrea Caserini & Paolo Pagnottoni, 2022. "Effective transfer entropy to measure information flows in credit markets," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(4), pages 729-757, October.
    48. Packham, Natalie & Kalkbrener, Michael & Overbeck, Ludger, 2018. "Default probabilities and default correlations under stress," IRTG 1792 Discussion Papers 2018-037, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    49. Ahmed Ibrahim & Rasha Kashef & Menglu Li & Esteban Valencia & Eric Huang, 2020. "Bitcoin Network Mechanics: Forecasting the BTC Closing Price Using Vector Auto-Regression Models Based on Endogenous and Exogenous Feature Variables," JRFM, MDPI, vol. 13(9), pages 1-21, August.
    50. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    51. Marina Resta & Paolo Pagnottoni & Maria Elena De Giuli, 2020. "Technical Analysis on the Bitcoin Market: Trading Opportunities or Investors’ Pitfall?," Risks, MDPI, vol. 8(2), pages 1-15, May.
    52. Ante, Lennart & Fiedler, Ingo & Strehle, Elias, 2021. "The impact of transparent money flows: Effects of stablecoin transfers on the returns and trading volume of Bitcoin," Technological Forecasting and Social Change, Elsevier, vol. 170(C).
    53. Shimeng Shi & Yukun Shi, 2021. "Bitcoin futures: trade it or ban it?," The European Journal of Finance, Taylor & Francis Journals, vol. 27(4-5), pages 381-396, March.
    54. Pagnottoni, Paolo & Spelta, Alessandro & Pecora, Nicolò & Flori, Andrea & Pammolli, Fabio, 2021. "Financial earthquakes: SARS-CoV-2 news shock propagation in stock and sovereign bond markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
    55. Kuczmaszewska, Anna & Yan, Ji Gao, 2018. "On complete convergence in Marcinkiewicz-Zygmund type SLLN for random variables," IRTG 1792 Discussion Papers 2018-041, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    56. Jinghong Wu & Ke Xu & Xinwei Zheng & Jian Chen, 2021. "Fractional cointegration in bitcoin spot and futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1478-1494, September.
    57. Dimpfl, Thomas & Peter, Franziska J., 2021. "Nothing but noise? Price discovery across cryptocurrency exchanges," Journal of Financial Markets, Elsevier, vol. 54(C).
    58. Khaled Mokni & Elie Bouri & Ahdi Noomen Ajmi & Xuan Vinh Vo, 2021. "Does Bitcoin Hedge Categorical Economic Uncertainty? A Quantile Analysis," SAGE Open, , vol. 11(2), pages 21582440211, May.
    59. Koziuk, Andzhey & Spokoiny, Vladimir, 2018. "Toolbox: Gaussian comparison on Eucledian balls," IRTG 1792 Discussion Papers 2018-028, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    60. Nikolaos A. Kyriazis, 2021. "Investigating the diversifying or hedging nexus of cannabis cryptocurrencies with major digital currencies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 845-861, December.
    61. Chen, Haiqiang & Li, Yingxing & Lin, Ming & Zhu, Yanli, 2018. "A Regime Shift Model with Nonparametric Switching Mechanism," IRTG 1792 Discussion Papers 2018-048, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    62. Riccardo De Blasis & Alexander Webb, 2022. "Arbitrage, contract design, and market structure in Bitcoin futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 492-524, March.
    63. Carol Alexander & Jaehyuk Choi & Heungju Park & Sungbin Sohn, 2020. "BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 23-43, January.
    64. Lee, Seungho & Meslmani, Nabil El & Switzer, Lorne N., 2020. "Pricing Efficiency and Arbitrage in the Bitcoin Spot and Futures Markets," Research in International Business and Finance, Elsevier, vol. 53(C).
    65. Yatracos, Yannis G., 2018. "Residual'S Influence Index (Rinfin), Bad Leverage And Unmasking In High Dimensional L2-Regression," IRTG 1792 Discussion Papers 2018-060, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    66. Sebastiano Michele Zema, 2020. "Directed Acyclic Graph based Information Shares for Price Discovery," LEM Papers Series 2020/28, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    67. Pagnottoni, Paolo & Spelta, Alessandro & Flori, Andrea & Pammolli, Fabio, 2022. "Climate change and financial stability: Natural disaster impacts on global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 599(C).
    68. John W Goodell & Stéphane Goutte, 2020. "Diversifying with cryptocurrencies during COVID-19," Working Papers halshs-02876529, HAL.
    69. Paolo Giudici & Paolo Pagnottoni, 2019. "High Frequency Price Change Spillovers in Bitcoin Markets," Risks, MDPI, vol. 7(4), pages 1-18, November.
    70. Agosto, Arianna & Cerchiello, Paola & Pagnottoni, Paolo, 2022. "Sentiment, Google queries and explosivity in the cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 605(C).
    71. Zbonakova, Lenka & Li, Xinjue & Härdle, Wolfgang Karl, 2018. "Penalized Adaptive Forecasting with Large Information Sets and Structural Changes," IRTG 1792 Discussion Papers 2018-039, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

  3. Thomas Dimpfl & Franziska J. Peter, 2015. "Price discovery in the markets for credit risk: A Markov switching approach," SFB 649 Discussion Papers SFB649DP2015-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Mustafa Demirel & Gazanfer Unal, 2020. "Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-29, December.
    2. Kuck, Konstantin & Schweikert, Karsten, 2023. "Price discovery in equity markets: A state-dependent analysis of spot and futures markets," Journal of Banking & Finance, Elsevier, vol. 149(C).

  4. Dimpfl, Thomas & Peter, Franziska J., 2014. "The impact of the financial crisis on transatlantic information flows: An intraday analysis," University of Tübingen Working Papers in Business and Economics 70, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.

    Cited by:

    1. Neto, David, 2022. "Revisiting spillovers between investor attention and cryptocurrency markets using noisy independent component analysis and transfer entropy," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    2. Singh, Vipul Kumar & Kumar, Pawan & Nishant, Shreyank, 2019. "Global connectedness of MSCI energy equity indices: A system-wide network approach," Energy Economics, Elsevier, vol. 84(C).
    3. Krieger, Kevin & Mauck, Nathan & Vazquez, Joseph, 2015. "Comparing U.S. and European market volatility responses to interest rate policy announcements," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 127-136.
    4. Nie, Chun-Xiao, 2023. "Time-varying characteristics of information flow networks in the Chinese market: An analysis based on sector indices," Finance Research Letters, Elsevier, vol. 54(C).
    5. Parthajit Kayal & Moinak Maiti, 2023. "Examining the asymmetric information flow between pairs of gold, silver, and oil: a transfer entropy approach," SN Business & Economics, Springer, vol. 3(10), pages 1-22, October.
    6. Theo Diamandis & Yonathan Murin & Andrea Goldsmith, 2018. "Ranking Causal Influence of Financial Markets via Directed Information Graphs," Papers 1801.06896, arXiv.org.
    7. Chen, Yanhua & Pantelous, Athanasios A., 2022. "The U.S.-China trade conflict impacts on the Chinese and U.S. stock markets: A network-based approach," Finance Research Letters, Elsevier, vol. 46(PB).
    8. Delphine Lautier & Franck Raynaud & Michel Robe, 2017. "Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices," Post-Print hal-01781761, HAL.
    9. Allen, Franklin & Haas, Marlene D. & Nowak, Eric & Tengulov, Angel, 2021. "Market efficiency and limits to arbitrage: Evidence from the Volkswagen short squeeze," Journal of Financial Economics, Elsevier, vol. 142(1), pages 166-194.
    10. Daugherty, Mary Schmid & Jithendranathan, Thadavillil, 2015. "A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 95-115.
    11. Leonidas Sandoval Junior & Asher Mullokandov & Dror Y. Kenett, 2015. "Dependency Relations among International Stock Market Indices," JRFM, MDPI, vol. 8(2), pages 1-39, May.
    12. Ferreira, Joaquim & Morais, Flávio, 2023. "Predict or to be predicted? A transfer entropy view between adaptive green markets, structural shocks and sentiment index," Finance Research Letters, Elsevier, vol. 56(C).
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    20. Ladislav Kristoufek, 2022. "On the role of stablecoins in cryptoasset pricing dynamics," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-26, December.
    21. Alexander Koch & Toan Luu Duc Huynh & Mei Wang, 2024. "News sentiment and international equity markets during BREXIT period: A textual and connectedness analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 5-34, January.
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    Cited by:

