"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/ (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)

[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.

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.

DOI: 10.1016/j.ijforecast.2019.08.011
[Working Paper]

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).

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]

  • 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]

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]

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]

  • 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.

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]

  • Wroclaw Conference in Finance (Wroclaw, 2015), Wroclaw University of Technology (2015)


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.)

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.

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.


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):


in: WISU – Das Wirtschaftsstudium, Vol. 43, No. 11, pp. 1348-1354, 1387.