Christian Conrad : Citation Profile


Are you Christian Conrad?

Ruprecht-Karls-Universität Heidelberg

13

H index

14

i10 index

629

Citations

RESEARCH PRODUCTION:

24

Articles

35

Papers

RESEARCH ACTIVITY:

   16 years (2005 - 2021). See details.
   Cites by year: 39
   Journals where Christian Conrad has often published
   Relations with other researchers
   Recent citing documents: 94.    Total self citations: 38 (5.7 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pco229
   Updated: 2021-10-16    RAS profile: 2021-10-12    
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Relations with other researchers


Works with:

Enders, Zeno (4)

Schienle, Melanie (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Christian Conrad.

Is cited by:

GUPTA, RANGAN (22)

Yin, Libo (16)

Nguyen, Duc Khuong (15)

Hartmann, Matthias (14)

Chevallier, Julien (14)

MORANA, CLAUDIO (12)

Caporale, Guglielmo Maria (9)

Menla Ali, Faek (8)

Sensoy, Ahmet (8)

Gallo, Giampiero (8)

Walther, Thomas (7)

Cites to:

Engle, Robert (39)

Bollerslev, Tim (39)

Campbell, John (25)

Karanasos, Menelaos (21)

Diebold, Francis (17)

Grier, Kevin (16)

Kilian, Lutz (15)

Christiansen, Charlotte (14)

Lamla, Michael (12)

Teräsvirta, Timo (11)

Andersen, Torben (10)

Main data


Where Christian Conrad has published?


Journals with more than one article published# docs
Journal of Empirical Finance3
Economics Letters3
Journal of Econometrics2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers / University of Heidelberg, Department of Economics18
KOF Working papers / KOF Swiss Economic Institute, ETH Zurich3
Working Paper series / Rimini Centre for Economic Analysis2
ZEW Discussion Papers / ZEW - Leibniz Centre for European Economic Research2

Recent works citing Christian Conrad (2021 and 2020)


YearTitle of citing document
2020To infinity and beyond: Efficient computation of ARCH(1) models. (2020). Nielsen, Morten ; Noel, Antoine L. In: CREATES Research Papers. RePEc:aah:create:2020-13.

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2021Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228.

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2021Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352.

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2020Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458.

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2020Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2021Order flow in the financial markets from the perspective of the Fractional L\{e}vy stable motion. (2021). Gontis, Vygintas. In: Papers. RePEc:arx:papers:2105.02057.

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2020Tweeting on Monetary Policy and Market Sentiments: The Central Bank Surprise Index. (2020). Romelli, Davide ; masciandaro, donato ; Rubera, Gaia. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20134.

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2021Monetary policy, Twitter and financial markets: evidence from social media traffic. (2021). Romelli, Davide ; Rubera, Gaia ; Masciandaro, Donato. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20160.

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2021Nonlinear relationships between inflation, output growth and uncertainty in India: New evidence from a bivariate threshold model. (2021). Kundu, Srikanta ; Sarkar, Kaustav Kanti ; Chowdhury, Kushal Banik. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:3:p:469-493.

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2021Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages. (2021). Hiroyuki, Kawakatsu. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:33-52:n:7.

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2020Causal relationships between inflation and inflation uncertainty. (2020). JAWADI, Fredj ; Barnett, William ; William, Barnett ; ZIED, FTITI . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:5:p:26:n:4.

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2021Clear, consistent and engaging: ECB monetary policy communication in a changing world. (2021). Assenmacher, Katrin ; Samarina, Anna ; Rieder, Kilian ; Kocharkov, Georgi ; Giovannini, Alessandro ; Gertler, Pavel ; Ehrmann, Michael ; Holton, Sarah ; Istrefi, Klodiana ; Schultefrankenfeld, Guido ; Byron, Jennifer ; Monch, Emanuel ; Glockler, Gabriel ; Ioannidis, Michael ; Georgarakos, Dimitris ; Schupp, Fabian ; Bitterlich, Marie Therese ; Meyer, Justus ; Huertgen, Patrick ; Winkler, Bernhard ; Gardt, Marius ; Anta, Martin ; Bergbauer, Stephanie ; Mestre, Ricardo ; Hoffmann, Mathias ; Weber, Michael ; Ferrero, Giuseppe ; Bakk-Simon, Klara ; Marquez, Victor ; Herrala, Niko ; Tiseno, Andrea ; Ferreira, Clodomiro ; Ruhe, Corina ; Arigoni, Filippo ; Manrique, Marta ; Hernborg, Nils ; Tischer, Johannes ; Fernandez,
2021ECB communication as a stabilization and coordination device: evidence from ex-ante inflation uncertainty. (2021). Fernandes, Cecilia Melo. In: Working Paper Series. RePEc:ecb:ecbwps:20212582.

