Christian Conrad

Heidelberg University - Alfred Weber Institute for Economics

Professor of Econometrics

Bergheimer Strasse 58

Heidelberg, D-69115

Germany

http://www.uni-heidelberg.de/conrad

ETH Zürich - KOF Swiss Economic Institute

Zurich

Switzerland

  • Heidelberg University - Alfred Weber Institute for Economics

    • Email
    • Tel: +49 (06)221 543173

  • ETH Zürich - KOF Swiss Economic Institute

SCHOLARLY PAPERS

33

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164

Scholarly Papers (33)

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1.

Volatility forecasting for low-volatility investing

Number of pages: 54 Posted: 01 Aug 2022 Last Revised: 30 Nov 2023
Christian Conrad, Onno Kleen and Rasmus Lönn
Heidelberg University - Alfred Weber Institute for Economics, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 1,158 (39,268)

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Factor investing, low-volatility allocations, volatility forecasts

2.

Modelling Volatility Cycles: The MF2-GARCH Model

NYU Stern School of Business Forthcoming
Number of pages: 57 Posted: 22 Mar 2021 Last Revised: 23 Jan 2025
Christian Conrad and Robert F. Engle
Heidelberg University - Alfred Weber Institute for Economics and New York University (NYU) - Department of Finance
Downloads 901 (55,983)

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Volatility forecasting, long- and short-term volatility, mixed frequency data, volatility cycles

3.

Two Are Better Than One: Volatility Forecasting Using Multiplicative Component GARCH-MIDAS Models

Journal of Applied Econometrics, Forthcoming
Number of pages: 68 Posted: 21 Mar 2016 Last Revised: 21 Aug 2019
Christian Conrad and Onno Kleen
Heidelberg University - Alfred Weber Institute for Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 898 (56,234)
Citation 26

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Forecast Evaluation, GARCH-MIDAS, Mincer-Zarnowitz Regression, Volatility Persistence, Volatility Component Model, Long-Term Volatility, Model Confidence Set

4.

Long-Term Volatility Shapes the Stock Market's Sensitivity to News

Number of pages: 55 Posted: 28 Nov 2023 Last Revised: 23 May 2024
Christian Conrad, Julius Schoelkopf and Nikoleta Tushteva
Heidelberg University - Alfred Weber Institute for Economics, Heidelberg University - Alfred Weber Institute for Economics and European Central Bank (ECB)
Downloads 544 (108,075)

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Event study, long- and short-term volatility, macroeconomic announcements, stock market response, time-varying risk premia, volatility feedback effect

5.

Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis

Number of pages: 24 Posted: 26 Apr 2018 Last Revised: 11 May 2018
Christian Conrad, Anessa Custovic and Eric Ghysels
Heidelberg University - Alfred Weber Institute for Economics, Cardinal Retirement Planning Inc. and University of North Carolina Kenan-Flagler Business School
Downloads 454 (134,286)
Citation 16

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Baltic dry index, Bitcoin volatility, digital currency, GARCH-MIDAS, pro-cyclical volatility, volume

6.

Anticipating Long-Term Stock Market Volatility

Journal of Applied Econometrics, Forthcoming
Number of pages: 35 Posted: 02 Oct 2012 Last Revised: 30 Apr 2014
Christian Conrad and Karin Loch
Heidelberg University - Alfred Weber Institute for Economics and Heidelberg University - Faculty of Economics and Social Studies
Downloads 427 (144,709)
Citation 10

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Volatility Components, GARCH-MIDAS, Survey Data, Macro Finance Link

7.

On the Macroeconomic Determinants of Long-Term Volatilities and Correlations in U.S. Stock and Crude Oil Markets

Journal of Empirical Finance, Forthcoming
Number of pages: 34 Posted: 14 Mar 2012 Last Revised: 01 May 2014
Christian Conrad, Karin Loch and Daniel Rittler
Heidelberg University - Alfred Weber Institute for Economics, Heidelberg University - Faculty of Economics and Social Studies and Heidelberg University - Alfred Weber Institute for Economics
Downloads 384 (162,919)
Citation 3

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Oil-stock relationship, long-term volatility, long-term correlation, GARCH-MIDAS, DCC-MIDAS

8.

Testing for an Omitted Multiplicative Long-Term Component in GARCH Models

Journal of Business & Economic Statistics, Forthcoming.
Number of pages: 58 Posted: 18 Jul 2015 Last Revised: 15 Jun 2018
Christian Conrad and Melanie Schienle
Heidelberg University - Alfred Weber Institute for Economics and Karlsruhe Institute of Technology (KIT)
Downloads 328 (193,542)
Citation 3

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GARCH-MIDAS, LM test, Long-term Volatility, Volatility Component Models

9.

