Embedded Files
"Prediction is very difficult, especially if it’s about the future"
— Niels H.D. Bohr
Peer-Reviewed Journals
22
Paul, Thomas; Aryoubi, Abdullah; Walther, Thomas (2025): Reassessing the Illiquidity-Return Relationship: Evidence from Germany, the UK, and the U.S., in: International Review of Financial Analysis, forthcoming.[Working Paper]
21
Gao, Xiang; Koedijk, Kees; Walther, Thomas; Wang, Zhan (2025): Relative Investor Sentiment, in: International Review of Economics and Finance, Vol. 100 (104105). DOI: 10.1016/j.iref.2025.104105 (Open Access) [CEPR Discussion Paper | Working Paper]
FMA European Conference (Turin, 2024); German Finance Association Annual Meeting (DGF, 2023); Chinese Finance Annual Meeting (2022 and 2023); Utrecht University (2023)
20
Bouri, Elie; Dudda, Tom L.; Rognone, Lavinia; Walther, Thomas (2025): Climate Risk and the Nexus of Clean Energy and Technology Stocks, in: Annals of Operations Research, Vol. 347, pp. 445-469. DOI: 10.1007/s10479-023-05487-z (Open Access) [Working paper]
19
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, Vol 43, No. 5, pp. 1422-1446. DOI: 10.1002/for.3077 (Open Access) [Working Paper]
18
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]
Keynote at VII Wroclaw Conference in Finance, Wroclaw, November 30, 2021 (online)
International Symposium on Environment and Energy Finance Issues (Paris, online, 2023); Clermont Fintech and Innovation Workshop (online, 2023); Carbon Finance Workshop (Hagen, online, 2022)
17
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]
16
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]
Feature in Fast Company
15
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]
Winner of the 2022 Campbell Watkins Energy Journal Best Paper Award
International Association of Energy Economics invited webinar: Stranded Asset Risk and Political Uncertainty; ISCM Webinar: Maximizing Energy-Efficiency
Keynote at SOB International Conference, Ho Chi Minh City, May 30, 2020 (online)
CPB Netherlands Bureau for Economic Policy Analysis (The Hague, 2023); Virtual Workshop on CO2-Pricing and Emissions (Hagen, 2020); 6th Wroclaw International Conference in Finance (online)
14
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]
13
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]
Winner of the 2022 FMPM Best Paper Award
IPAG Financial Management Conference (2018)
12
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]
11
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]
10
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)
9
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
8
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, IFN News, Citywire ria, Political Calculations, FINANS, decrypt, Wikipedia, International Banker
Cryptocurrencies in a Digital Economy Workshop (HU Berlin, 2017), INFINITI Conference (Posznan, 2017), TU Dresden (2018)
7
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)
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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)
5
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)
4
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)
3
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)
2
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)
1
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)
Books
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)
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.)
Klein, Tony; Walther, Thomas (2024): Advances in explainable artificial intelligence (xAI) in Finance, in: Finance Research Letters, Vol. 70 (106358). DOI: 10.1016/j.frl.2024.106358
Editorial for Special Issue: Explainable Artificial Intelligence (xAI) in Finance
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 | nonstandarderrors.com]
I contributed together with Tom L. Dudda as one of the 164 research teams. I did not write any parts of the paper.
Society for Financial Econometrics (SoFiE). Runner-up for the Bates-White Prize for the Best Paper at the 2022 Annual Meeting.
Features: Die Zeit, Financieele Dagblad, Kellogg Insight, Me Judice
Presentation by Albert Menkveld and Anna Dreber at The Microstructure Exchange and a 2min explainer video: Part I (presentation), Part II (discussion), Explainer Video
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
Special Issue: Green and Sustainable Finance in the Asia-Pacific Markets
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]
Interview with Regina Betz [Youtube]
Feature in: Die Volkswirtschaft
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.
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