Thomas Walther

Utrecht University - School of Economics

Kriekenpitplein 21-22

Adam Smith Building

Utrecht, +31 30 253 7373 3584 EC

Netherlands

http://www.thomas-walther.info

SCHOLARLY PAPERS

13

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SSRN CITATIONS
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SSRN RANKINGS

Top 22,668

in Total Papers Citations

35

CROSSREF CITATIONS

3

Ideas:
“  I am currently working on the application of Mixed Data Sampling in the field of energy and commodity finance.  ”

Scholarly Papers (13)

1.

Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance

International Review of Financial Analysis, Vol. 59, pp. 105-116
Number of pages: 29 Posted: 22 Mar 2018 Last Revised: 13 Jun 2019
Tony Klein, Pham Thu Hien and Thomas Walther
Queen's University Belfast - Queen's Management School, Humboldt University of Berlin and Utrecht University - School of Economics
Downloads 798 (32,832)
Citation 25

Abstract:

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BEKK, Bitcoin, CRIX, Cryptocurrency, Gold, GARCH, Conditional Correlation, Asymmetry, Long Memory

2.

Oil Price Volatility Forecast with Mixture Memory GARCH

Energy Economics, Vol. 58, 2016
Number of pages: 33 Posted: 29 Mar 2015 Last Revised: 27 Mar 2018
Tony Klein and Thomas Walther
Queen's University Belfast - Queen's Management School and Utrecht University - School of Economics
Downloads 232 (143,357)
Citation 1

Abstract:

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FIGARCH, GARCH, long memory, mixture memory, oil price volatility, Value-at-Risk, volatility regimes

3.

Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting

University of St.Gallen, School of Finance Research Paper No. 2018/19
Number of pages: 26 Posted: 27 Jun 2018 Last Revised: 19 Sep 2019
Thomas Walther, Tony Klein and Elie Bouri
Utrecht University - School of Economics, Queen's University Belfast - Queen's Management School and Université Saint Esprit de Kaslik (USEK)
Downloads 215 (154,104)
Citation 3

Abstract:

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Bitcoin, Cryptocurrencies, GARCH, Mixed Data Sampling, Volatility

4.

Environmental Hazards and Risk Management in the Financial Sector: A Systematic Literature Review

University of St.Gallen, School of Finance Research Paper No. 2019/10
Number of pages: 48 Posted: 31 Jul 2019 Last Revised: 28 May 2020
Dresden University of Technology - Chair of Finance and Financial Services, IPAG Business School and Utrecht University - School of Economics
Downloads 197 (168,103)
Citation 1

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Environment, Climate, Risk Management, Banking, Financial Institutions

5.

Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables

University of St. Gallen, School of Finance Research Paper No. 2018/24
Number of pages: 41 Posted: 05 Dec 2018 Last Revised: 05 Feb 2020
Duc Khuong Nguyen and Thomas Walther
IPAG Business School and Utrecht University - School of Economics
Downloads 120 (252,390)
Citation 5

Abstract:

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Commodity futures, GARCH, Long-term volatility, Macroeconomic effects, Mixed data sampling

6.

Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?

University of St.Gallen, School of Finance Research Paper No. 2018/18
Number of pages: 53 Posted: 06 Aug 2018 Last Revised: 13 Jun 2019
Lanouar Charfeddine, Tony Klein and Thomas Walther
Qatar University - College of Business and Economics, Queen's University Belfast - Queen's Management School and Utrecht University - School of Economics
Downloads 107 (273,973)
Citation 2

Abstract:

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Oil prices, GDP growth, Asymmetry, Nonlinearity, Markov switching models, Mixed Data Sampling

7.

Fast Fractional Differencing in Modeling Long Memory of Conditional Variance for High-Frequency Data

Finance Research Letters, Vol. 22C, 2017
Number of pages: 12 Posted: 26 Mar 2016 Last Revised: 27 Mar 2018
Tony Klein and Thomas Walther
Queen's University Belfast - Queen's Management School and Utrecht University - School of Economics
Downloads 64 (372,946)
Citation 1

Abstract:

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Computation Time, Fast Fractional Differencing, Fourier Transforms, Long Memory Conditional Variance, High-Frequency Data

8.

Forecasting Realized Volatility of Agricultural Commodities

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
Number of pages: 48 Posted: 07 Sep 2019 Last Revised: 20 Apr 2020
Department of Economic and Regional Development, Panteion University of Political and Social Sciences, Bournemouth University, Queen's University Belfast - Queen's Management School and Utrecht University - School of Economics
Downloads 40 (458,264)

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Agricultural Commodities, Realized Volatility, Median Realized Volatility, Heterogeneous Autoregressive model, Forecasting

9.

Reviewing the Oil Price - GDP Growth Relationship: A Replication Study

QMS Research Paper 2019/09
Number of pages: 28 Posted: 11 Aug 2019 Last Revised: 23 Apr 2020
Lanouar Charfeddine, Tony Klein and Thomas Walther
Qatar University - College of Business and Economics, Queen's University Belfast - Queen's Management School and Utrecht University - School of Economics
Downloads 23 (544,480)

Abstract:

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Oil prices, GDP growth, Asymmetry, Nonlinearity

10.

Stranded Asset Risk and Political Uncertainty: The Impact of the Coal Phase-out on the German Coal Industry

Utrecht School of Economics Working Paper Series nr: 20-02
Number of pages: 65 Posted: 10 Jun 2020 Last Revised: 15 Jun 2020
Dresden University of Technology - Chair of Finance and Financial Services, Dresden University of Technology - Faculty of Economics and Business Management, IPAG Business School and Utrecht University - School of Economics
Downloads 19 (569,556)

Abstract:

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Coal Phase-out, Energy transition, Germany, Stranded Assets

11.

Forecasting Volatility of Tanker Freight Rates Based on Asymmetric Regime-Switching GARCH Models

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, Nr. 3, pp. 172-199. DOI: 10.1504/IJFERM.2016.082978.
Number of pages: 29 Posted: 30 Jun 2019
Philipp Lauenstein and Thomas Walther
Hamburg School of Business Administration and Utrecht University - School of Economics
Downloads 11 (622,443)

Abstract:

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APARCH, asymmetric volatility, EGARCH, Expected Shortfall, GARCH models, Markov regime switching, risk management, seasonal adjustment, tanker freight rates, Value-at-Risk, volatility forecasting

12.

Valuation of Combined Wind Power Plant and Hydrogen Storage: A Decision Tree Approach

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 ©2017 IEEE
Number of pages: 6 Posted: 25 Feb 2020
Martin Schuster and Thomas Walther
Dresden University of Technology - Chair of Finance and Finacial Services and Utrecht University - School of Economics
Downloads 7 (650,247)

Abstract:

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Hydrogen Storage, Wind Power Plants, Decision Tree Approach, Discounted Cash Flow Analysis

13.

Contingent Convertible Bonds and its Impact on Risk-Taking of Managers

Cuadernos de Economía (2015) 38, pp. 54-64
Number of pages: 23 Posted: 06 Jan 2019
Thomas Walther and Tony Klein
Utrecht University - School of Economics and Queen's University Belfast - Queen's Management School
Downloads 1 (702,493)

Abstract:

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Contingent Convertible Bonds; executive compensation; incentives; inside debt; risk-taking