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Details about Christian Conrad

E-mail:
Homepage:http://www.uni-heidelberg.de/conrad
Phone:+49 (0)6221 54 3173
Workplace:Alfred-Weber-Institut für Wirtschaftswissenschaften (Alfred Weber Institute for Economics and Department of Economics), Fakultät für Wirtschafts- und Sozialwissenschaften (Faculty of Economics and Social Studies), Ruprecht-Karls-Universität Heidelberg (University of Heidelberg), (more information at EDIRC)

Access statistics for papers by Christian Conrad.

Last updated 2019-03-22. Update your information in the RePEc Author Service.

Short-id: pco229


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Working Papers

2019

  1. 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 Business Engineering Downloads View citations (3)

2018

  1. ‘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 Downloads

2017

  1. On the economic determinants of optimal stock-bond portfolios: international evidence
    Working Papers, University of Heidelberg, Department of Economics Downloads View citations (1)
  2. When does information on forecast variance improve the performance of a combined forecast?
    Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking, Verein für Socialpolitik / German Economic Association Downloads

2016

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

2015

  1. Asymptotics for parametric GARCH-in-Mean Models
    Working Papers, University of Heidelberg, Department of Economics Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2016)
  2. Misspecification Testing in GARCH-MIDAS Models
    Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association Downloads View citations (1)
  3. Misspecification Testing in GARCH-MIDAS Models
    Working Papers, University of Heidelberg, Department of Economics Downloads View citations (1)
  4. The Variance Risk Premium and Fundamental Uncertainty
    Working Papers, University of Heidelberg, Department of Economics Downloads View citations (7)
    See also Journal Article in Economics Letters (2015)

2014

  1. Cross sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty
    Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association Downloads View citations (3)
    Also in Working Papers, University of Heidelberg, Department of Economics (2014) Downloads View citations (4)

2013

  1. Measuring Persistence in Volatility Spillovers
    Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association Downloads View citations (5)
    Also in University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics (2013) Downloads View citations (6)
    Working Papers, University of Heidelberg, Department of Economics (2013) Downloads View citations (5)

2012

  1. Anticipating Long-Term Stock Market Volatility
    Working Papers, University of Heidelberg, Department of Economics Downloads View citations (3)
    See also Journal Article in Journal of Applied Econometrics (2015)
  2. Explaining Inflation-Gap Persistence by a Time-Varying Taylor Rule
    Working Papers, University of Heidelberg, Department of Economics Downloads View citations (11)
    See also Journal Article in Journal of Macroeconomics (2012)
  3. On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation
    Working Papers, University of Heidelberg, Department of Economics Downloads View citations (6)
  4. The Effect of Political Communication on European Financial Markets during the Sovereign Debt Crisis
    Working Papers, University of Heidelberg, Department of Economics Downloads
    See also Journal Article in Journal of Empirical Finance (2016)

2010

  1. Explaining Inflation Persistence by a Time-Varying Taylor Rule
    Working Papers, University of Heidelberg, Department of Economics Downloads
  2. Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency
    Working Papers, University of Heidelberg, Department of Economics Downloads View citations (10)
    Also in ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research (2010) Downloads View citations (11)

    See also Journal Article in Energy Economics (2012)
  3. Modeling the link between US inflation and output: the importance of the uncertainty channel
    Working Papers, University of Heidelberg, Department of Economics Downloads
    See also Journal Article in Scottish Journal of Political Economy (2015)

2009

  1. 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 Downloads View citations (5)

2008

  1. Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: the UECCC GARCH Model
    Working Papers, University of Heidelberg, Department of Economics Downloads View citations (2)
  2. Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study
    Working Papers, University of Heidelberg, Department of Economics Downloads View citations (3)
    See also Journal Article in Journal of Empirical Finance (2011)
  3. Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model
    KOF Working papers, KOF Swiss Economic Institute, ETH Zurich Downloads View citations (2)
    See also Journal Article in Econometric Theory (2010)
  4. Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models
    Working Papers, University of Heidelberg, Department of Economics Downloads View citations (7)

2007

  1. Non-negativity Conditions for the Hyperbolic GARCH Model
    KOF Working papers, KOF Swiss Economic Institute, ETH Zurich Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2010)
  2. 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 Downloads View citations (11)

Journal Articles

2019

  1. 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 Downloads View citations (2)

2018

  1. Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis
    Journal of Risk and Financial Management, 2018, 11, (2), 1-12 Downloads View citations (5)

2016

  1. Asymptotics for parametric GARCH-in-Mean models
    Journal of Econometrics, 2016, 194, (2), 319-329 Downloads View citations (2)
    See also Working Paper (2015)
  2. The effect of political communication on European financial markets during the sovereign debt crisis
    Journal of Empirical Finance, 2016, 39, (PB), 209-214 Downloads View citations (2)
    See also Working Paper (2012)

2015

  1. Anticipating Long‐Term Stock Market Volatility
    Journal of Applied Econometrics, 2015, 30, (7), 1090-1114 Downloads View citations (20)
    See also Working Paper (2012)
  2. Modelling the Link Between US Inflation and Output: The Importance of the Uncertainty Channel
    Scottish Journal of Political Economy, 2015, 62, (5), 431-453 Downloads View citations (4)
    See also Working Paper (2010)
  3. On the Transmission of Memory in Garch-in-Mean Models
    Journal of Time Series Analysis, 2015, 36, (5), 706-720 Downloads View citations (2)
  4. The variance risk premium and fundamental uncertainty
    Economics Letters, 2015, 132, (C), 56-60 Downloads View citations (7)
    See also Working Paper (2015)

2014

  1. 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 Downloads View citations (30)

2012

  1. Explaining inflation-gap persistence by a time-varying Taylor rule
    Journal of Macroeconomics, 2012, 34, (2), 419-428 Downloads View citations (12)
    See also Working Paper (2012)
  2. Modeling and explaining the dynamics of European Union Allowance prices at high-frequency
    Energy Economics, 2012, 34, (1), 316-326 Downloads View citations (49)
    See also Working Paper (2010)

2011

  1. Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study
    Journal of Empirical Finance, 2011, 18, (1), 147-159 Downloads View citations (41)
    See also Working Paper (2008)

2010

  1. NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL
    Econometric Theory, 2010, 26, (03), 838-862 Downloads View citations (28)
    See also Working Paper (2008)
  2. Non-negativity conditions for the hyperbolic GARCH model
    Journal of Econometrics, 2010, 157, (2), 441-457 Downloads View citations (25)
    See also Working Paper (2007)
  3. The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication
    Journal of Money, Credit and Banking, 2010, 42, (7), 1391-1417 Downloads View citations (47)
  4. The link between macroeconomic performance and variability in the UK
    Economics Letters, 2010, 106, (3), 154-157 Downloads View citations (10)

2007

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

2006

  1. Inequality Constraints in the Fractionally Integrated GARCH Model
    Journal of Financial Econometrics, 2006, 4, (3), 413-449 Downloads View citations (60)
  2. The impulse response function of the long memory GARCH process
    Economics Letters, 2006, 90, (1), 34-41 Downloads View citations (13)

2005

  1. 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), 1-38 Downloads View citations (23)
  2. 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 Downloads View citations (60)
 
Page updated 2019-05-18