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

11

DOWNLOADS
Rank 33,031

SSRN RANKINGS

Top 33,031

in Total Papers Downloads

1,391

SSRN CITATIONS
Rank 41,394

SSRN RANKINGS

Top 41,394

in Total Papers Citations

11

CROSSREF CITATIONS

2

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

Scholarly Papers (11)

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, University of St.Gallen, School of Finance Research Paper No. 2018/14, QMS Research Paper 2018/01
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 612 (43,793)
Citation 8

Abstract:

Loading...

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 224 (139,407)
Citation 1

Abstract:

Loading...

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, QMS Research Paper 2018/02, Journal of International Financial Markets, Institutions and Money, 2019
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 186 (165,897)
Citation 2

Abstract:

Loading...

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: 50 Posted: 31 Jul 2019 Last Revised: 30 Sep 2019
Dresden University of Technology - Chair of Finance and Financial Services, IPAG Business School and Utrecht University - School of Economics
Downloads 113 (248,825)

Abstract:

Loading...

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, Journal of Forecasting, DOI: 10.1002/for.2617
Number of pages: 41 Posted: 05 Dec 2018 Last Revised: 20 Jun 2019
Duc Khuong Nguyen and Thomas Walther
IPAG Business School and Utrecht University - School of Economics
Downloads 94 (281,990)
Citation 3

Abstract:

Loading...

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, QMS Research Paper 2018/03
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 80 (311,769)
Citation 2

Abstract:

Loading...

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 52 (389,966)
Citation 1

Abstract:

Loading...

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

8.

Forecasting Realized Volatility of Agricultural Commodities

International Journal of Forecasting, Forthcoming
Number of pages: 48 Posted: 07 Sep 2019 Last Revised: 27 Oct 2019
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 16 (563,240)

Abstract:

Loading...

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: 24 Posted: 11 Aug 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 11 (588,766)

Abstract:

Loading...

Oil prices, GDP growth, Asymmetry, Nonlinearity

10.

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 2 (652,343)

Abstract:

Loading...

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

11.

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 (664,243)

Abstract:

Loading...

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