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Thomas Walther

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
    • Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
    • Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024. "Nonstandard Errors," Post-Print hal-04676112, HAL.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
    • Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Nate Breznau & Eike Mark Rinke & Alexander Wuttke & Hung H. V. Nguyen & Muna Adem & Jule Adriaans & Amalia Alvarez-Benjumea & Henrik K. Andersen & Daniel Auer & Flavio Azevedo & Oke Bahnsen & Dave Bal, 2022. "Observing many researchers using the same data and hypothesis reveals a hidden universe of uncertainty," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 119(44), pages 2203150119-, November.
    2. Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
    3. Dreber, Anna & Johannesson, Magnus, 2023. "A framework for evaluating reproducibility and replicability in economics," I4R Discussion Paper Series 38, The Institute for Replication (I4R).
    4. Fišar, Miloš & Greiner, Ben & Huber, Christoph & Katok, Elena & Ozkes, Ali & Collaboration, Management Science Reproducibility, 2023. "Reproducibility in Management Science," OSF Preprints mydzv, Center for Open Science.
    5. Christoph Huber & Christian König-Kersting & Matteo M. Marini, 2022. "Experimenting with Financial Professionals," Working Papers 2022-07, Faculty of Economics and Statistics, Universität Innsbruck, revised Jun 2024.
    6. Stephen A. Gorman & Frank J. Fabozzi, 2023. "Alternative risk premium: specification noise," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 459-473, October.
    7. Christophe Pérignon & Olivier Akmansoy & Christophe Hurlin & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johanneson & Michael Kirchler & Albert Menkveld & Michael Razen & Utz Weitzel, 2022. "Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance," Working Papers hal-03810013, HAL.

  2. Theu Dinh & Stéphane Goutte & Khuong Nguyen & Thomas Walther, 2022. "Economic drivers of volatility and correlation in precious metal markets," Working Papers halshs-03672469, HAL.

    Cited by:

    1. Gil-Alana, Luis Alberiko & Poza, Carlos, 2024. "Volatility persistence in metal prices," Resources Policy, Elsevier, vol. 88(C).
    2. Walter Hernandez Cruz & Jiahua Xu & Paolo Tasca & Carlo Campajola, 2024. "No Questions Asked: Effects of Transparency on Stablecoin Liquidity During the Collapse of Silicon Valley Bank," Papers 2407.11716, arXiv.org.
    3. Zhang, Dongna & Dai, Xingyu & Wang, Qunwei & Lau, Chi Keung Marco, 2023. "Impacts of weather conditions on the US commodity markets systemic interdependence across multi-timescales," Energy Economics, Elsevier, vol. 123(C).
    4. Lee, Hsiang-Tai, 2022. "Regime-switching angular correlation diversification," Finance Research Letters, Elsevier, vol. 50(C).
    5. Chen, Jinyu & Luo, Qian & Tu, Yan & Ren, Xiaohang & Naderi, Niki, 2023. "Renewable energy transition and metal consumption: Dynamic evolution analysis based on transnational data," Resources Policy, Elsevier, vol. 85(PB).
    6. Wei, Yu & Wang, Yizhi & Lucey, Brian M. & Vigne, Samuel A., 2023. "Cryptocurrency uncertainty and volatility forecasting of precious metal futures markets," Journal of Commodity Markets, Elsevier, vol. 29(C).
    7. Zunxin Zheng & Gaiyan Zhang & Yingzhao Ni, 2024. "Financial regulatory arbitrage and the financialization of commodities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 826-853, May.
    8. Kyriazis, Nikolaos & Papadamou, Stephanos & Tzeremes, Panayiotis & Corbet, Shaen, 2024. "Quantifying spillovers and connectedness among commodities and cryptocurrencies: Evidence from a Quantile-VAR analysis," Journal of Commodity Markets, Elsevier, vol. 33(C).
    9. Liu, Zhenhua & Zhang, Huiying & Ding, Zhihua & Lv, Tao & Wang, Xu & Wang, Deqing, 2022. "When are the effects of economic policy uncertainty on oil–stock correlations larger? Evidence from a regime-switching analysis," Economic Modelling, Elsevier, vol. 114(C).
    10. Fernandes, Leonardo H.S. & Silva, José W.L. & de Araujo, Fernando H.A. & Ferreira, Paulo & Aslam, Faheem & Tabak, Benjamin Miranda, 2022. "Interplay multifractal dynamics among metal commodities and US-EPU," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 606(C).
    11. Asadi, Mehrad & Tiwari, Aviral Kumar & Gholami, Samad & Ghasemi, Hamid Reza & Roubaud, David, 2023. "Understanding interconnections among steel, coal, iron ore, and financial assets in the US and China using an advanced methodology," International Review of Financial Analysis, Elsevier, vol. 89(C).
    12. Lee, Chien-Chiang & Lee, Hsiang-Tai, 2023. "Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model," Global Finance Journal, Elsevier, vol. 55(C).
    13. Dudda, Tom L. & Klein, Tony & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Common Drivers of Commodity Futures?," QBS Working Paper Series 2022/05, Queen's University Belfast, Queen's Business School.

  3. Charfeddine, Lanouar & Klein, Tony & Walther, Thomas, 2020. "Reviewing the Oil Price - GDP Growth Relationship: A Replication Study," QBS Working Paper Series 2019/09, Queen's University Belfast, Queen's Business School.

    Cited by:

    1. El Montasser, Ghassen & Malek Belhoula, Mohamed & Charfeddine, Lanouar, 2023. "Co-explosivity versus leading effects: Evidence from crude oil and agricultural commodities," Resources Policy, Elsevier, vol. 81(C).
    2. Charfeddine, Lanouar & Barkat, Karim, 2020. "Short- and long-run asymmetric effect of oil prices and oil and gas revenues on the real GDP and economic diversification in oil-dependent economy," Energy Economics, Elsevier, vol. 86(C).
    3. Radosław Puka & Bartosz Łamasz & Marek Michalski, 2021. "Effectiveness of Artificial Neural Networks in Hedging against WTI Crude Oil Price Risk," Energies, MDPI, vol. 14(11), pages 1-26, June.

  4. Duc Khuong Nguyen & Nikolas Topaloglou & Thomas Walther, 2020. "Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach," Working Papers 2020-009, Department of Research, Ipag Business School.

    Cited by:

    1. Nguyen, An Pham Ngoc & Mai, Tai Tan & Bezbradica, Marija & Crane, Martin, 2023. "Volatility and returns connectedness in cryptocurrency markets: Insights from graph-based methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 632(P1).

  5. Miriam Breitenstein & Duc Khuong Nguyen & Thomas Walther, 2019. "Environmental Hazards and Risk Management in the Financial Sector: A Systematic Literature Review," Working Papers on Finance 1910, University of St. Gallen, School of Finance.

