Christian Conrad

Heidelberg University - Faculty of Economics and Social Studies

Bergheimer Strasse 58

Heidelberg, D-69115

Germany

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

  • Heidelberg University - Faculty of Economics and Social Studies

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SCHOLARLY PAPERS

29

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Scholarly Papers (29)

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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 - Faculty of Economics and Social Studies and Heidelberg University - Department of Economics
Downloads 618 (46,287)
Citation 6

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

2.

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 - Faculty of Economics and Social Studies and Heidelberg University - Faculty of Economics and Social Studies
Downloads 314 (104,582)
Citation 5

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

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
Heidelberg University - Faculty of Economics and Social Studies, Heidelberg University - Faculty of Economics and Social Studies and Heidelberg University - Alfred Weber Institute for Economics
Downloads 271 (122,327)
Citation 3

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

4.

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

KOF Working Paper No. 174
Number of pages: 34 Posted: 25 Sep 2007 Last Revised: 09 May 2013
Christian Conrad and Michael J. Lamla
Heidelberg University - Faculty of Economics and Social Studies and ETH Zurich - KOF Swiss Economic Institute
Downloads 252 (131,994)
Citation 10

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

5.

Non-Negativity Conditions for the Hyperbolic GARCH Model

Journal of Econometrics, Forthcoming
Number of pages: 40 Posted: 17 May 2007 Last Revised: 04 May 2010
Christian Conrad
Heidelberg University - Faculty of Economics and Social Studies
Downloads 245 (135,761)
Citation 7

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Inequality constraints, fractional integration, long memory GARCH processes

6.

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 - Faculty of Economics and Social Studies and Karlsruhe Institute of Technology (KIT)
Downloads 236 (140,826)
Citation 1

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

7.

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 - Faculty of Economics and Social Studies, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Students and University of North Carolina Kenan-Flagler Business School
Downloads 210 (157,447)
Citation 11

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

8.

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 - Faculty of Economics and Social Studies and University of Mannheim - Department of Economics
Downloads 209 (158,165)
Citation 10

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

9.

Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model

Econometric Theory, Forthcoming
Number of pages: 26 Posted: 21 Mar 2008 Last Revised: 10 Feb 2009
Christian Conrad and Menelaos Karanasos
Heidelberg University - Faculty of Economics and Social Studies and Brunel University London - Economics and Finance
Downloads 184 (177,836)
Citation 3

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Inequality constraints, multivariate GARCH processes, volatility feedback

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
Heidelberg University - Faculty of Economics and Social Studies and University of Regensburg
Downloads 155 (206,127)
Citation 3

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Multivariate GARCH, spillover, persistence, small and large firms

11.

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 - Faculty of Economics and Social Studies and Heidelberg University - Faculty of Economics and Social Studies
Downloads 153 (208,433)
Citation 2

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

12.

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 - Faculty of Economics and Social Studies and Brunel University London - Economics and Finance
Downloads 146 (216,592)
Citation 4

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

13.

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

Journal of Empirical Finance, Forthcoming
Number of pages: 26 Posted: 31 Jul 2008 Last Revised: 04 May 2010
Christian Conrad, Menelaos Karanasos and Ning Zeng
Heidelberg University - Faculty of Economics and Social Studies, Brunel University London - Economics and Finance and Brunel University London
Downloads 145 (217,828)
Citation 4

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

14.

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

Journal of Macroeconomics, Forthcoming
Number of pages: 20 Posted: 07 Nov 2010 Last Revised: 01 Mar 2012
Christian Conrad and Thomas A. Eife
Heidelberg University - Faculty of Economics and Social Studies and Heidelberg University - Alfred Weber Institute for Economics
Downloads 118 (255,457)
Citation 1

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

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 - Faculty of Economics and Social Studies and Northwestern University - Kellogg School of Management
Downloads 109 (270,286)

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

16.

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

Downloads 106 (275,543)
Citation 18

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 - Faculty of Economics and Social Studies, Heidelberg University - Alfred Weber Institute for Economics and ZEW – Leibniz Centre for European Economic Research
Downloads 64 (377,546)
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
Number of pages: 31 Posted: 15 Jun 2010 Last Revised: 27 Feb 2011
Christian Conrad, Daniel Rittler and Waldemar Rotfuss
Heidelberg University - Faculty of Economics and Social Studies, Heidelberg University - Alfred Weber Institute for Economics and ZEW – Leibniz Centre for European Economic Research
Downloads 42 (458,706)
Citation 2

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

17.

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 - Faculty of Economics and Social Studies and University of Mannheim - Department of Economics
Downloads 103 (281,084)
Citation 1

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

18.

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 - Faculty of Economics and Social Studies and Brunel University London - Economics and Finance
Downloads 96 (294,441)
Citation 3

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

19.

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 - Faculty of Economics and Social Studies and Heidelberg University - Faculty of Economics and Social Studies
Downloads 93 (300,503)
Citation 1

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

20.

'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 - Faculty of Economics and Social Studies and University of Nuremberg-Erlangen
Downloads 91 (304,566)

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

21.

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

EFA 2009 Bergen Meetings Paper
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 - Faculty of Economics and Social Studies and Heidelberg University - Alfred Weber Institute for Economics
Downloads 70 (355,625)
Citation 1

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

22.

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 - Faculty of Economics and Social Studies and Alfred-Weber-Institut
Downloads 48 (426,168)

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Inflation uncertainty, Central banking, Spline-GARCH

23.

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
Heidelberg University - Faculty of Economics and Social Studies and Brunel University London - Economics and Finance
Downloads 0 (719,811)
Citation 1
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24.

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 - Faculty of Economics and Social Studies and Brunel University London - Economics and Finance
Downloads 0 (719,811)
Citation 1
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Conditional heteroscedasticity, GARCH‐in‐mean, persistence, unit root tests

25.

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

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Inflation, Macroeconomic performance, Output growth, Stochastic volatility

26.

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 - Faculty of Economics and Social Studies and University of Mannheim

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inequality constraints, long-memory and fractionally integrated GARCH processes

27.

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 - Faculty of Economics and Social Studies 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

28.

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

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

29.

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

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Cumulative impulse response function, long memory GARCH process