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Researcher
Michael Frömmel
Profile
Projects
Publications
Activities
Awards & Distinctions
98
Results
2025
Risk factors in cryptocurrency pricing
Tian Lan
Michael Frömmel
A1
Journal Article
in
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
2025
Spillovers between cryptocurrencies and financial markets in a global framework
Darko B. Vuković
Michael Frömmel
Samuel A. Vigne
Vyacheslav Zinovev
A1
Journal Article
in
JOURNAL OF INTERNATIONAL MONEY AND FINANCE
2025
2024
Are simple technical trading rules profitable in bitcoin markets?
Niek Deprez
Michael Frömmel
A1
Journal Article
in
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
2024
Do bitcoin shocks truly Cointegrate with financial and commodity markets?
Mustafa Özer
Michael Frömmel
Melik Kamişli
Darko B. Vukovic
A1
Journal Article
in
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
2024
Donald Trump's tweets, political value judgment, and the Renminbi exchange rate
Qisi Zhang
Michael Frömmel
Edwin Baidoo
A1
Journal Article
in
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
2024
Essays on empirical asset pricing
Wenqiong Liu
Michael Frömmel
Xing Han
Dissertation
2024
Nonstandard errors
Albert J. Menkveld
Anna Dreber
Felix Holzmeister
Juergen Huber
Magnus Johannesson
Michael Kirchler
Sebastian Neususs
Michael Razen
Utz Weitzel
David Abad-Diaz
et al.
A1
Journal Article
in
JOURNAL OF FINANCE
2024
Socially responsible investments : doing good while doing well in developed versus emerging markets?
Michael Frömmel
Jenjang Sri Lestari
A1
Journal Article
in
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
2024
2023
Corruption, business environment, and firm growth in Vietnam
Phuoc Vu Ha
Michael Frömmel
A1
Journal Article
in
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
2023
Impact of trading hours extensions on foreign exchange volatility : intraday evidence from the Moscow exchange
Michael Frömmel
Eyüp Kadioglu
A1
Journal Article
in
FINANCIAL INNOVATION
2023
Quantifying the asymmetric information flow between Bitcoin prices and electricity consumption
Moinak Maiti
Darko B. Vukovic
Michael Frömmel
A1
Journal Article
in
FINANCE RESEARCH LETTERS
2023
The effects of Covid-19 related response policies on the performances of technology-driven financial services companies
Mustafa Özer
Darko B. Vukovic
Michael Frömmel
Serap Kamisli
A1
Journal Article
in
FINANCE RESEARCH LETTERS
2023
2022
Exchange rate exposure for exporting and domestic firms in central and Eastern Europe
Raheel Asif
Michael Frömmel
A1
Journal Article
in
Emerging Markets Review
2022
Inflation and portfolio selection
Darko B. Vukovic
Moinak Maiti
Michael Frömmel
A1
Journal Article
in
FINANCE RESEARCH LETTERS
2022
International financial markets in the digital era
Michael Frömmel
Bookchapter
in
Digitalization and the future of financial services : innovation and impact of digital finance
2022
Low liquidity beta anomaly in China
Michael Frömmel
Xing Han
Youwei Li
Samuel A. Vigne
A1
Journal Article
in
EMERGING MARKETS REVIEW
2022
Manipulation in the bond market and the role of investment funds : evidence from an emerging market
Eyüp Kadioglu
Michael Frömmel
A1
Journal Article
in
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
2022
Sustainable economy in light of COVID-19
Darko Vukovic
Moinak Maiti
Michael Frömmel
Editorial material
2022
Testing Long memory in the exchange rates and its implications for the adaptive market hypothesis
Raheel Asif
Michael Frömmel
A1
Journal Article
in
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
2022
The crisis alpha of managed futures : myth or reality?
