Christian Conrad : Citation Profile


Are you Christian Conrad?

Ruprecht-Karls-Universität Heidelberg

11

H index

13

i10 index

513

Citations

RESEARCH PRODUCTION:

24

Articles

30

Papers

RESEARCH ACTIVITY:

   15 years (2005 - 2020). See details.
   Cites by year: 34
   Journals where Christian Conrad has often published
   Relations with other researchers
   Recent citing documents: 167.    Total self citations: 32 (5.87 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pco229
   Updated: 2020-08-01    RAS profile: 2020-06-12    
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Relations with other researchers


Works with:

Schienle, Melanie (4)

Hartmann, Matthias (3)

Weber, Enzo (3)

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 (14)

Hartmann, Matthias (13)

Nguyen, Duc Khuong (12)

Chevallier, Julien (12)

MORANA, CLAUDIO (12)

Aloui, Chaker (8)

Menla Ali, Faek (8)

Caporale, Guglielmo Maria (8)

Chkili, Walid (8)

Silvennoinen, Annastiina (7)

Yin, Libo (7)

Cites to:

Bollerslev, Tim (34)

Engle, Robert (33)

Campbell, John (25)

Karanasos, Menelaos (21)

Diebold, Francis (17)

Grier, Kevin (16)

Kilian, Lutz (15)

Christiansen, Charlotte (12)

Sturm, Jan-Egbert (11)

Andersen, Torben (10)

Asgharian, Hossein (10)

Main data


Where Christian Conrad has published?


Journals with more than one article published# docs
Economics Letters3
Journal of Empirical Finance3
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
ZEW Discussion Papers / ZEW - Leibniz Centre for European Economic Research2

Recent works citing Christian Conrad (2020 and 2019)


YearTitle of citing document
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2017Carbon Leakage and Competitiveness of Cement and Steel Industries Under the EU ETS: Much Ado About Nothing. (2017). Quirion, Philippe ; Chevallier, Julien ; Frederic, Philippe Quirion . In: The Energy Journal. RePEc:aen:journl:ej37-3-branger.

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2017MIDAS models in banking sector – systemic risk comparison. (2017). Mestel, Roland ; Gurgul, Henryk ; Syrek, Robert. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:165-181.

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2018INFLATION AND INFLATION UNCERTAINTY IN LATIN AMERICA: A TIME-VARYING STOCHASTIC VOLATILITY IN MEAN APPROACH. (2018). Ferreira, Diego ; Palma, Andreza Aparecida. In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting]. RePEc:anp:en2016:125.

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2019Risk 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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2020Cryptocurrency 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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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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2019REGIME DEPENDENT EFFECT OF OUTPUT GROWTH ON OUTPUT GROWTH UNCERTAINTY: EVIDENCE FROM OECD COUNTRIES. (2019). Sarkar, Nityananda ; Chowdhury, Kushal Banik. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:71:y:2019:i:3:p:257-282.

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2018MONETARY POLICY SHOCKS, EXPECTATIONS, AND INFORMATION RIGIDITIES. (2018). Czudaj, Robert ; Beckmann, Joscha. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:4:p:2158-2176.

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2018Do Monetary Policy Announcements Affect Exchange Rate Returns and Volatility of Returns? Some Evidence from High‐Frequency Intra‐Day South African Data. (2018). Farrell, Greg ; Rossouw, Jannie ; May, Cyril. In: South African Journal of Economics. RePEc:bla:sajeco:v:86:y:2018:i:3:p:308-338.

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2019Has the 2008 financial crisis and its aftermath changed the impact of inflation on inflation uncertainty in member states of the european monetary union?. (2019). Nonejad, Nima. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:66:y:2019:i:2:p:246-276.

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2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

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2018A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns. (2018). Haas, Markus ; Ji-Chun, Liu ; Markus, Haas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:3:p:27:n:3.

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2018Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff. (2018). LINTON, OLIVER ; Hong, S-Y., . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1877.

