Details about Thomas Walther

Access statistics for papers by Thomas Walther.

Last updated 2024-10-09. Update your information in the RePEc Author Service.

Short-id: pwa817

Working Papers

2024

1. Nonstandard errors
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   Also in Working Papers, Lund University, Department of Economics (2021)
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) (2024)

2023

2. Reinforcement Learning and Portfolio Allocation: Challenging Traditional Allocation Methods
   QBS Working Paper Series, Queen's University Belfast, Queen's Business School View citations (1)

2022

3. Common Drivers of Commodity Futures?
   QBS Working Paper Series, Queen's University Belfast, Queen's Business School
   Also in Working Papers, Utrecht School of Economics (2022)
4. Economic drivers of volatility and correlation in precious metal markets
   Working Papers, HAL View citations (19)
   See also Journal Article Economic drivers of volatility and correlation in precious metal markets, Journal of Commodity Markets, Elsevier (2022) View citations (18) (2022)
5. Relative Investor Sentiment Measurement
   Working Papers, Utrecht School of Economics
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)

2021

6. Forecasting Realized Volatility of Crude Oil Futures Prices based on Machine Learning
   QBS Working Paper Series, Queen's University Belfast, Queen's Business School View citations (1)
   See also Journal Article Forecasting realized volatility of crude oil futures prices based on machine learning, Journal of Forecasting, John Wiley & Sons, Ltd. (2024) View citations (1) (2024)

2020

7. Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach
   Working Papers, Department of Research, Ipag Business School View citations (1)
   Also in MPRA Paper, University Library of Munich, Germany (2020) View citations (1)
8. Reviewing the Oil Price - GDP Growth Relationship: A Replication Study
   QBS Working Paper Series, Queen's University Belfast, Queen's Business School
   See also Journal Article Reviewing the oil price–GDP growth relationship: A replication study, Energy Economics, Elsevier (2020) View citations (3) (2020)
9. Stranded Asset Risk and Political Uncertainty: The Impact of the Coal Phase-out on the German Coal Industry
   Working Papers, Utrecht School of Economics View citations (3)
   Also in MPRA Paper, University Library of Munich, Germany (2019)
   See also Journal Article Stranded Asset Risk and Political Uncertainty: The Impact of the Coal Phase-Out on the German Coal Industry, The Energy Journal (2022) View citations (1) (2022)

2019

10. Environmental Hazards and Risk Management in the Financial Sector: A Systematic Literature Review
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (3)
    See also Journal Article ENVIRONMENTAL HAZARDS AND RISK MANAGEMENT IN THE FINANCIAL SECTOR: A SYSTEMATIC LITERATURE REVIEW, Journal of Economic Surveys, Wiley Blackwell (2021) View citations (17) (2021)
11. Forecasting Realized Volatility of Agricultural Commodities
    MPRA Paper, University Library of Munich, Germany View citations (3)
    See also Journal Article Forecasting realized volatility of agricultural commodities, International Journal of Forecasting, Elsevier (2022) View citations (19) (2022)

2018

12. Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance
    QBS Working Paper Series, Queen's University Belfast, Queen's Business School View citations (44)
    Also in IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018) View citations (319)
    Working Papers on Finance, University of St. Gallen, School of Finance (2018) View citations (309)
    See also Journal Article Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance, International Review of Financial Analysis, Elsevier (2018) View citations (271) (2018)
13. Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting
    QBS Working Paper Series, Queen's University Belfast, Queen's Business School
    See also Journal Article Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting, Journal of International Financial Markets, Institutions and Money, Elsevier (2019) View citations (84) (2019)
14. Exogenous Drivers of Cryptocurrency Volatility - A Mixed Data Sampling Approach To Forecasting
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (4)
15. Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (7)
    Also in MPRA Paper, University Library of Munich, Germany (2018) View citations (10)
    See also Journal Article Modeling and forecasting commodity market volatility with long‐term economic and financial variables, Journal of Forecasting, John Wiley & Sons, Ltd. (2020) View citations (34) (2020)
16. Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?
    QBS Working Paper Series, Queen's University Belfast, Queen's Business School
    Also in Working Papers on Finance, University of St. Gallen, School of Finance (2018) View citations (8)

Journal Articles

2024

1. Forecasting realized volatility of crude oil futures prices based on machine learning
   Journal of Forecasting, 2024, 43, (5), 1422-1446 View citations (1)
   See also Working Paper Forecasting Realized Volatility of Crude Oil Futures Prices based on Machine Learning, QBS Working Paper Series (2021) View citations (1) (2021)
2. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390
   See also Working Paper Nonstandard errors, LSE Research Online Documents on Economics (2024) (2024)