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2021Macroeconomic Determinants of Stock Market Returns in the Gulf Cooperation Council. (2021). Alshihab, Salem. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2021-02-9.

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2020The Effects of External Uncertainties against Monetary Policy Uncertainty on IRANIAN Stock Return Volatility Using GARCH-MIDAS Approach. (2020). Oroumieh, Kiana Baensaf ; Javad, Seyed Mohammad ; Bajgiran, Bahareh Ramezanian ; Razmi, Seyedeh Fatemeh. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-04-35.

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2020Environmental and financial performance in the European manufacturing sector: An analysis of extreme tail dependency. (2020). Chatziantoniou, Ioannis ; Sagitova, Roza ; Kizys, Renatas ; Tzouvanas, Panagiotis. In: The British Accounting Review. RePEc:eee:bracre:v:52:y:2020:i:6:s0890838919300885.

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2021Pricing of financial derivatives based on the Tsallis statistical theory. (2021). Pan, Jian ; Zhao, Pan ; Zhang, Jinbo ; Yue, Qin. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:142:y:2021:i:c:s0960077920308559.

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2020Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (2020). Širaňová, Mária ; Molnár, Peter ; Lyócsa, Štefan ; Iraova, Maria ; Plihal, Toma ; Molnar, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301482.

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2020Economic policy uncertainty and the Chinese stock market volatility: Novel evidence. (2020). Zhang, Yaojie ; Ma, Feng ; Li, Tao. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:24-33.

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2020A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection. (2020). Tong, Yongbo ; Xu, Qifa ; Ding, Xiaoyi ; Jiang, Cuixia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300993.

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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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2020Efficient predictability of stock return volatility: The role of stock market implied volatility. (2020). He, Shaoyi ; Wen, Fenghua ; Zhou, Huiting ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300711.

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2021Oil price shocks, geopolitical risks, and green bond market dynamics. (2021). Lee, Chien-Chiang ; Li, Yong-Yi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301972.

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2021Stock market volatility and public information flow: A non-linear perspective. (2021). Jakobsen, Johan Stax ; Borup, Daniel ; Bertelsen, Kristoffer Pons. In: Economics Letters. RePEc:eee:ecolet:v:204:y:2021:i:c:s0165176521001828.

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2020Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff. (2020). Linton, Oliver ; Hong, Seok Young . In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:389-424.

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2020Dynamic interdependence of ASEAN5 with G5 stock markets. (2020). Liow, Kim ; Song, Jeongseop. In: Emerging Markets Review. RePEc:eee:ememar:v:45:y:2020:i:c:s1566014120300042.

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2020Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection. (2020). Lee, Tae Hwy ; Su, Zhi ; Fang, Tong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:36-49.

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2020The relationship between oil prices and exchange rates: Revisiting theory and evidence. (2020). Czudaj, Robert ; Beckmann, Joscha ; Arora, Vipin. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301122.

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2021The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market. (2021). Liang, Chao ; Niu, Tianjiao ; Ma, Feng ; Wang, LU. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321002255.

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2020The hedging effect of green bonds on carbon market risk. (2020). Han, Liyan ; Jin, Jiayu ; Zeng, Hongchao ; Wu, Lei. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301538.

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2020Stock-bond return correlations: Moving away from “one-frequency-fits-all” by extending the DCC-MIDAS approach. (2020). Iania, Leonardo ; Allard, Anne-Florence ; Smedts, Kristien. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302015.

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2020Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility. (2020). Su, Zhi ; Fang, Tong ; Yin, Libo. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302106.

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2021A three-tiered nested analytical approach to financial integration: The case of emerging and frontier equity markets. (2021). Guidi, Francesco ; Cagliesi, Gabriella. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000417.

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2021The impact of geopolitical uncertainty on energy volatility. (2021). Xu, Yang ; Han, Liyan ; Liu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000855.

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2021Exploring the relationship between cryptocurrencies and hedge funds during COVID-19 crisis. (2021). Urom, Christian ; Guesmi, Khaled ; ben Khelifa, Soumaya. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001186.

