Details about Thomas Walther

Access statistics for papers by Thomas Walther.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pwa817

Working Papers

2022

1. Economic drivers of volatility and correlation in precious metal markets
   Working Papers, HAL View citations (7)
2. Relative Investor Sentiment Measurement
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2021

3. Non-Standard Errors
   Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz View citations (1)
   Also in Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (1)

2020

4. Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach
   Working Papers, Department of Research, Ipag Business School
   Also in MPRA Paper, University Library of Munich, Germany (2020)
5. 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 (2)
   Also in MPRA Paper, University Library of Munich, Germany (2019)

2019

6. 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 in Journal of Economic Surveys (2021)
7. Forecasting Realized Volatility of Agricultural Commodities
   MPRA Paper, University Library of Munich, Germany View citations (3)
   See also Journal Article in International Journal of Forecasting (2022)

2018

8. Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance
   Working Papers on Finance, University of St. Gallen, School of Finance View citations (266)
   Also in IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018) View citations (275)
   See also Journal Article in International Review of Financial Analysis (2018)
9. 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)
10. 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 (6)
    Also in MPRA Paper, University Library of Munich, Germany (2018) View citations (9)
    See also Journal Article in Journal of Forecasting (2020)
11. Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (8)

Journal Articles

2022

1. Can Bitcoin Investors Profit from Predictions by Crypto Experts?
   Finance Research Letters, 2022, 46, (PA) View citations (4)
2. Empirical analysis of the illiquidity premia of German real estate securities
   Financial Markets and Portfolio Management, 2022, 36, (2), 203-260
3. Forecasting realized volatility of agricultural commodities
   International Journal of Forecasting, 2022, 38, (1), 74-96 View citations (7)
   See also Working Paper (2019)
4. 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 (3)

2021

5. ENVIRONMENTAL HAZARDS AND RISK MANAGEMENT IN THE FINANCIAL SECTOR: A SYSTEMATIC LITERATURE REVIEW
   Journal of Economic Surveys, 2021, 35, (2), 512-538 View citations (8)
   See also Working Paper (2019)

2020

6. Modeling and forecasting commodity market volatility with long‐term economic and financial variables
   Journal of Forecasting, 2020, 39, (2), 126-142 View citations (27)
   See also Working Paper (2018)
7. Reviewing the oil price–GDP growth relationship: A replication study
   Energy Economics, 2020, 88, (C) View citations (3)

2019

8. 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 (64)

2018

9. 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 (261)
   See also Working Paper (2018)
10. Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH
    JRFM, 2018, 11, (2), 1-20 View citations (1)

2017

11. 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)
12. 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

13. Oil price volatility forecast with mixture memory GARCH
    Energy Economics, 2016, 58, (C), 46-58 View citations (50)

2015

14. 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 (3)

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)