    Cited by:

    1. Penikas, Henry & Vasilyeva, Ekaterina, 2024. "Redefining the degree of industry greenness using input–output tables," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1073-1090.
    2. Miriam Breitenstein & Carl-Philipp Anke & Duc Khuong Nguyen & Thomas Walther, 2022. "Stranded Asset Risk and Political Uncertainty: The Impact of the Coal Phase-Out on the German Coal Industry," The Energy Journal, , vol. 43(5), pages 27-50, September.
    3. Sitong Yang & Shouwei Li & Xue Rui & Tianxiang Zhao, 2024. "The impact of climate risk on the asset side and liability side of the insurance industry: evidence from China," Economic Change and Restructuring, Springer, vol. 57(3), pages 1-51, June.
    4. Louis Daumas, 2021. "Should we fear transition risks - A review of the applied literature," Working Papers 2021.05, FAERE - French Association of Environmental and Resource Economists.
    5. Cepni, Oguzhan & Demirer, Riza & Pham, Linh & Rognone, Lavinia, 2023. "Climate uncertainty and information transmissions across the conventional and ESG assets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
    6. Zongwei Li & Jianing Chen & Yanhui Zhang, 2023. "Can “Internet Plus” Enhance the Green Transition? The Moderating Roles of Environmental Regulation and Sewage Fee-to-Tax," Sustainability, MDPI, vol. 15(4), pages 1-20, February.
    7. Huang, Chenchen & Luo, Di & Mukherjee, Soumyatanu & Mishra, Tapas, 2022. "To Acquire or to Ally? Managing Partners’ Environmental Risk in International Expansion," MPRA Paper 121808, University Library of Munich, Germany, revised 07 Jan 2023.
    8. D'Orazio, Paola & Hertel, Tobias & Kasbrink, Fynn, 2022. "No need to worry? Estimating the exposure of the German banking sector to climate-related transition risks," Ruhr Economic Papers 946, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    9. Neil Gunningham, 2020. "A Quiet Revolution: Central Banks, Financial Regulators, and Climate Finance," Sustainability, MDPI, vol. 12(22), pages 1-22, November.
    10. Dong, Xiyong & Yoon, Seong-Min, 2023. "Effect of weather and environmental attentions on financial system risks: Evidence from Chinese high- and low-carbon assets," Energy Economics, Elsevier, vol. 121(C).
    11. Thiago Christiano Silva & Fabiano José Muniz & Benjamin Miranda Tabak, 2023. "The Impact of Government Disaster Surveillance and Alerts on Local Economic and Financial Conditions," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 84(2), pages 559-591, February.
    12. Robert Wilby & Xianfu Lu, 2022. "Tailoring climate information and services for adaptation actors with diverse capabilities," Climatic Change, Springer, vol. 174(3), pages 1-13, October.
    13. Zhang, Dayong & Wu, Yalin & Ji, Qiang & Guo, Kun & Lucey, Brian, 2024. "Climate impacts on the loan quality of Chinese regional commercial banks," Journal of International Money and Finance, Elsevier, vol. 140(C).
    14. Carnevale, Concetta & Drago, Danilo, 2024. "Do banks price ESG risks? A critical review of empirical research," Research in International Business and Finance, Elsevier, vol. 69(C).
    15. Giordino, Daniele & Jabeen, Fauzia & Nirino, Niccolò & Bresciani, Stefano, 2024. "Institutional investors ownership concentration and its effect on disclosure and transparency of United Nations sustainable development goals," Technological Forecasting and Social Change, Elsevier, vol. 200(C).
    16. Toan Luu Duc Huynh & Thomas Walther & Sebastian Utz, 2022. "Green and Sustainable Finance in the Asia-Pacific Markets: An Introduction to the Special Issue," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(1), pages 1-3, March.

  6. Degiannakis, Stavros & Filis, George & Klein, Tony & Walther, Thomas, 2019. "Forecasting Realized Volatility of Agricultural Commodities," MPRA Paper 96267, University Library of Munich, Germany.

    Cited by:

    1. Jesus Crespo Cuaresma & Ines Fortin & Jaroslava Hlouskova & Michael Obersteiner, 2024. "Regime‐dependent commodity price dynamics: A predictive analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2822-2847, November.
    2. Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019. "Forecasting Realized Oil-Price Volatility: The Role of Financial Stress and Asymmetric Loss," Working Papers 201903, University of Pretoria, Department of Economics.
    3. Hasanov, Akram Shavkatovich & Burkhanov, Aktam Usmanovich & Usmonov, Bunyod & Khajimuratov, Nizomjon Shukurullaevich & Khurramova, Madina Mansur qizi, 2024. "The role of sudden variance shifts in predicting volatility in bioenergy crop markets under structural breaks," Energy, Elsevier, vol. 293(C).
    4. Sheng, Lin Wen & Uddin, Gazi Salah & Sen, Ding & Hao, Zhu Shi, 2024. "The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets: A regime weighted measure and its forecast inference," International Review of Financial Analysis, Elsevier, vol. 91(C).
    5. Eleftheria Kafousaki & Stavros Degiannakis, 2023. "Forecasting VIX: the illusion of forecast evaluation criteria," Economics and Business Letters, Oviedo University Press, vol. 12(3), pages 231-240.
    6. Rangan Gupta & Christian Pierdzioch, 2024. "Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices," Working Papers 202423, University of Pretoria, Department of Economics.
    7. Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2023. "Financial Stress and Realized Volatility: The Case of Agricultural Commodities," Working Papers 202320, University of Pretoria, Department of Economics.
    8. Luo, Jiawen & Klein, Tony & Walther, Thomas & Ji, Qiang, 2021. "Forecasting Realized Volatility of Crude Oil Futures Prices based on Machine Learning," QBS Working Paper Series 2021/04, Queen's University Belfast, Queen's Business School.
    9. Luo, Jiawen & Ji, Qiang & Klein, Tony & Todorova, Neda & Zhang, Dayong, 2020. "On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks," Energy Economics, Elsevier, vol. 89(C).
    10. Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2021. "El Nino, La Nina, and Forecastability of the Realized Variance of Agricultural Commodity Prices: Evidence from a Machine Learning Approach," Working Papers 202179, University of Pretoria, Department of Economics.
    11. Luo, Jiawen & Marfatia, Hardik A. & Ji, Qiang & Klein, Tony, 2023. "Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets," Energy Economics, Elsevier, vol. 117(C).
    12. Lu, Xinjie & Su, Yuandong & Huang, Dengshi, 2023. "Chinese agricultural futures volatility: New insights from potential domestic and global predictors," International Review of Financial Analysis, Elsevier, vol. 89(C).
    13. Lyócsa, Štefan & Todorova, Neda, 2024. "Forecasting of clean energy market volatility: The role of oil and the technology sector," Energy Economics, Elsevier, vol. 132(C).
    14. Dudda, Tom L. & Klein, Tony & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Common Drivers of Commodity Futures?," QBS Working Paper Series 2022/05, Queen's University Belfast, Queen's Business School.
    15. Wang, Lu & Wu, Rui & Ma, WeiChun & Xu, Weiju, 2023. "Examining the volatility of soybean market in the MIDAS framework: The importance of bagging-based weather information," International Review of Financial Analysis, Elsevier, vol. 89(C).
    16. Gong, Xue & Zhang, Weiguo & Wang, Junbo & Wang, Chao, 2022. "Investor sentiment and stock volatility: New evidence," International Review of Financial Analysis, Elsevier, vol. 80(C).

  7. Breitenstein, Miriam & Anke, Carl-Philipp & Nguyen, Duc Khuong & Walther, Thomas, 2019. "Stranded Asset Risk and Political Uncertainty: The Impact of the Coal Phase-out on the German Coal Industry," MPRA Paper 101763, University Library of Munich, Germany.

