Christian Conrad

Heidelberg University - Alfred Weber Institute for Economics

Grabengasse 14

Heidelberg, D-69117

Germany

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

ETH Zürich - KOF Swiss Economic Institute

Zurich

Switzerland

  • Heidelberg University - Alfred Weber Institute for Economics

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    • Tel: +49 (06)221 543173

  • ETH Zürich - KOF Swiss Economic Institute

SCHOLARLY PAPERS

32

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Scholarly Papers (32)

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1.

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 720 (50,389)
Citation 12

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

2.

Modelling Volatility Cycles: The MF2-GARCH Model

NYU Stern School of Business Forthcoming
Number of pages: 52 Posted: 22 Mar 2021 Last Revised: 01 Aug 2022
Christian Conrad and Robert F. Engle
Heidelberg University - Alfred Weber Institute for Economics and New York University (NYU) - Department of Finance
Downloads 397 (105,018)

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

3.

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 337 (126,119)
Citation 10

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

4.

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 327 (130,241)
Citation 16

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

5.

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 315 (135,340)
Citation 3

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

6.

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 277 (154,640)
Citation 7

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Inequality constraints, fractional integration, long memory GARCH processes

7.

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 275 (155,717)
Citation 3

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

8.

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 265 (161,719)
Citation 11

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

9.

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 226 (188,566)
Citation 10

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

10.

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 189 (222,298)
Citation 3

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Inequality constraints, multivariate GARCH processes, volatility feedback

11.

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 178 (234,056)
Citation 4

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Multivariate GARCH, spillover, persistence, small and large firms

12.

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 158 (258,874)
Citation 2

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

13.

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 153 (265,626)
Citation 4

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

14.

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 150 (269,884)
Citation 5

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

15.

'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 University of Nuremberg-Erlangen
Downloads 143 (280,361)
Citation 1

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

16.

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 140 (285,035)

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

17.

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 123 (314,348)
Citation 1

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

18.

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

Downloads 116 (327,629)
Citation 19

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 70 (452,562)
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 46 (552,925)
Citation 3

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

19.

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 106 (348,642)
Citation 2

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

20.

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 105 (350,885)
Citation 1

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

21.

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 105 (350,885)
Citation 3

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

22.

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 75 (430,639)
Citation 1

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

23.

The Role of Information and Experience for Households' Inflation Expectations

Downloads 55 (502,794)

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 University of Nuremberg-Erlangen
Downloads 32 (632,478)

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

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 University of Nuremberg-Erlangen
Downloads 23 (698,891)

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24.

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 55 (502,794)
Citation 1

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Inflation uncertainty, Central banking, Spline-GARCH

25.

Volatility Forecasting for Low-Volatility Investing

Number of pages: 38 Posted: 01 Aug 2022
Christian Conrad and Onno Kleen
Heidelberg University - Alfred Weber Institute for Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 50 (537,729)

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factor investing, low-volatility anomaly, volatility forecasts, forecast evaluation

26.

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 University of Nuremberg-Erlangen
Downloads 18 (717,484)

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

27.

On the Transmission of Memory in GARCH‐In‐Mean Models

Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 706-720, 2015
Number of pages: 15 Posted: 28 Jul 2015
Christian Conrad and Menelaos Karanasos
Heidelberg University - Alfred Weber Institute for Economics and Brunel University London - Economics and Finance
Downloads 0 (906,676)
Citation 1

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Conditional heteroscedasticity, GARCH‐in‐mean, persistence, unit root tests

28.

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

29.

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

30.

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

31.

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

32.

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