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

  • University of Aberdeen

  • CESifo (Center for Economic Studies and Ifo Institute)

SCHOLARLY PAPERS

16

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Rank 24,662

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4,417

TOTAL CITATIONS
Rank 35,244

SSRN RANKINGS

Top 35,244

in Total Papers Citations

56

Scholarly Papers (16)

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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 1,831 (20,123)
Citation 39

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bitcoins, jump models, commodity pricing

2.

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

Downloads 448 (138,488)
Citation 1

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 263 (245,839)
Citation 1

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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 185 (345,919)

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

3.

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 276 (235,598)

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

4.

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 263 (247,469)

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

5.

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 219 (296,299)

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emission allowance prices, jumps, GARCH, real options

6.

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 176 (362,607)
Citation 2

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

7.

Another Look at Cryptocurrency Bubbles

CESifo Working Paper No. 7743
Number of pages: 15 Posted: 25 Jul 2019
Marc Gronwald
University of Aberdeen
Downloads 174 (366,271)
Citation 1

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

8.

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 Kiel and University of Aberdeen
Downloads 164 (387,663)
Citation 4

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

9.

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 154 (406,989)

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

10.

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 Yuan Zhao
Metin Ilbasmis, University of Aberdeen and University of Reading
Downloads 145 (427,373)

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

11.

Connectedness between the Crude Oil Futures and Equity Markets During the Pre- and Post-Financialisation Eras

CESifo Working Paper No. 9202
Number of pages: 91 Posted: 26 Jul 2021
Sania Wadud, Robert B. B. Durand and Marc Gronwald
University of Aberdeen - Business School, Curtin University of Technology - School of Economics and Finance - Department of Finance and Banking and University of Aberdeen
Downloads 104 (552,739)
Citation 2

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12.

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 104 (552,739)

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openness, economic growth, robustness, counterfactuals, convex hull

13.

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 102 (560,633)
Citation 3

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

14.

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 92 (599,917)
Citation 1

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

15.

Explosive Oil Prices

CESifo Working Paper Series No. 4376
Number of pages: 14 Posted: 04 Sep 2013
Marc Gronwald
University of Aberdeen
Downloads 89 (612,316)
Citation 1

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

16.

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 76 (671,788)
Citation 2

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capacity constraints, green paradox, climate change