Research papers

Scientific articles with peer-review

• Heil, Thomas/ Peter, Franziska J./ Prange, Philipp: Measuring 25 years of global equity market co-movement using a time-varying spatial model. In: Journal of International Money and Finance, 2022 (128): 102708 https://doi.org/10.1016/j.jimonfin.2022.102708
• Kind, Axel/ Oster, Philippe/ Peter, Franziska J.: The Determinants of Banks’ AT1 CoCo Spreads. In: European Financial Managment, 2021 (28, 2): 567-604 https://doi.org/10.1111/eufm.12314
• Peter, Franziska J./ Grammig, Joachim: Tumbling Titans - The Changing Patterns of Price Discovery in the US Equity Market. In: Journal of Empirical Finance, 🔗
• Behrendt, Simon/ Peter, Franziska J./ Zimmermann, David: An encyclopedia for stock markets? Wikipedia searches and stock returns  . In: International Review of Financial Analysis, 2020 (72): 101563 https://doi.org/10.1016/j.irfa.2020.101563
• Dirkx, Philipp/ Peter, Franziska J.: The Fama-French Five-Factor Model Plus Momentum: Evidence for the German Market. In: Schmalenbach Business Review, 2020 (72, 4): 661-684 https://doi.org/10.1007/s41464-020-00105-y
• Peter, Franziska J./ Dimpfl, Thomas: Nothing but Noise? Price Discovery between Cryptocurrency Exchanges. In: Journal of Financial Markets, 2020 https://doi.org/10.1016/j.finmar.2020.100584
• Behrendt, Simon/ Peter, Franziska J./ Zimmerann, David et al.: RTransferEntropy - Quantifying Information Flow between Different Time Series Using Effective Transfer Entropy. In: SoftwareX, 2019 (10): 100265 https://doi.org/10.1016/j.softx.2019.100265
• Dimpfl, Thomas/ Peter, Franziska J.: Group transfer entropy with an application to cryptocurrencies. In: Physica A, 2019 (516): 543 - 551 https://doi.org/10.1016/j.physa.2018.10.048
• Dimpfl, Thomas/ Peter, Franziska J.: Analyzing volatility transmission using group transfer entropy. In: Energy Economics, 2018 (75): 368 - 376 https://doi.org/10.1016/j.eneco.2018.08.008
• Dimpfl, Thomas/ Peter, Franziska J.: Price discovery in the markets for credit risk: a Markov switching approach. In: Studies in Nonlinear Dynamics and Econometrics, 2016 (20): 223 - 249 https://doi.org/10.1515/snde-2015-0032
• Dimpfl, Thomas/ Peter, Franziska J.: The impact of the financial crisis on transatlantic information flows: An intraday analysis. In: Journal of International Financial Markets, Institutions & Money, 2014 (31): 1 - 13 https://doi.org/10.1016/j.intfin.2014.03.004
• Dimpfl, Thomas/ Peter, Franziska J.: Using transfer entropy to measure information flows between financial markets. In: Studies in Nonlinear Dynamics and Econometric, 2013 (17): 85 - 102 https://doi.org/10.1515/snde-2012-0044
• Grammig, Joachim/ Peter, Franziska J.: Telltale Tails: A New Approach to Estimating Unique Market Information Shares. In: Journal of Financial and Quantitative Analysis, 2013 (48): 459 - 488 https://doi.org/10.1017/s0022109013000215
• Kehrle, Kerstin/ Peter, Franziska J.: Who moves first? An intensity-based measure for information flows across stock exchanges. In: Journal of Banking and Finance, 2013 (37): 1629 - 1642 https://doi.org/10.1016/j.jbankfin.2012.12.011



Working papers

• De Martiis, Angela/ Heil, Thomas/ Peter, Franziska J.: Are you a Zombie? Understanding the Determinants of Distressed and Zombie Companies. In: , 2020, , , . 2020. https://doi.org/10.2139/ssrn.3625473
• Behrendt, Simon/ Dimpfl, Thomas/ Peter, Franziska J. et al.: RTransferEntropy: Measuring information flow between time series with effective transfer entropy in R. In: , 2018, , , . 2018. 🔗