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Christian Conrad

Personal Details

First Name:Christian
Middle Name:
Last Name:Conrad
Suffix:
RePEc Short-ID:pco229
[This author has chosen not to make the email address public]
http://www.uni-heidelberg.de/conrad
+49 (0)6221 54 3173
Terminal Degree:2006 Abteilung für Volkswirtschaftslehre; Universität Mannheim (from RePEc Genealogy)

Affiliation

Alfred-Weber-Institut für Wirtschaftswissenschaften
Fakultät für Wirtschafts- und Sozialwissenschaften
Ruprecht-Karls-Universität Heidelberg

Heidelberg, Germany
http://www.awi.uni-heidelberg.de/
RePEc:edi:awheide (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Conrad, Christian & Enders, Zeno, 2024. "Die Grenzen der EZB-Prognosen," Working Papers 0747, University of Heidelberg, Department of Economics.
  2. Conrad, Christian & Schoelkopf, Julius Theodor & Tushteva, Nikoleta, 2023. "Long-Term Volatility Shapes the Stock Market’s Sensitivity to News," Working Papers 0739, University of Heidelberg, Department of Economics.
  3. Conrad, Christian & Lahiri, Kajal, 2023. "Heterogeneous expectations among professional forecasters," ZEW Discussion Papers 23-062, ZEW - Leibniz Centre for European Economic Research.
  4. Christian Conrad & Robert F. Engle, 2021. "Modelling Volatility Cycles: The (MF)2 GARCH Model," Working Paper series 21-05, Rimini Centre for Economic Analysis.
  5. Christian Conrad & Zeno Enders & Alexander Glas, 2020. "The Role of Information and Experience for Households' Inflation Expectations," CESifo Working Paper Series 8528, CESifo.
  6. Conrad, Christian & Schienle, Melanie, 2019. "Testing for an omitted multiplicative long-term component in GARCH models," Working Paper Series in Economics 121, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
  7. Conrad, Christian & Glas, Alexander, 2018. "‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios," Working Papers 0655, University of Heidelberg, Department of Economics.
  8. Conrad, Christian & Stuermer, Karin, 2017. "On the economic determinants of optimal stock-bond portfolios: international evidence," Working Papers 0636, University of Heidelberg, Department of Economics.
  9. Conrad, Christian, 2017. "When does information on forecast variance improve the performance of a combined forecast?," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168200, Verein für Socialpolitik / German Economic Association.
  10. Conrad, Christian & Loch, Karin, 2016. "Macroeconomic expectations and the time-varying stock-bond correlation: international evidence," VfS Annual Conference 2016 (Augsburg): Demographic Change 145530, Verein für Socialpolitik / German Economic Association.
  11. Conrad, Christian & Kleen, Onno, 2016. "On the statistical properties of multiplicative GARCH models," Working Papers 0613, University of Heidelberg, Department of Economics.
  12. Conrad, Christian & Mammen , Enno, 2015. "Asymptotics for parametric GARCH-in-Mean Models," Working Papers 0579, University of Heidelberg, Department of Economics.
  13. Conrad, Christian & Loch, Karin, 2015. "The Variance Risk Premium and Fundamental Uncertainty," Working Papers 0583, University of Heidelberg, Department of Economics.
  14. Conrad, Christian & Schienle, Melanie, 2015. "Misspecification Testing in GARCH-MIDAS Models," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112919, Verein für Socialpolitik / German Economic Association.
  15. Conrad, Christian & Schienle, Melanie, 2015. "Misspecification Testing in GARCH-MIDAS Models," Working Papers 0597, University of Heidelberg, Department of Economics.
  16. Conrad, Christian & Hartmann, Matthias, 2014. "Cross-sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty," Working Papers 0574, University of Heidelberg, Department of Economics.
  17. Conrad, Christian & Weber, Enzo, 2013. "Measuring Persistence in Volatility Spillovers," Working Papers 0543, University of Heidelberg, Department of Economics.
  18. Conrad, Christian & Zumbach, Klaus Ulrich, 2012. "The Effect of Political Communication on European Financial Markets during the Sovereign Debt Crisis," Working Papers 0536, University of Heidelberg, Department of Economics.
  19. Conrad, Christian & Eife, Thomas A., 2012. "Explaining Inflation-Gap Persistence by a Time-Varying Taylor Rule," Working Papers 0521, University of Heidelberg, Department of Economics.
  20. Conrad, Christian & Loch, Karin & Rittler, Daniel, 2012. "On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation," Working Papers 0525, University of Heidelberg, Department of Economics.
  21. Conrad, Christian & Loch, Karin, 2012. "Anticipating Long-Term Stock Market Volatility," Working Papers 0535, University of Heidelberg, Department of Economics.
  22. Conrad, Christian & Eife, Thomas A., 2010. "Explaining Inflation Persistence by a Time-Varying Taylor Rule," Working Papers 0504, University of Heidelberg, Department of Economics.
  23. Conrad, Christian & Karanasos, Menelaos, 2010. "Modeling the link between US inflation and output: the importance of the uncertainty channel," Working Papers 0507, University of Heidelberg, Department of Economics.
  24. Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2010. "Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency," Working Papers 0497, University of Heidelberg, Department of Economics.
  25. Rotfuß, Waldemar & Conrad, Christian & Rittler, Daniel, 2009. "The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs," ZEW Discussion Papers 09-045, ZEW - Leibniz Centre for European Economic Research.
  26. Christian Conrad & Menelaos Karanasos, 2008. "Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model," KOF Working papers 08-189, KOF Swiss Economic Institute, ETH Zurich.
  27. Christian Conrad & Michael J. Lamla, 2007. "The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Monetary Policy Announcements," KOF Working papers 07-174, KOF Swiss Economic Institute, ETH Zurich.
  28. Christian Conrad, 2007. "Non-negativity Conditions for the Hyperbolic GARCH Model," KOF Working papers 07-162, KOF Swiss Economic Institute, ETH Zurich.

