Working Paper: Research and Talks

Peer reviewed Journals

Alqahtani, A., Klein, T., Khalid, A. (2019): The Impact of Oil Price Uncertainty on GCC Stock Markets, in: Resources Policy, forthcoming. DOI: 10.1016/j.resourpol.2019.101526 [SSRN Preprint]

Degiannakis, S., Filis, G., Klein, T., Walther, T. (2019): Forecasting Realized Volatility of Agricultural Commodities, in: International Journal of Forecasting, forthcoming. [SSRN Preprint]

Walther, T., Klein, T., Bouri, E. (2019): Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting, in: Journal of International Financial Markets, Institutions & Money, forthcoming. DOI: 10.1016/j.intfin.2019.101133. [SSRN Preprint]

Luo, J., Hou, C., Klein, T., Li, Q. (2019): Forecasting Realized Volatility of Agricultural Commodity Futures with Infinite Hidden Markov HAR Models, in: International Journal of Forecasting, forthcoming. [SSRN Preprint]

Klein, T. (2018): Trends and Contagion in WTI and Brent Crude Oil Spot and Futures Markets - The Role of OPEC in the last Decade, in: Energy Economics, Vol. 75, pp. 636-646. DOI: 10.1016/j.eneco.2018.09.013. [SSRN Preprint]

Klein, T., Thu, H. P., Walther, T. (2018): Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance, in: International Review of Financial Analysis, Vol. 58, pp. 105-116. DOI: 10.1016/j.irfa.2018.07.010

Bui Quang, P.; Klein, T.; Nguyen, N. H.; Walther, T. (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

Klein, T. (2017): Dynamic Correlation of Precious Metals and Flight-to-Quality in Developed Markets, in: Finance Research Letters, Vol 23C, pp. 283-290. DOI: 10.1016/

Klein, T.; Walther, T. (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/

Walther, T.; Klein, T.; Pham Thu, H.; Piontek, K.(2017): True or Spurious Long Memory in European Non-EMU Currencies, in: Research in International Business and Finance, Vol. 40, pp. 217-230. DOI: 10.1016/j.ribaf.2017.01.003

Klein, T.; Walther, T. (2016): Oil Price Volatility Forecast with Mixture-Memory-GARCH Models, in: Energy Economics, Vol. 58, pp. 46-58. DOI: 10.1016/j.eneco.2016.06.004

W., Thomas; Klein, T. (2015): Contingent Convertible Bonds and its Impact on Risk-Taking of Managers, in: Cuadernos de Economía - Spanish Journal of Economics and Finance, Volume 38, Issue 106, pp. 54–64. DOI: 10.1016/j.cesjef.2014.09.001

Conference Proceedings

Klein, Tony (2017): Trends and Contagion in WTI and Brent Crude Oil Spot and Futures Markets: A Spread and Correlation Analysis, Proceedings of the 40th Annual IAEE International Conference Singapore.

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, No. 428, pp. 128-140.


Locarek-Junge, Hermann; Klein, Tony (2016): Foreign Exchange Hedging, in: WISU – Das Wirtschaftsstudium, Jhg. 45, Nr. 3, S. 298 - 304, 335.

Locarek-Junge, Hermann; Klein, Tony; Walther, Thomas (2014): GARCH-Modelle, in: WISU - Das Wirtschaftsstudium, Jhg. 43, Nr. 11, S. 1348-1354, 1387.

Dissertation on ResearchGate