Publications
2024
Scholarly publications
Luo, J., Klein, T., Ji, Q., & Walther, T. (Accepted/In press). Forecasting Realized Volatility of Crude Oil Futures Prices based on Machine Learning. Journal of Forecasting. https://doi.org/10.1002/for.3077
2023
Scholarly publications
Bouri, E., Dudda, T., Rognone, L., & Walther, T. (2023). Climate Risk and the Nexus of Clean Energy and Technology Stocks. Annals of Operations Research. Advance online publication. https://doi.org/10.1007/s10479-023-05487-z
Düsterhöft, M., Schiemann, F., & Walther, T. (2023). Let's Talk About Risk! Stock Market Effects of Risk Disclosure for European Energy Utilities. Energy Economics, 125, 1-18. Article 106794. https://doi.org/10.1016/j.eneco.2023.106794
Menkveld, A. J., Abudy, M., Grammig, J., Gregoire, V., Hagströmer, B., Hambuckers, J., Hapnes, E., Harris, J. H., Harris, L., Hartmann, S., Hasse, J.-B., Hautsch, N., Adrian, T., He, X.-Z. T., Heath, D., Hediger, S., Hendershott, T. J., Hibbert, A. M., Hjalmarsson, E., ... Van Dijk, M. A. (Accepted/In press). Non-Standard Errors. Journal of Finance, 1-56.
2022
Scholarly publications
Klein, T., & Walther, T. (2022). Dynamic Correlation of Precious Metals and Equity Markets: A Mixed Data Sampling Approach. In T. Klein, S. Loßagk, M. Straßberger, & T. Walther (Eds.), Modern Finance and Risk Management: Feschrift in Honour of Hermann Locarek-Junge (pp. 437-452). World Scientific Publishing Co. Pte Ltd. https://doi.org/10.1142/9781800611917_0020
Klein, T., Loßagk, S., Straßberger, M., & Walther, T. (2022). Introduction. In T. Klein, S. Loßagk, M. Straßberger, & T. Walther (Eds.), Modern Finance and Risk Management: Feschrift in Honour of Hermann Locarek-Junge (pp. 1). World Scientific Publishing Co. Pte Ltd. https://doi.org/10.1142/9781800611917_0001
Gao, X., Koedijk, K., Walther, T., & Wang, Z. (2022). Relative Investor Sentiment Measurement. (pp. 3-25). (U.S.E. Discussion paper series; Vol. 22, No. 05). U.S.E. Research Institute. https://doi.org/10.2139/ssrn.4122594
https://dspace.library.uu.nl/bitstream/handle/1874/429796/LEG_USE_WP_22_05.pdf?sequence=1
https://dspace.library.uu.nl/bitstream/handle/1874/429796/LEG_USE_WP_22_05.pdf?sequence=1
Dudda, T., Klein, T., Nguyen, D. K., & Walther, T. (2022). Common Drivers of Commodity Futures? (pp. 2-61). (U.S.E. Discussion paper series; Vol. 22, No. 07). U.S.E. Research Institute. https://doi.org/10.2139/ssrn.4231994
https://dspace.library.uu.nl/bitstream/handle/1874/429543/LEG_USE_WP_22_07.pdf?sequence=1
https://dspace.library.uu.nl/bitstream/handle/1874/429543/LEG_USE_WP_22_07.pdf?sequence=1
Klein, T., Loßagk, S., Straßberger, M., & Walther, T. (Eds.) (2022). Modern Finance and Risk Management: Festschrift in Honour of Hermann Locarek-Junge. World Scientific Publishing Co. Pte Ltd. https://doi.org/10.1142/q0351
Walther, T. (2022). Green and Sustainable Finance in the Asia-Pacific Markets: An Introduction to the Special Issue. Asia-Pacific Financial Markets, 29(1), 1. https://doi.org/10.1007/s10690-022-09362-y
Dinh, T., Goutte, S., Nguyen, D. K., & Walther, T. (2022). Economic drivers of volatility and correlation in precious metal markets. Journal of Commodity Markets, 28, 1-20. Article 100242. https://doi.org/10.1016/j.jcomm.2021.100242
Breitenstein, M., Anke, C.-P., Nguyen, D. K., & Walther, T. (2022). Stranded Asset Risk and Political Uncertainty: The Impact of the Coal Phase-out on the German Coal Industry. Energy Journal, 43(5), 27-50. https://doi.org/10.5547/01956574.43.5.mbre
https://dspace.library.uu.nl/bitstream/handle/1874/423298/init2.pdf?sequence=1
https://dspace.library.uu.nl/bitstream/handle/1874/423298/init2.pdf?sequence=1
Gerritsen, D., Lugtigheid, R., & Walther, T. (2022). Can Bitcoin Investors Profit from Predictions by Crypto Experts? Finance Research Letters, 46(Part A), 1-7. Article 102266. https://doi.org/10.1016/j.frl.2021.102266
Paul, T., Walther, T., & Küster-Simic, A. (2022). Empirical Analysis of the Illiquidity Premia of German Real Estate Securities. Financial Markets and Portfolio Management, 36(2), 203–260. https://doi.org/10.1007/s11408-021-00398-0
Degiannakis, S., Filis, G., Klein, T., & Walther, T. (2022). Forecasting Realized Volatility of Agricultural Commodities. International Journal of Forecasting, 38(1), 74-96. https://doi.org/10.1016/j.ijforecast.2019.08.011
Professional publications
Walther, T. (2022). Deutsche Immobilien-Finanzinstrumente: Renditen und Illiquiditätsprämien. Absolut report, (2002/6), 46.
