"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.

[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. [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]

Degiannakis, Stavros; Filis, George; Klein, Tony; Walther, Thomas (2020):

Forecasting Realized Volatility of Agricultural Commodities

in: International Journal of Forecasting, forthcoming.

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

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. [Working Paper]


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.

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.

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