    1. Al-Nasseri, Alya & Menla Ali, Faek & Tucker, Allan, 2021. "Investor sentiment and the dispersion of stock returns: Evidence based on the social network of investors," International Review of Financial Analysis, Elsevier, vol. 78(C).
    2. Xue, Wen-Jun & Zhang, Li-Wen, 2017. "Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models," Economic Modelling, Elsevier, vol. 60(C), pages 391-401.
    3. Taoufik Bouezmarni & Mohamed Doukali & Abderrahim Taamouti, 2023. "Testing Granger Non-Causality in Expectiles," University of East Anglia School of Economics Working Paper Series 2023-02, School of Economics, University of East Anglia, Norwich, UK..
    4. Sun, Jie & Zhao, Xiaojun & Xu, Chao, 2021. "Crude oil market autocorrelation: Evidence from multiscale quantile regression analysis," Energy Economics, Elsevier, vol. 98(C).
    5. Liu Xiaochun & Luger Richard, 2018. "Markov-switching quantile autoregression: a Gibbs sampling approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1, April.
    6. Ben Rejeb, Aymen & Arfaoui, Mongi, 2014. "Financial market interdependencies: a quantile regression analysis of volatility spillover," MPRA Paper 61516, University Library of Munich, Germany.
    7. Lee, Chien-Chiang & Chen, Mei-Ping, 2021. "The effects of investor attention and policy uncertainties on cross-border country exchange-traded fund returns," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 830-852.
    8. Piccoli, Pedro & de Castro, Jessica, 2021. "Attention-return relation in the gold market and market states," Resources Policy, Elsevier, vol. 74(C).
    9. Dirk G Baur & Thomas Dimpfl, 2012. "State-dependent Momentum in International Stock Markets," Working Paper Series 169, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    10. Wen-Yuan Lin & I-Chun Tsai, 2016. "Asymmetric Fluctuating Behavior of China's Housing Prices," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 24(2), pages 107-126, March.
    11. Ngene, Geoffrey M. & Mungai, Ann Nduati, 2022. "Stock returns, trading volume, and volatility: The case of African stock markets," International Review of Financial Analysis, Elsevier, vol. 82(C).
    12. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2016. "A quantile-boosting approach to forecasting gold returns," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 38-55.
    13. Alexander Blasberg & Rüdiger Kiesel & Luca Taschini, 2022. "Carbon Default Swap - Disentangling the Exposure to Carbon Risk through CDS," CESifo Working Paper Series 10016, CESifo.
    14. Guo, Peng & Zhu, Huiming & You, Wanhai, 2018. "Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach," Finance Research Letters, Elsevier, vol. 25(C), pages 251-258.
    15. Katarzyna Bien-Barkowska, 2012. ""Does it take volume to move fx rates?" Evidence from quantile regressions," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 35-52.
    16. Jenq-Tzong Shiau & Jia-Wei Lin, 2016. "Clustering Quantile Regression-Based Drought Trends in Taiwan," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 30(3), pages 1053-1069, February.
    17. Chien-Chiang Lee & Mei-Ping Chen, 2022. "The impact of COVID-19 on the travel and leisure industry returns: Some international evidence," Tourism Economics, , vol. 28(2), pages 451-472, March.
    18. Chuliá, Helena & Guillén, Montserrat & Uribe, Jorge M., 2017. "Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis," Emerging Markets Review, Elsevier, vol. 31(C), pages 32-46.
    19. Zhao, Yixiu & Upreti, Vineet & Cai, Yuzhi, 2021. "Stock returns, quantile autocorrelation, and volatility forecasting," International Review of Financial Analysis, Elsevier, vol. 73(C).
    20. Ni, Zhong-Xin & Wang, Da-Zhong & Xue, Wen-Jun, 2015. "Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model," Economic Modelling, Elsevier, vol. 50(C), pages 266-274.
    21. Yang, Ann Shawing, 2020. "Misinformation corrections of corporate news: Corporate clarification announcements," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    22. Zhu, Huiming & Peng, Cheng & You, Wanhai, 2016. "Quantile behaviour of cointegration between silver and gold prices," Finance Research Letters, Elsevier, vol. 19(C), pages 119-125.
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    28. Blasberg, Alexander & Kiesel, Rüdiger & Taschini, Luca, 2023. "Carbon default swap – disentangling the exposure to carbon risk through CDS," LSE Research Online Documents on Economics 118096, London School of Economics and Political Science, LSE Library.
    29. Shen, Yifan & Shi, Xunpeng & Variam, Hari Malamakkavu Padinjare, 2018. "Risk transmission mechanism between energy markets: A VAR for VaR approach," Energy Economics, Elsevier, vol. 75(C), pages 377-388.
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    32. Lee, Chien-Chiang & Chen, Mei-Ping, 2020. "Happiness sentiments and the prediction of cross-border country exchange-traded fund returns," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    33. Wen-Jun Xue & Li-Wen Zhang, 2016. "Stock Return Autocorrelations and Predictability in the Chinese Stock Market: Evidence from Threshold Quantile Autoregressive Models," Working Papers 1605, Florida International University, Department of Economics.
    34. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2022. "Spillover effects between commodity and stock markets: A SDSES approach," Resources Policy, Elsevier, vol. 79(C).
    35. Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Working Papers IES 2017/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2017.
    36. Naeem, Muhammad Abubakr & Mbarki, Imen & Shahzad, Syed Jawad Hussain, 2021. "Predictive role of online investor sentiment for cryptocurrency market: Evidence from happiness and fears," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 496-514.
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    38. Chien-Chiang Lee & Mei-Ping Chen & Yi-Ting Peng, 2021. "Tourism development and happiness: International evidence," Tourism Economics, , vol. 27(5), pages 1101-1136, August.
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    44. Hendrik Kaufmannz & Robinson Kruse, 2013. "Bias-corrected estimation in potentially mildly explosive autoregressive models," CREATES Research Papers 2013-10, Department of Economics and Business Economics, Aarhus University.
    45. Majid Mirzaee Ghazani & Mohammad Ali Jafari, 2021. "Cryptocurrencies, gold, and WTI crude oil market efficiency: a dynamic analysis based on the adaptive market hypothesis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-26, December.
    46. Jin, Chenglu & Lu, Xingyu & Zhang, Yihan, 2022. "Market reaction, COVID-19 pandemic and return distribution," Finance Research Letters, Elsevier, vol. 47(PB).
    47. Hautsch, Nikolaus & Herrera, Rodrigo, 2015. "Multivariate dynamic intensity peaks-over-threshold models," CFS Working Paper Series 516, Center for Financial Studies (CFS).
    48. Ngene, Geoffrey M., 2021. "What drives dynamic connectedness of the U.S equity sectors during different business cycles?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    49. Long, Huaigang & Zaremba, Adam & Zhou, Wenyu & Bouri, Elie, 2022. "Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns," Journal of Financial Markets, Elsevier, vol. 61(C).
    50. Vithessonthi, Chaiporn, 2014. "Financial markets development and bank risk: Experience from Thailand during 1990–2012," Journal of Multinational Financial Management, Elsevier, vol. 27(C), pages 67-88.
    51. Shen, Yifan, 2018. "International risk transmission of stock market movements," Economic Modelling, Elsevier, vol. 69(C), pages 220-236.
    52. Mensi, Walid & Shahzad, Syed Jawad Hussain & Hammoudeh, Shawkat & Zeitun, Rami & Rehman, Mobeen Ur, 2017. "Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach," Emerging Markets Review, Elsevier, vol. 32(C), pages 130-147.
    53. Kuck, Konstantin & Maderitsch, Robert, 2019. "Intra-day dynamics of exchange rates: New evidence from quantile regression," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 247-257.
    54. Xiaoning Li & Mulati Tuerde & Xijian Hu, 2023. "Variational Bayesian Inference for Quantile Regression Models with Nonignorable Missing Data," Mathematics, MDPI, vol. 11(18), pages 1-31, September.
    55. Pieter Jan Trinks & Bert Scholtens, 2017. "The Opportunity Cost of Negative Screening in Socially Responsible Investing," Journal of Business Ethics, Springer, vol. 140(2), pages 193-208, January.
    56. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2015. "A real-time quantile-regression approach to forecasting gold returns under asymmetric loss," Resources Policy, Elsevier, vol. 45(C), pages 299-306.
    57. Guodong Li & Yang Li & Chih-Ling Tsai, 2015. "Quantile Correlations and Quantile Autoregressive Modeling," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 246-261, March.
    58. Mensi, Walid & Hammoudeh, Shawkat & Reboredo, Juan Carlos & Nguyen, Duc Khuong, 2014. "Do global factors impact BRICS stock markets? A quantile regression approach," Emerging Markets Review, Elsevier, vol. 19(C), pages 1-17.
    59. Fan, John Hua & Todorova, Neda, 2021. "A note on the behavior of Chinese commodity markets," Finance Research Letters, Elsevier, vol. 38(C).
    60. Paulo Sergio Ceretta & Marcelo Brutti Righi & Alexandre Silva Da costa & Fernanda Maria Muller, 2012. "Quantiles autocorrelation in stock markets returns," Economics Bulletin, AccessEcon, vol. 32(3), pages 2065-2075.
    61. Taoufik Bouezmarni & Mohamed Doukali & Abderrahim Taamouti, 2022. "Testing Granger Non-Causality in Expectiles," Working Papers 202207, University of Liverpool, Department of Economics.
    62. Lee, Chien-Chiang & Chen, Mei-Ping, 2020. "Do natural disasters and geopolitical risks matter for cross-border country exchange-traded fund returns?," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    63. Vithessonthi, Chaiporn, 2014. "The effect of financial market development on bank risk: evidence from Southeast Asian countries," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 249-260.
    64. Gebka, Bartosz & Wohar, Mark E., 2019. "Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 1-25.
    65. Lin, Wen-Yuan & Tsai, I-Chun, 2019. "Black swan events in China's stock markets: Intraday price behaviors on days of volatility," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 395-411.
    66. Zhu, Hui-Ming & Li, ZhaoLai & You, WanHai & Zeng, Zhaofa, 2015. "Revisiting the asymmetric dynamic dependence of stock returns: Evidence from a quantile autoregression model," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 142-153.
    67. I-Chun Tsai, 2015. "Monetary policy and bubbles in the national and regional UK housing markets," Urban Studies, Urban Studies Journal Limited, vol. 52(8), pages 1471-1488, June.
    68. Dong, Xiyong & Li, Changhong & Yoon, Seong-Min, 2020. "Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    69. Bianchi, Robert J. & Fan, John Hua & Todorova, Neda, 2020. "Financialization and de-financialization of commodity futures: A quantile regression approach," International Review of Financial Analysis, Elsevier, vol. 68(C).
    70. Chevapatrakul, Thanaset & Xu, Zhongxiang & Yao, Kai, 2019. "The impact of tail risk on stock market returns: The role of market sentiment," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 289-301.
    71. Roman Horváth & Štefan Lyócsa & Eduard Baumöhl, 2018. "Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance," The European Journal of Finance, Taylor & Francis Journals, vol. 24(5), pages 391-412, March.
    72. Geoffrey M. Ngene & Catherine Anitha Manohar & Ivan F. Julio, 2020. "Overreaction in the REITs Market: New Evidence from Quantile Autoregression Approach," JRFM, MDPI, vol. 13(11), pages 1-28, November.
    73. Sunil K. Mohanty & Roar Aadland & Sjur Westgaard & Stein Frydenberg & Hilde Lillienskiold & Cecilie Kristensen, 2021. "Modelling Stock Returns and Risk Management in the Shipping Industry," JRFM, MDPI, vol. 14(4), pages 1-25, April.
    74. Štefan Lyócsa & Roman Horváth, 2018. "Stock Market Contagion: a New Approach," Open Economies Review, Springer, vol. 29(3), pages 547-577, July.
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    76. A. Malliaris & Mary Malliaris, 2014. "N-tuple S&P patterns across decades, 1950–2011," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 339-353, June.
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    Cited by:

    1. Neto, David, 2022. "Revisiting spillovers between investor attention and cryptocurrency markets using noisy independent component analysis and transfer entropy," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    2. Nie, Chun-Xiao, 2023. "Time-varying characteristics of information flow networks in the Chinese market: An analysis based on sector indices," Finance Research Letters, Elsevier, vol. 54(C).
    3. Parthajit Kayal & Moinak Maiti, 2023. "Examining the asymmetric information flow between pairs of gold, silver, and oil: a transfer entropy approach," SN Business & Economics, Springer, vol. 3(10), pages 1-22, October.
    4. Assaf, Ata & Mokni, Khaled & Youssef, Manel, 2023. "COVID-19 and information flow between cryptocurrencies, and conventional financial assets," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 73-81.
    5. Theo Diamandis & Yonathan Murin & Andrea Goldsmith, 2018. "Ranking Causal Influence of Financial Markets via Directed Information Graphs," Papers 1801.06896, arXiv.org.
    6. Dimpfl, Thomas & Peter, Franziska J., 2014. "The impact of the financial crisis on transatlantic information flows: An intraday analysis," University of Tübingen Working Papers in Business and Economics 70, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
    7. Yi, Eojin & Cho, Yerim & Sohn, Sungbin & Ahn, Kwangwon, 2021. "After the Splits: Information Flow between Bitcoin and Bitcoin Family," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
    8. Leonidas Sandoval Junior & Asher Mullokandov & Dror Y. Kenett, 2015. "Dependency Relations among International Stock Market Indices," JRFM, MDPI, vol. 8(2), pages 1-39, May.
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    13. Bekiros, Stelios & Nguyen, Duc Khuong & Sandoval Junior, Leonidas & Uddin, Gazi Salah, 2017. "Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets," European Journal of Operational Research, Elsevier, vol. 256(3), pages 945-961.
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    16. Leonidas Sandoval Junior, 2014. "Dynamics in two networks based on stocks of the US stock market," Papers 1408.1728, arXiv.org, revised Aug 2014.
    17. Neto, David, 2022. "Examining interconnectedness between media attention and cryptocurrency markets: A transfer entropy story," Economics Letters, Elsevier, vol. 214(C).
    18. Thai Hung, Ngo & Nguyen, Linh Thi My & Vinh Vo, Xuan, 2022. "Exchange rate volatility connectedness during Covid-19 outbreak: DECO-GARCH and Transfer Entropy approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    19. Dima, Bogdan & Dima, Ştefana Maria & Barna, Flavia, 2014. "The signaling effect of tax rates under fiscal competition: A (Shannonian) transfer entropy approach," Economic Modelling, Elsevier, vol. 42(C), pages 373-381.
    20. Ladislav Kristoufek, 2022. "On the role of stablecoins in cryptoasset pricing dynamics," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-26, December.
    21. Basse, Tobias & Wegener, Christoph, 2022. "Inflation expectations: Australian consumer survey data versus the bond market," Journal of Economic Behavior & Organization, Elsevier, vol. 203(C), pages 416-430.
    22. Ji, Qiang & Marfatia, Hardik & Gupta, Rangan, 2018. "Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 103-113.
    23. Tong, Zezheng & Goodell, John W. & Shen, Dehua, 2022. "Assessing causal relationships between cryptocurrencies and investor attention: New results from transfer entropy methodology," Finance Research Letters, Elsevier, vol. 50(C).
    24. Ngo Thai Hung, 2021. "Nexus between green bonds, financial and environmental indicators," Economics and Business Letters, Oviedo University Press, vol. 10(3), pages 191-199.
    25. Hassad de Andrade, Liz & Moreira Antunes, Jorge Junio & Araújo de Medeiros, Antônio Mamede & Wanke, Peter & Nunes, Bernardo Pereira, 2022. "The impact of social welfare and COVID-19 stringency on the perceived utility of food apps: A hybrid MCDM approach," Socio-Economic Planning Sciences, Elsevier, vol. 82(PB).
    26. Huynh, Toan Luu Duc & Nasir, Muhammad Ali & Vo, Xuan Vinh & Nguyen, Thong Trung, 2020. "“Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    27. Nicoló Andrea Caserini & Paolo Pagnottoni, 2022. "Effective transfer entropy to measure information flows in credit markets," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(4), pages 729-757, October.
    28. Luu Duc Huynh, Toan, 2020. "The effect of uncertainty on the precious metals market: New insights from Transfer Entropy and Neural Network VAR," Resources Policy, Elsevier, vol. 66(C).
    29. Román Alejandro Mendoza Urdiales & Andrés García-Medina & José Antonio Nuñez Mora, 2021. "Measuring information flux between social media and stock prices with Transfer Entropy," PLOS ONE, Public Library of Science, vol. 16(9), pages 1-19, September.
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    31. Tihana Škrinjarić & Derick Quintino & Paulo Ferreira, 2021. "Transfer Entropy Approach for Portfolio Optimization: An Empirical Approach for CESEE Markets," JRFM, MDPI, vol. 14(8), pages 1-12, August.
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    34. Xie, Wen-Jie & Yong, Yang & Wei, Na & Yue, Peng & Zhou, Wei-Xing, 2021. "Identifying states of global financial market based on information flow network motifs," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
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    Cited by:

    1. Kuck, Konstantin & Maderitsch, Robert, 2019. "Intra-day dynamics of exchange rates: New evidence from quantile regression," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 247-257.