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2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

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201857 Channels (And Nothin On) - Does TV-News on the Eurozone Affect Government Bond Yield Spreads?. (2018). Thomas, Tobias ; Feld, Lars ; Kohler, Ekkehard A ; Wolfinger, Julia. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7437.

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2019Government ideology and monetary policy in OECD countries. (2019). Potrafke, Niklas ; Dörr, Luisa ; Dorr, Luisa ; Cahan, Dodge. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7549.

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2019Investors Trading Behaviour and Stock Market Volatility during Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange. (2019). Caporale, Guglielmo Maria ; Kartsaklas, Aris ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7984.

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2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

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2019Government ideology and monetary policy in OECD countries. (2019). Potrafke, Niklas ; Dörr, Luisa ; Dorr, Luisa ; Cahan, Dodge. In: ifo Working Paper Series. RePEc:ces:ifowps:_296.

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2019Exponential-type GARCH models with linear-in-variance risk premium. (2019). Hafner, Christian ; Dimitra, Kyriakopoulou ; Christian, Hafner. In: CORE Discussion Papers. RePEc:cor:louvco:2019013.

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2019Forecasting Volatility in Cryptocurrency Markets. (2019). Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7919.

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2019Long Memory Conditional Heteroscedasticity in Count Data. (2019). Stapper, Manuel ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:8219.

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2017On the Co-movements among East Asian Foreign Exchange Markets: A Multivariate FIAPARCH-DCC approach. (2017). el Abed, Riadh. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00370.

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2019The Response of European Energy Prices to ECB Monetary Policy. (2019). Torro, Hipolit. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-02-1.

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

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2017Dependence changes between the carbon price and its fundamentals: A quantile regression approach. (2017). Tan, Xue-Ping ; Wang, Xin-Yu . In: Applied Energy. RePEc:eee:appene:v:190:y:2017:i:c:p:306-325.

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2017Forecasting carbon price using empirical mode decomposition and evolutionary least squares support vector regression. (2017). Wei, Yi-Ming ; Zhang, Tao ; Wu, Zhanchi ; Wang, Ping ; Zhu, Bangzhu. In: Applied Energy. RePEc:eee:appene:v:191:y:2017:i:c:p:521-530.

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2017Can energy commodity futures add to the value of carbon assets?. (2017). Roubaud, David ; Bouri, Elie ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:194-206.

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2017The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets. (2017). Fang, Libing ; Li, Lei ; Yu, Honghai. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:139-145.

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2017Time-inconsistency and expansionary business cycle theories: What does matter for the central bank independence–inflation relationship?. (2017). Ftiti, Zied ; Smida, Mounir ; Aguir, Abdelkader. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:215-227.

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2018U.S. wage growth and nonlinearities: The roles of inflation and unemployment. (2018). Donayre, Luiggi ; Panovska, Irina . In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:273-292.

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2018A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets. (2018). Gong, Yuting ; Liang, Jufang ; Chen, Qiang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:586-598.

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2018The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets. (2018). Gupta, Rakesh ; Singh, Tarlok ; Li, Bin ; Mo, DI. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:543-560.

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2018Forecasting gold futures market volatility using macroeconomic variables in the United States. (2018). Fang, Libing ; Xiao, Wen ; Yu, Honghai. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:249-259.

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2018Forecasting the aggregate oil price volatility in a data-rich environment. (2018). Ma, Feng ; Zhang, Yaojie ; Wahab, M. I. M., ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:320-332.

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2019On the asymmetric impact of macro–variables on volatility. (2019). Amendola, Alessandra ; Gallo, Giampiero M ; Candila, Vincenzo. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:135-152.

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2019Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables. (2019). Salisu, Afees ; Oloko, Tirimisiyu F ; Swaray, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:153-171.

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2019Oil price and Gulf Corporation Council stock indices: New evidence from time-varying copula models. (2019). Vosgha, Hamed ; Fenech, Jean-Pierre. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:81-91.

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2019The relationship between trading activity and stock market volatility: Does the volume threshold matter?. (2019). Slim, Skander ; Koubaa, Yosra. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:168-184.