Raheel Asif
Michael Frömmel
Alexander Mende
A1
Journal Article
in
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
2022
The dollar exchange rate, adjustment to the purchasing power parity, and the interest rate differential
Michael Frömmel
Darko Vukovic
Jinyuan Wu
A1
Journal Article
in
MATHEMATICS
2022
The influence of Covid-19 on sustainable economy
Book editor
2022
The role of gender for the risk-shifting behavior of hedge fund and CTA managers
Kobra Ahmadpour
Michael Frömmel
A1
Journal Article
in
FINANCE RESEARCH LETTERS
2022
2021
A panel data analysis of uncovered interest parity and time-varying risk premium
Dinçer Afat
Michael Frömmel
A1
Journal Article
in
OPEN ECONOMIES REVIEW
2021
Boards of directors and corporate sustainability performance : evidence from the emerging East Asian markets
Thi Xuan Linh Nguyen
Anh N. P. Doan
Michael Frömmel
A2
Journal Article
in
INTERNATIONAL JOURNAL OF DISCLOSURE AND GOVERNANCE
2021
COVID-19 pandemic : is the crypto market a safe haven? The impact of the first wave
Darko Vukovic
Moinak Maiti
Zoran Grubisic
Elena M. Grigorieva
Michael Frömmel
A1
Journal Article
in
SUSTAINABILITY
2021
Daily currency interventions in an emerging market : incorporating reserve accumulation to the reaction function
Michael Frömmel
Murat Midiliç
A1
Journal Article
in
ECONOMIC MODELLING
2021
Essays in behavioral finance : investor response to oil spills, and hedge fund and CTA managers' risk shifting behavior
Kobra Ahmadpour
Michael Frömmel
Dissertation
2021
Essays on asset pricing, financial crisis, and market efficiency
Raheel Asif
Michael Frömmel
Dissertation
2021
The accuracy of trade classification systems on the foreign exchange market : evidence from the RUB/USD market
Michael Frömmel
Dick D'Hoore
Kevin Lampaert
A1
Journal Article
in
FINANCE RESEARCH LETTERS
2021
2020
An alternative version of purchasing power parity
Dinçer Afat
Michael Frömmel
A1
Journal Article
in
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
2020
Corporate sustainability performance in the emerging East Asian markets
Thi Xuan Linh Nguyen
Michael Frömmel
Ngoc Phi Anhh Doan
Dissertation
2020
Political connection heterogeneity and firm value in Vietnam
Phuoc Vu Ha
Michael Frömmel
A2
Journal Article
in
COGENT BUSINESS & MANAGEMENT
2020
2019
Social capital, credit choices and growth in vietnamese household businesses
Phuoc Vu Ha
Michael Frömmel
A2
Journal Article
in
JOURNAL OF DEVELOPMENTAL ENTREPRENEURSHIP
2019
2018
Governance and firm efficiency in Vietnam
Phuoc Vu Ha
Michael Frömmel
Li Youwei
Dissertation
2018
Intraday momentum in FX markets : disentangling informed trading from liquidity provision
Gert Elaut
Kevin Lampaert
Michael Frömmel
A1
Journal Article
in
JOURNAL OF FINANCIAL MARKETS
2018
2017
Duration dependence, behavioral restrictions, and the market timing ability of commodity trading advisors
Gert Elaut
Michael Frömmel
Alexander Mende
A1
Journal Article
in
INTERNATIONAL REVIEW OF FINANCE
2017
Essays on exchange rates
Dinçer Afat
Michael Frömmel
Dissertation
2017
Essays on the FX market microstructure
Kevin Lampaert
Michael Frömmel
Dissertation
2017
Finance 2 : asset allocation and market efficiency
Michael Frömmel
Book
2017
Microeconomics of financial markets
Gert Elaut
Michael Frömmel
Dissertation
2017
2016
Does frequency matter for intraday technical trading?
