Marc Gronwald

University of Aberdeen

Dunbar Street

Aberdeen, Scotland AB24 3QY

United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Marc Gronwald

Poschinger Str. 5

Munich, DE-81679

Germany

SCHOLARLY PAPERS

17

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2,414

SSRN CITATIONS
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Scholarly Papers (17)

1.

The Economics of Bitcoins -- Market Characteristics and Price Jumps

CESifo Working Paper Series No. 5121
Number of pages: 12 Posted: 14 Jan 2015
Marc Gronwald
University of Aberdeen
Downloads 1,075 (19,443)

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bitcoins, jump models, commodity pricing

The Undisclosed Renminbi Basket: Are the Markets Telling us Something About Where the Renminbi-US Dollar Exchange Rate is Going?

BOFIT Discussion Paper No. 20/2007
Number of pages: 27 Posted: 06 Nov 2007 Last Revised: 14 Apr 2009
Michael Funke and Marc Gronwald
University of Hamburg - Department of Economics and University of Aberdeen
Downloads 187 (161,585)

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China, renminbi, de facto exchange rate regime, TV-AR model, TV-AR-GARCH model

The Undisclosed Renminbi Basket: Are the Markets Telling Us Something About Where the Renminbi-US Dollar Exchange Rate is Going?

CESifo Working Paper Series No. 2272
Number of pages: 24 Posted: 10 Apr 2008
Michael Funke and Marc Gronwald
University of Hamburg - Department of Economics and University of Aberdeen
Downloads 157 (188,546)

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China, renminbi, de facto exchange rate regime, TV-AR model, TV-AR-GARCH model

3.

Evaluating Emission Trading as a Policy Tool - Evidence from Conditional Jump Models

CESifo Working Paper Series No. 2682
Number of pages: 15 Posted: 29 Jun 2009
Marc Gronwald and Janina Ketterer
University of Aberdeen and CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute
Downloads 182 (165,635)

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emission allowance prices, jumps, GARCH, real options

4.

The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis

CESifo Working Paper Series No. 3418
Number of pages: 39 Posted: 27 Apr 2011
Marc Gronwald, Janina Ketterer and Stefan Trück
University of Aberdeen, CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 173 (173,272)

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CO2 emission trading, commodity markets, copula models, dependence structure

5.

Oil Price Systemic Risk for the Oil and Gas Industry: A Copula-CoVaR Approach

Number of pages: 48 Posted: 13 Jul 2017 Last Revised: 16 Aug 2017
Jingzhen Liu and Marc Gronwald
University of Aberdeen - Business School and University of Aberdeen
Downloads 114 (242,155)

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Stock prices, Copula, Spillover, Systemic risk, Oil and gas

6.

What Moves the European Carbon Market? - Insights from Conditional Jump Models

CESifo Working Paper Series No. 3795
Number of pages: 30 Posted: 26 Apr 2012
Marc Gronwald and Janina Ketterer
University of Aberdeen and CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute
Downloads 89 (286,043)

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emission allowance prices, GARCH, jumps, jump-induced variance

7.

Investigating the U.S. Oil-Macroeconomy Nexus Using Rolling Impulse Responses

CESifo Working Paper Series No. 2702
Number of pages: 29 Posted: 14 Jul 2009
Marc Gronwald
University of Aberdeen
Downloads 76 (314,766)

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oil price, vector autoregressions, rolling impulse responses, Great Moderation

8.

A Convex Hull Approach to Counterfactual Analysis of Trade Openness and Growth

CESifo Working Paper Series No. 2692
Number of pages: 22 Posted: 06 Jul 2009
Michael Funke and Marc Gronwald
University of Hamburg - Department of Economics and University of Aberdeen
Downloads 70 (329,617)

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openness, economic growth, robustness, counterfactuals, convex hull

9.

Explosive Oil Prices

CESifo Working Paper Series No. 4376
Number of pages: 14 Posted: 04 Sep 2013
Marc Gronwald
University of Aberdeen
Downloads 60 (356,986)
Citation 1

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oil prices, explosiveness, uncertainty, real options, climate change, speculative demand shocks

10.

A Characterization of Oil Price Behavior - Evidence from Jump Models

CESifo Working Paper Series No. 3644
Number of pages: 28 Posted: 30 Nov 2011
Marc Gronwald
University of Aberdeen
Downloads 60 (356,986)

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oil price, conditional jumps, GARCH, Hotelling, climate change, deterministic trend

11.

Explaining the EUA-CER Spread

CESifo Working Paper Series No. 5795
Number of pages: 30 Posted: 13 Apr 2016
Marc Gronwald and Beat Hintermann
University of Aberdeen and University of Maryland - Department of Agricultural & Resource Economics
Downloads 45 (406,077)

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EU ETS, clean development mechanism, offset demand, EUA-CER spread

12.

Simultaneous Supplies of Dirty and Green Fuels with Capacity Constraint: Is There a Green Paradox?

CESifo Working Paper Series No. 4360
Number of pages: 46 Posted: 29 Aug 2013
Marc Gronwald, Ngo Van Long and Luise Ropke
University of Aberdeen, McGill University - Department of Economics and CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute
Downloads 40 (424,848)

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capacity constraints, green paradox, climate change

13.

Another Look at Cryptocurrency Bubbles

CESifo Working Paper No. 7743
Number of pages: 15 Posted: 25 Jul 2019
Marc Gronwald
University of Aberdeen
Downloads 31 (463,107)

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cryptocurrencies, bubbles, bitcoin, Etherum, fundamental value, intrinsic value, fiat money

14.

How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market

CESifo Working Paper Series No. 7102
Number of pages: 32 Posted: 09 Aug 2018
Cristina Sattarhoff and Marc Gronwald
University of Hamburg - Faculty of Business Administration and University of Aberdeen
Downloads 29 (472,786)

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market efficiency, multifractality, multifractal random walk, European Union Emissions Trading Scheme

15.

Diversification Power of Real Estate Market Securities: The Role of Financial Crisis and Dividend Policy

CESifo Working Paper Series No. 7015
Number of pages: 48 Posted: 12 Jul 2018
Metin Ilbasmis, Marc Gronwald and Zhao Yuan Jun
University of Aberdeen, University of Aberdeen and Donghua University
Downloads 21 (516,729)

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REITs, Equity, Correlations, DCC-GARCH, Deterministic Trend, Dividend Policy

16.

The Relationship between Carbon, Commodity and Financial Markets: A Copula Analysis

Economic Record, Vol. 87, pp. 105-124, 2011
Number of pages: 20 Posted: 22 Aug 2011
Marc Gronwald, Janina Ketterer and Stefan Trück
University of Aberdeen, CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 3 (630,670)
Citation 2
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Q28, G13, C19

17.

The Undisclosed Renminbi Basket: Are the Markets Telling Us Something about Where the Renminbius Dollar Exchange Rate is Going?

World Economy, Vol. 31, Issue 12, pp. 1581-1598, December 2008
Number of pages: 18 Posted: 10 Dec 2008
Michael Funke and Marc Gronwald
University of Hamburg - Department of Economics and University of Aberdeen
Downloads 2 (640,469)
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