2021
Scholarly publications
Menkveld, A. J., Abudy, M., Grammig, J., Gregoire, V., Hagströmer, B., Hambuckers, J., Hapnes, E., Harris, J. H., Harris, L., Hartmann, S., Hasse, J.-B., Hautsch, N., Adrian, T., He, X.-Z. T., Heath, D., Hediger, S., Hendershott, T. J., Hibbert, A. M., Hjalmarsson, E., ... Van Dijk, M. A. (2021). Non-Standard Errors. (pp. 1-56). (University of St.Gallen, School of Finance Research Paper; No. 2021/17). SSRN. https://doi.org/10.2139/ssrn.3961574
Dinh, T., Goutte, S., Nguyen, D. K., & Walther, T. (2021). Economic Drivers of Volatility and Correlation in Precious Metal Markets. (pp. 1-36). SSRN. https://doi.org/10.2139/ssrn.3894491
Paul, T., Aryoubi, A., & Walther, T. (2021). The Time-varying Relationship between Liquidity and Stock Returns: Evidence from Germany. (pp. 1-67). (SSRN Electronic Journal). SSRN. https://doi.org/10.2139/ssrn.3829227
Dudda, T., Klein, T., & Walther, T. (2021). Schätzung und Vorhersage "Realisierter Volatilität". WiSt-Wirtschaftswissenschaftliches Studium, 50(4), 19-25. https://doi.org/10.15358/0340-1650-2021-4-19
Breitenstein, M., Nguyen, D. K., & Walther, T. (2021). Environmental Hazards and Risk Management in the Financial Sector: A Systematic Literature Review. Journal of Economic Surveys, 35(2), 512-538. https://doi.org/10.1111/joes.12411
2020
Scholarly publications
Nguyen, D. K., Topaloglou, N., & Walther, T. (2020). Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach. SSRN. https://doi.org/10.2139/ssrn.3721907
Luo, J., Ji, Q., Klein, T., & Walther, T. (2020). Forecasting Realized Volatility of Crude Oil Futures Prices based on Variable Selection Approaches. SSRN working paper. https://doi.org/10.2139/ssrn.3701000
Düsterhöft, M., Schiemann, F., & Walther, T. (2020). Let's Talk About Risk! The Firm Value Effect of Risk Disclosure for European Energy Utilities. (pp. 1-41). SSRN. https://doi.org/10.2139/ssrn.3692372
Paul, T., Walther, T., & Küster-Simic, A. (2020). Empirical Analysis of the Illiquidity Premia of German Real Estate Securities. (pp. 1-92). SSRN. https://doi.org/10.2139/ssrn.3688991
Gerritsen, D. F., Lugtigheid, R., & Walther, T. (2020). Can Bitcoin Investors Profit from Buy, Hold, and Sell Recommendations by Crypto Analysts? SSRN working paper. https://doi.org/10.2139/ssrn.3688943
Breitenstein, M., Anke, C.-P., Nguyen, D. K., & Walther, T. (2020). Stranded Asset Risk and Political Uncertainty: The Impact of the Coal Phase-out on the German Coal Industry. (U.S.E. Working Paper Series; Vol. 20, No. 02). USE Research Institute. https://doi.org/10.2139/ssrn.3604984
Charfeddine, L., Klein, T., & Walther, T. (2020). Reviewing the Oil Price–GDP Growth Relationship: A Replication Study. Energy Economics, 88, Article 104786. https://doi.org/10.1016/j.eneco.2020.104786
Nguyen, D. K., & Walther, T. (2020). Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables. Journal of Forecasting, 39(2), 126-142. https://doi.org/10.1002/for.2617
2019
Scholarly publications
Locarek-Junge, H., Sumpf, A., & Walther, T. (2019). Anwendung der Copula-Formel in der Finanzwirtschaft: Höllenformel oder nützliches Abhängigkeitsmaß? WiSt-Wirtschaftswissenschaftliches Studium, 48(2-3), 12-19. https://doi.org/10.15358/0340-1650-2019-2-3-12
Charfeddine, L., Klein, T., & Walther, T. (2019). Reviewing the Oil Price - GDP Growth Relationship: A Replication Study. (Queen's Management School Research Paper Series; Vol. 2019, No. 09). Queen's Management School. https://doi.org/10.2139/ssrn.3432407
Breitenstein, M., Nguyen, D. K., & Walther, T. (2019). Environmental Hazards and Risk Management in the Financial Sector: A Systematic Literature Review. ( University of St.Gallen School of Finance Research Paper Series; Vol. 2019, No. 10). University of St.Gallen School of Finance . https://doi.org/10.2139/ssrn.3428953