    Cited by:

    1. Miriam Breitenstein & Duc Khuong Nguyen & Thomas Walther, 2019. "Environmental Hazards and Risk Management in the Financial Sector: A Systematic Literature Review," Working Papers on Finance 1910, University of St. Gallen, School of Finance.
    2. Ma, Huan & Sun, Qinghan & Chen, Lei & Chen, Qun & Zhao, Tian & He, Kelun & Xu, Fei & Min, Yong & Wang, Shunjiang & Zhou, Guiping, 2023. "Cogeneration transition for energy system decarbonization: From basic to flexible and complementary multi-energy sources," Renewable and Sustainable Energy Reviews, Elsevier, vol. 187(C).
    3. Waldemar Karpa & Antonio Grginović, 2021. "(Not So) Stranded: The Case of Coal in Poland," Energies, MDPI, vol. 14(24), pages 1-16, December.

  8. Thomas Walther & Tony Klein, 2018. "Exogenous Drivers of Cryptocurrency Volatility - A Mixed Data Sampling Approach To Forecasting," Working Papers on Finance 1815, University of St. Gallen, School of Finance.

    Cited by:

    1. Luca Mungo & Silvia Bartolucci & Laura Alessandretti, 2023. "Cryptocurrency co-investment network: token returns reflect investment patterns," Papers 2301.02027, arXiv.org, revised Jan 2023.
    2. Elie Bouri & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2021. "Forecasting Realized Volatility of Bitcoin: The Role of the Trade War," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 29-53, January.
    3. Andrada-Félix, Julián & Fernandez-Perez, Adrian & Sosvilla-Rivero, Simón, 2020. "Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    4. Trucíos, Carlos, 2019. "Forecasting Bitcoin risk measures: A robust approach," International Journal of Forecasting, Elsevier, vol. 35(3), pages 836-847.

  9. Walther, Thomas & Klein, Tony & Bouri, Elie, 2018. "Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting," QBS Working Paper Series 2018/02, Queen's University Belfast, Queen's Business School.

    Cited by:

    1. María de la O González & Francisco Jareño & Frank S. Skinner, 2020. "Nonlinear Autoregressive Distributed Lag Approach: An Application on the Connectedness between Bitcoin Returns and the Other Ten Most Relevant Cryptocurrency Returns," Mathematics, MDPI, vol. 8(5), pages 1-22, May.
    2. Erdinc Akyildirim & Ahmet Goncu & Ahmet Sensoy, 2021. "Prediction of cryptocurrency returns using machine learning," Annals of Operations Research, Springer, vol. 297(1), pages 3-36, February.
    3. Hasan, Mohammad Maruf & Du, Fang, 2023. "The role of foreign trade and technology innovation on economic recovery in China: The mediating role of natural resources development," Resources Policy, Elsevier, vol. 80(C).
    4. Mukul Bhatnagar & Sanjay Taneja & Ramona Rupeika-Apoga, 2023. "Demystifying the Effect of the News (Shocks) on Crypto Market Volatility," JRFM, MDPI, vol. 16(2), pages 1-16, February.
    5. Lyócsa, Štefan & Molnár, Peter & Plíhal, Tomáš & Širaňová, Mária, 2020. "Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    6. Konstantinos Gkillas & Elie Bouri & Rangan Gupta & David Roubaud, 2020. "Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin," Working Papers 202068, University of Pretoria, Department of Economics.
    7. Li, Yi & Urquhart, Andrew & Wang, Pengfei & Zhang, Wei, 2021. "MAX momentum in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 77(C).
    8. Jin, Daxiang & Yu, Jize, 2023. "Predicting cryptocurrency market volatility: Novel evidence from climate policy uncertainty," Finance Research Letters, Elsevier, vol. 58(PC).
    9. Lucey, Brian M. & Vigne, Samuel A. & Yarovaya, Larisa & Wang, Yizhi, 2022. "The cryptocurrency uncertainty index," Finance Research Letters, Elsevier, vol. 45(C).
    10. Yun-Shi Dai & Peng-Fei Dai & Wei-Xing Zhou, 2024. "The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model," Papers 2404.01641, arXiv.org.
    11. Afees A. Salisu & Rangan Gupta & Elie Bouri & Qiang Ji, 2022. "Mixed‐frequency forecasting of crude oil volatility based on the information content of global economic conditions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 134-157, January.
    12. Bouri, Elie & Jalkh, Naji, 2023. "Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants," International Review of Financial Analysis, Elsevier, vol. 90(C).
    13. Bouteska, Ahmed & Abedin, Mohammad Zoynul & Hajek, Petr & Yuan, Kunpeng, 2024. "Cryptocurrency price forecasting – A comparative analysis of ensemble learning and deep learning methods," International Review of Financial Analysis, Elsevier, vol. 92(C).
    14. Vassilios Babalos & Elie Bouri & Rangan Gupta, 2024. "Does the Introduction of US Spot Bitcoin ETFs Affect Spot Returns and Volatility of Major Cryptocurrencies?," Working Papers 202416, University of Pretoria, Department of Economics.
    15. Ha, Le Thanh & Nham, Nguyen Thi Hong, 2022. "An application of a TVP-VAR extended joint connected approach to explore connectedness between WTI crude oil, gold, stock and cryptocurrencies during the COVID-19 health crisis," Technological Forecasting and Social Change, Elsevier, vol. 183(C).
    16. Demir, Ender & Simonyan, Serdar & García-Gómez, Conrado-Diego & Lau, Chi Keung Marco, 2021. "The asymmetric effect of bitcoin on altcoins: evidence from the nonlinear autoregressive distributed lag (NARDL) model," Finance Research Letters, Elsevier, vol. 40(C).
    17. Peng‐Fei Dai & John W. Goodell & Luu Duc Toan Huynh & Zhifeng Liu & Shaen Corbet, 2023. "Understanding the transmission of crash risk between cryptocurrency and equity markets," The Financial Review, Eastern Finance Association, vol. 58(3), pages 539-573, August.
    18. Luca Mungo & Silvia Bartolucci & Laura Alessandretti, 2023. "Cryptocurrency co-investment network: token returns reflect investment patterns," Papers 2301.02027, arXiv.org, revised Jan 2023.
    19. Maghyereh, Aktham & Abdoh, Hussein, 2021. "Time–frequency quantile dependence between Bitcoin and global equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    20. Panagiotidis, Theodore & Papapanagiotou, Georgios & Stengos, Thanasis, 2024. "A Bayesian approach for the determinants of bitcoin returns," International Review of Financial Analysis, Elsevier, vol. 91(C).
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    201. Cao, Guangxi & Xie, Wenhao, 2021. "The impact of the shutdown policy on the asymmetric interdependence structure and risk transmission of cryptocurrency and China’s financial market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    202. Binh Nguyen Quang & Thai‐Ha Le & Canh Nguyen Phuc, 2022. "Influences of uncertainty on the returns and liquidity of cryptocurrencies: Evidence from a portfolio approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2497-2513, April.
    203. Xiaojia Bao & Qingliang Fan, 2020. "The impact of temperature on gaming productivity: evidence from online games," Empirical Economics, Springer, vol. 58(2), pages 835-867, February.
    204. Anwer, Zaheer & Farid, Saqib & Khan, Ashraf & Benlagha, Noureddine, 2023. "Cryptocurrencies versus environmentally sustainable assets: Does a perfect hedge exist?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 418-431.
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    206. Ha, Le Thanh & Bouteska, Ahmed & Mefteh-Wali, Salma & The Anh, Pham, 2023. "Fluctuations in gold prices in Vietnam during the COVID-19 pandemic: Insights from a time-varying parameter autoregression model," Resources Policy, Elsevier, vol. 86(PB).
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    210. Conlon, Thomas & McGee, Richard, 2020. "Safe haven or risky hazard? Bitcoin during the Covid-19 bear market," Finance Research Letters, Elsevier, vol. 35(C).
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    212. Yin, Libo & Nie, Jing & Han, Liyan, 2021. "Understanding cryptocurrency volatility: The role of oil market shocks," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 233-253.
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    265. Umar, Muhammad & Su, Chi-Wei & Rizvi, Syed Kumail Abbas & Shao, Xue-Feng, 2021. "Bitcoin: A safe haven asset and a winner amid political and economic uncertainties in the US?," Technological Forecasting and Social Change, Elsevier, vol. 167(C).
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    268. Murat Akkaya, 2021. "The Determinants of the Volatility in Cryptocurrency Markets: The Bitcoin Case," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 35(1), pages 87-97.
    269. Sakemoto, Ryuta, 2021. "Economic Evaluation of Cryptocurrency Investment," MPRA Paper 108283, University Library of Munich, Germany.
    270. Shang, Yue & Wei, Yu & Chen, Yongfei, 2022. "Cryptocurrency policy uncertainty and gold return forecasting: A dynamic Occam's window approach," Finance Research Letters, Elsevier, vol. 50(C).
    271. Chen, Haiqiang & Li, Yingxing & Lin, Ming & Zhu, Yanli, 2018. "A Regime Shift Model with Nonparametric Switching Mechanism," IRTG 1792 Discussion Papers 2018-048, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    272. Shaen Corbet & Les Oxley, 2023. "Investigating the Academic Response to Cryptocurrencies: Insights from Research Diversification as Separated by Journal Ranking," Review of Corporate Finance, now publishers, vol. 3(4), pages 487-528, September.
    273. Riccardo De Blasis & Alexander Webb, 2022. "Arbitrage, contract design, and market structure in Bitcoin futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 492-524, March.
    274. Ashfaq, Saleha & Tang, Yong & Maqbool, Rashid, 2019. "Volatility spillover impact of world oil prices on leading Asian energy exporting and importing economies’ stock returns," Energy, Elsevier, vol. 188(C).
    275. Long, Shaobo & Pei, Hongxia & Tian, Hao & Lang, Kun, 2021. "Can both Bitcoin and gold serve as safe-haven assets? — A comparative analysis based on the NARDL model," International Review of Financial Analysis, Elsevier, vol. 78(C).
    276. Li, Xingyi & Gan, Kai & Zhou, Qi, 2023. "Dynamic volatility connectedness among cryptocurrencies and China's financial assets in standard times and during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 51(C).
    277. Agnese, Pablo & Thoss, Jonathan, 2021. "New Moneys under the New Normal? Bitcoin and Gold Interdependence during COVID Times," IZA Discussion Papers 14323, Institute of Labor Economics (IZA).
    278. Ji, Qiang & Bouri, Elie & Kristoufek, Ladislav & Lucey, Brian, 2021. "Realised volatility connectedness among Bitcoin exchange markets," Finance Research Letters, Elsevier, vol. 38(C).
    279. Ahmed Jeribi & Mohamed Fakhfekh, 2021. "Portfolio management and dependence structure between cryptocurrencies and traditional assets: evidence from FIEGARCH-EVT-Copula," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 224-239, May.
    280. Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020. "Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets," BAFFI CAREFIN Working Papers 20143, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    281. Yatracos, Yannis G., 2018. "Residual'S Influence Index (Rinfin), Bad Leverage And Unmasking In High Dimensional L2-Regression," IRTG 1792 Discussion Papers 2018-060, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    282. Bedi, Prateek & Nashier, Tripti, 2020. "On the investment credentials of Bitcoin: A cross-currency perspective," Research in International Business and Finance, Elsevier, vol. 51(C).
    283. Muhammad Owais Qarni & Saiqb Gulzar, 2021. "Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-37, December.
    284. Imran Yousaf & Elie Bouri & Shoaib Ali & Nehme Azoury, 2021. "Gold against Asian Stock Markets during the COVID-19 Outbreak," JRFM, MDPI, vol. 14(4), pages 1-23, April.
    285. Pham, Linh & Karim, Sitara & Naeem, Muhammad Abubakr & Long, Cheng, 2022. "A tale of two tails among carbon prices, green and non-green cryptocurrencies," International Review of Financial Analysis, Elsevier, vol. 82(C).
    286. Sabah, Nasim, 2020. "Cryptocurrency accepting venues, investor attention, and volatility," Finance Research Letters, Elsevier, vol. 36(C).
    287. Chu, Meifen, 2021. "Bitcoin and traditional currencies during the Covid-19 pandemic period," MPRA Paper 110117, University Library of Munich, Germany.
    288. Serda Selin Ozturk, 2020. "Dynamic Connectedness between Bitcoin, Gold, and Crude Oil Volatilities and Returns," JRFM, MDPI, vol. 13(11), pages 1-14, November.
    289. Pele, Daniel Traian & Wesselhöfft, Niels & Härdle, Wolfgang Karl & Kolossiatis, Michalis & Yatracos, Yannis, 2019. "Phenotypic convergence of cryptocurrencies," IRTG 1792 Discussion Papers 2019-018, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    290. Ghabri, Yosra & Guesmi, Khaled & Zantour, Ahlem, 2021. "Bitcoin and liquidity risk diversification," Finance Research Letters, Elsevier, vol. 40(C).
    291. Constandina Koki & Stefanos Leonardos & Georgios Piliouras, 2019. "A Peek into the Unobservable: Hidden States and Bayesian Inference for the Bitcoin and Ether Price Series," Papers 1909.10957, arXiv.org, revised Jul 2021.
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    Cited by:

    1. Nenubari John Ikue & Lucky Ifeanyi Amabuike & Joseph Osaro Denwi & Aminu Usman Mohammed & Ahmadu Uba Musa, 2021. "Economic growth and crude oil revenue in Nigeria: A control for industrial shocks," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 10(8), pages 218-227, December.
    2. Sugra Ingilab Humbatova & Natig Qadim-Oglu Hajiyev, 2019. "Oil Factor in Economic Development," Energies, MDPI, vol. 12(8), pages 1-40, April.
    3. El Montasser, Ghassen & Malek Belhoula, Mohamed & Charfeddine, Lanouar, 2023. "Co-explosivity versus leading effects: Evidence from crude oil and agricultural commodities," Resources Policy, Elsevier, vol. 81(C).
    4. Jaehyung An & Alexey Mikhaylov & Sang-Uk Jung, 2020. "The Strategy of South Korea in the Global Oil Market," Energies, MDPI, vol. 13(10), pages 1-8, May.
    5. Charfeddine, Lanouar & Klein, Tony & Walther, Thomas, 2020. "Reviewing the oil price–GDP growth relationship: A replication study," Energy Economics, Elsevier, vol. 88(C).
    6. Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019. "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 43-58.
    7. Emrah Ismail Cevik & Durmuş Çağrı Yıldırım & Sel Dibooglu, 2021. "Renewable and non-renewable energy consumption and economic growth in the US: A Markov-Switching VAR analysis," Energy & Environment, , vol. 32(3), pages 519-541, May.
    8. Charfeddine, Lanouar & Khediri, Karim Ben & Mrabet, Zouhair, 2019. "The forward premium anomaly in the energy futures markets: A time-varying approach," Research in International Business and Finance, Elsevier, vol. 47(C), pages 600-615.