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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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2019Understanding stock market volatility: What is the role of U.S. uncertainty?. (2019). Yin, Libo ; Fang, Tong ; Su, Zhi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:582-590.

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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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2019A Fuzzy Stochastic Model for Carbon Price Prediction Under the Effect of Demand-related Policy in Chinas Carbon Market. (2019). Song, Xiaoqiu ; Li, Yin ; Liang, Dapeng ; Liu, Tiansen. In: Ecological Economics. RePEc:eee:ecolec:v:157:y:2019:i:c:p:253-265.

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2017The time-varying GARCH-in-mean model. (2017). Dias, Gustavo Fruet . In: Economics Letters. RePEc:eee:ecolet:v:157:y:2017:i:c:p:129-132.

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2017The role of news-based implied volatility among US financial markets. (2017). Yin, Libo ; Su, Zhi ; Fang, Tong . In: Economics Letters. RePEc:eee:ecolet:v:157:y:2017:i:c:p:24-27.

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2018Stationarity and functional central limit theorem for ARCH(∞) models. (2018). Lee, Oesook . In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:107-111.

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2018Asymmetric volatility in cryptocurrencies. (2018). Baur, Dirk G ; Dimpfl, Thomas. In: Economics Letters. RePEc:eee:ecolet:v:173:y:2018:i:c:p:148-151.

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2017Inference and testing on the boundary in extended constant conditional correlation GARCH models. (2017). Pedersen, Rasmus. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:23-36.

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2019Estimating MIDAS regressions via OLS with polynomial parameter profiling. (2019). Ghysels, Eric ; Qian, Hang. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:1-16.

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2017Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154.

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2017Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. (2017). Yin, Libo ; Wu, Chongfeng ; Wang, Yudong ; Pan, Zhiyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:130-142.

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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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2017Oil prices and stock markets: Does the effect of uncertainty change over time?. (2017). Park, Sung Y. ; Joo, Young C. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:42-51.

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2017Is information assimilated at announcements in the European carbon market?. (2017). Bredin, Don ; Muckley, Cal B ; Chen, Jiayuan . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:234-247.

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2017Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?. (2017). Wei, YU ; Hu, Yang ; Lai, Xiaodong ; Liu, Jing. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:141-150.

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2017Oil volatility risk and stock market volatility predictability: Evidence from G7 countries. (2017). Yin, Libo ; Feng, Jiabao ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:240-254.

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2018Oil prices and news-based uncertainty: Novel evidence. (2018). Yin, Libo ; Su, Zhi ; Lu, Man. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:331-340.

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2018The dynamic effects of oil supply shocks on the US stock market returns of upstream oil and gas companies. (2018). Ratti, Ronald ; Kang, Wensheng ; Ewing, Bradley T. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:505-516.

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2018Market fragmentation, liquidity measures and improvement perspectives from Chinas emissions trading scheme pilots. (2018). Chevallier, Julien ; Chen, Rongda ; Chang, Kai. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:249-260.

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2018Flexibility in the market for international carbon credits and price dynamics difference with European allowances. (2018). Gavard, Claire ; Kirat, Djamel. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:504-518.

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2019A novel market efficiency index for energy futures and their term structure risk premiums. (2019). Roberts, Helen ; Premachandra, I M ; Kuruppuarachchi, Duminda. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:23-33.

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2019Crude oil price shocks and hedging performance: A comparison of volatility models. (2019). Cho, Hoon ; Chun, Dohyun ; Kim, Jihun. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1132-1147.

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2017Can environmental innovation facilitate carbon emissions reduction? Evidence from China. (2017). Zhang, Yue-Jun ; Ma, Chao-Qun ; Peng, Yu-Lu ; Shen, BO. In: Energy Policy. RePEc:eee:enepol:v:100:y:2017:i:c:p:18-28.

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2017What policy adjustments in the EU ETS truly affected the carbon prices?. (2017). Fan, Ying ; Xu, Jin-Hua ; Wang, Xin ; Jia, Jun-Jun. In: Energy Policy. RePEc:eee:enepol:v:103:y:2017:i:c:p:145-164.

