Thomas Walther : Citation Profile


Are you Thomas Walther?

Universität St. Gallen

3

H index

1

i10 index

28

Citations

RESEARCH PRODUCTION:

6

Articles

5

Papers

RESEARCH ACTIVITY:

   3 years (2015 - 2018). See details.
   Cites by year: 9
   Journals where Thomas Walther has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 6 (17.65 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwa817
   Updated: 2019-08-17    RAS profile: 2019-08-08    
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Relations with other researchers


Works with:

Nguyen, Duc Khuong (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Thomas Walther.

Is cited by:

Atukeren, Erdal (2)

GUPTA, RANGAN (2)

Çevik, Emrah (2)

Bouri, Elie (2)

Tiwari, Aviral (1)

Charfeddine, Lanouar (1)

Zhou, Siwen (1)

Matkovskyy, Roman (1)

Cillo, Alessandra (1)

Perote, Javier (1)

masciandaro, donato (1)

Cites to:

Bollerslev, Tim (25)

Engle, Robert (19)

Kilian, Lutz (19)

Nguyen, Duc Khuong (12)

Hammoudeh, Shawkat (12)

Chkili, Walid (9)

Baillie, Richard (9)

Hamilton, James (8)

Valkanov, Rossen (6)

Conrad, Christian (6)

lucey, brian (6)

Main data


Where Thomas Walther has published?


Working Papers Series with more than one paper published# docs
Working Papers on Finance / University of St. Gallen, School of Finance4

Recent works citing Thomas Walther (2018 and 2017)


YearTitle of citing document
2018Cryptocurrencies, central bank digital cash, traditional money: does privacy matter?. (2018). Cillo, Alessandra ; Rabitti, Giovanno ; Masciandaro, Donato ; Caselli, Stefano ; Borgonovo, Emanuele. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1895.

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2018Central Bank Digital Cash and Cryptocurrencies: Insights from a New Baumol–Friedman Demand for Money. (2018). masciandaro, donato. In: Australian Economic Review. RePEc:bla:ausecr:v:51:y:2018:i:4:p:540-550.

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2018Efficiency or speculation? A dynamic analysis of the Bitcoin market. (2018). Tiwari, Aviral ; Selmi, Refk ; Hammoudeh, Shawkat. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00395.

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2018Stationarity and functional central limit theorem for ARCH(∞) models. (2018). Lee, Oesook . In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:107-111.

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2018Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions. (2018). Hasanov, Akram Shavkatovich ; Heng, Zin Yau ; Al-Freedi, Ajab ; Poon, Wai Ching. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:307-333.

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2018The prediction of oil price turning points with log-periodic power law and multi-population genetic algorithm. (2018). Cheng, Fangzheng ; Li, Shanling ; Fan, Dandan. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:341-355.

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2018The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386.

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2018Trends and contagion in WTI and Brent crude oil spot and futures markets - The role of OPEC in the last decade. (2018). Klein, Tony. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:636-646.

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2019Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin?. (2019). GUPTA, RANGAN ; Bouri, Elie ; Roubaud, David ; Fang, Libing. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:29-36.

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2019Cryptocurrencies as a financial asset: A systematic analysis. (2019). Yarovaya, Larisa ; Urquhart, Andrew ; Lucey, Brian ; Corbet, Shaen. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:182-199.

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2019The drivers of Bitcoin demand: A short and long-run analysis. (2019). Perote, Javier ; de la Fuente, Gabriel ; de la Horra, Luis P. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:21-34.

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2017Dynamic correlation of precious metals and flight-to-quality in developed markets. (2017). Klein, Tony. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:283-290.

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2019Oil price increases and the predictability of equity premium. (2019). Wu, Chongfeng ; Liu, LI ; Pan, Zhiyuan ; Wang, Yudong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:102:y:2019:i:c:p:43-58.

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2019Centralized and decentralized bitcoin markets: Euro vs USD vs GBP. (2019). Matkovskyy, Roman. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:270-279.

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2019Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?. (2019). He, Ling-Yun ; Ripple, Ronald ; Yao, Ting ; Zhang, Yue-Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:302-317.

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2019The forward premium anomaly in the energy futures markets: A time-varying approach. (2019). Charfeddine, Lanouar ; Mrabet, Zouhair ; ben Khediri, Karim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:600-615.

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2018Oil Prices and Global Stock Markets: A Time-Varying Causality-In-Mean and Causality-in-Variance Analysis. (2018). Çevik, Emrah ; Atukeren, Erdal ; Korkmaz, Turhan. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:10:p:2848-:d:177242.

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2018Determining Time-Varying Drivers of Spot Oil Price in a Dynamic Model Averaging Framework. (2018). Drachal, Krzysztof. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:5:p:1207-:d:145404.

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2019Oil Factor in Economic Development. (2019). Hajiyev, Natig Qadim-Oglu ; Humbatova, Sugra Ingilab. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:8:p:1573-:d:225910.

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2018The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review. (2018). Zavadska, Miroslava ; Coughlan, Joseph ; Morales, Lucia. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:4:p:89-:d:179491.

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2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review. (2019). Sathye, Milind ; Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:48-:d:216804.

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2018Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model. (2018). Jiang, Yong ; Ren, Yi-Shuai ; Yang, Xiao-Guang ; Ma, Chao-Qun. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:12:p:4705-:d:189489.

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2018Option pricing under fast-varying and rough stochastic volatility. (2018). Garnier, Josselin ; Solna, Knut. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:4:d:10.1007_s10436-018-0325-4.

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2018Exploring the Driving Forces of the Bitcoin Exchange Rate Dynamics: An EGARCH Approach. (2018). Zhou, Siwen. In: MPRA Paper. RePEc:pra:mprapa:89445.

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2019Risk Aversion and Bitcoin Returns in Normal, Bull, and Bear Markets. (2019). GUPTA, RANGAN ; Bouri, Elie ; Roubaud, David ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201927.

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Works by Thomas Walther:


YearTitleTypeCited
2015Contingent convertible bonds and their impact on risk-taking of managers In: Cuadernos de Economía - Spanish Journal of Economics and Finance.
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2016Oil price volatility forecast with mixture memory GARCH In: Energy Economics.
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article11
2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance In: International Review of Financial Analysis.
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article9
2018Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance.(2018) In: Working Papers on Finance.
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2017Fast fractional differencing in modeling long memory of conditional variance for high-frequency data In: Finance Research Letters.
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article1
2017True or spurious long memory in European non-EMU currencies In: Research in International Business and Finance.
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article2
2018Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH In: Journal of Risk and Financial Management.
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article0
2018Modeling and forecasting commodity market volatility with long-term economic and financial variables In: MPRA Paper.
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paper2
2018Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables.(2018) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 2
paper
2018Exogenous Drivers of Cryptocurrency Volatility - A Mixed Data Sampling Approach To Forecasting In: Working Papers on Finance.
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paper0
2018Oil Price Changes and U.S. Real GDP Growth: Is this Time Different? In: Working Papers on Finance.
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paper3

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