Publications

Klein, Tony; Pham Thu, Hien; Walther, Thomas (2018): Bitcoin is not the New Gold – A Comparison of Volatility, Correlation, and Portfolio Performance, in: International Review of Financial Analysis, Vol. 59, pp. 105-116. DOI: 10.1016/j.irfa.2018.07.010 . [Working Paper]

Bui Quang, Paul; Klein, Tony; Nguyen, Nam H.; Walther, Thomas (2018): Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH, in: Journal of Risk and Financial Management, Vol. 11, No. 2. DOI: 10.3390/jrfm11020018. [Download]

Walther, Thomas; Klein, Tony; Pham Thu, Hien; Piontek, Krzysztof (2017): True or Spurious Long Memory in European Non-EMU Currencies, in: Research in International Business and Finance, Vol. 40C, pp. 217-230. DOI: 10.1016/j.ribaf.2017.01.003. [Working Paper]

Klein, Tony; Walther, Thomas (2017): Fast Fractional Differencing in Modeling Long Memory of Conditional Variance for High-Frequency Data, in: Finance Research Letters, Vol. 22C, pp. 274-279. DOI: 10.1016/j.frl.2016.12.020. [Working Paper | MatLab Code]

Walther, Thomas (2017): Expected Shortfall in the Presence of Asymmetry and Long Memory: An Application to Vietnamese Stock Markets, in: Pacific Accounting Review, Vol. 29, No. 2, pp. 132-151. DOI: 10.1108/PAR-06-2016-0063. [Working Paper]

Lauenstein, Philipp; Walther, Thomas (2016): Forecasting Volatility of Tanker Freight Rates Based on Asymmetric Regime-Switching GARCH Models, in: International Journal of Financial Engineering and Risk Management, Vol. 2, No. 3, pp. 172-199. DOI: 10.1504/IJFERM.2016.082978. [Working Paper]

Klein, Tony; Walther, Thomas (2016): Oil Price Volatility Forecast with Mixture Memory GARCH, in: Energy Economics, Vol. 58, pp. 46-58. DOI: 10.1016/j.eneco.2016.06.004. [Working Paper | MatLab Code]

Walther, Thomas; Klein, Tony (2015): Contingent Convertible Bonds and their Impact on Risk-Taking of Managers, in: Cuadernos de Economía - Spanish Journal of Economics and Finance, Vol. 38, No. 106, pp. 54–64. DOI: 10.1016/j.cesjef.2014.09.001. [Working Paper]

Schuster, Martin; Walther, Thomas (2017): Valuation of Combined Wind Power Plant and Hydrogen Storage: A Decision Tree Approach, in: IEEE Xplore: Proceedings of the 14th International Conference on the European Energy Market (EEM), Dresden 2017, pp. 1-6. DOI: 10.1109/EEM.2017.7981912

Klein, Tony; Pham Thu, Hien; Walther, Thomas (2016): Empirical Evidence of Long Memory and Asymmetry in EUR/PLN Exchange Rate Volatility, in: Research Papers of Wroclaw University of Economics: Wroclaw Conference in Finance 2015: Contemporary Trends and Challenges, No. 428, pp. 128-140. DOI: 10.15611/pn.2016.428.11. [Working Paper]

Walther, Thomas (2017): Essays on Financial Econometrics: With Applications to Commodity, Equity, and Foreign Exchange Markets. Dissertation. Technische Universität Dresden. DOI: 10.13140/RG.2.2.27680.48641.

Locarek-Junge, Hermann; Sumpf, Anne; Walther, Thomas (2019): Anwendung der Copula-Formel in der Finanzwirtschaft: Höllenformel oder nützliches Abhängigkeitsmaß?, in: WiSt – Wirtschaftswissenschaftliches Studium, forthcoming.

Weigt, Hannes; Abrell, Jan; Betz, Regina; Frauendorfer, Karl; Krysiak, Frank; Roux, Catherine; Schlecht, Ingmar; Schleiniger, Reto; Walther, Thomas; Winzer, Christian (2018): Strommarktdesign: In welche Richtung soll es gehen?, SCCER CREST White Paper 5 - Juni/2018. [Download]

Locarek-Junge, Hermann; Walther, Thomas (2017): Markov-Regime-Switching-Modelle in der Finanzwirtschaft, in: WiSt – Wirtschaftswissenschaftliches Studium, Vol. 46, No. 1, pp. 4-9. DOI: 10.15358/0340-1650-2017-01-4.

Locarek-Junge, Hermann; Walther, Thomas (2014): Risiken auf dem langen Weg nach Basel III: Regulierung und Aufsicht im Finanzsystem, in: AKADEMIE, Vol. 59, No. 1, pp. 3-8. [Working Paper | Web Source]

Locarek-Junge, Hermann; Klein, Tony; Walther, Thomas (2014): GARCH-Modelle, in: WISU – Das Wirtschaftsstudium, Vol. 43, No. 11, pp. 1348-1354, 1387.