Michael Frömmel
Kevin Lampaert
A1
Journal Article
in
FINANCE RESEARCH LETTERS
2016
Editorial to the special issue "EMERGING MARKET FINANCE AND INSTITUTIONAL INVESTORS"
Michael Frömmel
Editorial material
2016
Essays on nonlinear time-series modeling and financial markets in emerging economies
Murat Midiliç
Michael Frömmel
Dissertation
2016
Essays on the procyclicality of financial cycles and the vulnerability of emerging markets
Garo Garabedian
Michael Frömmel
Koen Inghelbrecht
Dissertation
2016
Finance 1: Portfolio theory and management
Michael Frömmel
Book
2016
The role of the real exchange rate in credit growth in central and eastern European countries : a bank-level analysis
Michael Frömmel
Murat Midiliç
A1
Journal Article
in
FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE
2016
2015
Crystallization: a hidden dimension of CTA fees
Gert Elaut
Michael Frömmel
John Sjödin
A1
Journal Article
in
FINANCIAL ANALYSTS JOURNAL
2015
Essays on market microstructure and liquidity
Xing Han
Michael Frömmel
Dissertation
2015
Further evidence on foreign exchange jumps and news announcements
Michael Frömmel
Xing Han
Frederick Van Gysegem
A1
Journal Article
in
EMERGING MARKETS FINANCE AND TRADE
2015
Interest rate convergence in the EMS prior to European Monetary Union
Michael Frömmel
Robinson Kruse
A1
Journal Article
in
JOURNAL OF POLICY MODELING
2015
ПОРТФЕЛЬНОЕ ИНВЕСТИРОВАНИЕ: БАЗОВЫЙ КУРС
Michael Frömmel
Tatiana V Nikitina
Anna V Repeta-Tursunova
Alexander V Yadrin
Book
2015
2014
Are exporting firms always a good hedge against currency risk? Evidence from Central and Eastern European Countries
Michael Frömmel
Marina Luetje
Report
2014
Crystallization: the hidden dimension of Hedge funds' fee structure
Gert Elaut
Michael Frömmel
John Sjödin
Report
2014
Crystallization: the hidden dimension of hedge funds' fee structure
Gert Elaut
Michael Frömmel
John Sjödin
Other
2014
Essays on behavior and extreme events
Martien Lamers
Michael Frömmel
Jaap WB Bos
Dissertation
2014
Modeling the daily electricity price volatility with realized measures
Michael Frömmel
Xing Han
Stepan Kratochvil
A1
Journal Article
in
ENERGY ECONOMICS
2014
2013
Banking and finance in Central and Eastern European countries
Nora Srzentić
Michael Frömmel
Dissertation
2013
FDI, terrorism and the availability heuristic for U.S. investors before and after 9/11
Jaap Bos
Michael Frömmel
Martien Lamers
Report
2013
Liquidity provision in the interbank foreign exchange market
Frederick Van Gysegem
Michael Frömmel
Dissertation
2013
News, liquidity dynamics and intraday jumps: evidence from the HUF/EUR market
Michael Frömmel
Xing Han
Frederick Van Gysegem
Report
2013
2012
Jumps, news, and liquidity in high-frequency exchange rates
Michael Frömmel
Xing Han
Frederick Van Gysegem
C1
Conference
2012
Spread components in the Hungarian Forint-Euro market
Michael Frömmel
Frederick Van Gysegem
A1
Journal Article
in
EMERGING MARKETS FINANCE AND TRADE
2012
What do we know about real exchange rate nonlinearities?
Robinson Kruse
Michael Frömmel
Lukas Menkhoff
Philipp Sibbertsen
A1
Journal Article
in
EMPIRICAL ECONOMICS
2012
2011
Estimating credit equations for CESEE: short- and long-run dynamics, and regime-switches
Michael Frömmel
Bookchapter
in
Почему Германия? Перспективы международного сотрудничества в области науки, образования, культуры, экономики и политики = Warum Deutschland? Perspektive internationalen Zusammenarbeit im Bereich Wissenschaft, Ausbildung, Kultur, Wirtschaft und Politik
2011
Exchange rate policy in central and Eastern European countries
Michael Frömmel
Frederick Van Gysegem
Bookchapter
in
Exchange rates : policies, effects and fluctuations
2011
Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market
Michael Frömmel
Norbert M Kiss
Klara Pinter
A1
Journal Article
in
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
2011
Monetary policy rules in central and Eastern European countries: does the exchange rate matter?
Michael Frömmel
Garo Garabedian
Franziska Schobert
A1
Journal Article
in
JOURNAL OF MACROECONOMICS
2011
Portfolios and investments
Michael Frömmel
Book
2011
Testing for a rational bubble under long memory
Michael Frömmel
Robinson Kruse
Report
2011
Testing for a rational bubble under long memory
Michael Frömmel
Robinson Kruse
A1
Journal Article
in
QUANTITATIVE FINANCE
2011
What has driven private sector credit developments in Central, Eastern, and Southeastern Europe?