  8. Thomas Dimpfl & Robert Jung, 2011. "Financial market spillovers around the globe," Global Financial Markets Working Paper Series 20-2011, Friedrich-Schiller-University Jena.

    Cited by:

    1. Huang, Wei-Qiang & Wang, Dan, 2018. "A return spillover network perspective analysis of Chinese financial institutions’ systemic importance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 405-421.
    2. Gustavo Peralta, 2016. "The Nature of Volatility Spillovers across the International Capital Markets," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    3. Ovidiu Stoica & Mark J. Perry & Seyed Mehdian, 2015. "An Empirical Analysis of the Diffusion of Information across Stock Markets of Central and Eastern Europe," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(2), pages 192-210.
    4. Robert Maderitsch, 2015. "Spillovers from the USA to stock markets in Asia: a quantile regression approach," Applied Economics, Taylor & Francis Journals, vol. 47(44), pages 4714-4727, September.
    5. Buncic, Daniel & Gisler, Katja I. M., 2015. "Global Equity Market Volatility Spillovers: A Broader Role for the United States," Economics Working Paper Series 1508, University of St. Gallen, School of Economics and Political Science.
    6. Jozef Baruník, Evzen Kocenda and Lukáa Vácha, 2015. "Volatility Spillovers Across Petroleum Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    7. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia, 2023. "Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence," International Review of Financial Analysis, Elsevier, vol. 87(C).
    8. Maderitsch, R., 2015. "Information transmission between stock markets in Hong Kong, Europe and the US: New evidence on time- and state-dependence," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 13-36.
    9. Harald Schmidbauer & Angi Rösch & Erhan Uluceviz & Narod Erkol, 2016. "The Russian Stock Market during the Ukrainian Crisis: A Network Perspective," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(6), pages 478-509, December.
    10. Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2017. "Asymmetry in spillover effects: Evidence for international stock index futures markets," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 94-111.
    11. Dilip Kumar, 2019. "Structural Breaks in Volatility Transmission from Developed Markets to Major Asian Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(2), pages 172-209, August.
    12. Caporin, Massimiliano & Naeem, Muhammad Abubakr & Arif, Muhammad & Hasan, Mudassar & Vo, Xuan Vinh & Hussain Shahzad, Syed Jawad, 2021. "Asymmetric and time-frequency spillovers among commodities using high-frequency data," Resources Policy, Elsevier, vol. 70(C).
    13. Gagan Sharma & Parthajit Kayal & Piyush Pandey, 2019. "Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indices," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(3), pages 263-289, December.
    14. Jung, R.C. & Maderitsch, R., 2014. "Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 331-342.
    15. Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012. "Intra-daily volatility spillovers between the US and German stock markets," Economics Working Papers 2012-06, Christian-Albrechts-University of Kiel, Department of Economics.
    16. Vo, Xuan Vinh & Ellis, Craig, 2018. "International financial integration: Stock return linkages and volatility transmission between Vietnam and advanced countries," Emerging Markets Review, Elsevier, vol. 36(C), pages 19-27.
    17. Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2015. "Intra-daily volatility spillovers in international stock markets," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 95-114.

  9. Dimpfl, Thomas & Jank, Stephan, 2011. "Can internet search queries help to predict stock market volatility?," CFR Working Papers 11-15, University of Cologne, Centre for Financial Research (CFR).

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    1. Pete Richardson, 2018. "Nowcasting and the Use of Big Data in Short-Term Macroeconomic Forecasting: A Critical Review," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 505-506, pages 65-87.
    2. Aharon, David Y. & Qadan, Mahmoud, 2020. "When do retail investors pay attention to their trading platforms?," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    3. Tihana Škrinjarić, 2019. "Time Varying Spillovers between the Online Search Volume and Stock Returns: Case of CESEE Markets," IJFS, MDPI, vol. 7(4), pages 1-30, October.
    4. Urquhart, Andrew, 2018. "What causes the attention of Bitcoin?," Economics Letters, Elsevier, vol. 166(C), pages 40-44.
    5. Chen, Rongda & Wu, Ling & Jin, Chenglu & Wang, Shengnan, 2021. "Unintended investor sentiment on bank financial products: Evidence from China," Emerging Markets Review, Elsevier, vol. 49(C).
    6. Liu, Jian-Guo & Yang, Zhen-Hua & Li, Sheng-Nan & Yu, Chang-Rui, 2018. "A generative model for the collective attention of the Chinese stock market investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 1175-1182.
    7. Ramos, Sofia B. & Latoeiro, Pedro & Veiga, Helena, 2020. "Limited attention, salience of information and stock market activity," Economic Modelling, Elsevier, vol. 87(C), pages 92-108.
    8. Zhen-Hua Yang & Jian-Guo Liu & Chang-Rui Yu & Jing-Ti Han, 2017. "Quantifying the effect of investors’ attention on stock market," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-16, May.
    9. Georgios Bampinas & Theodore Panagiotidis & Christina Rouska, 2019. "Volatility persistence and asymmetry under the microscope: the role of information demand for gold and oil," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 180-197, February.
    10. Lyócsa, Štefan & Baumöhl, Eduard & Vŷrost, Tomáš, 2021. "YOLO trading: Riding with the herd during the GameStop episode," EconStor Preprints 230679, ZBW - Leibniz Information Centre for Economics.
    11. Yen-Ju Hsu & Yang-Cheng Lu & J. Jimmy Yang, 2021. "News sentiment and stock market volatility," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 1093-1122, October.
    12. Zhang, Ziqi & Su, Zhi & Wang, Ke & Zhang, Yongji, 2022. "Corporate environmental information disclosure and stock price crash risk: Evidence from Chinese listed heavily polluting companies," Energy Economics, Elsevier, vol. 112(C).
    13. Bleher, Johannes & Dimpfl, Thomas, 2022. "Knitting Multi-Annual High-Frequency Google Trends to Predict Inflation and Consumption," Econometrics and Statistics, Elsevier, vol. 24(C), pages 1-26.
    14. Kou, Yi & Ye, Qiang & Zhao, Feng & Wang, Xiaolin, 2018. "Effects of investor attention on commodity futures markets," Finance Research Letters, Elsevier, vol. 25(C), pages 190-195.
    15. Lee, Chien-Chiang & Chen, Mei-Ping, 2021. "The effects of investor attention and policy uncertainties on cross-border country exchange-traded fund returns," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 830-852.
    16. Wang, Wenzhao & Su, Chen & Duxbury, Darren, 2021. "Investor sentiment and stock returns: Global evidence," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 365-391.
    17. Fantazzini, Dean & Shangina, Tamara, 2019. "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 55, pages 5-31.
    18. Chundakkadan, Radeef & Nedumparambil, Elizabeth, 2022. "In search of COVID-19 and stock market behavior," Global Finance Journal, Elsevier, vol. 54(C).
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    20. Basistha, Arabinda & Kurov, Alexander & Wolfe, Marketa Halova, 2019. "Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility," MPRA Paper 111037, University Library of Munich, Germany.
    21. Zhang, Tonghui & Yuan, Ying & Wu, Xi, 2020. "Is microblogging data reflected in stock market volatility? Evidence from Sina Weibo," Finance Research Letters, Elsevier, vol. 32(C).
    22. Chen, Shuning & Zhang, Wei & Feng, Xu & Xiong, Xiong, 2020. "Asymmetry of retail investors’ attention and asymmetric volatility: Evidence from China," Finance Research Letters, Elsevier, vol. 36(C).
    23. Arjun R & Suprabha KR, 2018. "Predictive modeling of stock indices closing from web search trends," Papers 1804.01676, arXiv.org.
    24. Martina Halouskov'a & Daniel Stav{s}ek & Mat'uv{s} Horv'ath, 2022. "The role of investor attention in global asset price variation during the invasion of Ukraine," Papers 2205.05985, arXiv.org, revised Aug 2022.
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    29. Shen, Dehua & Liu, Lanbiao & Zhang, Yongjie, 2018. "Quantifying the cross-sectional relationship between online sentiment and the skewness of stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 928-934.
    30. Jukka Ruohonen & Sami Hyrynsalmi, 2017. "Evaluating the use of internet search volumes for time series modeling of sales in the video game industry," Electronic Markets, Springer;IIM University of St. Gallen, vol. 27(4), pages 351-370, November.
    31. Ung, Sze Nie & Gebka, Bartosz & Anderson, Robert D.J., 2023. "Is sentiment the solution to the risk–return puzzle? A (cautionary) note," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    32. Imene Ben El Hadj Said & Skander Slim, 2022. "The Dynamic Relationship between Investor Attention and Stock Market Volatility: International Evidence," JRFM, MDPI, vol. 15(2), pages 1-25, February.
    33. Qadan, Mahmoud & Zoua’bi, Maher, 2019. "Financial attention and the demand for information," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 82(C).
    34. Semen Son-Turan, 2016. "The Impact of Investor Sentiment on the "Leverage Effect"," International Econometric Review (IER), Econometric Research Association, vol. 8(1), pages 4-18, April.
    35. Baur, Dirk G. & Dimpfl, Thomas, 2016. "Googling gold and mining bad news," Resources Policy, Elsevier, vol. 50(C), pages 306-311.
    36. Jain, Anshul & Biswal, Pratap Chandra, 2019. "Does internet search interest for gold move the gold spot, stock and exchange rate markets? A study from India," Resources Policy, Elsevier, vol. 61(C), pages 501-507.
    37. Campos, I. & Cortazar, G. & Reyes, T., 2017. "Modeling and predicting oil VIX: Internet search volume versus traditional mariables," Energy Economics, Elsevier, vol. 66(C), pages 194-204.
    38. Byström, Hans, 2016. "Language, news and volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 139-154.
    39. Michael Graham & Jussi Nikkinen & Jarkko Peltomäki, 2020. "Web-Based Investor Fear Gauge and Stock Market Volatility: An Emerging Market Perspective," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(2), pages 127-153, August.
    40. Behrendt, Simon & Peter, Franziska J. & Zimmermann, David J., 2020. "An encyclopedia for stock markets? Wikipedia searches and stock returns," International Review of Financial Analysis, Elsevier, vol. 72(C).
    41. Coble, David & Pincheira, Pablo, 2017. "Nowcasting Building Permits with Google Trends," MPRA Paper 76514, University Library of Munich, Germany.
    42. Halousková, Martina & Stašek, Daniel & Horváth, Matúš, 2022. "The role of investor attention in global asset price variation during the invasion of Ukraine," Finance Research Letters, Elsevier, vol. 50(C).
    43. Chen, Xi & Shangguan, Wuyue & Liu, Yanchu & Wang, Shichao, 2021. "Can network structure predict cross-sectional stock returns? Evidence from co-attention networks in China," Finance Research Letters, Elsevier, vol. 38(C).
    44. Aharon, David Y. & Qadan, Mahmoud, 2018. "What drives the demand for information in the commodity market?," Resources Policy, Elsevier, vol. 59(C), pages 532-543.
    45. Anastasiou, Dimitris & Ballis, Antonis & Drakos, Konstantinos, 2022. "Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets," International Review of Financial Analysis, Elsevier, vol. 81(C).
    46. Wei Zhang & Kai Yan & Dehua Shen, 2021. "Can the Baidu Index predict realized volatility in the Chinese stock market?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
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    48. Thomas Dimpfl & Vladislav Kleiman, 2019. "Investor Pessimism and the German Stock Market: Exploring Google Search Queries," German Economic Review, Verein für Socialpolitik, vol. 20(1), pages 1-28, February.
    49. Xiong, Xiong & Meng, Yongqiang & Joseph, Nathan Lael & Shen, Dehua, 2020. "Stock mispricing, hard-to-value stocks and the influence of internet stock message boards," International Review of Financial Analysis, Elsevier, vol. 72(C).
    50. Amal Aouadi & Mohamed Arouri & Frédéric Teulon, 2014. "Investor Following and Volatility: A GARCH Approach," Working Papers 2014-286, Department of Research, Ipag Business School.
    51. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia, 2023. "Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence," International Review of Financial Analysis, Elsevier, vol. 87(C).
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Articles

  1. Dirk G. Baur & Thomas Dimpfl, 2021. "The volatility of Bitcoin and its role as a medium of exchange and a store of value," Empirical Economics, Springer, vol. 61(5), pages 2663-2683, November.

