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Econometric analysis of international financial markets

Dimpfl, Thomas - 2010

Persistent link: https://www.econbiz.de/10008856799

A note on cointegration of international stock market indices

Dimpfl, Thomas - In: International review of financial analysis 33 (2014), pp. 10-16

Persistent link: https://www.econbiz.de/10010520092

Financial market spillovers around the globe

Dimpfl, Thomas; Jung, Robert - 2011

Financial market spillovers around the globeThis paper investigates the transmission of return and volatility spillovers around the globe. It draws on index futures of three representative indices, namely the Dow Jones Euro Stoxx 50, the S&P 500 and the Nikkei 225. Devolatised returns and...

Persistent link: https://www.econbiz.de/10009161582

Stock return autocorrelations revisited : a quantile regression approach

Baur, Dirk G.; Dimpfl, Thomas; Jung, Robert - In: Journal of empirical finance 19 (2012) 2, pp. 254-265

Persistent link: https://www.econbiz.de/10009615707

Three essays on asset pricing and factor investing

Dirkx, Philipp A. - 2021

Persistent link: https://www.econbiz.de/10012799559

Estimating the SARS-CoV-2 infection fatality rate by data combination : the case of Germany's first wave

Dimpfl, Thomas; Sönksen, Jantje; Bechmann, Ingo; … - In: The econometrics journal 25 (2022) 2, pp. 515-530

Persistent link: https://www.econbiz.de/10013253835

Investigating new sources of information and nonlinearities on financial markets

Behrendt, Simon - 2020

Persistent link: https://www.econbiz.de/10012415028

Labor income risk and households' risky asset holdings

Becker, Gideon; Dimpfl, Thomas - In: Studies in economics and finance 33 (2016) 2, pp. 262-280

Persistent link: https://www.econbiz.de/10011719146

Think again : volatility asymmetry and volatility persistence

Baur, Dirk G.; Dimpfl, Thomas - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10012054865

A quantile regression approach to estimate the variance of financial returns

Baur, Dirk G.; Dimpfl, Thomas - In: Journal of financial econometrics 17 (2019) 4, pp. 616-644

Persistent link: https://www.econbiz.de/10012152237