Markus Eller
Michael Frömmel
Nora Srzentić
Bookchapter
in
The future of banking in CESEE after the financial crisis
2011
2010
Portfolios and investments: an introduction
Michael Frömmel
Book
2010
Private sector credit in CESEE: long-run relationships and short-run dynamics
Markus Eller
Michael Frömmel
Nora Srzentić
A2
Journal Article
in
FOCUS ON EUROPEAN ECONOMIC INTEGRATION
2010
Volatility regimes in central and Eastern European countries' exchange rates
Michael Frömmel
A1
Journal Article
in
FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE
2010
2009
Interest rate convergence in the EMS prior to European Monetary Union
Michael Frömmel
Robinson Kruse
Report
2009
Interest rate convergence in the EMS prior to European Monetary Union
Michael Frömmel
Robinson Kruse
Other
2009
Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market
Michael Frömmel
Norbert Kiss M.
Klara Pinter
Report
2009
Markov switching regimes in a monetary exchange rate model
Michael Frömmel
Ronald MacDonald
Lukas Menkhoff
Bookchapter
in
Exchange Rate Economics : selected essays
2009
Monetary Policy Rules in Central and Eastern European Countries: Does the Exchange Rate Matter?
Michael Frömmel
Garo Garabedian
Franziska Schobert
Report
2009
2008
Bank Lending and Asset Prices: evidence from Bulgaria
Michael Frömmel
Kristina Karagyozova
Report
2008
Order flows, news, and exchange rate volatility
Michael Frömmel
A MENDE
L MENKHOFF
A1
Journal Article
in
JOURNAL OF INTERNATIONAL MONEY AND FINANCE
2008
2007
Book Review: Paul de Grauwe (ed.): Exchange Rate Economics: Where Do We Stand?
Michael Frömmel
Bookreview
2007
2006
Bank Lending and Asset Prices in the Euro Area
Michael Frömmel
Torsten Schmidt
Other
2006
Exchange rate regimes in Central and East European countries: deeds vs. words
Michael Frömmel
F SCHOBERT
A1
Journal Article
in
JOURNAL OF COMPARATIVE ECONOMICS
2006
2005
Do fundamentals matter for the D-Mark/Euro - Dollar? A regime switching approach
Michael Frömmel
R MACDONALD
L MENKHOFF
A2
Journal Article
in
GLOBAL FINANCE JOURNAL
2005
Langfristige Trends der Wechselkursvolatilität unter alternativen Währungsregimes
Michael Frömmel
Book
2005
Markov switching regimes in a monetary exchange rate model
Michael Frömmel
Ronald MacDonald
Lukas Menkhoff
A1
Journal Article
in
ECONOMIC MODELLING
2005
The evolution of exchange rate regimes and monetary policy strategies in Central and Eastern European countries
Michael Frömmel
F SCHOBERT
Bookchapter
in
Issues on monetary theory and policy : proceedings of a Colloquium in Honour of Wolfgang Gebauer
2005
2004
Jennes, Barbara, Die Wirkung der Geldpolitik in Deutschland
Michael Frömmel
Bookreview
2004
2003
Increasing exchange rate volatility during the recent float
Michael Frömmel
L MENKHOFF
A2
Journal Article
in
APPLIED FINANCIAL ECONOMICS
2003
Nominal anchors in EU accession countries: recent experiences
Michael Frömmel
Franziska Schobert
Other
2003
2002
Internationalisierung der Kapitalmärkte und die Finanzierung des Mittelstandes
Michael Frömmel
L MENKHOFF
Bookchapter
in
Mittelstandsfinanzierung im Umbruch
2002
Volatilitätsmaße für Finanzmarktreihen
Michael Frömmel
A2
Journal Article
in
WIRTSCHAFTSWISSENSCHAFTLICHTES STUDIUM
2002
2001
Die Effizienz internationaler Finanzmärkte
Michael Frömmel
Bookchapter
in
Neue Weltwährungsarchitektur
2001
Risk reduction in the EMS? Evidence from trends in exchange rate properties
Michael Frömmel
Lukas Menkhoff
A1
Journal Article
in
JOURNAL OF COMMON MARKET STUDIES
2001
1999
The Informational Efficiency of Financial Markets and Macroeconomic Equilibrium
Michael Frömmel
L MENKHOFF
Bookchapter
in
Macroeconomic Causes of Unemployment
1999
Wechselkursvolatilität und institutsspezifische Value at Risk-Ansätze
Michael Frömmel
L MENKHOFF
N TOLKSDORF
A4
Journal Article
in
Sparkasse
1999