    repec:awi:wpaper:0472 is not listed on IDEAS
    repec:awi:wpaper:0473 is not listed on IDEAS
    repec:awi:wpaper:0475 is not listed on IDEAS

Articles

  1. Conrad, Christian & Enders, Zeno & Glas, Alexander, 2022. "The role of information and experience for households’ inflation expectations," European Economic Review, Elsevier, vol. 143(C).
  2. Christian Conrad & Onno Kleen, 2020. "Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 19-45, January.
  3. Christian Conrad & Melanie Schienle, 2020. "Testing for an Omitted Multiplicative Long-Term Component in GARCH Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 229-242, April.
  4. Conrad, Christian & Hartmann, Matthias, 2019. "On the determinants of long-run inflation uncertainty: Evidence from a panel of 17 developed economies," European Journal of Political Economy, Elsevier, vol. 56(C), pages 233-250.
  5. Christian Conrad & Anessa Custovic & Eric Ghysels, 2018. "Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis," JRFM, MDPI, vol. 11(2), pages 1-12, May.
  6. Conrad, Christian & Zumbach, Klaus Ulrich, 2016. "The effect of political communication on European financial markets during the sovereign debt crisis," Journal of Empirical Finance, Elsevier, vol. 39(PB), pages 209-214.
  7. Conrad, Christian & Mammen, Enno, 2016. "Asymptotics for parametric GARCH-in-Mean models," Journal of Econometrics, Elsevier, vol. 194(2), pages 319-329.
  8. Christian Conrad & Menelaos Karanasos, 2015. "Modelling the Link Between US Inflation and Output: The Importance of the Uncertainty Channel," Scottish Journal of Political Economy, Scottish Economic Society, vol. 62(5), pages 431-453, November.
  9. Christian Conrad & Karin Loch, 2015. "Anticipating Long‐Term Stock Market Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(7), pages 1090-1114, November.
  10. Conrad, Christian & Loch, Karin, 2015. "The variance risk premium and fundamental uncertainty," Economics Letters, Elsevier, vol. 132(C), pages 56-60.
  11. Neil Kellard & Denise Osborn & Jerry Coakley & Christian Conrad & Menelaos Karanasos, 2015. "On the Transmission of Memory in Garch-in-Mean Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 706-720, September.
  12. Conrad, Christian & Loch, Karin & Rittler, Daniel, 2014. "On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 26-40.
  13. Conrad, Christian & Eife, Thomas A., 2012. "Explaining inflation-gap persistence by a time-varying Taylor rule," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 419-428.
  14. Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2012. "Modeling and explaining the dynamics of European Union Allowance prices at high-frequency," Energy Economics, Elsevier, vol. 34(1), pages 316-326.
  15. Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2011. "Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 147-159, January.
  16. Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2010. "The link between macroeconomic performance and variability in the UK," Economics Letters, Elsevier, vol. 106(3), pages 154-157, March.
  17. Conrad, Christian & Karanasos, Menelaos, 2010. "Negative Volatility Spillovers In The Unrestricted Eccc-Garch Model," Econometric Theory, Cambridge University Press, vol. 26(3), pages 838-862, June.