    Cited by:

    1. Syuhada, Khreshna & Hakim, Arief & Suprijanto, Djoko & Muchtadi-Alamsyah, Intan & Arbi, Lukman, 2022. "Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk," Resources Policy, Elsevier, vol. 79(C).
    2. A. H. Nzokem, 2023. "Bitcoin versus S&P 500 Index: Return and Risk Analysis," Papers 2310.02436, arXiv.org.
    3. Zhang, Dingxuan & Sun, Yuying & Duan, Hongbo & Hong, Yongmiao & Wang, Shouyang, 2023. "Speculation or currency? Multi-scale analysis of cryptocurrencies—The case of Bitcoin," International Review of Financial Analysis, Elsevier, vol. 88(C).
    4. Kristoufek, Ladislav, 2023. "Will Bitcoin ever become less volatile?," Finance Research Letters, Elsevier, vol. 51(C).
    5. Clemens Graf von Luckner & Carmen M. Reinhart & Kenneth S. Rogoff, 2021. "Decrypting New Age International Capital Flows," NBER Working Papers 29337, National Bureau of Economic Research, Inc.
    6. Giannellis, Nikolaos, 2022. "Cryptocurrency market connectedness in Covid-19 days and the role of Twitter: Evidence from a smooth transition regression model," Research in International Business and Finance, Elsevier, vol. 63(C).
    7. Gabriel Mathy, 2023. "Eliminating Environmental Costs to Proof-of-Work-Based Cryptocurrencies: A Proposal," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 49(2), pages 206-220, April.
    8. Haritha GB & Sahana N. B, 2023. "Cryptocurrency Price Prediction using Twitter Sentiment Analysis," Papers 2303.09397, arXiv.org.
    9. Yu Song & Bo Chen & Xin-Yi Wang, 2023. "Cryptocurrency technology revolution: are Bitcoin prices and terrorist attacks related?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-20, December.
    10. Şoiman, Florentina & Dumas, Jean-Guillaume & Jimenez-Garces, Sonia, 2023. "What drives DeFi market returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    11. Bakhtiar, Tiam & Luo, Xiaojun & Adelopo, Ismail, 2023. "Network effects and store-of-value features in the cryptocurrency market," Technology in Society, Elsevier, vol. 74(C).
    12. Aktham Maghyereh & Hussein Abdoh, 2022. "COVID-19 and the volatility interlinkage between bitcoin and financial assets," Empirical Economics, Springer, vol. 63(6), pages 2875-2901, December.
    13. Paulo Rupino Cunha & Paulo Melo & Helder Sebastião, 2021. "From Bitcoin to Central Bank Digital Currencies: Making Sense of the Digital Money Revolution," Future Internet, MDPI, vol. 13(7), pages 1-19, June.
    14. Rehman, Mobeen Ur & Katsiampa, Paraskevi & Zeitun, Rami & Vo, Xuan Vinh, 2023. "Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies," Emerging Markets Review, Elsevier, vol. 55(C).
    15. Tak Kuen Siu, 2023. "Bayesian nonlinear expectation for time series modelling and its application to Bitcoin," Empirical Economics, Springer, vol. 64(1), pages 505-537, January.
    16. Vidal-Tomás, David, 2023. "The illusion of the metaverse and meta-economy," International Review of Financial Analysis, Elsevier, vol. 86(C).
    17. Sasan Barak & Navid Parvini, 2023. "Transfer‐entropy‐based dynamic feature selection for evaluating Bitcoin price drivers," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(12), pages 1695-1726, December.
    18. Lei Wang & Provash Kumer Sarker & Elie Bouri, 2023. "Short- and Long-Term Interactions Between Bitcoin and Economic Variables: Evidence from the US," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1305-1330, April.
    19. Andreas Thiemann, 2021. "Cryptocurrencies: An empirical view from a Tax Perspective," JRC Working Papers on Taxation & Structural Reforms 2021-12, Joint Research Centre.
    20. Junwei Chen, 2023. "Analysis of Bitcoin Price Prediction Using Machine Learning," JRFM, MDPI, vol. 16(1), pages 1-25, January.
    21. Ahmed BenSaïda, 2023. "The linkage between Bitcoin and foreign exchanges in developed and emerging markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-27, December.
    22. Lyons, Richard K. & Viswanath-Natraj, Ganesh, 2023. "What keeps stablecoins stable?," Journal of International Money and Finance, Elsevier, vol. 131(C).
    23. Ajithakumari Vijayappan Nair Biju & Ann Susan Thomas, 2023. "Uncertainties and ambivalence in the crypto market: an urgent need for a regional crypto regulation," SN Business & Economics, Springer, vol. 3(8), pages 1-21, August.
    24. Fieberg, Christian & Günther, Steffen & Poddig, Thorsten & Zaremba, Adam, 2024. "Non-standard errors in the cryptocurrency world," International Review of Financial Analysis, Elsevier, vol. 92(C).
    25. Nadir Khan & Muhammad Zohair Durrani & Naila Mushtaq & S M Nabeel ul Haq & Babar Ijaz, 2022. "The Relationships among Cryptocurrencies: A Granger Causality Analysis," iRASD Journal of Economics, International Research Alliance for Sustainable Development (iRASD), vol. 4(2), pages 264-274, June.
    26. Nguyen, Thach V.H. & Nguyen, Thai Vu Hong & Nguyen, Thanh Cong & Pham, Thu Thi Anh & Nguyen, Quan M.P., 2022. "Stablecoins versus traditional cryptocurrencies in response to interbank rates," Finance Research Letters, Elsevier, vol. 47(PB).

  2. Dimpfl, Thomas & Peter, Franziska J., 2021. "Nothing but noise? Price discovery across cryptocurrency exchanges," Journal of Financial Markets, Elsevier, vol. 54(C).

    Cited by:

    1. Bao Doan & Huy Pham & Binh Nguyen Thanh, 2022. "Price discovery in the cryptocurrency market: evidence from institutional activity," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 49(1), pages 111-131, March.
    2. Koch, Sophia & Dimpfl, Thomas, 2023. "Attention and retail investor herding in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 51(C).
    3. Jinxin Cui & Aktham Maghyereh, 2022. "Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
    4. Huang, Guan-Ying & Gau, Yin-Feng & Wu, Zhen-Xing, 2022. "Price discovery in fiat currency and cryptocurrency markets," Finance Research Letters, Elsevier, vol. 47(PA).
    5. M. Eren Akbiyik & Mert Erkul & Killian Kaempf & Vaiva Vasiliauskaite & Nino Antulov-Fantulin, 2021. "Ask "Who", Not "What": Bitcoin Volatility Forecasting with Twitter Data," Papers 2110.14317, arXiv.org, revised Dec 2022.
    6. Naheeda Ali, 2022. "Crimes Related to Cryptocurrency and Regulations to Combat Crypto Crimes," Journal of Policy Research (JPR), Research Foundation for Humanity (RFH), vol. 8(3), pages 289-302, September.
    7. Yu‐Lun Chen & J. Jimmy Yang, 2024. "Time‐varying price discovery in regular and microbitcoin futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(1), pages 103-121, January.

  3. Dimpfl, Thomas & Peter, Franziska J., 2019. "Group transfer entropy with an application to cryptocurrencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 543-551.

    Cited by:

    1. Aktham Maghyereh & Hussein Abdoh, 2022. "Global financial crisis versus COVID‐19: Evidence from sentiment analysis," International Finance, Wiley Blackwell, vol. 25(2), pages 218-248, August.
    2. Nie, Chun-Xiao, 2023. "Time-varying characteristics of information flow networks in the Chinese market: An analysis based on sector indices," Finance Research Letters, Elsevier, vol. 54(C).
    3. Niu, Hongli & Hu, Ziang, 2021. "Information transmission and entropy-based network between Chinese stock market and commodity futures market," Resources Policy, Elsevier, vol. 74(C).
    4. Smales, L.A., 2022. "Investor attention in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 79(C).
    5. Stefano Martinazzi & Daniele Regoli & Andrea Flori, 2020. "A Tale of Two Layers: The Mutual Relationship between Bitcoin and Lightning Network," Risks, MDPI, vol. 8(4), pages 1-18, December.
    6. Tong, Zezheng & Goodell, John W. & Shen, Dehua, 2022. "Assessing causal relationships between cryptocurrencies and investor attention: New results from transfer entropy methodology," Finance Research Letters, Elsevier, vol. 50(C).
    7. Park, Sangjin & Jang, Kwahngsoo & Yang, Jae-Suk, 2021. "Information flow between bitcoin and other financial assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
    8. Dora Almeida & Andreia Dionísio & Paulo Ferreira & Isabel Vieira, 2023. "Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis," FinTech, MDPI, vol. 2(2), pages 1-17, May.
    9. Maghyereh, Aktham & Abdoh, Hussein & Awartani, Basel, 2022. "Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?," Journal of Commodity Markets, Elsevier, vol. 26(C).
    10. Wang, Lu & Ruan, Hang & Hong, Yanran & Luo, Keyu, 2023. "Detecting the hidden asymmetric relationship between crude oil and the US dollar: A novel neural Granger causality method," Research in International Business and Finance, Elsevier, vol. 64(C).

  4. Dirk G. Baur & Thomas Dimpfl, 2019. "Price discovery in bitcoin spot or futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 803-817, July.

    Cited by:

