Econometrics Research

Research Interests

Econometric Theory:

Volatility Models
Mixed Data Sampling
Time Series Analysis

Applied Econometrics:

Empirical Finance/Financial Econometrics: Long Term Volatility and Dynamic Correlations, the Risk-Return Relationship, Announcement Effects, Volatility Forecasting
Expectation Formation of Professional Forecasters and Households
Monetary Economics: Central Bank Communication, Taylor Rules, Inflation Persistence
Inflation/Output Uncertainty and Macroeconomic Performance

Grants

04/2019 – 03/2022

Heterogeneity in Macroeconomic Expectations: the Role of Individual Historical Experiences, Local Conditions, and Socio-Economic Characteristics

DFG – Schwerpunktprogramm SPP 1859 „Erfahrung und Erwartung. Historische Grundlagen ökonomischen Handelns“

04/2017 - 03/2018

Netzwerkbasierte Analyse und Exploration von Finanzmärkten

Marsilius Fellow,

03/2016 - 09/2017

Der Einfluss von makroökonomischen Ankündigungen auf die Terminstruktur von VIX Futures

Mobilitätsprogramm

02/2013 - 02/2016

Macro-Risk Assessment and Stabilization Policies with New Early Warning Signals (RASTANEWS)

Collaborative Project within the 7th Framework Programme of the European Community

10/2013 - 10/2015

Determinanten und Modellierung von Inflationsunsicherheit vor dem Hintergrund der Finanz- und Schuldenkrise

