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

16

DOWNLOADS
Rank 20,095

SSRN RANKINGS

Top 20,095

in Total Papers Downloads

2,319

SSRN RANKINGS

Top 30,691

in Total Papers Citations

7

!

Under construction: SSRN citations will be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information

Scholarly Papers (16)

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 1,040 (19,965)

Abstract:

Loading...

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 185 (160,247)

Abstract:

Loading...

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 156 (186,284)

Abstract:

Loading...

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 (162,662)

Abstract:

Loading...

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 168 (174,682)

Abstract:

Loading...

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 110 (244,077)

Abstract:

Loading...

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 88 (283,012)

Abstract:

Loading...

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 75 (311,490)

Abstract:

Loading...

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 69 (326,223)

Abstract:

Loading...

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 (350,602)

Abstract:

Loading...

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 (350,602)

Abstract:

Loading...

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 44 (402,290)

Abstract:

Loading...

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 39 (420,898)

Abstract:

Loading...

capacity constraints, green paradox, climate change

13.

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 20 (512,365)

Abstract:

Loading...

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

14.

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 18 (523,979)

Abstract:

Loading...

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

15.

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 (616,770)
  • Add to Cart

Abstract:

Loading...

Q28, G13, C19

16.

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 (626,453)
  • Add to Cart

Abstract:

Loading...