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2019Analyzing the economic sources of oil price volatility: An out-of-sample perspective. (2019). Liu, LI ; Meng, Fanyi . In: Energy. RePEc:eee:energy:v:177:y:2019:i:c:p:476-486.

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2018Modelling time varying volatility spillovers and conditional correlations across commodity metal futures. (2018). Karanasos, Menelaos ; Nath, Rajat ; Margaronis, Zannis ; Ali, Faek Menla. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:246-256.

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2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance. (2018). Walther, Thomas ; Thu, Hien Pham ; Klein, Tony. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:105-116.

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2019News implied volatility and long-term foreign exchange market volatility. (2019). Yin, Libo ; Han, Liyan ; Liu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:126-142.

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2019Determinants of stock-bond market comovement in the Eurozone under model uncertainty. (2019). Skintzi, Vasiliki D. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:20-28.

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2019Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin?. (2019). GUPTA, RANGAN ; Bouri, Elie ; Roubaud, David ; Fang, Libing. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:29-36.

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2017Geopolitical risks and the oil-stock nexus over 1899–2016. (2017). Papadamou, Stephanos ; Kollias, Christos ; GUPTA, RANGAN ; Antonakakis, Nikolaos. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:165-173.

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2018The effect of economic policy uncertainty on the long-run correlation between crude oil and the U.S. stock markets. (2018). Fang, Libing ; Xiong, Cheng ; Yu, Honghai ; Chen, Baizhu. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:56-63.

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2018A firm-level analysis of the upstream-downstream dichotomy in the oil-stock nexus. (2018). Salisu, Afees ; Swaray, Raymond. In: Global Finance Journal. RePEc:eee:glofin:v:37:y:2018:i:c:p:199-218.

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2019Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting. (2019). Walther, Thomas ; Bouri, Elie ; Klein, Tony. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119302446.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2019Forecasting Bitcoin risk measures: A robust approach. (2019). Trucíos, Carlos ; Trucios, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:836-847.

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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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2017Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration. (2017). Miller, Stephen ; Canarella, Giorgio. In: Journal of Economics and Business. RePEc:eee:jebusi:v:92:y:2017:i:c:p:45-62.

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2018Central bank transparency and the volatility of exchange rates. (2018). Eichler, Stefan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:89:y:2018:i:c:p:23-49.

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2019International spillovers of U.S. financial volatility. (2019). Berg, Kimberly ; Vu, Nam T. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:97:y:2019:i:c:p:19-34.

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2019Economic policy uncertainty and dollar-pound exchange rate return volatility. (2019). Bartsch, Zachary. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:98:y:2019:i:c:1.

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2019U.S., European, Chinese economic policy uncertainty and Moroccan stock market volatility. (2019). el Ghini, Ahmed ; Belcaid, Karim. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:20:y:2019:i:c:s1703494919300672.

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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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2019Central bank announcements: Big news for little people?. (2019). Lamla, Michael ; Vinogradov, Dmitri V. In: Journal of Monetary Economics. RePEc:eee:moneco:v:108:y:2019:i:c:p:21-38.

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2019Monetary policy announcements and expectations: Evidence from german firms. (2019). Müller, Gernot ; Enders, Zeno ; Muller, Gernot J ; Hunnekes, Franziska. In: Journal of Monetary Economics. RePEc:eee:moneco:v:108:y:2019:i:c:p:45-63.

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2018News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets. (2018). Gupta, Rangan ; Wohar, Mark E ; Papadamou, Stephanos ; Kollias, Christos. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:47-48:y:2018:i::p:76-90.

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2018Measuring systemic risk of the banking industry in China: A DCC-MIDAS-t approach. (2018). Xu, Qifa ; Yuan, Jing ; Jiang, Cuixia ; Chen, LU. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:51:y:2018:i:c:p:13-31.

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2017Burst and inter-burst duration statistics as empirical test of long-range memory in the financial markets. (2017). Gontis, V ; Kononovicius, A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:483:y:2017:i:c:p:266-272.

