Publications
"Prediction is very difficult, especially if it’s about the future"
— Niels H.D. Bohr
Peer-Reviewed Journals
Paul, Thomas; Walther, Thomas; Küster-Simic, André (2021):
Empirical Analysis of Illiquidity Premia of German Real Estate Securities
in: Financial Markets and Portfolio Management, forthcoming.
Breitenstein, Miriam; Nguyen, Duc K.; Walther, Thomas (2021):
Environmental Hazards and Risk Management in the Financial Sector: A Systematic Literature Review
in: Journal of Economic Surveys, Vol. 35, No. 2, pp. 512-538.
DOI: 10.1111/joes.12411. [Working Paper]
Charfeddine, Lanouar; Klein, Tony; Walther, Thomas (2020):
Reviewing the Oil Price - GDP Growth Relationship: A Replication Study
in: Energy Economics, Vol. 88 (104786).
Degiannakis, Stavros; Filis, George; Klein, Tony; Walther, Thomas (2020):
Forecasting Realized Volatility of Agricultural Commodities
in: International Journal of Forecasting, forthcoming.
Nguyen, Duc K.; Walther, Thomas (2020):
Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables
in: Journal of Forecasting, Vol. 39, No. 2, pp. 126-142.
DOI: 10.1002/for.2617. [Working Paper]
Walther, Thomas; Klein, Tony; Bouri, Elie (2019):
Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting
in: Journal of International Financial Markets, Institutions & Money, Vol. 63, pp. 101-113.
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]
Most cited article published in 2018 in International Review of Financial Analysis
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]
Best Paper Award, Macromodels Conference 2016 Lodz, Poland
Certificate of Appreciation (Top 5 Papers), Wroclaw Conference in Finance 2016
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.
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.
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.
Peer-Reviewed Conference Proceedings
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.
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]
Books
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.
Dr.-Feldbausch-Förderpreis, Best Dissertation Price 2017, Faculty of Business and Economics, Technische Universität Dresden
Other Publications (Non-peer reviewed / Practitioners Outlets / Educational Outlets etc.)
Dudda, Tom; Klein, Tony; Walther, Thomas (2021):
Schätzung und Vorhersage „Realisierter Volatilität“
in: WiSt – Wirtschaftswissenschaftliches Studium, Vol. 50, Nr. 4, pp. 19-25.
Breitenstein, Miriam, Nguyen, Duc. K.; Walther, Thomas (2019):
Climate Change and Banks' Risk Management: Can It Affect Investment Decisions?
in: International Banker, Summer 2019, pp. 68-69.
Locarek-Junge, Hermann; Sumpf, Anne; Walther, Thomas (2019):
Anwendung der Copula-Formel in der Finanzwirtschaft: Höllenformel oder nützliches Abhängigkeitsmaß?
in: WiSt – Wirtschaftswissenschaftliches Studium, Vol. 48, No. 2-3, pp. 12-19.
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.
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.
Locarek-Junge, H.; Klein, T.; Walther, Thomas (2014): GARCH-Modelle, in: WISU – Das Wirtschaftsstudium, Vol. 43, No. 11, pp. 1348-1354, 1387.