    1. Augustin, Patrick & Rubtsov, Alexey & Shin, Donghwa, 2022. "The impact of derivatives on spot markets: Evidence from the introduction of bitcoin futures contracts," LawFin Working Paper Series 41, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
    2. Lai T. Hoang & Dirk G. Baur, 2020. "Forecasting bitcoin volatility: Evidence from the options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1584-1602, October.
    3. Lin, Mei-Yin & An, Che-Lun, 2021. "The relationship between Bitcoin and resource commodity futures: Evidence from NARDL approach," Resources Policy, Elsevier, vol. 74(C).
    4. Shimeng Shi, 2022. "Bitcoin futures risk premia," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2190-2217, December.
    5. Julien Chevallier & Dominique Guégan & Stéphane Goutte, 2021. "Is It Possible to Forecast the Price of Bitcoin?," Post-Print halshs-04250269, HAL.
    6. Ruan, Qingsong & Meng, Lu & Lv, Dayong, 2021. "Effect of introducing Bitcoin futures on the underlying Bitcoin market efficiency: A multifractal analysis," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
    7. Sai Srikar Nimmagadda & Pawan Sasanka Ammanamanchi, 2019. "BitMEX Funding Correlation with Bitcoin Exchange Rate," Papers 1912.03270, arXiv.org.
    8. Parthajit Kayal & Purnima Rohilla, 2021. "Bitcoin in the economics and finance literature: a survey," SN Business & Economics, Springer, vol. 1(7), pages 1-21, July.
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    12. Carol Alexander & Jun Deng & Bin Zou, 2021. "Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading," Papers 2101.01261, arXiv.org, revised Aug 2021.
    13. Yang Hu & Yang (Greg) Hou & Les Oxley, 2019. "Spot and Futures Prices of Bitcoin: Causality, Cointegration and Price Discovery from a Time-Varying Perspective," Working Papers in Economics 19/13, University of Waikato.
    14. Oliver Entrop & Bart Frijns & Marco Seruset, 2020. "The determinants of price discovery on bitcoin markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 816-837, May.
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    19. Shynkevich, Andrei, 2021. "Bitcoin arbitrage," Finance Research Letters, Elsevier, vol. 40(C).
    20. Blasco, N. & Corredor, P. & Satrústegui, N., 2023. "Is there an expiration effect in the bitcoin market?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 647-663.
    21. Saketh Aleti & Bruce Mizrach, 2021. "Bitcoin spot and futures market microstructure," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 194-225, February.
    22. Alexander, Carol & Heck, Daniel F., 2020. "Price discovery in Bitcoin: The impact of unregulated markets," Journal of Financial Stability, Elsevier, vol. 50(C).
    23. Weige Huang & Xiang Gao, 2023. "Forecasting Bitcoin Futures: A Lasso-BMA Two-Step Predictor Selection for Investment and Hedging Strategies," SAGE Open, , vol. 13(1), pages 21582440231, January.
    24. Chan, Stephen & Chu, Jeffrey & Zhang, Yuanyuan & Nadarajah, Saralees, 2022. "An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 59(C).
    25. Helder Miguel Correia Virtuoso Sebastião & Paulo José Osório Rupino Da Cunha & Pedro Manuel Cortesão Godinho, 2021. "Cryptocurrencies and blockchain. Overview and future perspectives," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 21(3), pages 305-342.
    26. Kim, S. Thomas, 2022. "Is it worth to hold bitcoin?," Finance Research Letters, Elsevier, vol. 44(C).
    27. Chen, Yu-Lun & Chang, Yung Ting & Yang, J. Jimmy, 2023. "Cryptocurrency hacking incidents and the price dynamics of Bitcoin spot and futures," Finance Research Letters, Elsevier, vol. 55(PB).
    28. Hu, Yang & Hou, Yang Greg & Oxley, Les, 2020. "What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?," International Review of Financial Analysis, Elsevier, vol. 72(C).
    29. Ferko, Alex & Moin, Amani & Onur, Esen & Penick, Michael, 2023. "Who trades bitcoin futures and why?," Global Finance Journal, Elsevier, vol. 55(C).
    30. Pati, Pratap Chandra, 2022. "Informativeness of CME Micro Bitcoin Futures in Pricing of Bitcoin: Intraday Evidence," Finance Research Letters, Elsevier, vol. 49(C).
    31. Dirk G. Baur & Lee A. Smales, 2022. "Trading behavior in bitcoin futures: Following the “smart money”," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1304-1323, July.
    32. Lepomäki, Laura & Kanniainen, Juho & Hansen, Henri, 2021. "Retaliation in Bitcoin networks," Economics Letters, Elsevier, vol. 203(C).
    33. Fassas, Athanasios P. & Papadamou, Stephanos & Koulis, Alexandros, 2020. "Price discovery in bitcoin futures," Research in International Business and Finance, Elsevier, vol. 52(C).
    34. Arun Narayanasamy & Humnath Panta & Rohit Agarwal, 2023. "Relations among Bitcoin Futures, Bitcoin Spot, Investor Attention, and Sentiment," JRFM, MDPI, vol. 16(11), pages 1-24, November.
    35. Zema, Sebastiano Michele, 2022. "Directed acyclic graph based information shares for price discovery," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    36. Efe Caglar Cagli & Pinar Evrim Mandaci, 2021. "Information transmission between bitcoin derivatives and spot markets: high-frequency causality analysis with Fourier approximation," Economics and Business Letters, Oviedo University Press, vol. 10(4), pages 394-402.
    37. Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2021. "Trading activity and price discovery in Bitcoin futures markets," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 107-120.
    38. Alexander, Carol & Choi, Jaehyuk & Massie, Hamish R.A. & Sohn, Sungbin, 2020. "Price discovery and microstructure in ether spot and derivative markets," International Review of Financial Analysis, Elsevier, vol. 71(C).
    39. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    40. Gemayel, Roland & Franus, Tatiana & Bowden, James, 2023. "Price discovery between Bitcoin spot markets and exchange traded products," Economics Letters, Elsevier, vol. 228(C).
    41. Shimeng Shi & Yukun Shi, 2021. "Bitcoin futures: trade it or ban it?," The European Journal of Finance, Taylor & Francis Journals, vol. 27(4-5), pages 381-396, March.
    42. Jinghong Wu & Ke Xu & Xinwei Zheng & Jian Chen, 2021. "Fractional cointegration in bitcoin spot and futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1478-1494, September.
    43. Dimpfl, Thomas & Peter, Franziska J., 2021. "Nothing but noise? Price discovery across cryptocurrency exchanges," Journal of Financial Markets, Elsevier, vol. 54(C).
    44. Khaled Mokni & Elie Bouri & Ahdi Noomen Ajmi & Xuan Vinh Vo, 2021. "Does Bitcoin Hedge Categorical Economic Uncertainty? A Quantile Analysis," SAGE Open, , vol. 11(2), pages 21582440211, May.
    45. Hattori, Takahiro & Ishida, Ryo, 2021. "Did the introduction of Bitcoin futures crash the Bitcoin market at the end of 2017?," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    46. Yuze Li & Shangrong Jiang & Xuerong Li & Shouyang Wang, 2022. "Hybrid data decomposition-based deep learning for Bitcoin prediction and algorithm trading," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-24, December.
    47. Yu‐Lun Chen & J. Jimmy Yang, 2024. "Time‐varying price discovery in regular and microbitcoin futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(1), pages 103-121, January.
    48. Riccardo De Blasis & Alexander Webb, 2022. "Arbitrage, contract design, and market structure in Bitcoin futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 492-524, March.
    49. Carol Alexander & Jaehyuk Choi & Heungju Park & Sungbin Sohn, 2020. "BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 23-43, January.
    50. Lee, Seungho & Meslmani, Nabil El & Switzer, Lorne N., 2020. "Pricing Efficiency and Arbitrage in the Bitcoin Spot and Futures Markets," Research in International Business and Finance, Elsevier, vol. 53(C).
    51. Julien Chevallier & Bilel Sanhaji, 2023. "Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices," Post-Print halshs-04344131, HAL.
    52. Sebastiano Michele Zema, 2020. "Directed Acyclic Graph based Information Shares for Price Discovery," LEM Papers Series 2020/28, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    53. Adediran, Idris A. & Yinusa, Olalekan D. & Lakhani, Kanwal Hammad, 2021. "Where lies the silver lining when uncertainty hang dark clouds over the global financial markets?," Resources Policy, Elsevier, vol. 70(C).
    54. Cevik, Emrah Ismail & Gunay, Samet & Dibooglu, Sel & Yıldırım, Durmuş Çağrı, 2023. "The impact of expected and unexpected events on Bitcoin price development: Introduction of futures market and COVID-19," Finance Research Letters, Elsevier, vol. 54(C).

  5. Dirk G Baur & Thomas Dimpfl, 2019. "A Quantile Regression Approach to Estimate the Variance of Financial Returns," Journal of Financial Econometrics, Oxford University Press, vol. 17(4), pages 616-644.

    Cited by:

    1. Libo Yin & Jing Nie & Liyan Han, 2021. "Intermediary capital risk and commodity futures volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 577-640, May.

  6. Thomas Dimpfl & Vladislav Kleiman, 2019. "Investor Pessimism and the German Stock Market: Exploring Google Search Queries," German Economic Review, Verein für Socialpolitik, vol. 20(1), pages 1-28, February.

    Cited by:

    1. Ming‐Hung Wu & Wei‐Che Tsai & Pei‐Shih Weng & Dan‐Yi Li, 2021. "Effects of investor attention in China's commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1315-1332, August.
    2. Müller, Karsten, 2020. "German forecasters' narratives: How informative are German business cycle forecast reports?," Working Papers 23, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.
    3. Desagre, Christophe & D’Hondt, Catherine, 2021. "Googlization and retail trading activity," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    4. Karsten Müller, 2022. "German forecasters’ narratives: How informative are German business cycle forecast reports?," Empirical Economics, Springer, vol. 62(5), pages 2373-2415, May.
    5. Gaoshan Wang & Guangjin Yu & Xiaohong Shen, 2020. "The Effect of Online Investor Sentiment on Stock Movements: An LSTM Approach," Complexity, Hindawi, vol. 2020, pages 1-11, December.
    6. Bernardina Algieri, 2021. "Fast & furious: Do psychological and legal factors affect commodity price volatility?," The World Economy, Wiley Blackwell, vol. 44(4), pages 980-1017, April.
    7. Wang, Gaoshan & Yu, Guangjin & Shen, Xiaohong, 2021. "The effect of online environmental news on green industry stocks: The mediating role of investor sentiment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
    8. Shah, Syed Faisal & Albaity, Mohamed, 2022. "The role of trust, investor sentiment, and uncertainty on bank stock return performance: Evidence from the MENA region," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    9. Seyed Alireza Athari & Dervis Kirikkaleli & Tomiwa Sunday Adebayo, 2023. "World pandemic uncertainty and German stock market: evidence from Markov regime-switching and Fourier based approaches," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(2), pages 1923-1936, April.
    10. Arnold, Ivo J.M., 2020. "Internet search volumes of UK banks during the crisis: The role of banking structure and business model," Global Finance Journal, Elsevier, vol. 45(C).
    11. Papadamou, Stephanos & Fassas, Athanasios & Kenourgios, Dimitris & Dimitriou, Dimitrios, 2020. "Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis," MPRA Paper 100020, University Library of Munich, Germany.

  7. Paolo Pagnottoni & Thomas Dimpfl, 2019. "Price discovery on Bitcoin markets," Digital Finance, Springer, vol. 1(1), pages 139-161, November.
    See citations under working paper version above.
  8. Baur Dirk G. & Dimpfl Thomas, 2019. "Think again: volatility asymmetry and volatility persistence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-19, February.

    Cited by:

    1. Nikitopoulos, Christina Sklibosios & Thomas, Alice Carole & Wang, Jianxin, 2023. "The economic impact of daily volatility persistence on energy markets," Journal of Commodity Markets, Elsevier, vol. 30(C).

  9. Bleher, Johannes & Dimpfl, Thomas, 2019. "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, Elsevier, vol. 63(C), pages 147-159.

    Cited by:

    1. Prange, Philipp, 2021. "Does online investor attention drive the co-movement of stock-, commodity-, and energy markets? Insights from Google searches," Energy Economics, Elsevier, vol. 99(C).
    2. Ghosh, Indranil & Alfaro-Cortés, Esteban & Gámez, Matías & García-Rubio, Noelia, 2023. "Prediction and interpretation of daily NFT and DeFi prices dynamics: Inspection through ensemble machine learning & XAI," International Review of Financial Analysis, Elsevier, vol. 87(C).
    3. Hachicha, Fatma & Masmoudi, Afif & Abid, Ilyes & Obeid, Hassan, 2023. "Herding behavior in exploring the predictability of price clustering in cryptocurrency market," Finance Research Letters, Elsevier, vol. 57(C).
    4. Ding, Qian & Huang, Jianbai & Zhang, Hongwei, 2022. "Time-frequency spillovers among carbon, fossil energy and clean energy markets: The effects of attention to climate change," International Review of Financial Analysis, Elsevier, vol. 83(C).
    5. Böyükaslan, Adem & Ecer, Fatih, 2021. "Determination of drivers for investing in cryptocurrencies through a fuzzy full consistency method-Bonferroni (FUCOM-F’B) framework," Technology in Society, Elsevier, vol. 67(C).
    6. Smales, L.A., 2022. "Investor attention in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 79(C).
    7. Al Guindy, Mohamed, 2021. "Cryptocurrency price volatility and investor attention," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 556-570.
    8. Nakagawa, Kei & Sakemoto, Ryuta, 2022. "Market uncertainty and correlation between Bitcoin and Ether," Finance Research Letters, Elsevier, vol. 50(C).
    9. Khaskheli, Asadullah & Zhang, Hongyu & Raza, Syed Ali & Khan, Komal Akram, 2022. "Assessing the influence of news indicator on volatility of precious metals prices through GARCH-MIDAS model: A comparative study of pre and during COVID-19 period," Resources Policy, Elsevier, vol. 79(C).
    10. Lyócsa, Štefan & Plíhal, Tomáš, 2022. "Russia’s ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention," Finance Research Letters, Elsevier, vol. 48(C).
    11. Almeida, José & Gonçalves, Tiago Cruz, 2023. "A systematic literature review of investor behavior in the cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    12. Thomas Dimpfl & Stefania Odelli, 2020. "Bitcoin Price Risk—A Durations Perspective," JRFM, MDPI, vol. 13(7), pages 1-18, July.
    13. Salisu, Afees A. & Ogbonna, Ahamuefula E. & Adewuyi, Adeolu, 2020. "Google trends and the predictability of precious metals," Resources Policy, Elsevier, vol. 65(C).
    14. Behrendt, Simon & Prange, Philipp, 2021. "What are you searching for? On the equivalence of proxies for online investor attention," Finance Research Letters, Elsevier, vol. 38(C).
    15. Makridis, Christos A. & Fröwis, Michael & Sridhar, Kiran & Böhme, Rainer, 2023. "The rise of decentralized cryptocurrency exchanges: Evaluating the role of airdrops and governance tokens," Journal of Corporate Finance, Elsevier, vol. 79(C).