Non-Negativity Conditions for the Hyperbolic GARCH Model

Journal of Econometrics, Forthcoming, KOF Working Paper No. 162
Number of pages: 40 Posted: 17 May 2007 Last Revised: 04 May 2010
Christian Conrad
Heidelberg University - Alfred Weber Institute for Economics
Downloads 317 (200,634)
Citation 10

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Inequality constraints, fractional integration, long memory GARCH processes

10.

The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Communication

KOF Working Paper No. 174, Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 34 Posted: 25 Sep 2007 Last Revised: 09 May 2013
Christian Conrad, Michael J. Lamla and Michael J. Lamla
Heidelberg University - Alfred Weber Institute for Economics and University of EssexETH Zurich - KOF Swiss Economic Institute
Downloads 311 (204,830)
Citation 11

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Central bank communication, exchange rate, expectations, long memory GARCH processes, monetary policy announcements, Taylor rules.

11.

Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models

University of Heidelberg, Department of Economics, Discussion Paper No. 473
Number of pages: 46 Posted: 31 Jul 2008
Christian Conrad and Enno Mammen
Heidelberg University - Alfred Weber Institute for Economics and University of Mannheim - Department of Economics
Downloads 255 (251,546)
Citation 12

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Specification test, GARCH-M, semiparametric regression, risk premium, ICAPM

12.

Measuring Persistence in Volatility Spillovers

University of Heidelberg, Department of Economics, Discussion Paper No. 543
Number of pages: 28 Posted: 16 Apr 2013
Christian Conrad and Enzo Weber
Heidelberg University - Alfred Weber Institute for Economics and University of Regensburg
Downloads 222 (287,999)
Citation 4

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Multivariate GARCH, spillover, persistence, small and large firms

13.

Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model

Econometric Theory, Forthcoming, KOF Working Papers No. 189
Number of pages: 26 Posted: 21 Mar 2008 Last Revised: 10 Feb 2009
Christian Conrad and Menelaos Karanasos
Heidelberg University - Alfred Weber Institute for Economics and Brunel University London - Economics and Finance
Downloads 218 (293,012)
Citation 7

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Inequality constraints, multivariate GARCH processes, volatility feedback

14.

'Deja Vol' Revisited: Survey Forecasts of Macroeconomic Variables Predict Volatility in the Cross-Section of Industry Portfolios

Number of pages: 58 Posted: 13 Jun 2018 Last Revised: 05 Dec 2018
Christian Conrad and Alexander Glas
Heidelberg University - Alfred Weber Institute for Economics and Friedrich Alexander University Erlangen Nuremberg
Downloads 213 (299,506)
Citation 1

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Realized Volatility, Survey of Professional Forecasters, Forecast Evaluation, Predictive Regressions

15.

On the Economic Determinants of Optimal Stock-Bond Portfolios: International Evidence

Updated version of: University of Heidelberg, Department of Economics, Discussion Paper Series No. 636
Number of pages: 54 Posted: 19 Jul 2017 Last Revised: 11 Dec 2017
Christian Conrad and Karin Stürmer
Heidelberg University - Alfred Weber Institute for Economics and Northwestern University - Kellogg School of Management
Downloads 211 (302,179)
Citation 2

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stock-bond correlation, DCC, DCC-MIDAS, survey data, macro expectations, forecasting, portfolio choice, asset allocation

16.

The Variance Risk Premium and Fundamental Uncertainty

Economics Letters, Forthcoming
Number of pages: 11 Posted: 03 Mar 2015 Last Revised: 15 Jul 2015
Christian Conrad and Karin Loch
Heidelberg University - Alfred Weber Institute for Economics and Heidelberg University - Faculty of Economics and Social Studies
Downloads 204 (312,062)
Citation 5

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Variance risk premium, return predictability, VIX, GARCH-MIDAS, economic uncertainty, vol-of-vol

17.

The Effect of Political Communication on European Financial Markets During the Sovereign Debt Crisis

Journal of Empirical Finance, Forthcoming
Number of pages: 12 Posted: 14 Dec 2012 Last Revised: 03 Jan 2017
Christian Conrad and Klaus Zumbach
Heidelberg University - Alfred Weber Institute for Economics and Heidelberg University - Faculty of Economics and Social Studies
Downloads 192 (329,923)
Citation 2

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Political statements, high-frequency response, austerity measures, joint liability

18.

