Details about Christian Conrad

Access statistics for papers by Christian Conrad.

Last updated 2025-01-06. Update your information in the RePEc Author Service.

Short-id: pco229

Working Papers

2024

1. Die Grenzen der EZB-Prognosen
   Working Papers, University of Heidelberg, Department of Economics
2. Heterogeneous Expectations among Professional Forecasters
   Working Papers, University of Heidelberg, Department of Economics
   Also in ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research (2023) View citations (1)

2023

3. Long-Term Volatility Shapes the Stock Market’s Sensitivity to News
   Working Paper series, Rimini Centre for Economic Analysis
   Also in Working Papers, University of Heidelberg, Department of Economics (2023)

2021

4. Modelling Volatility Cycles: The (MF)2 GARCH Model
   Working Paper series, Rimini Centre for Economic Analysis
5. The role of information and experience for households' inflation expectations
   Discussion Papers, Deutsche Bundesbank View citations (2)
   Also in Working Paper series, Rimini Centre for Economic Analysis (2021) View citations (2)
   CESifo Working Paper Series, CESifo (2020) View citations (5)
   Working Papers, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin (2020) View citations (5)
   See also Journal Article The role of information and experience for households’ inflation expectations, European Economic Review, Elsevier (2022) View citations (36) (2022)

2019

6. Testing for an omitted multiplicative long-term component in GARCH models
   Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management View citations (5)
   See also Journal Article Testing for an Omitted Multiplicative Long-Term Component in GARCH Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2020) View citations (7) (2020)

2018

7. ‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios
   Working Papers, University of Heidelberg, Department of Economics

2017

8. On the economic determinants of optimal stock-bond portfolios: international evidence
   Working Papers, University of Heidelberg, Department of Economics View citations (3)
9. When does information on forecast variance improve the performance of a combined forecast?
   VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking, Verein für Socialpolitik / German Economic Association

2016

10. Macroeconomic expectations and the time-varying stock-bond correlation: international evidence
    VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association View citations (3)
11. On the statistical properties of multiplicative GARCH models
    Working Papers, University of Heidelberg, Department of Economics

2015

12. Asymptotics for parametric GARCH-in-Mean Models
    Working Papers, University of Heidelberg, Department of Economics View citations (4)
    See also Journal Article Asymptotics for parametric GARCH-in-Mean models, Journal of Econometrics, Elsevier (2016) View citations (9) (2016)
13. Misspecification Testing in GARCH-MIDAS Models
    VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association View citations (1)
14. Misspecification Testing in GARCH-MIDAS Models
    Working Papers, University of Heidelberg, Department of Economics View citations (1)
15. The Variance Risk Premium and Fundamental Uncertainty
    Working Papers, University of Heidelberg, Department of Economics View citations (16)
    See also Journal Article The variance risk premium and fundamental uncertainty, Economics Letters, Elsevier (2015) View citations (16) (2015)

2014

16. Cross sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty
    VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association View citations (5)
    Also in Working Papers, University of Heidelberg, Department of Economics (2014) View citations (5)

2013

17. Measuring Persistence in Volatility Spillovers
    University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics View citations (7)
    Also in Working Papers, University of Heidelberg, Department of Economics (2013) View citations (7)
    VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association (2013) View citations (7)

2012

18. Anticipating Long-Term Stock Market Volatility
    Working Papers, University of Heidelberg, Department of Economics View citations (3)
    See also Journal Article Anticipating Long‐Term Stock Market Volatility, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (96) (2015)
19. Explaining Inflation-Gap Persistence by a Time-Varying Taylor Rule
    Working Papers, University of Heidelberg, Department of Economics View citations (15)
    See also Journal Article Explaining inflation-gap persistence by a time-varying Taylor rule, Journal of Macroeconomics, Elsevier (2012) View citations (18) (2012)
20. On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation
    Working Papers, University of Heidelberg, Department of Economics View citations (9)
21. The Effect of Political Communication on European Financial Markets during the Sovereign Debt Crisis
    Working Papers, University of Heidelberg, Department of Economics
    See also Journal Article The effect of political communication on European financial markets during the sovereign debt crisis, Journal of Empirical Finance, Elsevier (2016) View citations (9) (2016)

2010

22. Explaining Inflation Persistence by a Time-Varying Taylor Rule
    Working Papers, University of Heidelberg, Department of Economics
23. Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency
    Working Papers, University of Heidelberg, Department of Economics View citations (12)
    Also in ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research (2010) View citations (13)
    See also Journal Article Modeling and explaining the dynamics of European Union Allowance prices at high-frequency, Energy Economics, Elsevier (2012) View citations (82) (2012)
24. Modeling the link between US inflation and output: the importance of the uncertainty channel
    Working Papers, University of Heidelberg, Department of Economics
    See also Journal Article Modelling the Link Between US Inflation and Output: The Importance of the Uncertainty Channel, Scottish Journal of Political Economy, Scottish Economic Society (2015) View citations (10) (2015)

2009

25. The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs
    ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research View citations (5)

2008

26. Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model
    KOF Working papers, KOF Swiss Economic Institute, ETH Zurich View citations (2)
    See also Journal Article NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL, Econometric Theory, Cambridge University Press (2010) View citations (45) (2010)