  12. Nguyen, Duc Khuong & Walther, Thomas, 2017. "Modeling and forecasting commodity market volatility with long-term economic and financial variables," MPRA Paper 84464, University Library of Munich, Germany, revised Jan 2018.

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    1. Das, Debojyoti & Bhatia, Vaneet & Kumar, Surya Bhushan & Basu, Sankarshan, 2022. "Do precious metals hedge crude oil volatility jumps?," International Review of Financial Analysis, Elsevier, vol. 83(C).
    2. Degiannakis, Stavros & Filis, George & Klein, Tony & Walther, Thomas, 2019. "Forecasting Realized Volatility of Agricultural Commodities," MPRA Paper 96267, University Library of Munich, Germany.
    3. Yan, Xiang & Bai, Jiancheng & Li, Xiafei & Chen, Zhonglu, 2022. "Can dimensional reduction technology make better use of the information of uncertainty indices when predicting volatility of Chinese crude oil futures?," Resources Policy, Elsevier, vol. 75(C).
    4. Hardik A. Marfatia & Qiang Ji & Jiawen Luo, 2022. "Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 383-404, March.
    5. Drachal, Krzysztof, 2021. "Forecasting selected energy commodities prices with Bayesian dynamic finite mixtures," Energy Economics, Elsevier, vol. 99(C).
    6. Lyócsa, Štefan & Todorova, Neda, 2021. "What drives volatility of the U.S. oil and gas firms?," Energy Economics, Elsevier, vol. 100(C).
    7. Klein, Tony & Todorova, Neda, 2021. "Night trading with futures in China: The case of Aluminum and Copper," Resources Policy, Elsevier, vol. 73(C).
    8. Omid Faseli, 2020. "The relationship between European Brent crude oil price development and the US macroeconomy," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 9(1), pages 80-87, January.
    9. Alqahtani, Abdullah & Klein, Tony, 2021. "Oil price changes, uncertainty, and geopolitical risks: On the resilience of GCC countries to global tensions," Energy, Elsevier, vol. 236(C).
    10. Lu Yang & Lei Yang & Kung-Cheng Ho & Shigeyuki Hamori, 2019. "Determinants of the Long-Term Correlation between Crude Oil and Stock Markets," Energies, MDPI, vol. 12(21), pages 1-15, October.
    11. Peng-Fei Dai & Xiong Xiong & Wei-Xing Zhou, 2020. "The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model," Papers 2007.12838, arXiv.org.
    12. Krzysztof Drachal, 2018. "Determining Time-Varying Drivers of Spot Oil Price in a Dynamic Model Averaging Framework," Energies, MDPI, vol. 11(5), pages 1-24, May.
    13. Luo, Jiawen & Klein, Tony & Walther, Thomas & Ji, Qiang, 2021. "Forecasting Realized Volatility of Crude Oil Futures Prices based on Machine Learning," QBS Working Paper Series 2021/04, Queen's University Belfast, Queen's Business School.
    14. Thomas Walther & Tony Klein, 2018. "Exogenous Drivers of Cryptocurrency Volatility - A Mixed Data Sampling Approach To Forecasting," Working Papers on Finance 1815, University of St. Gallen, School of Finance.
    15. Xingrui Jiao & Yuping Song & Yang Kong & Xiaolong Tang, 2022. "Volatility forecasting for crude oil based on text information and deep learning PSO‐LSTM model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(5), pages 933-944, August.
    16. Afees A. Salisu & Rangan Gupta & Elie Bouri & Qiang Ji, 2020. "Forecasting Oil Volatility Using a GARCH-MIDAS Approach: The Role of Global Economic Conditions," Working Papers 202051, University of Pretoria, Department of Economics.
    17. Nikitopoulos, Christina Sklibosios & Thomas, Alice Carole & Wang, Jianxin, 2023. "The economic impact of daily volatility persistence on energy markets," Journal of Commodity Markets, Elsevier, vol. 30(C).
    18. Walther, Thomas & Klein, Tony & Bouri, Elie, 2019. "Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    19. Chen, Yanan & Qi, Haozhi, 2024. "COVID-19 pandemic-related news and Chinese commodities futures: Time-frequency connectedness and causality-in-quantiles approaches," Energy, Elsevier, vol. 286(C).
    20. Salisu, Afees A. & Gupta, Rangan & Demirer, Riza, 2022. "Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model," Energy Economics, Elsevier, vol. 108(C).
    21. Fabian Hollstein & Marcel Prokopczuk & Christoph Würsig, 2020. "Volatility term structures in commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 527-555, April.
    22. Adams, Zeno & Collot, Solène & Kartsakli, Maria, 2020. "Have commodities become a financial asset? Evidence from ten years of Financialization," Energy Economics, Elsevier, vol. 89(C).
    23. Miroslava Zavadska & Lucía Morales & Joseph Coughlan, 2018. "The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review," IJFS, MDPI, vol. 6(4), pages 1-22, October.
    24. Luo, Jiawen & Marfatia, Hardik A. & Ji, Qiang & Klein, Tony, 2023. "Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets," Energy Economics, Elsevier, vol. 117(C).
    25. Luo, Jiawen & Demirer, Riza & Gupta, Rangan & Ji, Qiang, 2022. "Forecasting oil and gold volatilities with sentiment indicators under structural breaks," Energy Economics, Elsevier, vol. 105(C).
    26. Alqahtani, Abdullah & Klein, Tony & Khalid, Ali, 2019. "The impact of oil price uncertainty on GCC stock markets," Resources Policy, Elsevier, vol. 64(C).
    27. Dominik Boos, 2024. "Risky times: Seasonality and event risk of commodities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 767-783, May.
    28. Theu Dinh & Stéphane Goutte & Khuong Nguyen & Thomas Walther, 2022. "Economic drivers of volatility and correlation in precious metal markets," Working Papers halshs-03672469, HAL.
    29. Díaz, Juan D. & Hansen, Erwin & Cabrera, Gabriel, 2021. "Economic drivers of commodity volatility: The case of copper," Resources Policy, Elsevier, vol. 73(C).
    30. Bigerna, Simona & D'Errico, Maria Chiara & Polinori, Paolo & Simshauer, Paul, 2022. "Renewable energy and portfolio volatility spillover effects of GCC oil exporting countries," MPRA Paper 114164, University Library of Munich, Germany.
    31. Chaturvedi, Priya & Kumar, Kuldeep, 2022. "Econometric modelling of exchange rate volatility using mixed-frequency data," MPRA Paper 115222, University Library of Munich, Germany.
    32. Dudda, Tom L. & Klein, Tony & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Common Drivers of Commodity Futures?," QBS Working Paper Series 2022/05, Queen's University Belfast, Queen's Business School.

Articles

  1. Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
    • Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
    • Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024. "Nonstandard Errors," Post-Print hal-04676112, HAL.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
    • Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    See citations under working paper version above.
  2. Miriam Breitenstein & Carl-Philipp Anke & Duc Khuong Nguyen & Thomas Walther, 2022. "Stranded Asset Risk and Political Uncertainty: The Impact of the Coal Phase-Out on the German Coal Industry," The Energy Journal, , vol. 43(5), pages 27-50, September.
    See citations under working paper version above.
  3. Gerritsen, Dirk F. & Lugtigheid, Rick A.C. & Walther, Thomas, 2022. "Can Bitcoin Investors Profit from Predictions by Crypto Experts?," Finance Research Letters, Elsevier, vol. 46(PA).