  10. Baur, Dirk G. & Dimpfl, Thomas, 2018. "Asymmetric volatility in cryptocurrencies," Economics Letters, Elsevier, vol. 173(C), pages 148-151.

    Cited by:

    1. Imran Yousaf & Shoaib Ali, 2020. "Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-18, December.
    2. Lee, Kangsan & Jeong, Daeyoung, 2023. "Too much is too bad: The effect of media coverage on the price volatility of cryptocurrencies," Journal of International Money and Finance, Elsevier, vol. 133(C).
    3. Jia, Yuecheng & Liu, Yuzheng & Yan, Shu, 2021. "Higher moments, extreme returns, and cross–section of cryptocurrency returns," Finance Research Letters, Elsevier, vol. 39(C).
    4. Shaen Corbet & Yang (Greg) Hou & Yang Hu & Les Oxley, 2022. "We Reddit in a Forum: The Influence of Message Boards on Firm Stability," Review of Corporate Finance, now publishers, vol. 2(1), pages 151-190, March.
    5. Wang, Jying-Nan & Lee, Yen-Hsien & Liu, Hung-Chun & Lee, Ming-Chih, 2022. "The determinants of positive feedback trading behaviors in Bitcoin markets," Finance Research Letters, Elsevier, vol. 45(C).
    6. Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2020. "Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    7. Han, Yingwei & Li, Jie, 2023. "The impact of global economic policy uncertainty on portfolio optimization: A Black–Litterman approach," International Review of Financial Analysis, Elsevier, vol. 86(C).
    8. Klaus Grobys, 2021. "When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market," Quantitative Finance, Taylor & Francis Journals, vol. 21(8), pages 1267-1279, August.
    9. Aloui, Chaker & Hamida, Hela ben & Yarovaya, Larisa, 2021. "Are Islamic gold-backed cryptocurrencies different?," Finance Research Letters, Elsevier, vol. 39(C).
    10. Lai T. Hoang & Dirk G. Baur, 2020. "Forecasting bitcoin volatility: Evidence from the options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1584-1602, October.
    11. Kakinaka, Shinji & Umeno, Ken, 2021. "Exploring asymmetric multifractal cross-correlations of price–volatility and asymmetric volatility dynamics in cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
    12. Syuhada, Khreshna & Hakim, Arief & Suprijanto, Djoko & Muchtadi-Alamsyah, Intan & Arbi, Lukman, 2022. "Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk," Resources Policy, Elsevier, vol. 79(C).
    13. Iqbal, Najaf & Fareed, Zeeshan & Wan, Guangcai & Shahzad, Farrukh, 2021. "Asymmetric nexus between COVID-19 outbreak in the world and cryptocurrency market," International Review of Financial Analysis, Elsevier, vol. 73(C).
    14. Lyócsa, Štefan & Molnár, Peter & Plíhal, Tomáš & Širaňová, Mária, 2020. "Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    15. Jens Klose, 2022. "Comparing cryptocurrencies and gold - a system-GARCH-approach," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 653-679, December.
    16. Cheikh, Nidhaleddine Ben & Zaied, Younes Ben & Chevallier, Julien, 2020. "Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models," Finance Research Letters, Elsevier, vol. 35(C).
    17. Sercan Demiralay & Selçuk Bayracı, 2021. "Should stock investors include cryptocurrencies in their portfolios after all? Evidence from a conditional diversification benefits measure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6188-6204, October.
    18. Ozdamar, Melisa & Sensoy, Ahmet & Akdeniz, Levent, 2022. "Retail vs institutional investor attention in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    19. Filip Hampl & Lucie Gyönyörová, 2021. "Can Fiat‐backed Stablecoins Be Considered Cash or Cash Equivalents Under International Financial Reporting Standards Rules?," Australian Accounting Review, CPA Australia, vol. 31(3), pages 233-255, September.
    20. Dimitrios Koutmos & James E. Payne, 2021. "Intertemporal asset pricing with bitcoin," Review of Quantitative Finance and Accounting, Springer, vol. 56(2), pages 619-645, February.
    21. Wüstenfeld, Jan & Geldner, Teo, 2022. "Economic uncertainty and national bitcoin trading activity," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    22. Vahidin Jeleskovic & Mirko Meloni & Zahid Irshad Younas, 2020. "Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations," MAGKS Papers on Economics 202034, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    23. José Antonio Núñez-Mora & Mario Iván Contreras-Valdez & Roberto Joaquín Santillán-Salgado, 2023. "Risk Premium of Bitcoin and Ethereum during the COVID-19 and Non-COVID-19 Periods: A High-Frequency Approach," Mathematics, MDPI, vol. 11(20), pages 1-20, October.
    24. Katsiampa, Paraskevi & Corbet, Shaen & Lucey, Brian, 2019. "Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis," Finance Research Letters, Elsevier, vol. 29(C), pages 68-74.
    25. Handika, Rangga & Soepriyanto, Gatot & Havidz, Shinta Amalina Hazrati, 2019. "Are cryptocurrencies contagious to Asian financial markets?," Research in International Business and Finance, Elsevier, vol. 50(C), pages 416-429.
    26. Böyükaslan, Adem & Ecer, Fatih, 2021. "Determination of drivers for investing in cryptocurrencies through a fuzzy full consistency method-Bonferroni (FUCOM-F’B) framework," Technology in Society, Elsevier, vol. 67(C).
    27. Kristjanpoller, Werner & Bouri, Elie & Takaishi, Tetsuya, 2020. "Cryptocurrencies and equity funds: Evidence from an asymmetric multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    28. Kakinaka, Shinji & Umeno, Ken, 2022. "Asymmetric volatility dynamics in cryptocurrency markets on multi-time scales," Research in International Business and Finance, Elsevier, vol. 62(C).
    29. Yaya, OlaOluwa S & Ogbonna, Ephraim A & Olubusoye, Olusanya E, 2018. "How Persistent and Dependent are Pricing of Bitcoin to other Cryptocurrencies Before and After 2017/18 Crash?," MPRA Paper 91253, University Library of Munich, Germany.
    30. Naeem, Muhammad & Bouri, Elie & Boako, Gideon & Roubaud, David, 2020. "Tail dependence in the return-volume of leading cryptocurrencies," Finance Research Letters, Elsevier, vol. 36(C).
    31. Kaiser, Lars & Stöckl, Sebastian, 2020. "Cryptocurrencies: Herding and the transfer currency," Finance Research Letters, Elsevier, vol. 33(C).
    32. Corbet, Shaen & Katsiampa, Paraskevi & Lau, Chi Keung Marco, 2020. "Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets," International Review of Financial Analysis, Elsevier, vol. 71(C).
    33. Apergis, Nicholas, 2022. "COVID-19 and cryptocurrency volatility: Evidence from asymmetric modelling," Finance Research Letters, Elsevier, vol. 47(PA).
    34. Saggu, Aman, 2022. "The Intraday Bitcoin Response to Tether Minting and Burning Events: Asymmetry, Investor Sentiment, and “Whale Alerts” on Twitter," Finance Research Letters, Elsevier, vol. 49(C).
    35. Banerjee, Ameet Kumar & Akhtaruzzaman, Md & Dionisio, Andreia & Almeida, Dora & Sensoy, Ahmet, 2022. "Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
    36. Zhang, Chuanhai & Zhang, Zhengjun & Xu, Mengyu & Peng, Zhe, 2023. "Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns," Economic Modelling, Elsevier, vol. 119(C).
    37. Amélie Charles & Olivier Darné, 2019. "Volatility estimation for cryptocurrencies: Further evidence with jumps and structural breaks," Post-Print hal-03794543, HAL.
    38. Kavya Clanganthuruthil Sajeev & Mohd Afjal, 2022. "Contagion effect of cryptocurrency on the securities market: a study of Bitcoin volatility using diagonal BEKK and DCC GARCH models," SN Business & Economics, Springer, vol. 2(6), pages 1-21, June.
    39. Achraf Ghorbel & Wajdi Frikha & Yasmine Snene Manzli, 2022. "Testing for asymmetric non-linear short- and long-run relationships between crypto-currencies and stock markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 387-425, September.
    40. Panayiotis Theodossiou & Polina Ellina & Christos S. Savva, 2022. "Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 695-716, August.
    41. Ma, Yechi & Ahmad, Ferhana & Liu, Miao & Wang, Zilong, 2020. "Portfolio optimization in the era of digital financialization using cryptocurrencies," Technological Forecasting and Social Change, Elsevier, vol. 161(C).
    42. Cristina Chinazzo & Vahidin Jeleskovic, 2024. "Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches," Papers 2401.02049, arXiv.org.
    43. Wang, Jying-Nan & Liu, Hung-Chun & Hsu, Yuan-Teng, 2020. "Time-of-day periodicities of trading volume and volatility in Bitcoin exchange: Does the stock market matter?," Finance Research Letters, Elsevier, vol. 34(C).
    44. Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    45. Ghosh, Bikramaditya & Bouri, Elie & Wee, Jung Bum & Zulfiqar, Noshaba, 2023. "Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs," Research in International Business and Finance, Elsevier, vol. 65(C).
    46. Achraf Ghorbel & Ahmed Jeribi, 2021. "Investigating the relationship between volatilities of cryptocurrencies and other financial assets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 817-843, December.
    47. Jiahua Xu & Benjamin Livshits, 2018. "The Anatomy of a Cryptocurrency Pump-and-Dump Scheme," Papers 1811.10109, arXiv.org, revised Aug 2019.
    48. Aurelio F. Bariviera & Ignasi Merediz‐Solà, 2021. "Where Do We Stand In Cryptocurrencies Economic Research? A Survey Based On Hybrid Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 377-407, April.
    49. Pierre J. Venter & Eben Maré, 2020. "GARCH Generated Volatility Indices of Bitcoin and CRIX," JRFM, MDPI, vol. 13(6), pages 1-15, June.
    50. Naeem, Muhammad Abubakr & Karim, Sitara, 2021. "Tail dependence between bitcoin and green financial assets," Economics Letters, Elsevier, vol. 208(C).
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    6. Yosra Ghabri & Luu Duc Toan Huynh & Muhammad Ali Nasir, 2024. "Volatility spillovers, hedging and safe‐havens under pandemics: All that glitters is not gold!," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1318-1344, April.
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    123. Demiralay, Sercan & Golitsis, Petros, 2021. "On the dynamic equicorrelations in cryptocurrency market," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 524-533.
    124. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Quantifying the cross-correlations between online searches and Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 657-672.
    125. Tiwari, Aviral Kumar & Raheem, Ibrahim Dolapo & Kang, Sang Hoon, 2019. "Time-varying dynamic conditional correlation between stock and cryptocurrency markets using the copula-ADCC-EGARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
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    139. Linn Arnell & Emma Engström & Gazi Salah Uddin & Md. Bokhtiar Hasan & Sang Hoon Kang, 2023. "Volatility spillovers, structural breaks and uncertainty in technology sector markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-31, December.
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    1. Benedetto, Francesco & Mastroeni, Loretta & Quaresima, Greta & Vellucci, Pierluigi, 2020. "Does OVX affect WTI and Brent oil spot variance? Evidence from an entropy analysis," Energy Economics, Elsevier, vol. 89(C).
    2. Arthur J. Lin & Hai-Yen Chang, 2020. "Volatility Transmission from Equity, Bulk Shipping, and Commodity Markets to Oil ETF and Energy Fund—A GARCH-MIDAS Model," Mathematics, MDPI, vol. 8(9), pages 1-21, September.
    3. Aktham Maghyereh & Hussein Abdoh, 2022. "Global financial crisis versus COVID‐19: Evidence from sentiment analysis," International Finance, Wiley Blackwell, vol. 25(2), pages 218-248, August.
    4. Awasthi, Kritika & Ahmad, Wasim & Rahman, Abdul & Phani, B.V., 2020. "When US sneezes, clichés spread: How do the commodity index funds react then?," Resources Policy, Elsevier, vol. 69(C).
    5. Parthajit Kayal & Moinak Maiti, 2023. "Examining the asymmetric information flow between pairs of gold, silver, and oil: a transfer entropy approach," SN Business & Economics, Springer, vol. 3(10), pages 1-22, October.
    6. Chen, Yanhua & Pantelous, Athanasios A., 2022. "The U.S.-China trade conflict impacts on the Chinese and U.S. stock markets: A network-based approach," Finance Research Letters, Elsevier, vol. 46(PB).
    7. Niu, Hongli & Hu, Ziang, 2021. "Information transmission and entropy-based network between Chinese stock market and commodity futures market," Resources Policy, Elsevier, vol. 74(C).
    8. Behrendt, Simon & Peter, Franziska J. & Zimmermann, David J., 2020. "An encyclopedia for stock markets? Wikipedia searches and stock returns," International Review of Financial Analysis, Elsevier, vol. 72(C).
    9. Nektarios Aslanidis & Aurelio F. Bariviera & 'Oscar G. L'opez, 2021. "The link between Bitcoin and Google Trends attention," Papers 2106.07104, arXiv.org.
    10. Aslanidis, Nektarios & Bariviera, Aurelio F. & López, Óscar G., 2022. "The link between cryptocurrencies and Google Trends attention," Finance Research Letters, Elsevier, vol. 47(PA).
    11. Uddin, Gazi Salah & Rahman, Md Lutfur & Hedström, Axel & Ahmed, Ali, 2019. "Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes," Energy Economics, Elsevier, vol. 80(C), pages 743-759.
    12. Loretta Mastroeni & Alessandro Mazzoccoli & Greta Quaresima & Pierluigi Vellucci, 2021. "Wavelet analysis and energy-based measures for oil-food price relationship as a footprint of financialisation effect," Papers 2104.11891, arXiv.org, revised Mar 2022.
    13. Basse, Tobias & Wegener, Christoph, 2022. "Inflation expectations: Australian consumer survey data versus the bond market," Journal of Economic Behavior & Organization, Elsevier, vol. 203(C), pages 416-430.
    14. Mirza, Nawazish & Naeem, Muhammad Abubakr & Ha Nguyen, Thi Thu & Arfaoui, Nadia & Oliyide, Johnson A., 2023. "Are sustainable investments interdependent? The international evidence," Economic Modelling, Elsevier, vol. 119(C).
    15. Mastroeni, Loretta & Mazzoccoli, Alessandro & Quaresima, Greta & Vellucci, Pierluigi, 2022. "Wavelet analysis and energy-based measures for oil-food price relationship as a footprint of financialisation effect," Resources Policy, Elsevier, vol. 77(C).
    16. Park, Sangjin & Jang, Kwahngsoo & Yang, Jae-Suk, 2021. "Information flow between bitcoin and other financial assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
    17. Harshit Mishra & Parama Barai, 2024. "Entropy Augmented Asset Pricing Model: Study on Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(1), pages 81-99, March.
    18. Maghyereh, Aktham & Abdoh, Hussein & Awartani, Basel, 2022. "Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?," Journal of Commodity Markets, Elsevier, vol. 26(C).
    19. Claudia Condemi & Loretta Mastroeni & Pierluigi Vellucci, 2021. "The impact of Clean Spark Spread expectations on storage hydropower generation," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1111-1146, December.
    20. Behrendt, Simon & Prange, Philipp, 2021. "What are you searching for? On the equivalence of proxies for online investor attention," Finance Research Letters, Elsevier, vol. 38(C).
    21. Behrendt, Simon & Schmidt, Alexander, 2021. "Nonlinearity matters: The stock price – trading volume relation revisited," Economic Modelling, Elsevier, vol. 98(C), pages 371-385.
    22. Li, Leon, 2022. "The dynamic interrelations of oil-equity implied volatility indexes under low and high volatility-of-volatility risk," Energy Economics, Elsevier, vol. 105(C).
    23. Markus Vogl, 2022. "Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)," SN Business & Economics, Springer, vol. 2(12), pages 1-69, December.
    24. Wang, Lu & Ruan, Hang & Hong, Yanran & Luo, Keyu, 2023. "Detecting the hidden asymmetric relationship between crude oil and the US dollar: A novel neural Granger causality method," Research in International Business and Finance, Elsevier, vol. 64(C).
    25. Li, Xiafei & Guo, Qiang & Liang, Chao & Umar, Muhammad, 2023. "Forecasting gold volatility with geopolitical risk indices," Research in International Business and Finance, Elsevier, vol. 64(C).

