Tony Klein

Queen's University Belfast - Queen's Management School

Riddel Hall

185 Stranmillis Road

Belfast, BT9 5EE

United Kingdom

http://www.tony-klein.info

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 25,343

SSRN RANKINGS

Top 25,343

in Total Papers Downloads

2,297

SSRN CITATIONS
Rank 18,715

SSRN RANKINGS

Top 18,715

in Total Papers Citations

51

CROSSREF CITATIONS

4

Scholarly Papers (15)

1.

Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance

International Review of Financial Analysis, Vol. 59, pp. 105-116, University of St.Gallen, School of Finance Research Paper No. 2018/14, QMS Research Paper 2018/01
Number of pages: 29 Posted: 22 Mar 2018 Last Revised: 24 Nov 2020
Tony Klein, Pham Thu Hien and Thomas Walther
Queen's University Belfast - Queen's Management School, Humboldt University of Berlin and Utrecht University - School of Economics
Downloads 1,103 (23,047)
Citation 40

Abstract:

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BEKK, Bitcoin, CRIX, Cryptocurrency, Gold, GARCH, Conditional Correlation, Asymmetry, Long Memory

2.

Oil Price Volatility Forecast with Mixture Memory GARCH

Energy Economics, Vol. 58, 2016
Number of pages: 33 Posted: 29 Mar 2015 Last Revised: 27 Mar 2018
Tony Klein and Thomas Walther
Queen's University Belfast - Queen's Management School and Utrecht University - School of Economics
Downloads 235 (155,291)
Citation 2

Abstract:

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FIGARCH, GARCH, long memory, mixture memory, oil price volatility, Value-at-Risk, volatility regimes

3.

Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting

University of St.Gallen, School of Finance Research Paper No. 2018/19, QMS Research Paper 2018/02, Journal of International Financial Markets, Institutions and Money, 2019
Number of pages: 26 Posted: 27 Jun 2018 Last Revised: 24 Nov 2020
Thomas Walther, Tony Klein and Elie Bouri
Utrecht University - School of Economics, Queen's University Belfast - Queen's Management School and Université Saint Esprit de Kaslik (USEK)
Downloads 229 (159,194)
Citation 4

Abstract:

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Bitcoin, Cryptocurrencies, GARCH, Mixed Data Sampling, Volatility

4.

Forecasting Realized Volatility of Crude Oil Futures Prices based on Machine Learning

QMS Research Paper 2021/04
Number of pages: 40 Posted: 05 Nov 2020 Last Revised: 17 Mar 2021
South China University of Technology, Chinese Academy of Sciences (CAS) - Institute of Policy and Management, Queen's University Belfast - Queen's Management School and Utrecht University - School of Economics
Downloads 159 (220,956)

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Forecasting, Crude oil, Realized volatility, Exogenous predictors, Machine learning

5.

Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?

University of St.Gallen, School of Finance Research Paper No. 2018/18, QMS Research Paper 2018/03
Number of pages: 53 Posted: 06 Aug 2018 Last Revised: 13 Jun 2019
Qatar University - College of Business and Economics, Queen's University Belfast - Queen's Management School and Utrecht University - School of Economics
Downloads 132 (256,877)
Citation 3

Abstract:

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Oil prices, GDP growth, Asymmetry, Nonlinearity, Markov switching models, Mixed Data Sampling

Floating Rate Notes and Stakeholder Activities During Zero and Negative Interest Rate Regimes

University of Hong Kong Faculty of Law Research Paper No. 2019/024, QMS Research Paper 2019/03
Number of pages: 27 Posted: 16 Feb 2019 Last Revised: 25 Sep 2019
Juergen Klaus, Eriks Selga and Tony Klein
Technische Universität Dresden Faculty of Business and Economics, The University of Hong Kong, Faculty of Law, Students and Queen's University Belfast - Queen's Management School
Downloads 56 (440,260)

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Sovereign Bond Markets, Floating Rate Notes, Negative Interest Rates, Legal Uncertainties

Shaking the Capital Markets Tree: Euro Area Capital Market Sensitivity to Stakeholder Activities During the Negative Interest Rate Regime

European Banking Institute Working Paper Series 2019 – no. 39
Number of pages: 42 Posted: 01 Apr 2019
Juergen Klaus, Eriks Selga and Tony Klein
Technische Universität Dresden Faculty of Business and Economics, The University of Hong Kong, Faculty of Law, Students and Queen's University Belfast - Queen's Management School
Downloads 41 (504,012)

Abstract:

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Sovereign Bond Markets, Floating Rate Notes, Negative Interest Rates, Legal Uncertainties

7.