2007

27. Non-negativity Conditions for the Hyperbolic GARCH Model
    KOF Working papers, KOF Swiss Economic Institute, ETH Zurich View citations (8)
    See also Journal Article Non-negativity conditions for the hyperbolic GARCH model, Journal of Econometrics, Elsevier (2010) View citations (36) (2010)
28. The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Monetary Policy Announcements
    KOF Working papers, KOF Swiss Economic Institute, ETH Zurich View citations (21)

Journal Articles

2022

1. The role of information and experience for households’ inflation expectations
   European Economic Review, 2022, 143, (C) View citations (36)
   See also Working Paper The role of information and experience for households' inflation expectations, Discussion Papers (2021) View citations (2) (2021)

2020

2. Testing for an Omitted Multiplicative Long-Term Component in GARCH Models
   Journal of Business & Economic Statistics, 2020, 38, (2), 229-242 View citations (7)
   See also Working Paper Testing for an omitted multiplicative long-term component in GARCH models, Working Paper Series in Economics (2019) View citations (5) (2019)
3. Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models
   Journal of Applied Econometrics, 2020, 35, (1), 19-45 View citations (60)

2019

4. On the determinants of long-run inflation uncertainty: Evidence from a panel of 17 developed economies
   European Journal of Political Economy, 2019, 56, (C), 233-250 View citations (11)

2018

5. Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis
   JRFM, 2018, 11, (2), 1-12 View citations (96)

2016

6. Asymptotics for parametric GARCH-in-Mean models
   Journal of Econometrics, 2016, 194, (2), 319-329 View citations (9)
   See also Working Paper Asymptotics for parametric GARCH-in-Mean Models, Working Papers (2015) View citations (4) (2015)
7. The effect of political communication on European financial markets during the sovereign debt crisis
   Journal of Empirical Finance, 2016, 39, (PB), 209-214 View citations (9)
   See also Working Paper The Effect of Political Communication on European Financial Markets during the Sovereign Debt Crisis, Working Papers (2012) (2012)

2015

8. Anticipating Long‐Term Stock Market Volatility
   Journal of Applied Econometrics, 2015, 30, (7), 1090-1114 View citations (96)
   See also Working Paper Anticipating Long-Term Stock Market Volatility, Working Papers (2012) View citations (3) (2012)
9. Modelling the Link Between US Inflation and Output: The Importance of the Uncertainty Channel
   Scottish Journal of Political Economy, 2015, 62, (5), 431-453 View citations (10)
   See also Working Paper Modeling the link between US inflation and output: the importance of the uncertainty channel, Working Papers (2010) (2010)
10. On the Transmission of Memory in Garch-in-Mean Models
    Journal of Time Series Analysis, 2015, 36, (5), 706-720 View citations (5)
11. The variance risk premium and fundamental uncertainty
    Economics Letters, 2015, 132, (C), 56-60 View citations (16)
    See also Working Paper The Variance Risk Premium and Fundamental Uncertainty, Working Papers (2015) View citations (16) (2015)

2014

12. On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets
    Journal of Empirical Finance, 2014, 29, (C), 26-40 View citations (112)

2012

13. Explaining inflation-gap persistence by a time-varying Taylor rule
    Journal of Macroeconomics, 2012, 34, (2), 419-428 View citations (18)
    See also Working Paper Explaining Inflation-Gap Persistence by a Time-Varying Taylor Rule, Working Papers (2012) View citations (15) (2012)
14. Modeling and explaining the dynamics of European Union Allowance prices at high-frequency
    Energy Economics, 2012, 34, (1), 316-326 View citations (82)
    See also Working Paper Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency, Working Papers (2010) View citations (12) (2010)

2011

15. Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study
    Journal of Empirical Finance, 2011, 18, (1), 147-159 View citations (56)

2010

16. NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL
    Econometric Theory, 2010, 26, (3), 838-862 View citations (45)
    See also Working Paper Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model, KOF Working papers (2008) View citations (2) (2008)
17. Non-negativity conditions for the hyperbolic GARCH model
    Journal of Econometrics, 2010, 157, (2), 441-457 View citations (36)
    See also Working Paper Non-negativity Conditions for the Hyperbolic GARCH Model, KOF Working papers (2007) View citations (8) (2007)
18. The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication
    Journal of Money, Credit and Banking, 2010, 42, (7), 1391-1417 View citations (84)
    Also in Journal of Money, Credit and Banking, 2010, 42, (7), 1391-1417 (2010) View citations (27)
19. The link between macroeconomic performance and variability in the UK
    Economics Letters, 2010, 106, (3), 154-157 View citations (17)

2007

20. An den Lippen der EZB – Der KOF Monetary Policy Communicator
    KOF Analysen, 2007, 1, (4), 33-45 View citations (1)

2006

21. Inequality Constraints in the Fractionally Integrated GARCH Model
    Journal of Financial Econometrics, 2006, 4, (3), 413-449 View citations (77)
22. The impulse response function of the long memory GARCH process
    Economics Letters, 2006, 90, (1), 34-41 View citations (18)

2005

23. Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (4), 38 View citations (39)
24. On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach
    Japan and the World Economy, 2005, 17, (3), 327-343 View citations (78)