  18. Christian Conrad & Michael J. Lamla, 2010. "The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1391-1417, October.
  19. Conrad, Christian, 2010. "Non-negativity conditions for the hyperbolic GARCH model," Journal of Econometrics, Elsevier, vol. 157(2), pages 441-457, August.
  20. Michael J. Lamla & Christian Conrad, 2007. "An den Lippen der EZB – Der KOF Monetary Policy Communicator," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, vol. 1(4), pages 33-45, March.
  21. Christian Conrad & Berthold R. Haag, 2006. "Inequality Constraints in the Fractionally Integrated GARCH Model," Journal of Financial Econometrics, Oxford University Press, vol. 4(3), pages 413-449.
  22. Conrad, Christian & Karanasos, Menelaos, 2006. "The impulse response function of the long memory GARCH process," Economics Letters, Elsevier, vol. 90(1), pages 34-41, January.
  23. Conrad Christian & Karanasos Menelaos, 2005. "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, De Gruyter, vol. 9(4), pages 1-38, December.
  24. Conrad, C. & Karanasos, M., 2005. "On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach," Japan and the World Economy, Elsevier, vol. 17(3), pages 327-343, August.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 33 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (15) 2007-11-03 2010-09-25 2010-12-04 2012-03-08 2014-11-12 2015-02-16 2017-03-12 2018-10-08 2019-02-11 2020-09-21 2020-10-12 2021-03-08 2021-03-22 2021-03-29 2024-04-01. Author is listed
  2. NEP-MON: Monetary Economics (11) 2007-11-03 2010-09-25 2010-12-04 2012-03-08 2014-11-12 2015-02-16 2017-11-05 2020-09-21 2020-10-12 2021-03-08 2021-03-29. Author is listed
  3. NEP-ETS: Econometric Time Series (10) 2007-07-07 2008-04-04 2013-04-20 2015-02-11 2015-07-18 2016-02-17 2016-04-23 2017-11-05 2019-02-11 2021-03-22. Author is listed
  4. NEP-ECM: Econometrics (8) 2007-07-07 2008-04-04 2015-02-11 2015-07-18 2016-04-23 2017-11-05 2019-02-11 2021-03-22. Author is listed
  5. NEP-CBA: Central Banking (6) 2007-11-03 2010-09-25 2010-12-04 2012-03-08 2015-02-16 2020-10-12. Author is listed
  6. NEP-FOR: Forecasting (5) 2007-07-07 2012-10-13 2015-03-05 2017-11-05 2021-03-22. Author is listed
  7. NEP-RMG: Risk Management (5) 2015-02-11 2015-03-05 2017-07-23 2023-12-11 2024-01-01. Author is listed
  8. NEP-ENE: Energy Economics (4) 2009-10-03 2010-04-11 2010-07-17 2012-03-28
  9. NEP-MST: Market Microstructure (4) 2007-11-03 2009-10-03 2010-04-11 2010-07-17
  10. NEP-FMK: Financial Markets (3) 2012-10-13 2023-12-11 2024-01-01
  11. NEP-EEC: European Economics (2) 2007-11-03 2009-10-03
  12. NEP-ENV: Environmental Economics (1) 2009-10-03
  13. NEP-EUR: Microeconomic European Issues (1) 2010-07-17
  14. NEP-FDG: Financial Development and Growth (1) 2010-12-04
  15. NEP-GER: German Papers (1) 2024-07-22
  16. NEP-IFN: International Finance (1) 2007-11-03
  17. NEP-MFD: Microfinance (1) 2015-03-05
  18. NEP-ORE: Operations Research (1) 2017-11-05
  19. NEP-REG: Regulation (1) 2009-10-03
  20. NEP-UPT: Utility Models and Prospect Theory (1) 2015-03-05

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