Modeling the Link between US Inflation and Output: The Importance of the Uncertainty Channel

Scottish Journal of Political Economy, Forthcoming.
Number of pages: 27 Posted: 26 Nov 2010 Last Revised: 07 Aug 2014
Christian Conrad and Menelaos Karanasos
Heidelberg University - Alfred Weber Institute for Economics and Brunel University London - Economics and Finance
Downloads 182 (346,472)
Citation 6

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Bivariate GARCH Process, Volatility Feedback, Inflation Uncertainty, Output Variability

19.

Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A Multi-Country Study

Journal of Empirical Finance, Forthcoming, University of Heidelberg Department of Economics Discussion Paper No. 472
Number of pages: 26 Posted: 31 Jul 2008 Last Revised: 04 May 2010
Christian Conrad, Menelaos Karanasos and Ning Zeng
Heidelberg University - Alfred Weber Institute for Economics, Brunel University London - Economics and Finance and Brunel University London
Downloads 178 (353,471)
Citation 5

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Asymmetric Power ARCH, Fractional integration, Stock returns, Volatility forecast evaluation

20.

Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency

Downloads 161 (385,580)
Citation 8

Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency

University of Heidelberg, Department of Economics, Discussion Paper No. 497
Number of pages: 27 Posted: 15 Mar 2010
Christian Conrad, Daniel Rittler and Waldemar Rotfuss
Heidelberg University - Alfred Weber Institute for Economics, Heidelberg University - Alfred Weber Institute for Economics and ZEW – Leibniz Centre for European Economic Research
Downloads 94 (587,311)
Citation 5

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EU ETS, EUA, Second NAPs, Announcement Effects, Price Formation, Long Memory

Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency

Energy Economics, Forthcoming, ZEW - Centre for European Economic Research Discussion Paper No. 10-038
Number of pages: 31 Posted: 15 Jun 2010 Last Revised: 27 Feb 2011
Christian Conrad, Daniel Rittler and Waldemar Rotfuss
Heidelberg University - Alfred Weber Institute for Economics, Heidelberg University - Alfred Weber Institute for Economics and ZEW – Leibniz Centre for European Economic Research
Downloads 67 (717,028)
Citation 3

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EU ETS, EUA, Announcement Effects, Price Formation, Long Memory

21.

Explaining Inflation-Gap Persistence by a Time-Varying Taylor Rule

Journal of Macroeconomics, Forthcoming, University of Heidelberg, Department of Economics, Discussion Paper No. 521
Number of pages: 20 Posted: 07 Nov 2010 Last Revised: 01 Mar 2012
Christian Conrad and Thomas A. Eife
Heidelberg University - Alfred Weber Institute for Economics and Heidelberg University - Alfred Weber Institute for Economics
Downloads 155 (398,358)

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inflation persistence, Great Moderation, monetary policy, New Keynesian model, Taylor rule

22.

Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: The UECCC GARCH Model

University of Heidelberg Department of Economics Discussion Paper No. 475
Number of pages: 8 Posted: 05 Oct 2008
Christian Conrad and Menelaos Karanasos
Heidelberg University - Alfred Weber Institute for Economics and Brunel University London - Economics and Finance
Downloads 144 (422,908)
Citation 3

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Bivariate GARCH process, negative volatility feedback, inflation uncertainty, output variability

23.

Asymptotics for Parametric GARCH-in-Mean Models

Journal of Econometrics, Forthcoming
Number of pages: 26 Posted: 10 Feb 2015 Last Revised: 03 Jan 2017
Christian Conrad and Enno Mammen
Heidelberg University - Alfred Weber Institute for Economics and University of Mannheim - Department of Economics
Downloads 131 (455,958)
Citation 2

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GARCH-in-Mean, stochastic recurrence equations, risk-return relationship

24.

The Role of Information and Experience for Households' Inflation Expectations

Downloads 114 (507,541)
Citation 25

The Role of Information and Experience for Households' Inflation Expectations

Deutsche Bundesbank Discussion Paper No. 07/2021
Number of pages: 33 Posted: 30 Mar 2021
Christian Conrad, Zeno Enders and Alexander Glas
Heidelberg University - Alfred Weber Institute for Economics, University of Heidelberg and Friedrich Alexander University Erlangen Nuremberg
Downloads 61 (753,116)
Citation 24

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The Role of Information and Experience for Households' Inflation Expectations

CESifo Working Paper No. 8528
Number of pages: 34 Posted: 15 Sep 2020
Christian Conrad, Zeno Enders and Alexander Glas
Heidelberg University - Alfred Weber Institute for Economics, University of Heidelberg and Friedrich Alexander University Erlangen Nuremberg
Downloads 53 (807,357)
Citation 1

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household expectations, inflation expectations, information channels, experience, Bundesbank household survey

25.