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    2. Naomi Boyd & Bingxin Li & Rui Liu, 2022. "Risk premia in the term structure of crude oil futures: long-run and short-run volatility components," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1505-1533, May.
    3. Gaete, Michael & Herrera, Rodrigo, 2023. "Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach," Journal of Commodity Markets, Elsevier, vol. 32(C).
    4. Ma, Yan-Ran & Ji, Qiang & Wu, Fei & Pan, Jiaofeng, 2021. "Financialization, idiosyncratic information and commodity co-movements," Energy Economics, Elsevier, vol. 94(C).
    5. Debopam Rakshit & Ranjit Kumar Paul & Md Yeasin & Walid Emam & Yusra Tashkandy & Christophe Chesneau, 2023. "Modeling Asymmetric Volatility: A News Impact Curve Approach," Mathematics, MDPI, vol. 11(13), pages 1-14, June.
    6. Chen, Yu-Fu & Mu, Xiaoyi, 2021. "Asymmetric volatility in commodity markets," Journal of Commodity Markets, Elsevier, vol. 22(C).
    7. Chatziantoniou, Ioannis & Filippidis, Michail & Filis, George & Gabauer, David, 2021. "A closer look into the global determinants of oil price volatility," Energy Economics, Elsevier, vol. 95(C).
    8. Christina Sklibosios Nikitopoulos & Alice Carole Thomas & Jianxin Wang, 2024. "Hedging pressure and oil volatility: Insurance versus liquidity demands," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 252-280, February.
    9. Lin, Boqiang & Xu, Bin, 2019. "How to effectively stabilize China's commodity price fluctuations?," Energy Economics, Elsevier, vol. 84(C).
    10. Nikitopoulos, Christina Sklibosios & Thomas, Alice Carole & Wang, Jianxin, 2023. "The economic impact of daily volatility persistence on energy markets," Journal of Commodity Markets, Elsevier, vol. 30(C).
    11. Sharma, Shahil & Rodriguez, Ivan, 2019. "The diminishing hedging role of crude oil: Evidence from time varying financialization," Journal of Multinational Financial Management, Elsevier, vol. 52.
    12. Algirdas Justinas Staugaitis & Bernardas Vaznonis, 2022. "Financial Speculation Impact on Agricultural and Other Commodity Return Volatility: Implications for Sustainable Development and Food Security," Agriculture, MDPI, vol. 12(11), pages 1-27, November.
    13. Algirdas Justinas Staugaitis & Bernardas Vaznonis, 2022. "Short-Term Speculation Effects on Agricultural Commodity Returns and Volatility in the European Market Prior to and during the Pandemic," Agriculture, MDPI, vol. 12(5), pages 1-26, April.
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    19. Mensi, Walid & Shafiullah, Muhammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Asymmetric spillovers and connectedness between crude oil and currency markets using high-frequency data," Resources Policy, Elsevier, vol. 77(C).
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    21. Fan, John Hua & Todorova, Neda, 2021. "A note on the behavior of Chinese commodity markets," Finance Research Letters, Elsevier, vol. 38(C).
    22. Roberto Esposti, 2022. "Dating Common Commodity Price And Inflation Shocks With Alternative Approaches," Working Papers 469, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    23. Chang, Meng-Shiuh & Kung, Chih-Chun & Chen, Meng-Wei & Tian, Yuan, 2021. "Volatility regime, inverted asymmetry, contagion, and flights in the gold market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    24. An N. Q. Cao & Michel A. Robe, 2022. "Market uncertainty and sentiment around USDA announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 250-275, February.
    25. Adrian Fernandez‐Perez & Bart Frijns & Ilnara Gafiatullina & Alireza Tourani‐Rad, 2019. "Properties and the predictive power of implied volatility in the New Zealand dairy market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(5), pages 612-631, May.
    26. Bianchi, Robert J. & Fan, John Hua & Todorova, Neda, 2020. "Financialization and de-financialization of commodity futures: A quantile regression approach," International Review of Financial Analysis, Elsevier, vol. 68(C).
    27. Bin Xu & Boqiang Lin, 2021. "Large fluctuations of China's commodity prices: Main sources and heterogeneous effects," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2074-2089, April.
    28. Carnero, M. Angeles & León, Angel & Ñíguez, Trino-Manuel, 2023. "Skewness in energy returns: estimation, testing and retain-->implications for tail risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 178-189.
    29. Bonnier, Jean-Baptiste, 2022. "Forecasting crude oil volatility with exogenous predictors: As good as it GETS?," Energy Economics, Elsevier, vol. 111(C).

  14. Dimpfl, Thomas & Flad, Michael & Jung, Robert C., 2017. "Price discovery in agricultural commodity markets in the presence of futures speculation," Journal of Commodity Markets, Elsevier, vol. 5(C), pages 50-62.

    Cited by:

