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Christian Conrad

University of Heidelberg - Faculty of Economics and Social Studies

Bergheimer Strasse 58

Heidelberg, D-69115

Germany

http://www.uni-heidelberg.de/fakultaeten/wiso/awi/professuren/empwirtfor/christianconrad.html

  • University of Heidelberg - Faculty of Economics and Social Studies

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    • Tel: +49 (0)6221 54 3173
SCHOLARLY PAPERS

26

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CITATIONS
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28

Scholarly Papers (26)

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1.

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
University of Heidelberg - Faculty of Economics and Social Studies and University of Heidelberg - Faculty of Economics and Social Studies
Downloads 252 (89,110)

Abstract:

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

2.

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 and Michael J. Lamla
University of Heidelberg - Faculty of Economics and Social Studies and ETH Zurich - KOF Swiss Economic Institute
Downloads 202 (109,314)
Citation 6

Abstract:

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

3.

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
University of Heidelberg - Faculty of Economics and Social Studies, University of Heidelberg - Faculty of Economics and Social Studies and University of Heidelberg - Alfred Weber Institute for Economics
Downloads 192 (111,739)

Abstract:

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

4.

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
University of Heidelberg - Faculty of Economics and Social Studies
Downloads 189 (123,562)
Citation 4

Abstract:

Inequality constraints, fractional integration, long memory GARCH processes

5.

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
University of Heidelberg - Faculty of Economics and Social Studies and Brunel University London - Economics and Finance
Downloads 164 (144,812)
Citation 6

Abstract:

Inequality constraints, multivariate GARCH processes, volatility feedback

6.

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
University of Heidelberg - Faculty of Economics and Social Studies and University of Mannheim - Department of Economics
Downloads 155 (138,267)
Citation 2

Abstract:

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

7.

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
University of Heidelberg - Faculty of Economics and Social Studies, Brunel University London - Economics and Finance and Brunel University London
Downloads 129 (173,852)
Citation 5

Abstract:

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

8.

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
University of Heidelberg - Faculty of Economics and Social Studies and Brunel University London - Economics and Finance
Downloads 121 (179,109)

Abstract:

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

9.

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 Ulrich Zumbach
University of Heidelberg - Faculty of Economics and Social Studies and University of Heidelberg - Faculty of Economics and Social Studies
Downloads 119 (167,969)

Abstract:

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

10.

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
University of Heidelberg - Faculty of Economics and Social Studies and University of Regensburg
Downloads 113 (176,918)

Abstract:

Multivariate GARCH, spillover, persistence, small and large firms

11.

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
University of Heidelberg - Faculty of Economics and Social Studies and University of Heidelberg - Alfred Weber Institute for Economics
Downloads 99 (211,293)

Abstract:

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

12.

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

Downloads 95 (227,833)
Citation 4

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
University of Heidelberg - Faculty of Economics and Social Studies, University of Heidelberg - Alfred Weber Institute for Economics and Centre for European Economic Research (ZEW)
Downloads 57 (309,502)
Citation 4

Abstract:

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
University of Heidelberg - Faculty of Economics and Social Studies, University of Heidelberg - Alfred Weber Institute for Economics and Centre for European Economic Research (ZEW)
Downloads 38 (370,123)
Citation 4

Abstract:

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

13.

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
University of Heidelberg - Faculty of Economics and Social Studies and Brunel University London - Economics and Finance
Downloads 79 (239,438)
Citation 1

Abstract:

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

14.

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
University of Heidelberg - Faculty of Economics and Social Studies and University of Heidelberg - Faculty of Economics and Social Studies
Downloads 56 (274,493)

Abstract:

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

15.

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
Centre for European Economic Research (ZEW), University of Heidelberg - Faculty of Economics and Social Studies and University of Heidelberg - Alfred Weber Institute for Economics
Downloads 51 (295,178)

Abstract:

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

16.

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
University of Heidelberg - Faculty of Economics and Social Studies and University of Mannheim - Department of Economics
Downloads 19 (259,799)

Abstract:

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

17.

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

Updated version of: University of Heidelberg, Department of Economics, Discussion Paper No. 597
Number of pages: 48 Posted: 18 Jul 2015 Last Revised: 27 May 2017
Christian Conrad and Melanie Schienle
University of Heidelberg - Faculty of Economics and Social Studies and Karlsruhe Institute of Technology (KIT)
Downloads 16 (194,144)

Abstract:

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

18.

Cross-Sectional Evidence on the Relation between Macroeconomic Conditions, Stock Market Volatility, Monetary Policy, and Low-Frequency Inflation Uncertainty

Updated version of: University of Heidelberg, Department of Economics, Discussion Paper No. 574
Number of pages: 47 Posted: 18 Oct 2014 Last Revised: 04 Dec 2015
Christian Conrad and Matthias Hartmann
University of Heidelberg - Faculty of Economics and Social Studies and Alfred-Weber-Institut
Downloads 9 (388,734)

Abstract:

Inflation uncertainty, Central banking, Spline-GARCH

19.

On the Statistical Properties of Multiplicative GARCH Models

University of Heidelberg, Department of Economics, Discussion Paper Series No. 613
Number of pages: 12 Posted: 21 Mar 2016
Christian Conrad and Onno Kleen
University of Heidelberg - Faculty of Economics and Social Studies and Heidelberg University - Department of Economics
Downloads 0 (281,137)

Abstract:

Forecast evaluation, GARCH-MIDAS, Mincer-Zarnowitz regression, volatility persistence, volatility component model, long-term volatility

20.

Modelling the Link between Us Inflation and Output: The Importance of the Uncertainty Channel

Scottish Journal of Political Economy, Vol. 62, Issue 5, pp. 431-453, 2015
Number of pages: 23 Posted: 07 Oct 2015
Christian Conrad and Menelaos Karanasos
University of Heidelberg - Faculty of Economics and Social Studies and Brunel University London - Economics and Finance
Downloads 0 (553,280)

Abstract:

21.

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
University of Heidelberg - Faculty of Economics and Social Studies and Brunel University London - Economics and Finance
Downloads 0 (553,280)

Abstract:

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

22.

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
University of Heidelberg - Faculty of Economics and Social Studies, Brunel University London - Economics and Finance and Brunel University London

Abstract:

Inflation, Macroeconomic performance, Output growth, Stochastic volatility

23.

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
University of Heidelberg - Faculty of Economics and Social Studies and University of Mannheim

Abstract:

inequality constraints, long-memory and fractionally integrated GARCH processes

24.

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
University of Heidelberg - Faculty of Economics and Social Studies and University of York - Department of Economics and Related Studies

Abstract:

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

25.

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
University of Heidelberg - Faculty of Economics and Social Studies and University of York - Department of Economics and Related Studies

Abstract:

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

26.

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
University of Heidelberg - Faculty of Economics and Social Studies and University of York - Department of Economics and Related Studies

Abstract:

Cumulative impulse response function, long memory GARCH process

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