Walther, T., Klein, T., & Bouri, E. (2019). Exogenous Drivers of Bitcoin and Cryptocurrency Volatility: A Mixed Data Sampling Approach to Forecasting. Journal of International Financial Markets, Institutions and Money, 63, 101-133. https://doi.org/10.1016/j.intfin.2019.101133
Professional publications
Breitenstein, M., Nguyen, D. K., & Walther, T. (2019, Oct 2). Climate Change and Banks' Risk Management: Can It Affect Investment Decisions? Finance Publishing. https://internationalbanker.com/finance/climate-change-and-banks-risk-management-can-it-affect-investment-decisions/
2018
Scholarly publications
Charfeddine, L., Klein, T., & Walther, T. (2018). Oil Price Changes and U.S. Real GDP Growth: Is this Time Different? (University of St.Gallen School of Finance Research Paper Series; Vol. 2018, No. 18). University of St.Gallen School of Finance . https://doi.org/10.2139/ssrn.3222572
Bui Quang, P., Klein, T., Nguyen, N. H., & Walther, T. (2018). Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH. Journal of Risk and Financial Management, 11(2). https://doi.org/10.3390/jrfm11020018
Klein, T., Pham Thu, H., & Walther, T. (2018). Bitcoin is not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance. International Review of Financial Analysis, 59, 105-116. https://doi.org/10.1016/j.irfa.2018.07.010
2017
Scholarly publications
Locarek-Junge, H., & Walther, T. (2017). Markov-Regime-Switching-Modelle in der Finanzwirtschaft. WiSt-Wirtschaftswissenschaftliches Studium, 46(1), 4-9. https://doi.org/10.15358/0340-1650-2017-01-4
Walther, T. (2017). Essays on Financial Econometrics: With Applications to Commodity, Equity, and Foreign Exchange Markets. [Doctoral thesis 3 (Research UU / Graduation NOT UU), Technische Universität Dresden]. https://doi.org/10.13140/RG.2.2.27680.48641
Schuster, M., & Walther, T. (2017). Valuation of Combined Wind Power Plant and Hydrogen Storage: A Decision Tree Approach. In 2017 14th International Conference on the European Energy Market (EEM) IEEE. https://doi.org/10.1109/EEM.2017.7981912
Walther, T. (2017). Expected Shortfall in the Presence of Asymmetry and Long Memory: An Application to Vietnamese Stock Markets. Pacific Accounting Review, 29(2), 132-151. https://doi.org/10.1108/PAR-06-2016-0063
Klein, T., & Walther, T. (2017). Fast Fractional Differencing in Modeling Long Memory of Conditional Variance for High-Frequency Data. Finance Research Letters, 22, 274-279. https://doi.org/10.1016/j.frl.2016.12.020
Walther, T., Klein, T., Pham Thu, H., & Piontek, K. (2017). True or Spurious Long Memory in European Non-EMU Currencies. Research in International Business and Finance, 40, 217-230. https://doi.org/10.1016/j.ribaf.2017.01.003
2016
Scholarly publications
Klein, T., Pham Thu, H., & Walther, T. (2016). Evidence of long memory and asymmetry in the EUR/PLN exchange rate volatility. Research Papers of Wrocław University of Economics, 428, 128-140. https://doi.org/10.15611/pn.2016.428.11
Klein, T., & Walther, T. (2016). Oil Price Volatility Forecast with Mixture Memory GARCH. Energy Economics, 58, 46-58. https://doi.org/10.1016/j.eneco.2016.06.004
Lauenstein, P., & Walther, T. (2016). Forecasting Volatility of Tanker Freight Rates Based on Asymmetric Regime-Switching GARCH Models. International Journal of Financial Engineering and Risk Management, 2(3). https://doi.org/10.1504/IJFERM.2016.082978
2015
Scholarly publications
Walther, T., & Klein, T. (2015). Contingent Convertible Bonds and their Impact on Risk-Taking of Managers. Cuadernos de Economía, 38(106), 54-64. https://doi.org/10.1016/j.cesjef.2014.09.001
2014
Scholarly publications
Locarek-Junge, H., Klein, T., & Walther, T. (2014). GARCH-Modelle. WISU - Das Wirtschaftsstudium, 43(11), 1348-1354.