Christian Conrad
Christian Conrad
Professor of Econometrics, Heidelberg University
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Zitiert von
Zitiert von
Long-and short-term cryptocurrency volatility components: A GARCH-MIDAS analysis
C Conrad, A Custovic, E Ghysels
Journal of Risk and Financial Management 11 (2), 23, 2018
Anticipating Long‐Term Stock Market Volatility
C Conrad, K Loch
Journal of Applied Econometrics 30 (7), 1090-1114, 2015
Modeling and explaining the dynamics of European Union Allowance prices at high-frequency
C Conrad, D Rittler, W Rotfuß
Energy Economics 34 (1), 316-326, 2012
On the macroeconomic determinants of long-term volatilities and correlations in US stock and crude oil markets
C Conrad, K Loch, D Rittler
Journal of Empirical Finance 29, 26-40, 2014
Inequality constraints in the fractionally integrated GARCH model
C Conrad, BR Haag
Journal of Financial Econometrics 4 (3), 413-449, 2006
The high‐frequency response of the EUR‐USD exchange rate to ECB communication
C Conrad, MJ Lamla
Journal of Money, Credit and Banking 42 (7), 1391-1417, 2010
On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach
C Conrad, M Karanasos
Japan and the World Economy 17 (3), 327-343, 2005
Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models
C Conrad, O Kleen
Journal of Applied Econometrics 35 (1), 19-45, 2020
Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study
C Conrad, M Karanasos, N Zeng
Journal of Empirical Finance 18 (1), 147-159, 2011
Non-negativity conditions for the hyperbolic GARCH model
C Conrad
Journal of Econometrics 157 (2), 441-457, 2010
Negative volatility spillovers in the unrestricted ECCC-GARCH model
C Conrad, M Karanasos
Econometric Theory 26 (3), 838-862, 2010
Dual long memory in inflation dynamics across countries of the Euro area and the link between inflation uncertainty and macroeconomic performance
C Conrad, M Karanasos
Studies in Nonlinear Dynamics & Econometrics 9 (4), 2005
The role of information and experience for households’ inflation expectations
C Conrad, Z Enders, A Glas
European Economic Review 143, 104015, 2022
The impulse response function of the long memory GARCH process
C Conrad, M Karanasos
Economics Letters 90 (1), 34-41, 2006
Modelling the Link Between US Inflation and Output: The Importance of the Uncertainty Channel
C Conrad, M Karanasos
Scottish Journal of Political Economy 62 (5), 431-453, 2015
The variance risk premium and fundamental uncertainty
C Conrad, K Loch
Economics Letters 132, 56-60, 2015
Explaining inflation-gap persistence by a time-varying Taylor rule
C Conrad, TA Eife
Journal of Macroeconomics 34 (2), 419-428, 2012
The link between macroeconomic performance and variability in the UK
C Conrad, M Karanasos, N Zeng
Economics Letters 106 (3), 154-157, 2010
Nonparametric regression on latent covariates with an application to semiparametric GARCH-in-mean models
C Conrad, E Mammen
University of Heidelberg, Department of Economics, Discussion Paper, 2008
Asymptotics for parametric GARCH-in-Mean models
C Conrad, E Mammen
Journal of Econometrics 194 (2), 319-329, 2016
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