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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 2022-11-20. Update your information in the RePEc Author Service.

Short-id: pwa817


Jump to Journal Articles Edited books Chapters

Working Papers

2022

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

2021

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

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
  2. Stranded Asset Risk and Political Uncertainty: The Impact of the Coal Phase-out on the German Coal Industry
    Working Papers, Utrecht School of Economics Downloads View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2019) 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 (3)
    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)
    See also Journal Article in International Journal of Forecasting (2022)

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 (208)
    Also in Working Papers on Finance, University of St. Gallen, School of Finance (2018) Downloads View citations (230)

    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 (6)
    Also in MPRA Paper, University Library of Munich, Germany (2018) Downloads View citations (9)

    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 (6)

Journal Articles

2022

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

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 View citations (3)
    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 (22)
    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 (41)

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 (155)
    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 View citations (1)

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 (12)
  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 (8)

2016

  1. Oil price volatility forecast with mixture memory GARCH
    Energy Economics, 2016, 58, (C), 46-58 Downloads View citations (45)

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)

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. Downloads

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 Downloads
 
Page updated 2022-12-02