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2021On the intraday return curves of Bitcoin: Predictability and trading opportunities. (2021). Wang, Shixuan ; Zhao, Yuqian ; Saeed, Tareq ; Marco, Chi Keung ; Bouri, Elie. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001228.

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2020Can economic policy uncertainty predict exchange rate volatility? New evidence from the GARCH-MIDAS model. (2020). Zeng, Ximei ; Jiang, Yong ; Fu, Zhangyan ; Zhou, Zhongbao ; Lin, Ling. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319304982.

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2020Cryptocurrency accepting venues, investor attention, and volatility. (2020). Sabah, Nasim. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s154461231930649x.

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2021A realized EGARCH-MIDAS model with higher moments. (2021). Wu, Xinyu ; Xie, Haibin. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319308505.

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2021Bitcoin volatility, stock market and investor sentiment. Are they connected?. (2021). Perez-Pico, Ada M ; Lopez-Cabarcos, Angeles M ; Evi, Aleksandar ; Pieiro-Chousa, Juan. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309274.

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2020Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities. (2020). Sosvilla-Rivero, Simon ; Fernandez-Perez, Adrian ; Andrada-Felix, Julian. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120301037.

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2021Speculation and lottery-like demand in cryptocurrency markets. (2021). Junttila, Juha ; Grobys, Klaus. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000081.

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2021Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengeti, Suleyman. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000962.

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2020Improved recession dating using stock market volatility. (2020). Startz, Richard ; Huang, Yu-Fan. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:507-514.

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2020A comprehensive empirical analysis of the predictive impact of the price of crude oil on aggregate equity return volatility. (2020). Nonejad, Nima. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:20:y:2020:i:c:s2405851319300868.

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2020Oil price uncertainty, global industry returns and active investment strategies. (2020). Demirer, Riza ; Yuksel, Aydin. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:22:y:2020:i:c:s1703494920300244.

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2020Does the Euro–Mediterranean Partnership contribute to regional integration?. (2020). Boubaker, Sabri ; ben Slimane, Faten ; Jouini, Jamel. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:42:y:2020:i:2:p:328-348.

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2020Forecasting Chinese industry return volatilities with RMB/USD exchange rate. (2020). Dong, Xiaodi ; Zhu, Huan ; Dai, Zhifeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316929.

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2020DCCA and DMCA correlations of cryptocurrency markets. (2020). Krištoufek, Ladislav ; Ferreira, Paulo ; de Area, Eder Johnson. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119321168.

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2020Stylized facts of the carbon emission market in China. (2020). Shen, Dehua ; Zhang, Wei ; Yan, Kai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:555:y:2020:i:c:s0378437120303691.

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2020How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence. (2020). Boughrara, Adel ; Dahmene, Meriam ; Slim, Skander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:22-37.

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2021Structural vector error correction modelling of Bitcoin price. (2021). le Fur, Eric ; Lefur, Eric ; HAFFAR, Adlane . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:170-178.

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2021Understanding cryptocurrency volatility: The role of oil market shocks. (2021). Yin, Libo ; Han, Liyan ; Nie, Jing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:233-253.

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2021Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model. (2021). Liu, Yezheng ; Xu, Qifa ; Jiang, Cuixia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:386-398.

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2021An investigation of semantic similarity in PBOC’s communication on RMB volatility. (2021). Pang, Xin ; Miao, Shan ; Guo, Yumei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:441-455.

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2021Multivariate Analysis of Cryptocurrencies. (2021). Candila, Vincenzo. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:3:p:28-:d:586873.

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2021Central and Eastern European CO 2 Market—Challenges of Emissions Trading for Energy Companies. (2021). Skrzek-Lubasiska, Magorzata ; Klimczak, Dawid ; Ciesielska-Macigowska, Dorota. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:4:p:1051-:d:500911.

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2020COVID-19 Outbreak and CO 2 Emissions: Macro-Financial Linkages. (2020). Chevallier, Julien. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2020:i:1:p:12-:d:469632.

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2020Financial Literacy and Attitudes to Cryptocurrencies. (2020). Panos, Georgios ; Atkinson, Adele ; Karkkainen, Tatja. In: Working Papers. RePEc:gla:glaewp:2020_26.

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2021A reality check on the GARCH-MIDAS volatility models. (2021). Awartani, Basel ; Javed, Farrukh ; Virk, Nader. In: Working Papers. RePEc:hhs:oruesi:2021_002.