Fritz Thyssen Stiftung

10/2010 - 03/2014

Long-Term Financial Volatility and Dynamic Correlations

Juniorprofessoren-Programm des Landes Baden-Württemberg

Publications

Tabellenfilter

Tabelle

Econometric Theory
Conrad, C., and K. Lahiri (2023). “Heterogeneous Expectations among Professional Forecasters.” Routledge Handbook of Economic Expectations in Historical Perspective. Accepted for publication.
Conrad, C., and R. F. Engle (2021). "Modelling volatility cycles: The (MF)^2 GARCH model.“ Available at SSRN and Rimini Centre for Economic Analysis, Working Paper Series, wp 21-05.
Conrad, C., and M. Schienle (2020). “Testing for an omitted multiplicative long-term component in GARCH models.“ Journal of Business & Economic Statistics, 38, 229-242. Supplemental material.
Conrad, C., and O. Kleen (2019). “Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models.” Journal of Applied Econometrics, 35, 19-45. Supplemental material. An R package for estimating GARCH-MIDAS models is available here.
Conrad, C., and E. Mammen (2016). “Asymptotics for parametric GARCH-in-mean models.“ Journal of Econometrics, 194, 319-329.
Conrad, C., and M. Karanasos (2015). “On the transmission of memory in GARCH-in-mean models.“ Journal of Time Series Analysis, 36, 706-720.
Conrad, C., and Weber, E. (2013). “Measuring persistence in volatility spillovers.“ University of Heidelberg, Department of Economics, Discussion Paper No. 543.
Conrad, C. (2010). "Non-negativity conditions for the hyperbolic GARCH model.'' Journal of Econometrics, 157, 441-457.
Conrad, C., and M. Karanasos (2010). "Negative volatility spillovers in the unrestricted ECCC-GARCH model.'' Econometric Theory, 26, 838-862.
Conrad, C., and E. Mammen (2009). “Nonparametric regression on latent covariates with an application to semiparametric GARCH-in-Mean models.“ Heidelberg University, Department of Economics, Discussion Paper No. 473.
Conrad, C., and B. R. Haag (2006). “Inequality constraints in the fractionally integrated GARCH model.“ Journal of Financial Econometrics, 4, 413-449.
Conrad, C., and M. Karanasos (2006). “The impulse response function of the long memory GARCH process.“ Economics Letters, 90, 34-41.
Applied Econometrics
Empirical Finance/Financial Econometrics
Conrad, Christian and Schoelkopf, Julius Theodor and Tushteva, Nikoleta (2023). „Long-Term Volatility Shapes the Stock Market's Sensitivity to News.“ Available at SSRN.
Conrad, C., O. Kleen, and R. Lönn (2023). “Volatility forecasting for low-volatility investing“. Available at SSRN.
Conrad, C., and Glas, A. (2018). "'Déjà vol' revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios.“ Available at SSRN.
Conrad, C., A. Custovic, and E. Ghysels (2018). “Long- and short-term cryptocurrency volatility components: A GARCH-MIDAS analysis.“ Journal of Risk and Financial Management, 11, 23.
Conrad, C., and K. Stürmer (2017) “On the economic determinants of optimal stock-bond portfolios: International evidence“ University of Heidelberg, Department of Economics, Discussion Paper Series No. 636.
Conrad, C., and K. Zumbach (2016). “The effect of political communication on European financial markets during the sovereign debt crisis.” Journal of Empirical Finance, 39, 209-214.
Conrad, C., and K. Loch (2015). “The variance risk premium and fundamental uncertainty.“ Economics Letters, 132, 56-60.
Conrad, C., and K. Loch (2015). “Anticipating long-term stock market volatility.“ Journal of Applied Econometrics, 30, 1090-1114. Supplemental Material.
Conrad, C., K. Loch, and D. Rittler (2014). “On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets.“ Journal of Empirical Finance, 29, 26-40.
Conrad, C., D. Rittler, and W. Rotfuß (2012). “Modeling and explaining the dynamics of European Union Allowance prices at high-frequency.“ Energy Economics, 34, 316-326.
Conrad, C., M. Karanasos, and N. Zeng (2011). “Multivariate fractionally integrated APARCH modelling of stock market volatility: a multi-country study.“ Journal of Empirical Finance, 18, 147-159.
Conrad, C., D. Rittler, and W. Rotfuß (2009). “The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs.“ ZEW Discussion Paper No. 09-045.
Conrad, C., F. Jiang, and M. Karanasos (2004). “Modelling and predicting exchange rate volatility via power ARCH models: the role of long-memory.“ Working Paper, University of Mannheim.
Monetary Economics
Conrad, C., and Z. Enders (2024). “Die Grenzen der EZB-Prognosen.“ AWI Discussion Paper 747.
Conrad, C., Z. Enders, and A. Glas (2022). “The role of information and experience for households' inflation expectations.“ European Economic Review, 143, 104015.
Conrad, C., and T. A. Eife (2012). “Explaining inflation-gap persistence by a time-varying Taylor rule.“ Journal of Macroeconomics, 34, 419-428.
Conrad, C., and M. J. Lamla (2010). "The high-frequency response of the EUR-USD exchange rate to ECB communication.'' Journal of Money, Credit and Banking, 42, 1391-1417.
Conrad, C., and M. J. Lamla (2007). "An den Lippen der EZB - Der KOF Monetary Policy Communicator.'' KOF Analysen, Winter 2007/2008, 33-45.
Inflation/Output Uncertainty and Macroeconomic Performance
Conrad, C. and M. Hartmann (2019). “On the determinants of long-run inflation uncertainty: Evidence from a panel of 17 developed economies.“ European Journal of Political Economy, 56, 233-250.
Conrad, C., and M. Karanasos (2015). “Modeling the link between US inflation and output: the importance of the uncertainty channel.“ Scottish Journal of Political Economy, 62, 431-453.
Conrad, C., M. Karanasos, and N. Zeng (2010). “The link between macroeconomic performance and variability in the UK.“ Economics Letters, 106, 154-157.
Conrad, C., and M. Karanasos (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 and Econometrics, 9(4), Article 5.
Conrad, C., and M. Karanasos (2005). “On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach.“ Japan and the World Economy, 17, 327-343.
Book Reviews
Trautmann, S., and C. Conrad (2019). “Book Review: A crisis of beliefs – Investor psychology and financial fragility, Nicola Gennaioli and Andrej Shleifer.” Journal of Economic Psychology, 74, 102201.

English

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