Thomas Walther

Utrecht University - School of Economics

Kriekenpitplein 21-22

Adam Smith Building

Utrecht, +31 30 253 7373 3584 EC

Netherlands

http://www.thomas-walther.info

SCHOLARLY PAPERS

19

DOWNLOADS
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Top 20,429

in Total Papers Downloads

2,886

SSRN CITATIONS
Rank 17,788

SSRN RANKINGS

Top 17,788

in Total Papers Citations

53

CROSSREF CITATIONS

6

Ideas:
“  My research focuses on energy and commodity finance  ”

Scholarly Papers (19)

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 1,101 (23,086)
Citation 40

Abstract:

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

2.

Environmental Hazards and Risk Management in the Financial Sector: A Systematic Literature Review

Journal of Economic Surveys, forthcoming, University of St.Gallen, School of Finance Research Paper No. 2019/10
Number of pages: 46 Posted: 31 Jul 2019 Last Revised: 31 Dec 2020
Dresden University of Technology - Chair of Finance and Financial Services, IPAG Business School and Utrecht University - School of Economics
Downloads 332 (108,512)
Citation 2

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Environment, Climate, Risk Management, Banking, Financial Institutions

3.

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 (155,155)
Citation 2

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

4.

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 (159,061)
Citation 4

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Bitcoin, Cryptocurrencies, GARCH, Mixed Data Sampling, Volatility

5.

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
Jiawen Luo, Qiang Ji, Tony Klein and Thomas Walther
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 (221,943)

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

6.

Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables

University of St. Gallen, School of Finance Research Paper No. 2018/24, Journal of Forecasting, 39(2), pp. 126-142, DOI: 10.1002/for.2617
Number of pages: 41 Posted: 05 Dec 2018 Last Revised: 05 Feb 2020
Duc Khuong Nguyen and Thomas Walther
IPAG Business School and Utrecht University - School of Economics
Downloads 140 (245,000)
Citation 5

Abstract:

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Commodity futures, GARCH, Long-term volatility, Macroeconomic effects, Mixed data sampling

7.

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
Lanouar Charfeddine, Tony Klein and Thomas Walther
Qatar University - College of Business and Economics, Queen's University Belfast - Queen's Management School and Utrecht University - School of Economics
Downloads 132 (256,654)
Citation 3

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

8.

Let's Talk About Risk! The Firm Value Effect of Risk Disclosure for European Energy Utilities

Number of pages: 41 Posted: 25 Sep 2020
Dresden University of Technology - Faculty of Economics and Business Management, University of Hamburg and Utrecht University - School of Economics
Downloads 106 (300,795)
Citation 2

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Climate Change, Risk Reporting, Risk Disclosure, Energy Utilities, Topic Modelling

9.

Stranded Asset Risk and Political Uncertainty: The Impact of the Coal Phase-out on the German Coal Industry

Utrecht School of Economics Working Paper Series nr: 20-02
Number of pages: 62 Posted: 10 Jun 2020 Last Revised: 04 Mar 2021
Dresden University of Technology - Chair of Finance and Financial Services, Dresden University of Technology - Faculty of Economics and Business Management, IPAG Business School and Utrecht University - School of Economics
Downloads 83 (351,372)
Citation 3

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Coal Phase-out, Energy transition, Germany, Stranded Assets

10.

Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach

Number of pages: 55 Posted: 05 Nov 2020 Last Revised: 30 Dec 2020
IPAG Business School, Athens University of Economics and Business and Utrecht University - School of Economics
Downloads 81 (356,509)

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Stochastic Dominance, Stochastic Spanning, Commodities, FX, Real Estate, Diversification

11.

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 (367,168)
Citation 3

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

12.

Can Bitcoin Investors Profit from Predictions by Crypto Experts?

Number of pages: 15 Posted: 25 Sep 2020 Last Revised: 02 Feb 2021
Dirk Gerritsen, Rick A.C. Lugtigheid and Thomas Walther
Utrecht University - School of Economics, Utrecht School of Economics and Utrecht University - School of Economics
Downloads 76 (369,881)

Abstract:

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Bitcoin, Experts, Market efficiency, Predictions, Forecasts

13.

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 47 (467,493)
Citation 1

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

14.

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
Lanouar Charfeddine, Tony Klein and Thomas Walther
Qatar University - College of Business and Economics, Queen's University Belfast - Queen's Management School and Utrecht University - School of Economics
Downloads 31 (542,215)
Citation 1

Abstract:

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Oil prices, GDP growth, Asymmetry, Nonlinearity

15.

Empirical Analysis of the Illiquidity Premia of German Real Estate Securities

Number of pages: 83 Posted: 25 Sep 2020 Last Revised: 11 Apr 2021
Thomas Paul, Thomas Walther and Andre Kuester Simic
HSBA Hamburg School of Business Administration, Utrecht University - School of Economics and Hamburg School of Business Administration
Downloads 27 (564,863)

Abstract:

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Asset Pricing, Real Estate, REITs, Risk Factors, Illiquidity

16.

Forecasting Volatility of Tanker Freight Rates Based on Asymmetric Regime-Switching GARCH Models

Lauenstein, Philipp; Walther, Thomas (2016): Forecasting volatility of tanker freight rates based on asymmetric regime-switching GARCH models, in: International Journal of Financial Engineering and Risk Management, Vol. 2, Nr. 3, pp. 172-199. DOI: 10.1504/IJFERM.2016.082978.
Number of pages: 29 Posted: 30 Jun 2019
Philipp Lauenstein and Thomas Walther
Hamburg School of Business Administration and Utrecht University - School of Economics
Downloads 15 (644,601)

Abstract:

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APARCH, asymmetric volatility, EGARCH, Expected Shortfall, GARCH models, Markov regime switching, risk management, seasonal adjustment, tanker freight rates, Value-at-Risk, volatility forecasting

17.

Valuation of Combined Wind Power Plant and Hydrogen Storage: A Decision Tree Approach

Schuster, Martin; Walther, Thomas (2017): Valuation of Combined Wind Power Plant and Hydrogen Storage: A Decision Tree Approach, in: IEEE Xplore: Proceedings of the 14th International Conference on the European Energy Market (EEM), Dresden 2017, pp. 1-6. DOI: 10.1109/EEM.2017.7981912 ©2017 IEEE
Number of pages: 6 Posted: 25 Feb 2020
Martin Schuster and Thomas Walther
Dresden University of Technology - Chair of Finance and Finacial Services and Utrecht University - School of Economics
Downloads 11 (673,796)

Abstract:

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Hydrogen Storage, Wind Power Plants, Decision Tree Approach, Discounted Cash Flow Analysis

18.

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 (734,665)

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

19.

The Time-varying Relationship between Liquidity and Stock Returns: Evidence from Germany

Number of pages: 64 Posted: 19 Apr 2021
Thomas Paul, Abdullah Aryoubi and Thomas Walther
HSBA Hamburg School of Business Administration, HSBA Hamburg School of Business Administration and Utrecht University - School of Economics
Downloads 1

Abstract:

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Illiquidity, Excess Return, Structural Breaks, Financial turmoil, Asset Pricing, Portfolio Management