"Prediction is very difficult, especially if it’s about the future"

— Niels H.D. Bohr

Peer-Reviewed Journals


Luo, Jiawen; Klein, Tony; Ji, Qiang; Walther, Thomas (2024): Forecasting Realized Volatility of Crude Oil Futures Prices based on Machine Learning, in: Journal of Forecasting, forthcoming. DOI: 10.1002/for.3077 (Open Access) [Working Paper]


Bouri, Elie; Dudda, Tom L.; Rognone, Lavinia; Walther, Thomas (2023): Climate Risk and the Nexus of Clean Energy and Technology Stocks, in: Annals of Operations Research, forthcoming. DOI: 10.1007/s10479-023-05487-z (Open Access) [Working paper]


Düsterhöft, Maximilian; Schiemann, Frank; Walther, Thomas (2023): Let's Talk About Risk! Stock Market Effects of Risk Disclosure for European Energy Utilities, in: Energy Economics, Vol. 125 (106794). DOI: 10.1016/j.eneco.2023.106794 (Open Access) [Working Paper


Gerritsen, Dirk F.; Lugtigheid, Rick A.C.; Walther, Thomas (2022): Can Bitcoin Investors Profit from Predictions by Crypto Experts?, in: Finance Research Letters, Vol. 46, Part A, (102266). DOI: 10.1016/ (Open Access) [Working Paper


Dinh, Theu; Goutte, Stephane; Nguyen, Duc Khuong; Walther, Thomas (2022): Economic drivers of volatility and correlation in precious metal markets, in: Journal of Commodity Markets, Vol. 28 (100242). DOI: 10.1016/j.jcomm.2021.100242 (Open Access) [Working Paper]


Breitenstein, Miriam; Anke, Carl-Philipp; Nguyen, Duc Khuong; Walther, Thomas (2022): Stranded Asset Risk and Political Uncertainty: The Impact of the Coal Phase-out on the German Coal Industry, in: The Energy Journal, Vol. 43, No. 5, pp. 27-50. DOI: 10.5547/01956574.43.5.mbre (Open Access) [Working Paper, Supplementary Material


Degiannakis, Stavros; Filis, George; Klein, Tony; Walther, Thomas (2022): Forecasting Realized Volatility of Agricultural Commodities, in: International Journal of Forecasting, Vol. 38, No. 1, pp. 74-96. DOI: 10.1016/j.ijforecast.2019.08.011 [Working Paper]


Paul, Thomas; Walther, Thomas; Küster-Simic, André (2022): Empirical Analysis of Illiquidity Premia of German Real Estate Securities, in: Financial Markets and Portfolio Management, Vol. 36, pp. 203-260. DOI: 10.1007/s11408-021-00398-0 (Open Access) [Working Paper]


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 (Open Access) [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). DOI: 10.1016/j.eneco.2020.104786 [Working Paper]


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. DOI: 10.1016/j.intfin.2019.101133 [Working Paper]


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 (Open Access)


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/  [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]

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. DOI: 10.1109/EEM.2017.7981912  [Working Paper]

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 (Open Access) [Working Paper]


Klein, Tony; Loßagk, Sven; Straßberger, Mario; Walther, Thomas (Eds.) (2022): Modern Finance and Risk Management: Festschrift in Honour of Hermann Locarek-Junge. World Scientific Publishing Europe: London, 508 pages. DOI: 10.1142/q0351

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 (Open Access)

Other Publications (Editorials / Non-peer reviewed / Practitioners Outlets / Educational Outlets etc.)

Menkfeld, Albert J. et al. (2023): Non-Standard Errors, in: Journal of Finance, Vol. 79, No. 3, pp. 2339-2390. DOI: 10.1111/jofi.13337 (Open Access) [Working Paper | Project Web Page]

Paul, Thomas; Küster Simic, André; Walther, Thomas (2022): Deutsche Immobilien-Finanzinstrumente: Renditen und Illiquiditätsprämien, in: Absolut report, No. 2022/6, pp. 46-51.

[Link (Paywall)]

Klein, Tony; Loßagk, Sven; Straßberger, Mario; Walther, Thomas (2022): Introduction, in: Klein, Tony; Loßagk, Sven; Straßberger, Mario; Walther, Thomas (Eds.) (2022): Modern Finance and Risk Management: Festschrift in Honour of Hermann Locarek-Junge, pp.1-5. DOI: 10.1142/9781800611917_0001 (Open Access)

Klein, Tony; Loßagk, Sven; Straßberger, Mario; Walther, Thomas (2022): Dynamic Correlation of Precious Metals and Equity Markets: A Mixed Data Sampling Approach, in: Klein, Tony; Loßagk, Sven; Straßberger, Mario; Walther, Thomas (Eds.) (2022): Modern Finance and Risk Management: Festschrift in Honour of Hermann Locarek-Junge, pp.437-452. DOI: 10.1142/9781800611917_0020 (Open Access)

Huynh, Toan Luu Duc; Walther, Thomas; Utz, Sebastian (2022): Green and Sustainable Finance in the Asia-Pacific Markets: An Introduction to the Special Issue, in: Asia-Pacific Financial Markets, Vol. 29, pp. 1-3. DOI: 10.1007/s10690-022-09362-y

Dudda, Tom; Klein, Tony; Walther, Thomas (2021): Schätzung und Vorhersage „Realisierter Volatilität“, in: WiSt – Wirtschaftswissenschaftliches Studium, Vol. 50, Nr. 4, pp. 19-25. DOI: 10.15358/0340-1650-2021-4-19  [Python Code]

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. [Online Version]

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. DOI: 10.15358/0340-1650-2019-2-3-12

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