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2021Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2021). Nguyen, Hoang ; Javed, Farrukh. In: Working Papers. RePEc:hhs:oruesi:2021_015.

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2020Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets. (2020). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengeti, Suleyman. In: Working Papers. RePEc:ipg:wpaper:2020-006.

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2021Covid-19 Outbreak and CO2 Emissions: Macro-Financial Linkages. (2021). Chevallier, Julien. In: Working Papers. RePEc:ipg:wpaper:2021-004.

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2020Causal Relationships Between Inflation and Inflation Uncertainty. (2020). Barnett, William ; Ftiti, Zied ; Jawadi, Fredj. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202010.

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2020Forecasting volatility in bitcoin market. (2020). Bekiros, Stelios ; Segnon, Mawuli. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00368-y.

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2021Forecasting Realized Volatility of Bitcoin: The Role of the Trade War. (2021). Pierdzioch, Christian ; Gupta, Rangan ; Gkillas, Konstantinos ; Bouri, Elie. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:1:d:10.1007_s10614-020-10022-4.

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2020A re-examination of growth and growth uncertainty relationship in a stochastic volatility in the mean model with time-varying parameters. (2020). Ozdemir, Zeynel ; Balcilar, Mehmet. In: Empirica. RePEc:kap:empiri:v:47:y:2020:i:3:d:10.1007_s10663-019-09445-6.

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2021High-Frequency Volatility Forecasting of US Housing Markets. (2021). Wohar, Mark ; Segnon, Mawuli ; Gupta, Rangan ; Lesame, Keagile. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:62:y:2021:i:2:d:10.1007_s11146-020-09745-w.

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2021The role of ECB communication in guiding markets. (2021). Sturm, Jan-Egbert ; Streicher, Sina ; Rathke, Alexander ; Anderes, Marc. In: Public Choice. RePEc:kap:pubcho:v:186:y:2021:i:3:d:10.1007_s11127-019-00733-0.

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2020How effective is central bank communication in emerging economies? An empirical analysis of the chinese money markets responses to the people’s bank of China’s policy communications. (2020). Ahmad, Ahmad Hassan ; Wood, Justine ; Su, Shiwei. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:4:d:10.1007_s11156-019-00822-7.

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2020Monetary policy and inflation-output variability in Sri Lanka: Lessons for Developing Economies. (2020). Middleditch, Paul ; Mayandy, Kesavarajah. In: The School of Economics Discussion Paper Series. RePEc:man:sespap:2001.

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2020Volatility of Cryptocurrencies. (2020). Cicvaria, Branimir Cvitko. In: Notitia - journal for economic, business and social issues. RePEc:noa:journl:y:2020:i:6:p:13-23.

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2020Fractionally integrated Log-GARCH with application to value at risk and expected shortfall. (2020). Letmathe, Sebastian ; Beran, Jan ; Feng, Yuanhua ; Ghosh, Sucharita. In: Working Papers CIE. RePEc:pdn:ciepap:137.

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2021Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengecti, Suleyman. In: MPRA Paper. RePEc:pra:mprapa:105162.

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2020How do credit market frictions affect carbon cycles? an estimated DSGE model approach. (2020). Zhao, Hong ; Chan, Ying Tung. In: MPRA Paper. RePEc:pra:mprapa:106987.

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2020Forecasting Realized Volatility of Bitcoin: The Role of the Trade War. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202003.

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2020Geopolitical Risks and Historical Exchange Rate Volatility of the BRICS. (2020). Salisu, Afees ; GUPTA, RANGAN ; Cunado, Juncal. In: Working Papers. RePEc:pre:wpaper:2020105.

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2021Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models. (2021). Demirer, Riza ; Gupta, Rangan ; You, YU ; Li, HE. In: Working Papers. RePEc:pre:wpaper:202112.

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2021Evolving United States Stock Market Volatility: The Role of Conventional and Unconventional Monetary Policies. (2021). Plakandaras, Vasilios ; Balcilar, Mehmet ; Ji, Qiang ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202113.

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2021Investor Confidence and Forecastability of US Stock Market Realized Volatility : Evidence from Machine Learning. (2021). Pierdzioch, Christian ; Nel, Jacobus ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202118.

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2021Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model. (2021). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Working Papers. RePEc:pre:wpaper:202121.

