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Details about Thomas Walther

E-mail:
Homepage:http://www.thomas-walther.info
Workplace:Institut für Operations Research und Computational Finance (IORCF) (Institute for Operations Research and Computational Finance), School of Finance, Universität St. Gallen (University of St. Gallen), (more information at EDIRC)

Access statistics for papers by Thomas Walther.

Last updated 2019-05-09. Update your information in the RePEc Author Service.

Short-id: pwa817


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Working Papers

2018

  1. 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 Downloads View citations (6)
    See also Journal Article in International Review of Financial Analysis (2018)
  2. Exogenous Drivers of Cryptocurrency Volatility - A Mixed Data Sampling Approach To Forecasting
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads
  3. Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2018) Downloads View citations (3)
  4. Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (1)

Journal Articles

2018

  1. Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance
    International Review of Financial Analysis, 2018, 59, (C), 105-116 Downloads View citations (5)
    See also Working Paper (2018)
  2. Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH
    Journal of Risk and Financial Management, 2018, 11, (2), 1-20 Downloads

2017

  1. Fast fractional differencing in modeling long memory of conditional variance for high-frequency data
    Finance Research Letters, 2017, 22, (C), 274-279 Downloads View citations (5)
  2. True or spurious long memory in European non-EMU currencies
    Research in International Business and Finance, 2017, 40, (C), 217-230 Downloads View citations (5)

2016

  1. Oil price volatility forecast with mixture memory GARCH
    Energy Economics, 2016, 58, (C), 46-58 Downloads View citations (12)

2015

  1. 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 Downloads
 
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