Zobrazeno 1 - 10
of 100
pro vyhledávání: '"Thomas Dimpfl"'
Publikováno v:
SoftwareX, Vol 10, Iss , Pp - (2019)
This paper shows how to quantify and test for the information flow between two time series with Shannon transfer entropy and Rényi transfer entropy using the R package RTransferEntropy. We discuss the methodology, the bias correction applied to calc
Externí odkaz:
https://doaj.org/article/eb697dae8eac4f6e8f3a82ec7c4aa158
Autor:
Dirk G., Baur1 dirk.baur@uwa.edu.au, Thomas, Dimpfl2 thomas.dimpfl@uni-hohenheim.de
Publikováno v:
Journal of Portfolio Management. Nov2023, Vol. 50 Issue 1, p153-175. 23p.
Autor:
Thomas Dimpfl, Johannes Bleher
Publikováno v:
Econometrics and Statistics. 24:1-26
A regression-based algorithm is proposed that allows to construct arbitrarily many comparable, multi-annual, consistent time series on monthly, weekly, daily, hourly, and minute-by-minute search volume indices based on the scattered data obtained fro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eaa8f413850a6e4ec455268670a013af
https://doi.org/10.1016/j.ecosta.2021.10.006
https://doi.org/10.1016/j.ecosta.2021.10.006
Publikováno v:
The Econometrics Journal. 25:515-530
Summary Assessing the infection fatality rate (IFR) of SARS-CoV-2 in a population is a controversial issue. Due to asymptomatic courses of COVID-19, many infections remain undetected. Reported case fatality rates are therefore poor estimates of the I
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cbc2b3c4843c57475d28d63ecbccec52
https://doi.org/10.1093/ectj/utac004
https://doi.org/10.1093/ectj/utac004
Autor:
Dalia Elshiaty, Thomas Dimpfl
Publikováno v:
The Journal of Risk Finance. 22:313-331
PurposeCryptocurrency markets are notoriously noisy, but not all markets might behave in the exact same way. Therefore, the aim of this paper is to investigate which one of the cryptocurrency markets contributes the most to the common volatility comp
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::af91dfd75931158833d58fb4b502ec02
https://doi.org/10.1108/jrf-11-2020-0238
https://doi.org/10.1108/jrf-11-2020-0238
Autor:
Thomas Dimpfl, Dirk G. Baur
Publikováno v:
Empirical Economics
Bitcoin is designed as a peer-to-peer cash system. To work as a currency, it must be stable or be backed by a government. In this paper, we show that the volatility of Bitcoin prices is extreme and almost 10 times higher than the volatility of major
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e1783ab89344731690804dab463cb377
http://europepmc.org/articles/PMC7783506
http://europepmc.org/articles/PMC7783506
Autor:
Dirk G. Baur, Thomas Dimpfl
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1fe93356b228b39f9d64be12e3e38d46
https://doi.org/10.2139/ssrn.4233700
https://doi.org/10.2139/ssrn.4233700
Autor:
David Yechiam Aharon, Thomas Dimpfl
Publikováno v:
Journal of Risk.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b8906a0ecf4a45fd32e83cd74d2cf882
https://doi.org/10.21314/jor.2022.031
https://doi.org/10.21314/jor.2022.031
Autor:
Sophia Koch, Thomas Dimpfl
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::475a0de25d80b2b348efd609db4d9b0e
https://doi.org/10.2139/ssrn.4251242
https://doi.org/10.2139/ssrn.4251242
Autor:
Johannes Bleher, Thomas Dimpfl
Publikováno v:
International Review of Financial Analysis. 63:147-159
We evaluate the usefulness of Google search volume to predict returns and volatility of multiple cryptocurrencies. The analysis is based on a new algorithm which allows to construct multi-annual, consistent time series of Google search volume indices
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::effbbb671a8a3466d05ae612da6740e2
https://doi.org/10.1016/j.irfa.2019.03.003
https://doi.org/10.1016/j.irfa.2019.03.003