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Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance
Klein, Tony; Thu, Hien Pham; Walther, Thomas - 2018
BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in nancial markets with …
Persistent link: https://www.econbiz.de/10012433164
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Value-at-risk for South-East Asian stock markets: Stochastic volatility vs. GARCH
Quang, Paul Bui; Klein, Tony; Walther, Thomas - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-20
markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance … models, we obtain better Value-at-Risk forecasts compared to GARCH. The quality varies over forecasting horizons and across …
Persistent link: https://www.econbiz.de/10012611007
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Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance
Klein, Tony; Hien, Pham Thu; Walther, Thomas - 2018
BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …
Persistent link: https://www.econbiz.de/10014284447
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Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting
Walther, Thomas; Klein, Tony; Bouri, Elie - 2018
We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized …
Persistent link: https://www.econbiz.de/10014284448
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Expected shortfall in the presence of asymmetry and long memory : an application to Vietnamese stock markets
Walther, Thomas - In: Pacific accounting review 29 (2017) 2, pp. 132-151
Persistent link: https://www.econbiz.de/10011703972
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Value-at-risk for South-East Asian stock markets : stochastic volatility vs. GARCH
Quang, Paul Bui; Klein, Tony; Nguyen Nam Hai; Walther, … - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-20
markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance … models, we obtain better Value-at-Risk forecasts compared to GARCH. The quality varies over forecasting horizons and across …
Persistent link: https://www.econbiz.de/10011855291
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Fast fractional differencing in modeling long memory of conditional variance for high-frequency data
Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279
Persistent link: https://www.econbiz.de/10011808179
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True or spurious long memory in European non-EMU currencies
Walther, Thomas; Klein, Tony; Thu, Hien Pham; Piontek, … - In: Research in international business and finance 40 (2017), pp. 217-230
Persistent link: https://www.econbiz.de/10011912762
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Markov-Regime-Switching-Modelle in der Finanzwirtschaft
Locarek-Junge, Hermann; Walther, Thomas - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 46 (2017) 1, pp. 4-9
Persistent link: https://www.econbiz.de/10011955712
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Modeling and forecasting commodity market volatility with long-term economic and financial variables
Nguyen, Duc Khuong; Walther, Thomas - 2018
Persistent link: https://www.econbiz.de/10011946687