Essays on Financial Econometrics: With Applications to Commodity, Equity, and Foreign Exchange Markets

Research output: Thesis › Doctoral thesis 3 (Research UU / Graduation NOT UU)

Original language	English
Qualification	Doctor of Philosophy
Awarding Institution	Technische Universität Dresden
Supervisors/Advisors	Locarek-Junge, Hermann, Primary supervisor, External person Schipp, Bernahrd, Co-supervisor, External person
Award date	14 Nov 2017
DOIs	https://doi.org/10.13140/RG.2.2.27680.48641
Publication status	Published - Nov 2017
Externally published	Yes

Access to Document

Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH
Bui Quang, P., Klein, T., Nguyen, N. H. & Walther, T., 2018, In: Journal of Risk and Financial Management. 11, 2, 20 p., 18.
Research output: Contribution to journal › Article › Academic › peer-review

Open Access
Expected Shortfall in the Presence of Asymmetry and Long Memory: An Application to Vietnamese Stock Markets
Walther, T., 2017, In: Pacific Accounting Review. 29, 2, p. 132-151
Research output: Contribution to journal › Article › Academic › peer-review
Fast Fractional Differencing in Modeling Long Memory of Conditional Variance for High-Frequency Data
Klein, T. & Walther, T., 2017, In: Finance Research Letters. 22, p. 274-279
Research output: Contribution to journal › Article › Academic › peer-review
True or Spurious Long Memory in European Non-EMU Currencies
Walther, T., Klein, T., Pham Thu, H. & Piontek, K., 2017, In: Research in International Business and Finance. 40, p. 217-230
Research output: Contribution to journal › Article › Academic › peer-review
Evidence of long memory and asymmetry in the EUR/PLN exchange rate volatility
Klein, T., Pham Thu, H. & Walther, T., 2016, In: Research Papers of Wrocław University of Economics. 428, p. 128-140
Research output: Contribution to journal › Article › Academic › peer-review

Open Access
File

@phdthesis{cc9b16f98e834097903bc0e6600fb0f8,

title = "Essays on Financial Econometrics: With Applications to Commodity, Equity, and Foreign Exchange Markets",

author = "T. Walther",

year = "2017",

month = nov,

doi = "10.13140/RG.2.2.27680.48641",

language = "English",

type = "Doctoral thesis 3 (Research UU / Graduation NOT UU)",

school = "Technische Universit{\"a}t Dresden",

}