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2018How does stock market volatility react to NVIX? Evidence from developed countries. (2018). Fang, Libing ; Yu, Honghai ; Chen, Ying ; Qian, Yichuo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:490-499.

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2018Forecasting performance of global economic policy uncertainty for volatility of Chinese stock market. (2018). Yu, Honghai ; Sun, Wencong ; Fang, Libing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:931-940.

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2018Multifractal detrended cross-correlation analysis of carbon emission allowance and stock returns. (2018). Fang, Sheng ; Qu, Ling ; Li, Jianfeng ; Lu, Xinsheng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:551-566.

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2019Long range dependence in the Bitcoin market: A study based on high-frequency data. (2019). Zargar, Faisal Nazir ; Kumar, Dilip. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:625-640.

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2019Examining the multi-timescales of European carbon market with grey relational analysis and empirical mode decomposition. (2019). Zhu, Bangzhu ; Ye, Shunxin ; Yuan, Lili. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:392-399.

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2019Uncertainty and oil volatility: New evidence. (2019). Cao, Xiang ; Zeng, Qing ; Mei, Dexiang ; Diao, Xiaohua. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:155-163.

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2019Which fear index matters for predicting US stock market volatilities: Text-counts or option based measurement?. (2019). Wei, Guiwu ; Wang, Yan ; Liu, Qiuhong ; Zhu, Sha. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:536:y:2019:i:c:s0378437119314645.

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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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More than 100 citations found, this list is not complete...

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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paper48
2011Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study.(2011) In: Journal of Empirical Finance.
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article
2008Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models In: Working Papers.
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paper7
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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paper65
2012Modeling and explaining the dynamics of European Union Allowance prices at high-frequency.(2012) In: Energy Economics.
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article
2010Modeling and explaining the dynamics of European Union allowance prices at high-frequency.(2010) In: ZEW Discussion Papers.
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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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paper4
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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article
2012Explaining Inflation-Gap Persistence by a Time-Varying Taylor Rule In: Working Papers.
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paper11
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: 11
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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paper28
2015Anticipating Long‐Term Stock Market Volatility.(2015) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 28
article
2012The Effect of Political Communication on European Financial Markets during the Sovereign Debt Crisis In: Working Papers.
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paper1
2016The effect of political communication on European financial markets during the sovereign debt crisis.(2016) In: Journal of Empirical Finance.
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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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paper
2013Measuring Persistence in Volatility Spillovers.(2013) In: Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
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paper
2014Cross-sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty In: Working Papers.
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paper4
2014Cross sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty.(2014) In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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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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article
2015The Variance Risk Premium and Fundamental Uncertainty In: Working Papers.
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paper6
2015The variance risk premium and fundamental uncertainty.(2015) In: Economics Letters.
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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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article1
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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article19
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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2010The link between macroeconomic performance and variability in the UK In: Economics Letters.
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article10
2006The impulse response function of the long memory GARCH process In: Economics Letters.
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article6
2010Non-negativity conditions for the hyperbolic GARCH model In: Journal of Econometrics.
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article27
2007Non-negativity Conditions for the Hyperbolic GARCH Model.(2007) In: KOF Working papers.
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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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article39
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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article57
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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article3
2018Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis In: Journal of Risk and Financial Management.
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article13
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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paper9
2010The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication In: Journal of Money, Credit and Banking.
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article45
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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article
2006Inequality Constraints in the Fractionally Integrated GARCH Model In: Journal of Financial Econometrics.
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article58
2020Testing for an Omitted Multiplicative Long-Term Component in GARCH Models In: Journal of Business & Economic Statistics.
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article2
2019Testing for an omitted multiplicative long-term component in GARCH models.(2019) In: Working Paper Series in Economics.
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2020Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models In: Journal of Applied Econometrics.
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article1
2015Misspecification Testing in GARCH-MIDAS Models In: 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: Annual Conference 2016 (Augsburg): Demographic Change.
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paper0
2017When does information on forecast variance improve the performance of a combined forecast? In: 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

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