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2021An Investigation of Fiat Characterization and Evolutionary Dynamics of the Cryptocurrency Market. (2021). Kaplan, Nergis Feride ; Yildiz, Cagri ; Horasan, Bilal M ; Dereli, Ahmet Fatih ; Sen, Doruk ; Donmez, Cem Cagri. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:1:p:2158244021994809.

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2021Crypto price discovery through correlation networks. (2021). Giudici, Paolo ; Polinesi, Gloria. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03282-3.

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2021Modeling Bitcoin price volatility: long memory vs Markov switching. (2021). Chkili, Walid . In: Eurasian Economic Review. RePEc:spr:eurase:v:11:y:2021:i:3:d:10.1007_s40822-021-00180-7.

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2020Energy and non–energy Commodities: Spillover Effects on African Stock Markets. (2020). Gallo, Giampiero ; Amendola, Alessandra ; Candila, Vincenzo ; Boccia, Marinella. In: Journal of Statistical and Econometric Methods. RePEc:spt:stecon:v:9:y:2020:i:4:f:9_4_7.

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2020The negative side of inflation targeting: revisiting inflation uncertainty in the EMU. (2020). Gallagher, Liam ; Lawton, Neil. In: Applied Economics. RePEc:taf:applec:v:52:y:2020:i:29:p:3186-3203.

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2020Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection. (2020). Lee, Tae Hwy ; Su, Zhi ; Fang, Tong. In: Working Papers. RePEc:ucr:wpaper:202009.

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2020Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting. (2020). Miller, Stephen ; GUPTA, RANGAN ; Canarella, Giorgio ; Boubaker, Heni. In: Working papers. RePEc:uct:uconnp:2020-10.

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2021Investors trading behaviour and stock market volatility during crisis periods: A dual long?memory model for the Korean Stock Exchange. (2021). Kartsaklas, Aris ; Yfanti, Stavroula ; Karanasos, Menelaos ; Caporale, Guglielmo Maria. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4441-4461.

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2021An empirical study on the role of trading volume and data frequency in volatility forecasting. (2021). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:792-816.

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2020Return predictability of variance differences: A fractionally cointegrated approach. (2020). Li, Zhenxiong ; Yao, Xingzhi ; Izzeldin, Marwan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1072-1089.

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2020Whatever it takes!: How tonality of TV-news affects government bond yield spreads during crises. (2020). Thomas, Tobias ; Feld, Lars ; Kohler, Ekkehard A ; Hirsch, Patrick. In: Freiburg Discussion Papers on Constitutional Economics. RePEc:zbw:aluord:2009.

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2020From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS. (2020). Mauer, Eva-Maria ; Friedrich, Marina ; Tietjen, Oliver ; Pahle, Michael. In: EconStor Preprints. RePEc:zbw:esprep:225210.

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2020Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing. (2020). Wang, Weining ; Hou, Ai Jun ; Christiansen, Charlotte ; Asgharian, Hossein. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020020.

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Works by Christian Conrad:


