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Details about Thomas Walther

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Homepage:http://www.thomas-walther.info
Workplace:School of Economics, Universiteit Utrecht (University of Utrecht), (more information at EDIRC)

Access statistics for papers by Thomas Walther.

Last updated 2021-10-25. Update your information in the RePEc Author Service.

Short-id: pwa817


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Working Papers

2020

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

2019

  1. Environmental Hazards and Risk Management in the Financial Sector: A Systematic Literature Review
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (2)
    See also Journal Article in Journal of Economic Surveys (2021)
  2. Forecasting Realized Volatility of Agricultural Commodities
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  3. Stranded Asset Risk and Political Uncertainty: The Impact of the Coal Phase-out on the German Coal Industry
    MPRA Paper, University Library of Munich, Germany Downloads

2018

  1. Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads View citations (36)
    Also in Working Papers on Finance, University of St. Gallen, School of Finance (2018) Downloads View citations (101)

    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 View citations (3)
  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 View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2018) Downloads View citations (8)

    See also Journal Article in Journal of Forecasting (2020)
  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 (4)

Journal Articles

2021

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

2020

  1. Modeling and forecasting commodity market volatility with long‐term economic and financial variables
    Journal of Forecasting, 2020, 39, (2), 126-142 Downloads View citations (13)
    See also Working Paper (2018)
  2. Reviewing the oil price–GDP growth relationship: A replication study
    Energy Economics, 2020, 88, (C) Downloads View citations (2)

2019

  1. 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) Downloads View citations (21)

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 (111)
    See also Working Paper (2018)
  2. Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH
    JRFM, 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 (10)
  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 (33)

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 View citations (2)
 
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