Publications
"Prediction is very difficult, especially if it’s about the future"
— Niels H.D. Bohr
Peer-Reviewed Journals
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/j.frl.2021.102266 (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, forthcoming.
DOI: 10.1016/j.jcomm.2021.100242 (Open Access)
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.
DOI: 10.5547/01956574.43.5.mbre
[Working Paper]
Keynote at SOB International Conference, Ho Chi Minh City, May 30, 2020 (online)
Virtual Workshop on CO2-Pricing and Emissions (Hagen, 2020), 6th Wroclaw International Conference in Finance (online)
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.
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.
DOI: 10.1007/s11408-021-00398-0 (Open Access)
[Working Paper]
IPAG Financial Management Conference (2018)
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).
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]
2nd Joint Seminar on Finance (2016, TU Dresden), HVB doctoral seminar (2017, FU Berlin), 5th International Symposium on Environment and Energy Finance Issues (2017, Paris), 6th International Ruhr Energy Conference (2017, Essen), John von Neumann Institute (Ho Chi Minh City, 2017), PhD in Finance Seminar (2018, University of St. Gallen), Energy Finance Workshop (2018, Stolberg), 16th INFINITI Conference on International Finance (2018, Poznan), 12th Risk Symposium (2018, Dresden), Utrecht University (2019)
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]
Feature in CFA Journal Review
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]
Winner of the 2020 Tom Fetherston Prize (International Review of Financial Analysis Best Paper Award)
Feature in AMB Crypto
Cryptocurrencies in a Digital Economy Workshop (HU Berlin, 2017), INFINITI Conference (Posznan, 2017), TU Dresden (2018)
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)
2nd Vietnam Symposium in Banking and Finance (Ho Chi Minh City, 2017), Banking University (Ho Chi Minh City, 2017)
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
HypoVereinsbank PhD Seminar (Berlin, 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]
43rd Macromodels International Conference (Lodz, 2016), Statistische Woche (Augsburg, 2016), Vietnam International Conference in Finance (Da Nang, 2016), HSC Seminar on Stochastic and Numerical Methods (Wroclaw, 2016), HypoVereinsbank PhD Seminar (Halle, 2016), Workshop of the German Operations Research Society (GOR e.V.), WG FIFI (Augsburg, 2016)
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]
3rd Vietnam International Conference in Finance (Da Nang, 2016)
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]
HypoVereinsbank PhD Seminar (Halle, 2016), Energy and Commodity Finance Conference (Paris, 2016)
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]
HypoVereinsbank PhD Seminar (Riga, 2015), Energy Finance Conference (London, 2015), International Ruhr Energy Conference (Essen, 2015)
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 (Open Access)
[Working Paper]
Wroclaw Conference in Finance (Wroclaw, 2015), Wroclaw University of Technology (2015)
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 (Open Access)
Dr.-Feldbausch-Förderpreis, Best Dissertation Price 2017, Faculty of Business and Economics, Technische Universität Dresden
Other Publications (Editorials / Non-peer reviewed / Practitioners Outlets / Educational Outlets etc.)
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, forthcoming.
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.