    1. Jean-François Carpantier, 2019. "Commodity Prices In Empirical Research," LIDAM Discussion Papers IRES 2020021, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    2. Martin T. Bohl & Pierre L. Siklos & Martin Stefan & Claudia Wellenreuther, 2018. "Price Discovery in Agricultural Commodity Markets: Do Speculators Contribute?," CQE Working Papers 7518, Center for Quantitative Economics (CQE), University of Muenster.
    3. Salisu, Afees A. & Adediran, Idris A. & Oloko, Tirimisiyu O. & Ohemeng, William, 2020. "The heterogeneous behaviour of the inflation hedging property of cocoa," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    4. Scott, Ayesha & Schoen, Tilman & Fernandez-Perez, Adrian, 2020. "The Predictive Power of NZX Dairy Futures," 2020 Conference (64th), February 12-14, 2020, Perth, Western Australia 305230, Australian Agricultural and Resource Economics Society.
    5. Fernandez-Perez, Adrian & Miffre, Joëlle & Schoen, Tilman & Scott, Ayesha, 2023. "Do spot market auction data help price discovery?," Journal of Commodity Markets, Elsevier, vol. 31(C).
    6. Pagnottoni, Paolo & Baur, Dirk G. & Dimpfl, Thomas, 2018. "Price Discovery on Bitcoin Markets," IRTG 1792 Discussion Papers 2018-014, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    7. Lin Xie & Jiahua Liao & Haiting Chen & Xuefei Yan & Xinyan Hu, 2021. "Is Futurization the Culprit for the Violent Fluctuation in China’s Apple Spot Price?," Agriculture, MDPI, vol. 11(4), pages 1-14, April.
    8. Marc J. M. Bohmann & David Michayluk & Vinay Patel, 2019. "Price discovery in commodity derivatives: Speculation or hedging?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1107-1121, September.
    9. Indriawan, Ivan & Martinez, Valeria & Tse, Yiuman, 2021. "The impact of the change in USDA announcement release procedures on agricultural commodity futures," Journal of Commodity Markets, Elsevier, vol. 23(C).
    10. Don Bredin & Valerio Potì & Enrique Salvador, 2022. "Food Prices, Ethics and Forms of Speculation," Journal of Business Ethics, Springer, vol. 179(2), pages 495-509, August.
    11. Prashant Sharma & Prashant Gupta & Dinesh Kumar Sharma & Gaurav Agarwal, 2022. "Investigating the Efficiency of Bitcoin Futures in Price Discovery," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 104-109, May.
    12. Dai, Yun-Shi & Huynh, Ngoc Quang Anh & Zheng, Qing-Huan & Zhou, Wei-Xing, 2022. "Correlation structure analysis of the global agricultural futures market," Research in International Business and Finance, Elsevier, vol. 61(C).
    13. Narjiss Araba & Alain François-Heude, 2019. "Price discovery and volatility spillovers in the French wheat market," Post-Print hal-03088859, HAL.
    14. Moses M. Kupabado & Juergen Kaehler, 2021. "Financialization, common stochastic trends, and commodity prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1988-2008, December.
    15. Oliver Entrop & Bart Frijns & Marco Seruset, 2020. "The determinants of price discovery on bitcoin markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 816-837, May.
    16. Carlotta Penone & Elisa Giampietri & Samuele Trestini, 2022. "Futures–spot price transmission in EU corn markets," Agribusiness, John Wiley & Sons, Ltd., vol. 38(3), pages 679-709, July.
    17. Pradita Nareswari & Sigit S. Wibowo, 2020. "Global and Local Commodity Prices: A Further Look at the Indonesian Agricultural Commodities," Capital Markets Review, Malaysian Finance Association, vol. 28(1), pages 65-76.
    18. Fassas, Athanasios P., 2021. "Price discovery in US money market benchmarks: LIBOR vs. SOFR," Economics Letters, Elsevier, vol. 204(C).
    19. Čermák, Michal & Ligocká, Marie, 2022. "Could Exist a Causality Between the Most Traded Commodities and Futures Commodity Prices in the Agricultural Market?," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 14(4), December.
    20. Alexander, Carol & Heck, Daniel F., 2020. "Price discovery in Bitcoin: The impact of unregulated markets," Journal of Financial Stability, Elsevier, vol. 50(C).
    21. Baur, Dirk G. & Dimpfl, Thomas, 2018. "The asymmetric return-volatility relationship of commodity prices," Energy Economics, Elsevier, vol. 76(C), pages 378-387.
    22. Dragan Miljkovic & Cole Goetz, 2020. "Destabilizing role of futures markets on North American hard red spring wheat spot prices," Agricultural Economics, International Association of Agricultural Economists, vol. 51(6), pages 887-897, November.
    23. Adrian Fernandez-Perez & Joëlle Miffre & Tilman Schoen & Ayesha Scott, 2023. "Do spot market auction data help price discovery?," Post-Print hal-04121327, HAL.
    24. Mao, Qianqian & Loy, Jens-Peter & Glauben, Thomas & Ren, Yanjun, 2023. "Are futures markets functioning well for agricultural perishables? Evidence from China's apple futures market," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 69(12), pages 471-484.
    25. Prashant Sharma & Gaurav Agrawal & Geetika Arora & Dinesh Kumar Sharma & Varun Chotia, 2023. "Research on Price Discovery in Financial Securities: Trends and Directions for Future Research," JRFM, MDPI, vol. 16(9), pages 1-19, September.
    26. Fassas, Athanasios P. & Papadamou, Stephanos & Koulis, Alexandros, 2020. "Price discovery in bitcoin futures," Research in International Business and Finance, Elsevier, vol. 52(C).
    27. Muneer Shaik & Abhiram Kartik Lanka & Gurmeet Singh, 2021. "Analysis of lead-lag relationship and volatility spillover: evidence from Indian agriculture commodity markets," International Journal of Bonds and Derivatives, Inderscience Enterprises Ltd, vol. 4(3), pages 258-279.
    28. Dirk G. Baur & Thomas Dimpfl, 2019. "Price discovery in bitcoin spot or futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 803-817, July.
    29. Teresa Vollmer & Helmut Herwartz & Stephan von Cramon-Taubadel, 2020. "Measuring price discovery in the European wheat market using the partial cointegration approach," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 47(3), pages 1173-1200.
    30. Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2021. "Trading activity and price discovery in Bitcoin futures markets," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 107-120.
    31. Xiaochun Liu, 2018. "Structural Volatility Impulse Response Function and Asymptotic Inference," Journal of Financial Econometrics, Oxford University Press, vol. 16(2), pages 316-339.
    32. Marc Bohmann, 2020. "Price Discovery and Information Asymmetry in Equity and Commodity Futures Options Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2020.
    33. Dimpfl, Thomas & Peter, Franziska J., 2021. "Nothing but noise? Price discovery across cryptocurrency exchanges," Journal of Financial Markets, Elsevier, vol. 54(C).
    34. Dragan Miljkovic & Cole Goetz, 2023. "Futures markets and price stabilisation: An analysis of soybeans markets in North America," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 67(1), pages 104-117, January.
    35. Zhuo Chen & Bo Yan & Hanwen Kang & Liyu Liu, 2023. "Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities," Review of Economic Design, Springer;Society for Economic Design, vol. 27(1), pages 139-162, February.
    36. Makkonen, Adam & Vallström, Daniel & Uddin, Gazi Salah & Rahman, Md Lutfur & Haddad, Michel Ferreira Cardia, 2021. "The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns," Energy Economics, Elsevier, vol. 100(C).
    37. Phiri, Isaac, 2020. "The effect of access to finance on commercialisation of smallholder maize farmers in Eswatini," Research Theses 334755, Collaborative Masters Program in Agricultural and Applied Economics.
    38. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2021. "An analysis of investor behaviour and information flows surrounding the negative WTI oil price futures event," Energy Economics, Elsevier, vol. 104(C).
    39. Christian Koziol & Tilo Treuter, 2019. "How do speculators in agricultural commodity markets impact production decisions and commodity prices? A theoretical analysis," European Financial Management, European Financial Management Association, vol. 25(3), pages 718-743, June.
    40. Kuck, Konstantin & Schweikert, Karsten, 2023. "Price discovery in equity markets: A state-dependent analysis of spot and futures markets," Journal of Banking & Finance, Elsevier, vol. 149(C).
    41. Qianqian Mao & Jens-Peter Loy & Thomas Glauben & Yanjun Ren, 2023. "Are futures markets functioning well for agricultural perishables? Evidence from China's apple futures market," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 69(12), pages 471-484.
    42. Kyriazi, Foteini & Thomakos, Dimitrios D. & Guerard, John B., 2019. "Adaptive learning forecasting, with applications in forecasting agricultural prices," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1356-1369.

  15. Dimpfl Thomas & Peter Franziska J., 2016. "Price discovery in the markets for credit risk: a Markov switching approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(3), pages 233-249, June.
    See citations under working paper version above.
  16. Thomas Dimpfl & Stephan Jank, 2016. "Can Internet Search Queries Help to Predict Stock Market Volatility?," European Financial Management, European Financial Management Association, vol. 22(2), pages 171-192, March.
    See citations under working paper version above.
  17. Baur, Dirk G. & Dimpfl, Thomas, 2016. "Googling gold and mining bad news," Resources Policy, Elsevier, vol. 50(C), pages 306-311.

    Cited by:

    1. Aharon, David Y. & Qadan, Mahmoud, 2020. "When do retail investors pay attention to their trading platforms?," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    2. Ramos, Sofia B. & Latoeiro, Pedro & Veiga, Helena, 2020. "Limited attention, salience of information and stock market activity," Economic Modelling, Elsevier, vol. 87(C), pages 92-108.
    3. Georgios Bampinas & Theodore Panagiotidis & Christina Rouska, 2019. "Volatility persistence and asymmetry under the microscope: the role of information demand for gold and oil," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 180-197, February.
    4. Piccoli, Pedro & de Castro, Jessica, 2021. "Attention-return relation in the gold market and market states," Resources Policy, Elsevier, vol. 74(C).
    5. Sanjay Sehgal & Neharika Sobti & Florent Diesting, 2021. "Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1092-1123, July.
    6. Huang, Jianbai & Tang, Jing & Zhang, Hongwei, 2020. "The effect of investors’ information search behaviors on rebar market return dynamics using high frequency data," Resources Policy, Elsevier, vol. 66(C).
    7. Yong Jiang & Yi-Shuai Ren & Chao-Qun Ma & Jiang-Long Liu & Basil Sharp, 2018. "Does the price of strategic commodities respond to U.S. Partisan Conflict?," Papers 1810.08396, arXiv.org, revised Feb 2020.
    8. Qadan, Mahmoud & Zoua’bi, Maher, 2019. "Financial attention and the demand for information," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 82(C).
    9. Jain, Anshul & Biswal, Pratap Chandra, 2019. "Does internet search interest for gold move the gold spot, stock and exchange rate markets? A study from India," Resources Policy, Elsevier, vol. 61(C), pages 501-507.
    10. Aharon, David Y. & Qadan, Mahmoud, 2018. "What drives the demand for information in the commodity market?," Resources Policy, Elsevier, vol. 59(C), pages 532-543.
    11. Siva M. Kumar & K. R. Jayasimha, 2019. "Brand verbs: brand synonymity and brand leadership," Journal of Brand Management, Palgrave Macmillan, vol. 26(2), pages 110-125, March.
    12. de Castro, Jessica & Piccoli, Pedro, 2023. "Do online searches actually measure future retail investor trades?," International Review of Financial Analysis, Elsevier, vol. 86(C).
    13. Elie Bouri & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2021. "Forecasting Realized Volatility of Bitcoin: The Role of the Trade War," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 29-53, January.
    14. Khaskheli, Asadullah & Zhang, Hongyu & Raza, Syed Ali & Khan, Komal Akram, 2022. "Assessing the influence of news indicator on volatility of precious metals prices through GARCH-MIDAS model: A comparative study of pre and during COVID-19 period," Resources Policy, Elsevier, vol. 79(C).
    15. Jiang, Yong & Ren, Yi-Shuai & Ma, Chao-Qun & Liu, Jiang-Long & Sharp, Basil, 2020. "Does the price of strategic commodities respond to U.S. partisan conflict?," Resources Policy, Elsevier, vol. 66(C).
    16. Miao, Miao & Khaskheli, Asadullah & Raza, Syed Ali & Yousufi, Sara Qamar, 2022. "Using internet search keyword data for predictability of precious metals prices: Evidence from non-parametric causality-in-quantiles approach," Resources Policy, Elsevier, vol. 75(C).
    17. Başyiğit, Mikail, 2021. "Can Google Trends improve the marble demand model: A case study of USA's marble demand from Turkey," Resources Policy, Elsevier, vol. 72(C).

  18. Dimpfl, Thomas, 2014. "A note on cointegration of international stock market indices," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 10-16.

    Cited by:

    1. Dimpfl, Thomas & Peter, Franziska J., 2014. "The impact of the financial crisis on transatlantic information flows: An intraday analysis," University of Tübingen Working Papers in Business and Economics 70, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
    2. Chen, Yanhua & Li, Youwei & Pantelous, Athanasios & Stanley, Eugene, 2020. "Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach," MPRA Paper 101700, University Library of Munich, Germany.
    3. Roko Pedisic, 2022. "Cointegration Analysis of Financial Market Indices During Financial Shocks. Focus on Global Financial Crisis and COVID-19 ?andemic Crisis," Bulletin of Applied Economics, Risk Market Journals, vol. 9(2), pages 59-78.
    4. Mustapher Faque & Umit Hacioglu, 2021. "Investigating the impact of Covid-19 pandemic on stock markets:Evidence from global equity indices," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 10(7), pages 199-219, October.
    5. Li, Leon, 2022. "The dynamic interrelations of oil-equity implied volatility indexes under low and high volatility-of-volatility risk," Energy Economics, Elsevier, vol. 105(C).

  19. Dimpfl, Thomas & Peter, Franziska J., 2014. "The impact of the financial crisis on transatlantic information flows: An intraday analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 1-13.
    See citations under working paper version above.
  20. Dimpfl Thomas & Peter Franziska Julia, 2013. "Using transfer entropy to measure information flows between financial markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(1), pages 85-102, February.
    See citations under working paper version above.
  21. Baur, Dirk G. & Dimpfl, Thomas & Jung, Robert C., 2012. "Stock return autocorrelations revisited: A quantile regression approach," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 254-265.
    See citations under working paper version above.
  22. Dimpfl, Thomas, 2011. "The impact of US news on the German stock market—An event study analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 389-398.

    Cited by:

    1. Singh, Manohar & Nejadmalayeri, Ali & Lucey, Brian, 2013. "Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(4), pages 476-485.
    2. Aymen Belgacem & Anna Creti & Khaled Guesmi & Amine Lahiani, 2015. "Volatility spillovers and macroeconomic announcements: evidence from crude oil markets," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2974-2984, June.
    3. Yunus, Nafeesa, 2023. "Long-run and short-run impact of the U.S. economy on stock, bond and housing markets: An evaluation of U.S. and six major economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 211-232.
    4. Weigerding, Michael, 2020. "Seasonal liquidity effects and their determinants on the covered bond market," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 288-303.
    5. Gurgul Henryk & Hastenteufel Jessica & Wójtowicz Tomasz, 2021. "Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange," Statistics in Transition New Series, Polish Statistical Association, vol. 22(4), pages 41-58, December.
    6. Ghulam Ghouse & Muhammad Ishaq Bhatti & Muhammad Hassam Shahid, 2022. "Impact of COVID-19, Political, and Financial Events on the Performance of Commercial Banking Sector," JRFM, MDPI, vol. 15(4), pages 1-18, April.
    7. Gurgul, Henryk & Mitterer, Christoph & Wójtowicz, Tomasz, 2020. "The impact of US macroeconomic news on the prices of single stocks on the Vienna Stock Exchange," MPRA Paper 103352, University Library of Munich, Germany.
    8. Dimitrios I. Vortelinos, 2015. "The Effect of Macro News on Volatility and Jumps," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 425-447, November.
    9. Henryk Gurgul & Tomasz Wójtowicz, 2014. "The impact of US macroeconomic news on the Polish stock market," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(4), pages 795-817, December.
    10. Houssam Bouzgarrou & Tarek Chebbi, 2016. "The reaction of sovereign CDS spread volatilities to news announcements," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 347-360, September.

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