    Cited by:

    1. Levkov Nikola & Bogoevska-Gavrilova Irena & Trajkovska Milica, 2022. "Profile and Financial Behaviour of Crypto Adopters – Evidence from Macedonian Population Survey," South East European Journal of Economics and Business, Sciendo, vol. 17(2), pages 172-185, December.
    2. André D. Gimenes & Jéfferson A. Colombo & Imran Yousaf, 2023. "Store of value or speculative investment? Market reaction to corporate announcements of cryptocurrency acquisition," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-31, December.
    3. Bonaparte, Yosef & Bernile, Gennaro, 2023. "A new “Wall Street Darling?” effects of regulation sentiment in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 52(C).
    4. Soria, Jorge & Moya, Jorge & Mohazab, Amin, 2023. "Optimal mining in proof-of-work blockchain protocols," Finance Research Letters, Elsevier, vol. 53(C).

  4. Toan Luu Duc Huynh & Thomas Walther & Sebastian Utz, 2022. "Green and Sustainable Finance in the Asia-Pacific Markets: An Introduction to the Special Issue," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(1), pages 1-3, March.

    Cited by:

    1. Su, Chi Wei & Shao, Xuefeng & Jia, Zhijie & Nepal, Rabindra & Umar, Muhammad & Qin, Meng, 2023. "The rise of green energy metal: Could lithium threaten the status of oil?," Energy Economics, Elsevier, vol. 121(C).
    2. Nihal Ahmed & Franklin Ore Areche & Adnan Ahmed Sheikh & Amine Lahiani, 2022. "Green Finance and Green Energy Nexus in ASEAN Countries: A Bootstrap Panel Causality Test," Energies, MDPI, vol. 15(14), pages 1-13, July.
    3. Chen, Zhonglu & Mirza, Nawazish & Huang, Lei & Umar, Muhammad, 2022. "Green Banking—Can Financial Institutions support green recovery?," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 389-395.
    4. Sun, Chenghao, 2023. "How are green finance, carbon emissions, and energy resources related in Asian sub-regions?," Resources Policy, Elsevier, vol. 83(C).
    5. Ding, Wangwang & Du, Juntao & Kazancoglu, Yigit & Mangla, Sachin Kumar & Song, Malin, 2023. "Financial development and the energy net-zero transformation potential," Energy Economics, Elsevier, vol. 125(C).
    6. Ben Ameur, Hachmi & Ftiti, Zied & Louhichi, Waël & Yousfi, Mohamed, 2024. "Do green investments improve portfolio diversification? Evidence from mean conditional value-at-risk optimization," International Review of Financial Analysis, Elsevier, vol. 94(C).

  5. Degiannakis, Stavros & Filis, George & Klein, Tony & Walther, Thomas, 2022. "Forecasting realized volatility of agricultural commodities," International Journal of Forecasting, Elsevier, vol. 38(1), pages 74-96.
    See citations under working paper version above.
  6. Dinh, Theu & Goutte, Stéphane & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Economic drivers of volatility and correlation in precious metal markets," Journal of Commodity Markets, Elsevier, vol. 28(C).
    See citations under working paper version above.
  7. Miriam Breitenstein & Duc Khuong Nguyen & Thomas Walther, 2021. "Environmental Hazards And Risk Management In The Financial Sector: A Systematic Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 512-538, April.
    See citations under working paper version above.
  8. Duc Khuong Nguyen & Thomas Walther, 2020. "Modeling and forecasting commodity market volatility with long‐term economic and financial variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 126-142, March.
    See citations under working paper version above.
  9. Charfeddine, Lanouar & Klein, Tony & Walther, Thomas, 2020. "Reviewing the oil price–GDP growth relationship: A replication study," Energy Economics, Elsevier, vol. 88(C).
    See citations under working paper version above.
  10. Walther, Thomas & Klein, Tony & Bouri, Elie, 2019. "Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    See citations under working paper version above.
  11. Paul Bui Quang & Tony Klein & Nam H. Nguyen & Thomas Walther, 2018. "Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH," JRFM, MDPI, vol. 11(2), pages 1-20, April.

    Cited by:

    1. Amaro, Raphael & Pinho, Carlos & Madaleno, Mara, 2022. "Forecasting the Value-at-Risk of energy commodities: A comparison of models and alternative distribution functions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 65, pages 77-101.

  12. Klein, Tony & Pham Thu, Hien & Walther, Thomas, 2018. "Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 105-116.
    See citations under working paper version above.
  13. Klein, Tony & Walther, Thomas, 2017. "Fast fractional differencing in modeling long memory of conditional variance for high-frequency data," Finance Research Letters, Elsevier, vol. 22(C), pages 274-279.

    Cited by:

    1. Morten Ørregaard Nielsen & Antoine L. Noël, 2020. "To infinity and beyond: Efficient computation of ARCH(1) models," CREATES Research Papers 2020-13, Department of Economics and Business Economics, Aarhus University.
    2. Kawakatsu Hiroyuki, 2021. "Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages," Journal of Econometric Methods, De Gruyter, vol. 10(1), pages 33-52, January.
    3. Walther, Thomas & Klein, Tony & Thu, Hien Pham & Piontek, Krzysztof, 2017. "True or spurious long memory in European non-EMU currencies," Research in International Business and Finance, Elsevier, vol. 40(C), pages 217-230.
    4. Thomas Walther & Tony Klein & Hien Pham Thu, 2018. "Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance," Working Papers on Finance 1812, University of St. Gallen, School of Finance.
    5. Alfeus, Mesias & Nikitopoulos, Christina Sklibosios, 2022. "Forecasting volatility in commodity markets with long-memory models," Journal of Commodity Markets, Elsevier, vol. 28(C).
    6. Paul Bui Quang & Tony Klein & Nam H. Nguyen & Thomas Walther, 2018. "Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH," JRFM, MDPI, vol. 11(2), pages 1-20, April.
    7. Alqahtani, Abdullah & Klein, Tony & Khalid, Ali, 2019. "The impact of oil price uncertainty on GCC stock markets," Resources Policy, Elsevier, vol. 64(C).
    8. Morten Ørregaard Nielsen & Antoine L. Noël, 2020. "To infinity and beyond: Efficient computation of ARCH(\infty) models," Working Paper 1425, Economics Department, Queen's University.
    9. Morten Ørregaard Nielsen & Antoine L. Noël, 2021. "To infinity and beyond: Efficient computation of ARCH(∞) models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(3), pages 338-354, May.
    10. Klein, Tony, 2017. "Dynamic correlation of precious metals and flight-to-quality in developed markets," Finance Research Letters, Elsevier, vol. 23(C), pages 283-290.
    11. Markus Vogl, 2022. "Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)," SN Business & Economics, Springer, vol. 2(12), pages 1-69, December.

  14. Walther, Thomas & Klein, Tony & Thu, Hien Pham & Piontek, Krzysztof, 2017. "True or spurious long memory in European non-EMU currencies," Research in International Business and Finance, Elsevier, vol. 40(C), pages 217-230.