Heterogeneous Expectations among Professional Forecasters

Downloads 109 (524,582)
Citation 1

Heterogeneous Expectations among Professional Forecasters

Number of pages: 35 Posted: 20 Dec 2023 Last Revised: 16 Sep 2024
Christian Conrad and Kajal Lahiri
Heidelberg University - Alfred Weber Institute for Economics and State University of New York (SUNY) at Albany
Downloads 65 (728,741)
Citation 1

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disagreement, expectations, forecasts, rationality, survey data

Heterogeneous Expectations among Professional Forecasters

ZEW - Centre for European Economic Research Discussion Paper No. 62
Number of pages: 22 Posted: 22 Dec 2023
Christian Conrad and Kajal Lahiri
Heidelberg University - Alfred Weber Institute for Economics and State University of New York (SUNY) at Albany
Downloads 44 (878,920)

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disagreement, expectations, forecasts, rationality, survey data

26.

The European Commission and EUA Prices: A High-Frequency Analysis of the EC's Decisions on Second NAPs

EFA 2009 Bergen Meetings Paper, ZEW - Centre for European Economic Research Discussion Paper No. 09-045
Number of pages: 11 Posted: 12 Feb 2009 Last Revised: 21 Sep 2009
Waldemar Rotfuss, Christian Conrad and Daniel Rittler
ZEW – Leibniz Centre for European Economic Research, Heidelberg University - Alfred Weber Institute for Economics and Heidelberg University - Alfred Weber Institute for Economics
Downloads 100 (558,230)
Citation 1

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EU ETS, Price Formation, European Union Allowance (EUA), European Commission

27.

On the determinants of long-run inflation uncertainty: Evidence from a panel of 17 developed economies

European Journal of Political Economy, Forthcoming. A preliminary version of this paper circulated under the title "Cross-Sectional Evidence on the Relation between Macroeconomic Conditions, Stock Market Volatility, Monetary Policy, and Low-Frequency Inflation Uncertainty".
Number of pages: 48 Posted: 18 Oct 2014 Last Revised: 24 Sep 2018
Christian Conrad and Matthias Hartmann
Heidelberg University - Alfred Weber Institute for Economics and Alfred-Weber-Institut
Downloads 88 (605,316)
Citation 1

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Inflation uncertainty, Central banking, Spline-GARCH

28.

The Role of Information and Experience for Households’ Inflation Expectations

CESifo Working Paper Series No. 8528
Number of pages: 25 Posted: 27 Nov 2020
Christian Conrad, Zeno Enders and Alexander Glas
Heidelberg University - Alfred Weber Institute for Economics, University of Heidelberg and Friedrich Alexander University Erlangen Nuremberg
Downloads 38 (909,974)

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Household expectations, inflation expectations, information channels, experience, Bundesbank household survey

29.

The Link between Macroeconomic Performance and Variability in the UK

Economics Letters, Vol. 106, No. 3, pp. 154-157, 2010
Posted: 15 Mar 2010 Last Revised: 04 May 2010
Christian Conrad, Menelaos Karanasos and Ning Zeng
Heidelberg University - Alfred Weber Institute for Economics, Brunel University London - Economics and Finance and Brunel University London

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Inflation, Macroeconomic performance, Output growth, Stochastic volatility

30.

Inequality Constraints in the Fractionally Integrated Garch Model

Journal of Financial Econometrics, Vol. 4, Issue 3, pp. 413-449, 2006
Posted: 29 Feb 2008
Christian Conrad and Berthold R. Haag
Heidelberg University - Alfred Weber Institute for Economics and University of Mannheim

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inequality constraints, long-memory and fractionally integrated GARCH processes

31.

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, Vol. 4, Article 5, 2005
Posted: 26 Sep 2006
Christian Conrad and Menelaos Karanasos
Heidelberg University - Alfred Weber Institute for Economics and University of York - Department of Economics and Related Studies

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Central bank independence, dual long memory, Euro area, Granger-causality tests, macroeconomic performance, monetary policy

32.

On the Inflation-Uncertainty Hypothesis in the USA, Japan and the UK: A Dual Long Memory Approach

Japan and the World Economy, Vol. 17, pp. 327-343, 2005
Posted: 15 Sep 2006
Christian Conrad and Menelaos Karanasos
Heidelberg University - Alfred Weber Institute for Economics and University of York - Department of Economics and Related Studies

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Inflation, Nominal uncertainty, Dual long memory, Granger-causality

33.

The Impulse Response Function of the Long Memory GARCH Process

Economics Letters, Vol. 90, pp. 34-41, 2006
Posted: 07 Sep 2006
Christian Conrad and Menelaos Karanasos
Heidelberg University - Alfred Weber Institute for Economics and University of York - Department of Economics and Related Studies

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Cumulative impulse response function, long memory GARCH process