Forschungsberichte
ZUdoc

Forschungsberichte aus ZUdoc

Publikationslisten aus ZUdoc

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Publication list ZUdoc for 1969 - 2022

General information

Franziska J. Peter

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 Finance2022 (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 Managment2021 (28, 2): 567-604 https://doi.org/10.1111/eufm.12314 🔗
  • Peter, Franziska J./ Dimpfl, Thomas: Nothing but Noise? Price Discovery between Cryptocurrency Exchanges. In: Journal of Financial Markets2021 (54): 100584 https://doi.org/10.1016/j.finmar.2020.100584 🔗
  • Behrendt, Simon/ Peter, Franziska J./ Zimmermann, David: An encyclopedia for stock markets? Wikipedia searches and stock returns  . In: International Review of Financial Analysis2020 (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 Review2020 (72, 4): 661-684 https://doi.org/10.1007/s41464-020-00105-y 🔗
  • Behrendt, Simon/ Peter, Franziska J./ Zimmerann, David et al.: RTransferEntropy - Quantifying Information Flow between Different Time Series Using Effective Transfer Entropy. In: SoftwareX2019 (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 A2019 (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 Economics2018 (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 Econometrics2016 (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 & Money2014 (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 Econometric2013 (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 Analysis2013 (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 Finance2013 (37): 1629 - 1642 https://doi.org/10.1016/j.jbankfin.2012.12.011 🔗

    • Scientific articles
  • Heil, Thomas/ Marthiensen, Nils/ Peter, Franziska J.: 255 Shades of Grey: Using Grey-Scaled Images and Convolutional Neural Nets to Forecast Tomorrow's Stock Returns. In: SSRN Electronic Journal2022 : 4273860 https://doi.org/10.2139/ssrn.4273860 🔗

    • 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. 🔗

Teaching

Graduation works


    Doctoral theses
  • Behrendt, Simon : Investigating new sources of information and nonlinearities on financial markets, 2020. [reviewer: Peter, Franziska J.; reviewer: Dimpfl, Thomas; reviewer: Wamser, Georg] https://doi.org/10.48586/zu/11590 🔗
  • Rostásy, Carla : European integration and cross-border financial governance in the aftermath of the global financial crisis : challenges and prospects of post-crisis policy responses to systemic risk in the European Union, 2019. [reviewer: Willke, Helmut; reviewer: Botzem, Sebastian; reviewer: Peter, Franziska J.] https://doi.org/10.48586/zu/11592 🔗