2023

3. Let’s talk about risk! Stock market effects of risk disclosure for European energy utilities
   Energy Economics, 2023, 125, (C) View citations (2)

2022

4. Can Bitcoin Investors Profit from Predictions by Crypto Experts?
   Finance Research Letters, 2022, 46, (PA) View citations (6)
5. Economic drivers of volatility and correlation in precious metal markets
   Journal of Commodity Markets, 2022, 28, (C) View citations (18)
   See also Working Paper Economic drivers of volatility and correlation in precious metal markets, Working Papers (2022) View citations (19) (2022)
6. Empirical analysis of the illiquidity premia of German real estate securities
   Financial Markets and Portfolio Management, 2022, 36, (2), 203-260 View citations (1)
7. Forecasting realized volatility of agricultural commodities
   International Journal of Forecasting, 2022, 38, (1), 74-96 View citations (19)
   See also Working Paper Forecasting Realized Volatility of Agricultural Commodities, MPRA Paper (2019) View citations (3) (2019)
8. Green and Sustainable Finance in the Asia-Pacific Markets: An Introduction to the Special Issue
   Asia-Pacific Financial Markets, 2022, 29, (1), 1-3 View citations (7)
9. Stranded Asset Risk and Political Uncertainty: The Impact of the Coal Phase-Out on the German Coal Industry
   The Energy Journal, 2022, 43, (5), 27-50 View citations (1)
   See also Working Paper Stranded Asset Risk and Political Uncertainty: The Impact of the Coal Phase-out on the German Coal Industry, Working Papers (2020) View citations (3) (2020)

2021

10. ENVIRONMENTAL HAZARDS AND RISK MANAGEMENT IN THE FINANCIAL SECTOR: A SYSTEMATIC LITERATURE REVIEW
    Journal of Economic Surveys, 2021, 35, (2), 512-538 View citations (17)
    See also Working Paper Environmental Hazards and Risk Management in the Financial Sector: A Systematic Literature Review, Working Papers on Finance (2019) View citations (3) (2019)

2020

11. Modeling and forecasting commodity market volatility with long‐term economic and financial variables
    Journal of Forecasting, 2020, 39, (2), 126-142 View citations (34)
    See also Working Paper Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables, Working Papers on Finance (2018) View citations (7) (2018)
12. Reviewing the oil price–GDP growth relationship: A replication study
    Energy Economics, 2020, 88, (C) View citations (3)
    See also Working Paper Reviewing the Oil Price - GDP Growth Relationship: A Replication Study, QBS Working Paper Series (2020) (2020)

2019

13. Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting
    Journal of International Financial Markets, Institutions and Money, 2019, 63, (C) View citations (84)
    See also Working Paper Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting, QBS Working Paper Series (2018) (2018)

2018

14. Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance
    International Review of Financial Analysis, 2018, 59, (C), 105-116 View citations (271)
    See also Working Paper Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance, QBS Working Paper Series (2018) View citations (44) (2018)
15. Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH
    JRFM, 2018, 11, (2), 1-20 View citations (1)

2017

16. Expected shortfall in the presence of asymmetry and long memory
    Pacific Accounting Review, 2017, 29, (2), 132-151
17. Fast fractional differencing in modeling long memory of conditional variance for high-frequency data
    Finance Research Letters, 2017, 22, (C), 274-279 View citations (14)
18. True or spurious long memory in European non-EMU currencies
    Research in International Business and Finance, 2017, 40, (C), 217-230 View citations (11)

2016

19. Oil price volatility forecast with mixture memory GARCH
    Energy Economics, 2016, 58, (C), 46-58 View citations (59)

2015

20. Contingent convertible bonds and their impact on risk-taking of managers
    Cuadernos de Economía - Spanish Journal of Economics and Finance, 2015, 38, (106), 54-64 View citations (4)

Edited books

2022

1. Modern Finance and Risk Management:Festschrift in Honour of Hermann Locarek-Junge
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd.

Chapters

2022

1. Dynamic Correlation of Precious Metals and Equity Markets: A Mixed Data Sampling Approach
   Chapter 20 in Modern Finance and Risk Management Festschrift in Honour of Hermann Locarek-Junge, 2022, pp 437-452 View citations (1)