FreiDok plus

Forschungsberichte aus FreiDok plus

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Publication list Freidok plus for 1969 - 2022

General information

Franziska J. Peter

Research papers

    Scientific articles with peer-review

  • Kind, Axel/ Oster, Philippe/ Peter, Franziska J. et al.: The Determinants of Banks’ AT1 CoCo Spreads. In: European Financial Managment, 2021.
  • Peter, Franziska J./ Grammig, Joachim: Tumbling Titans - The Changing Patterns of Price Discovery in the US Equity Market. In: Journal of Empirical Finance, 2021. 🔗
  • Behrendt, Simon/ Peter, Franziska J./ Zimmermann, David et al.: An encyclopedia for stock markets? Wikipedia searches and stock returns  . In: International Review of Financial Analysis, 2020, 72, 101563. 2020.
  • 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. 2020.
  • Peter, Franziska J./ Dimpfl, Thomas: Nothing but Noise? Price Discovery between Cryptocurrency Exchanges. In: Journal of Financial Markets, 2020 2020.
  • 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. 2019.
  • Dimpfl, Thomas/ Peter, Franziska J.: Group transfer entropy with an application to cryptocurrencies. In: Physica A, 2019, 516, 543 - 551. 2019.
  • Dimpfl, Thomas/ Peter, Franziska J.: Analyzing volatility transmission using group transfer entropy. In: Energy Economics, 2018, 75, 368 - 376. 2018.
  • 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. 2016.
  • 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. 2014.
  • 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. 2013.
  • 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. 2013.
  • 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. 2013.

  • Working papers

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