YearTitleTypeCited
2008Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study In: Working Papers.
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paper51
2011Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study.(2011) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 51
article
2008Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models In: Working Papers.
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paper8
2008Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: the UECCC GARCH Model In: Working Papers.
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paper2
2010Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency In: Working Papers.
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paper73
2012Modeling and explaining the dynamics of European Union Allowance prices at high-frequency.(2012) In: Energy Economics.
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This paper has another version. Agregated cites: 73
article
2010Modeling and explaining the dynamics of European Union allowance prices at high-frequency.(2010) In: ZEW Discussion Papers.
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This paper has another version. Agregated cites: 73
paper
2010Explaining Inflation Persistence by a Time-Varying Taylor Rule In: Working Papers.
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paper0
2010Modeling the link between US inflation and output: the importance of the uncertainty channel In: Working Papers.
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paper5
2015Modelling the Link Between US Inflation and Output: The Importance of the Uncertainty Channel.(2015) In: Scottish Journal of Political Economy.
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This paper has another version. Agregated cites: 5
article
2012Explaining Inflation-Gap Persistence by a Time-Varying Taylor Rule In: Working Papers.
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paper12
2012Explaining inflation-gap persistence by a time-varying Taylor rule.(2012) In: Journal of Macroeconomics.
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This paper has another version. Agregated cites: 12
article
2012On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation In: Working Papers.
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paper5
2012Anticipating Long-Term Stock Market Volatility In: Working Papers.
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paper46
2015Anticipating Long‐Term Stock Market Volatility.(2015) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 46
article
2012The Effect of Political Communication on European Financial Markets during the Sovereign Debt Crisis In: Working Papers.
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paper3
2016The effect of political communication on European financial markets during the sovereign debt crisis.(2016) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 3
article
2013Measuring Persistence in Volatility Spillovers In: Working Papers.
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paper7
2013Measuring Persistence in Volatility Spillovers.(2013) In: University of Regensburg Working Papers in Business, Economics and Management Information Systems.
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This paper has another version. Agregated cites: 7
paper
2013Measuring Persistence in Volatility Spillovers.(2013) In: VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
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This paper has another version. Agregated cites: 7
paper
2014Cross-sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty In: Working Papers.
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paper5
2014Cross sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty.(2014) In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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This paper has another version. Agregated cites: 5
paper
2015Asymptotics for parametric GARCH-in-Mean Models In: Working Papers.
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paper6
2016Asymptotics for parametric GARCH-in-Mean models.(2016) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 6
article
2015The Variance Risk Premium and Fundamental Uncertainty In: Working Papers.
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paper8
2015The variance risk premium and fundamental uncertainty.(2015) In: Economics Letters.
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This paper has another version. Agregated cites: 8
article
2015Misspecification Testing in GARCH-MIDAS Models In: Working Papers.
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paper0
2016On the statistical properties of multiplicative GARCH models In: Working Papers.
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paper0
2017On the economic determinants of optimal stock-bond portfolios: international evidence In: Working Papers.
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paper1
2018‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios In: Working Papers.
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paper0
2015On the Transmission of Memory in Garch-in-Mean Models In: Journal of Time Series Analysis.
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article2
2005Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance In: Studies in Nonlinear Dynamics & Econometrics.
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article20
2020The Role of Information and Experience for Households Inflation Expectations In: CESifo Working Paper Series.
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paper1
2021The role of information and experience for households inflation expectations.(2021) In: Working Paper series.
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paper
2021The role of information and experience for households inflation expectations.(2021) In: Discussion Papers.
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This paper has another version. Agregated cites: 1
paper
2020The role of information and experience for households inflation expectations.(2020) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2010NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL In: Econometric Theory.
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article25
2008Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model.(2008) In: KOF Working papers.
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This paper has another version. Agregated cites: 25
paper
2010The link between macroeconomic performance and variability in the UK In: Economics Letters.
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article13
2006The impulse response function of the long memory GARCH process In: Economics Letters.
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article7
2010Non-negativity conditions for the hyperbolic GARCH model In: Journal of Econometrics.
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article30
2007Non-negativity Conditions for the Hyperbolic GARCH Model.(2007) In: KOF Working papers.
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This paper has another version. Agregated cites: 30
paper
2014On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets In: Journal of Empirical Finance.
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article54
2005On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach In: Japan and the World Economy.
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article62
2019On the determinants of long-run inflation uncertainty: Evidence from a panel of 17 developed economies In: European Journal of Political Economy.
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article4
2018Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis In: Journal of Risk and Financial Management.
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article32
2007An den Lippen der EZB – Der KOF Monetary Policy Communicator In: KOF Analysen.
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article0
2007The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Monetary Policy Announcements In: KOF Working papers.
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paper15
2010The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication In: Journal of Money, Credit and Banking.
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article54
2010The High‐Frequency Response of the EUR‐USD Exchange Rate to ECB Communication.(2010) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 54
article
2006Inequality Constraints in the Fractionally Integrated GARCH Model In: Journal of Financial Econometrics.
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article62
2021Modelling Volatility Cycles: The (MF)2 GARCH Model In: Working Paper series.
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paper0
2020Testing for an Omitted Multiplicative Long-Term Component in GARCH Models In: Journal of Business & Economic Statistics.
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article5
2019Testing for an omitted multiplicative long-term component in GARCH models.(2019) In: Working Paper Series in Economics.
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This paper has another version. Agregated cites: 5
paper
2020Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models In: Journal of Applied Econometrics.
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article7
2015Misspecification Testing in GARCH-MIDAS Models In: VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
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paper0
2016Macroeconomic expectations and the time-varying stock-bond correlation: international evidence In: VfS Annual Conference 2016 (Augsburg): Demographic Change.
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paper1
2017When does information on forecast variance improve the performance of a combined forecast? In: VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking.
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paper0
2009The European Commission and EUA prices: a high-frequency analysis of the ECs decisions on second NAPs In: ZEW Discussion Papers.
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paper3

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team