Fast Fractional Differencing in Modeling Long Memory of Conditional Variance for High-Frequency Data

Finance Research Letters, Vol. 22C, 2017
Number of pages: 12 Posted: 26 Mar 2016 Last Revised: 27 Mar 2018
Tony Klein and Thomas Walther
Queen's University Belfast - Queen's Management School and Utrecht University - School of Economics
Downloads 77 (367,465)
Citation 3

Abstract:

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Computation Time, Fast Fractional Differencing, Fourier Transforms, Long Memory Conditional Variance, High-Frequency Data

8.

Night Trading with Futures in China: The Case of Aluminum and Copper

QMS Research Paper 2019/06
Number of pages: 30 Posted: 07 Oct 2018 Last Revised: 14 Jun 2019
Tony Klein and Neda Todorova
Queen's University Belfast - Queen's Management School and Griffith University
Downloads 74 (375,834)
Citation 2

Abstract:

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SHFE, Futures Markets, Aluminum, Copper, High-Frequency Data, Night Trading

9.

Forecasting Realized Volatility of Agricultural Commodity Futures with Infinite Hidden Markov HAR Models

International Journal of Forecasting, Forthcoming, QMS Research Paper 2019/10
Number of pages: 42 Posted: 10 Aug 2019 Last Revised: 27 Oct 2019
Jiawen Luo, Tony Klein, Qiang Ji and Chenghan Hou
South China University of Technology, Queen's University Belfast - Queen's Management School, Chinese Academy of Sciences (CAS) - Institute of Policy and Management and Hunan University - Center for Economics, Finance and Management Studies
Downloads 55 (437,174)

Abstract:

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Agriculture commodity futures, Realized volatility forecasts, Infinite Hidden Markov switching process, HAR models

10.

Forecasting Realized Volatility of Agricultural Commodities

Degiannakis, Stavros; Filis, George; Klein, Tony; Walther, Thomas (2020): Forecasting Realized Volatility of Agricultural Commodities in: International Journal of Forecasting, Forthcoming. DOI: 10.1016/j.ijforecast.2019.08.011
Number of pages: 48 Posted: 07 Sep 2019 Last Revised: 20 Apr 2020
Department of Economic and Regional Development, Panteion University of Political and Social Sciences, Bournemouth University, Queen's University Belfast - Queen's Management School and Utrecht University - School of Economics
Downloads 48 (463,754)
Citation 1

Abstract:

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Agricultural Commodities, Realized Volatility, Median Realized Volatility, Heterogeneous Autoregressive model, Forecasting

11.

Trends and Contagion in WTI and Brent Crude Oil Spot and Futures Markets - The Role of OPEC in the last Decade

Energy Economics, 75 (2018), pp. 636–646, QMS Research Paper 2018/05
Number of pages: 29 Posted: 13 Oct 2018 Last Revised: 12 Aug 2019
Tony Klein
Queen's University Belfast - Queen's Management School
Downloads 36 (516,883)
Citation 2

Abstract:

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Correlation, l1-trends, Leading Effects, OPEC, Volatility Spillover

12.

Reviewing the Oil Price - GDP Growth Relationship: A Replication Study

QMS Research Paper 2019/09
Number of pages: 28 Posted: 11 Aug 2019 Last Revised: 23 Apr 2020
Qatar University - College of Business and Economics, Queen's University Belfast - Queen's Management School and Utrecht University - School of Economics
Downloads 31 (542,617)
Citation 1

Abstract:

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Oil prices, GDP growth, Asymmetry, Nonlinearity

13.

The Impact of Oil Price Uncertainty on GCC Stock Markets

Resources Policy, Forthcoming
Number of pages: 24 Posted: 05 Nov 2019
Abdullah Alqahtani, Tony Klein and Ali Khalid
University of Washington, Queen's University Belfast - Queen's Management School and affiliation not provided to SSRN
Downloads 18 (624,122)
Citation 2

Abstract:

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Time-varying copulas, Dynamic conditional correlations, Crude oil, Stock index, Uncertainty

14.

Contingent Convertible Bonds and its Impact on Risk-Taking of Managers

Cuadernos de Economía (2015) 38, pp. 54-64
Number of pages: 23 Posted: 06 Jan 2019
Thomas Walther and Tony Klein
Utrecht University - School of Economics and Queen's University Belfast - Queen's Management School
Downloads 3 (735,266)

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Contingent Convertible Bonds; executive compensation; incentives; inside debt; risk-taking

15.

Conditional Variance Dynamics of Gold and Other Precious Metals - Forecast Comparison with Intra-Day Data

Posted: 28 Jul 2016 Last Revised: 11 Jan 2017
Tony Klein
Queen's University Belfast - Queen's Management School

Abstract:

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Precious Metals, Long Memory, Asymmetry, Conditional Variance, Intra-Day Data