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Forecasting realized volatility of crude oil futures prices based on machine learning

Luo, Jiawen; Klein, Tony; Walther, Thomas; Ji, Qiang - In: Journal of forecasting 43 (2024) 5, pp. 1422-1446

Persistent link: https://www.econbiz.de/10015108396

Locarek-Junge, Hermann; Klein, Tony; Walther, Thomas - In: Das Wirtschaftsstudium : wisu ; Zeitschrift für … 43 (2014) 11, pp. 1348-1354

Persistent link: https://www.econbiz.de/10010436583

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

Oil price volatility forecast with mixture memory GARCH

Klein, Tony; Walther, Thomas - In: Energy economics 58 (2016), pp. 46-58

Persistent link: https://www.econbiz.de/10011698485

Schätzung und Vorhersage "Realisierter Volatilität"

Dudda, Tom; Walther, Thomas; Klein, Tony - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 50 (2021) 4, pp. 19-25

Persistent link: https://www.econbiz.de/10012501879

Reviewing the oil price-GDP growth relationship : a replication study

Charfeddine, Lanouar; Klein, Tony; Walther, Thomas - In: Energy economics 88 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012516222

Exogenous drivers of Bitcoin and Cryptocurrency volatility : a mixed data sampling approach to forecasting

Walther, Thomas; Klein, Tony; Bouri, Elie - In: Journal of international financial markets, … 63 (2019), pp. 1-13

Persistent link: https://www.econbiz.de/10012263290

Bitcoin is not the New Gold : a comparison of volatility, correlation, and portfolio performance

Klein, Tony; Thu, Hien Pham; Walther, Thomas - In: International review of financial analysis 59 (2018), pp. 105-116

Persistent link: https://www.econbiz.de/10012006926

Bitcoin is not the new gold : a comparison of volatility, correlation, and portfolio performance

Klein, Tony; Thu, Hien Pham; Walther, Thomas - 2018

Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the New Gold. This study, however, shows that the two assets could barely be more different. Firstly, we analyze and compare conditional variance properties of Bitcoin and Gold as well as...

Persistent link: https://www.econbiz.de/10011906446

Exogenous drivers of cryptocurrency volatility : a mixed data sampling approach to forecasting

Walther, Thomas; Klein, Tony - 2018

We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized Cryptocurrencies (Bitcoin, Etherium, Litecoin, Ripple, and Stellar) as well as the Cryptocurrency index CRIX. Based on the prediction quality, we determine the most important...

Persistent link: https://www.econbiz.de/10011906495