    Cited by:

    1. Josselin Garnier & Knut Sølna, 2018. "Option pricing under fast-varying and rough stochastic volatility," Annals of Finance, Springer, vol. 14(4), pages 489-516, November.
    2. Kunal Saha & Vinodh Madhavan & Chandrashekhar G. R. & David McMillan, 2020. "Pitfalls in long memory research," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1733280-173, January.
    3. Thomas Walther & Duc Khuong Nguyen, 2018. "Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables," Working Papers on Finance 1824, University of St. Gallen, School of Finance.
    4. Thomas Walther & Tony Klein & Hien Pham Thu, 2018. "Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance," Working Papers on Finance 1812, University of St. Gallen, School of Finance.
    5. Walid Chkili, 2021. "Modeling Bitcoin price volatility: long memory vs Markov switching," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 433-448, September.
    6. Luo, Jiawen & Marfatia, Hardik A. & Ji, Qiang & Klein, Tony, 2023. "Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets," Energy Economics, Elsevier, vol. 117(C).
    7. Emrah İ. Çevik & Erdal Atukeren & Turhan Korkmaz, 2018. "Oil Prices and Global Stock Markets: A Time-Varying Causality-In-Mean and Causality-in-Variance Analysis," Energies, MDPI, vol. 11(10), pages 1-22, October.
    8. Cevik, Emrah Ismail & Gunay, Samet & Dibooglu, Sel & Yıldırım, Durmuş Çağrı, 2023. "The impact of expected and unexpected events on Bitcoin price development: Introduction of futures market and COVID-19," Finance Research Letters, Elsevier, vol. 54(C).

  15. Klein, Tony & Walther, Thomas, 2016. "Oil price volatility forecast with mixture memory GARCH," Energy Economics, Elsevier, vol. 58(C), pages 46-58.

    Cited by:

    1. Gong, Xu & Lin, Boqiang, 2018. "The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market," Energy Economics, Elsevier, vol. 74(C), pages 370-386.
    2. Hasanov, Akram Shavkatovich & Burkhanov, Aktam Usmanovich & Usmonov, Bunyod & Khajimuratov, Nizomjon Shukurullaevich & Khurramova, Madina Mansur qizi, 2024. "The role of sudden variance shifts in predicting volatility in bioenergy crop markets under structural breaks," Energy, Elsevier, vol. 293(C).
    3. Hardik A. Marfatia & Qiang Ji & Jiawen Luo, 2022. "Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 383-404, March.
    4. Drachal, Krzysztof, 2021. "Forecasting selected energy commodities prices with Bayesian dynamic finite mixtures," Energy Economics, Elsevier, vol. 99(C).
    5. Lyócsa, Štefan & Todorova, Neda, 2021. "What drives volatility of the U.S. oil and gas firms?," Energy Economics, Elsevier, vol. 100(C).
    6. Xiafei Li & Dongxin Li & Xuhui Zhang & Guiwu Wei & Lan Bai & Yu Wei, 2021. "Forecasting regular and extreme gold price volatility: The roles of asymmetry, extreme event, and jump," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1501-1523, December.
    7. Wen, Jun & Zhao, Xin-Xin & Chang, Chun-Ping, 2021. "The impact of extreme events on energy price risk," Energy Economics, Elsevier, vol. 99(C).
    8. Lin, Ling & Jiang, Yong & Xiao, Helu & Zhou, Zhongbao, 2020. "Crude oil price forecasting based on a novel hybrid long memory GARCH-M and wavelet analysis model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 543(C).
    9. Alizadeh, Amir H. & Huang, Chih-Yueh & Marsh, Ian W., 2021. "Modelling the volatility of TOCOM energy futures: A regime switching realised volatility approach," Energy Economics, Elsevier, vol. 93(C).
    10. Ouyang, Zisheng & Lu, Min & Lai, Yongzeng, 2023. "Forecasting stock index return and volatility based on GAVMD- Carbon-BiLSTM: How important is carbon emission trading?," Energy Economics, Elsevier, vol. 128(C).
    11. Amaro, Raphael & Pinho, Carlos & Madaleno, Mara, 2022. "Forecasting the Value-at-Risk of energy commodities: A comparison of models and alternative distribution functions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 65, pages 77-101.
    12. Bissoondoyal-Bheenick, Emawtee & Brooks, Robert & Do, Hung Xuan & Smyth, Russell, 2020. "Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets," Energy Economics, Elsevier, vol. 86(C).
    13. Xu Gong & Boqiang Lin, 2021. "Effects of structural changes on the prediction of downside volatility in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1124-1153, July.
    14. Chen, Sai & Song, Yan & Ding, Yueting & Zhang, Ming & Nie, Rui, 2021. "Using long short-term memory model to study risk assessment and prediction of China’s oil import from the perspective of resilience theory," Energy, Elsevier, vol. 215(PB).
    15. El Montasser, Ghassen & Malek Belhoula, Mohamed & Charfeddine, Lanouar, 2023. "Co-explosivity versus leading effects: Evidence from crude oil and agricultural commodities," Resources Policy, Elsevier, vol. 81(C).
    16. Krzysztof Drachal, 2018. "Determining Time-Varying Drivers of Spot Oil Price in a Dynamic Model Averaging Framework," Energies, MDPI, vol. 11(5), pages 1-24, May.
    17. Zhang, Yue-Jun & Yao, Ting & He, Ling-Yun & Ripple, Ronald, 2019. "Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 302-317.
    18. Alqahtani, Abdullah & Selmi, Refk & Hongbing, Ouyang, 2021. "The financial impacts of jump processes in the crude oil price: Evidence from G20 countries in the pre- and post-COVID-19," Resources Policy, Elsevier, vol. 72(C).
    19. Yong Jiang & Chao-Qun Ma & Xiao-Guang Yang & Yi-Shuai Ren, 2018. "Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model," Sustainability, MDPI, vol. 10(12), pages 1-17, December.
    20. Chang, Lei & Baloch, Zulfiqar Ali & Saydaliev, Hayot Berk & Hyder, Mansoor & Dilanchiev, Azer, 2022. "Testing oil price volatility during Covid-19: Global economic impact," Resources Policy, Elsevier, vol. 78(C).
    21. Sherzod N. Tashpulatov, 2022. "Modeling Electricity Price Dynamics Using Flexible Distributions," Mathematics, MDPI, vol. 10(10), pages 1-15, May.
    22. Refk Selmi & Shawkat Hammoudeh & Mark E. Wohar, 2023. "What drives most jumps in global crude oil prices? Fundamental shortage conditions, cartel, geopolitics or the behaviour of financial market participants," The World Economy, Wiley Blackwell, vol. 46(3), pages 598-618, March.
    23. Luo, Jiawen & Klein, Tony & Walther, Thomas & Ji, Qiang, 2021. "Forecasting Realized Volatility of Crude Oil Futures Prices based on Machine Learning," QBS Working Paper Series 2021/04, Queen's University Belfast, Queen's Business School.
    24. Luo, Jiawen & Ji, Qiang & Klein, Tony & Todorova, Neda & Zhang, Dayong, 2020. "On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks," Energy Economics, Elsevier, vol. 89(C).
    25. Li, Yuze & Jiang, Shangrong & Li, Xuerong & Wang, Shouyang, 2021. "The role of news sentiment in oil futures returns and volatility forecasting: Data-decomposition based deep learning approach," Energy Economics, Elsevier, vol. 95(C).
    26. Klein, Tony, 2018. "Trends and contagion in WTI and Brent crude oil spot and futures markets - The role of OPEC in the last decade," Energy Economics, Elsevier, vol. 75(C), pages 636-646.
    27. Klein, Tony, 2018. "Trends and Contagion in WTI and Brent Crude Oil Spot and Futures Markets - The Role of OPEC in the last Decade," QBS Working Paper Series 2018/05, Queen's University Belfast, Queen's Business School.
    28. Jiang, He & Hu, Weiqiang & Xiao, Ling & Dong, Yao, 2022. "A decomposition ensemble based deep learning approach for crude oil price forecasting," Resources Policy, Elsevier, vol. 78(C).
    29. Luo, Jiawen & Klein, Tony & Ji, Qiang & Hou, Chenghan, 2022. "Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models," International Journal of Forecasting, Elsevier, vol. 38(1), pages 51-73.
    30. Li, Songsong & Zhang, Weiqian & Zhang, Wei, 2023. "Dynamic time-frequency connectedness and risk spillover between geopolitical risks and natural resources," Resources Policy, Elsevier, vol. 82(C).
    31. O-Chia Chuang & Chenxu Yang, 2022. "Identifying the Determinants of Crude Oil Market Volatility by the Multivariate GARCH-MIDAS Model," Energies, MDPI, vol. 15(8), pages 1-14, April.
    32. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
    33. Miroslava Zavadska & Lucía Morales & Joseph Coughlan, 2018. "The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review," IJFS, MDPI, vol. 6(4), pages 1-22, October.
    34. Paul Bui Quang & Tony Klein & Nam H. Nguyen & Thomas Walther, 2018. "Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH," JRFM, MDPI, vol. 11(2), pages 1-20, April.
    35. Ding, Shusheng & Cui, Tianxiang & Zheng, Dandan & Du, Min, 2021. "The effects of commodity financialization on commodity market volatility," Resources Policy, Elsevier, vol. 73(C).
    36. Alqahtani, Abdullah & Klein, Tony & Khalid, Ali, 2019. "The impact of oil price uncertainty on GCC stock markets," Resources Policy, Elsevier, vol. 64(C).
    37. Yushu Li & Hyunjoo Kim Karlsson, 2023. "Investigating the Asymmetric Behavior of Oil Price Volatility Using Support Vector Regression," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1765-1790, April.
    38. Panagiotis Delis & Stavros Degiannakis & George Filis, 2022. "What matters when developing oil price volatility forecasting frameworks?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 361-382, March.
    39. Cheng, Fangzheng & Fan, Tijun & Fan, Dandan & Li, Shanling, 2018. "The prediction of oil price turning points with log-periodic power law and multi-population genetic algorithm," Energy Economics, Elsevier, vol. 72(C), pages 341-355.
    40. Phan, Dinh Hoang Bach & Tran, Vuong Thao & Tee, Chwee Ming & Nguyen, Dat Thanh, 2021. "Oil price uncertainty, CSR and institutional quality: A cross-country evidence," Energy Economics, Elsevier, vol. 100(C).
    41. Guo, Xiaozhu & Huang, Yisu & Liang, Chao & Umar, Muhammad, 2022. "Forecasting volatility of EUA futures: New evidence," Energy Economics, Elsevier, vol. 110(C).
    42. Lyócsa, Štefan & Molnár, Peter & Výrost, Tomáš, 2021. "Stock market volatility forecasting: Do we need high-frequency data?," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1092-1110.
    43. Marcin Fałdziński & Piotr Fiszeder & Witold Orzeszko, 2020. "Forecasting Volatility of Energy Commodities: Comparison of GARCH Models with Support Vector Regression," Energies, MDPI, vol. 14(1), pages 1-18, December.
    44. Zhongbao Zhou & Qianying Jin & Jian Peng & Helu Xiao & Shijian Wu, 2019. "Further Study of the DEA-Based Framework for Performance Evaluation of Competing Crude Oil Prices’ Volatility Forecasting Models," Mathematics, MDPI, vol. 7(9), pages 1-10, September.
    45. Zhang, Tingting & Tang, Zhenpeng & Wu, Junchuan & Du, Xiaoxu & Chen, Kaijie, 2021. "Multi-step-ahead crude oil price forecasting based on two-layer decomposition technique and extreme learning machine optimized by the particle swarm optimization algorithm," Energy, Elsevier, vol. 229(C).
    46. Wu, Xi & Wang, Yudong & Tong, Xinle, 2021. "Cash holdings and oil price uncertainty exposures," Energy Economics, Elsevier, vol. 99(C).
    47. Lyu, Yongjian & Qin, Fanshu & Ke, Rui & Wei, Yu & Kong, Mengzhen, 2024. "Does mixed frequency variables help to forecast value at risk in the crude oil market?," Resources Policy, Elsevier, vol. 88(C).
    48. Sherzod N. Tashpulatov, 2021. "The Impact of Regulatory Reforms on Demand Weighted Average Prices," Mathematics, MDPI, vol. 9(10), pages 1-15, May.
    49. Lee, Oesook, 2018. "Stationarity and functional central limit theorem for ARCH(∞) models," Economics Letters, Elsevier, vol. 162(C), pages 107-111.
    50. Emrah İ. Çevik & Erdal Atukeren & Turhan Korkmaz, 2018. "Oil Prices and Global Stock Markets: A Time-Varying Causality-In-Mean and Causality-in-Variance Analysis," Energies, MDPI, vol. 11(10), pages 1-22, October.
    51. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    52. Virbickaitė, Audronė & Ausín, M. Concepción & Galeano, Pedro, 2020. "Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction," Energy Economics, Elsevier, vol. 92(C).
    53. James Ming Chen & Mobeen Ur Rehman, 2021. "A Pattern New in Every Moment: The Temporal Clustering of Markets for Crude Oil, Refined Fuels, and Other Commodities," Energies, MDPI, vol. 14(19), pages 1-58, September.
    54. Hasanov, Akram Shavkatovich & Poon, Wai Ching & Al-Freedi, Ajab & Heng, Zin Yau, 2018. "Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions," Energy Economics, Elsevier, vol. 70(C), pages 307-333.
    55. Qiu Lianshi, 2024. "The Relationship Between Stock Performance and Money Supply Based on VAR Model in the Context of E-commerce," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 18(1), pages 1-12.

  16. Thomas Walther & Tony Klein, 2015. "Contingent convertible bonds and their impact on risk-taking of managers," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 38(106), pages 54-64, Abril.

    Cited by:

    1. Xiaolin Wang & Zhaojun Yang & Pingping Zeng, 2023. "Pricing contingent convertibles with idiosyncratic risk," International Journal of Economic Theory, The International Society for Economic Theory, vol. 19(3), pages 660-693, September.
    2. Raviv, Alon & Hilscher, Jens & Peleg Lazar, Sharon, 2021. "Designing bankers' pay: Using contingent capital to reduce risk-shifting," MPRA Paper 106596, University Library of Munich, Germany.
    3. Song Jiaxin, 2023. "Announcement Effect Study of Issuing Tier 2 Capital Bonds on the Stock Price of China Construction Bank," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(6), pages 1-4.
    4. Philippe Oster, 2020. "Contingent Convertible bond literature review: making everything and nothing possible?," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(4), pages 343-381, December.

Chapters

  1. Tony Klein & Thomas Walther, 2022. "Dynamic Correlation of Precious Metals and Equity Markets: A Mixed Data Sampling Approach," World Scientific Book Chapters, in: Tony Klein & Sven Loßagk & Mario Straßberger & Thomas Walther (ed.), Modern Finance and Risk Management Festschrift in Honour of Hermann Locarek-Junge, chapter 20, pages 437-452, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Theu Dinh & Stéphane Goutte & Khuong Nguyen & Thomas Walther, 2022. "Economic drivers of volatility and correlation in precious metal markets," Working Papers halshs-03672469, HAL.

Books

    Sorry, no citations of books recorded.
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