15
H index
20
i10 index
951
Citations
Ruprecht-Karls-Universität Heidelberg | 15 H index 20 i10 index 951 Citations RESEARCH PRODUCTION: 25 Articles 37 Papers RESEARCH ACTIVITY: 18 years (2005 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pco229 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Christian Conrad. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Economics Letters | 3 |
Journal of Empirical Finance | 3 |
Journal of Econometrics | 2 |
Journal of Applied Econometrics | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / University of Heidelberg, Department of Economics | 19 |
Working Paper series / Rimini Centre for Economic Analysis | 3 |
KOF Working papers / KOF Swiss Economic Institute, ETH Zurich | 3 |
ZEW Discussion Papers / ZEW - Leibniz Centre for European Economic Research | 2 |
Year | Title of citing document |
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2023 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper |
2023 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper |
2023 | Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592. Full description at Econpapers || Download paper |
2023 | The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349. Full description at Econpapers || Download paper |
2023 | Discrete $q$-exponential limit order cancellation time distribution. (2023). Gontis, Vygintas. In: Papers. RePEc:arx:papers:2306.00093. Full description at Econpapers || Download paper |
2023 | Long-Term Volatility Shapes the Stock Market’s Sensitivity to News. (2023). Tushteva, Nikoleta ; Schoelkopf, Julius Theodor ; Conrad, Christian. In: Working Papers. RePEc:awi:wpaper:0739. Full description at Econpapers || Download paper |
2023 | S&P 500 volatility, volatility regimes, and economic uncertainty. (2023). Chatrath, Arjun ; Adrangi, Bahram ; Raffiee, Kambiz. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1362-1387. Full description at Econpapers || Download paper |
2023 | Testing for Differences in Survey-Based Density Expectations: A Compositional Data Approach. (2023). Kenny, Geoff ; Glas, Alexander ; Dovern, Jonas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10256. Full description at Econpapers || Download paper |
2023 | Financial Integration and European Tourism Stocks. (2023). Wu, Jiaying ; Karanasos, Menelaos ; Yfanti, Stavroula ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10269. Full description at Econpapers || Download paper |
2023 | Breaking Monetary Policy News: The Role of Mass Media Coverage of ECB Announcements for Public Inflation Expectations. (2023). Feld, Lars ; Kohler, Ekkehard A ; Hirsch, Patrick. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10285. Full description at Econpapers || Download paper |
2023 | Media Treatment of Monetary Policy Surprises and Their Impact on Firms’ and Consumers’ Expectations. (2023). Kočenda, Evžen ; Kocenda, Even ; Pinter, Julien. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10413. Full description at Econpapers || Download paper |
2023 | Time-Varying Parameters in Monetary Policy Rules: A GMM Approach. (2023). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10451. Full description at Econpapers || Download paper |
2023 | Consumers Macroeconomic Expectations. (2023). Lamla, Michael ; Drager, Lena. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10709. Full description at Econpapers || Download paper |
2023 | Central Bank Communication with the General Public. (2023). Drager, Lena. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10713. Full description at Econpapers || Download paper |
2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper |
2023 | Opportunistic Political Central Bank Coverage: Does media coverage of ECBs Monetary Policy Impacts German Political Parties Popularity?. (2023). Picault, Matthieu ; Oriola, Hugo. In: EconomiX Working Papers. RePEc:drm:wpaper:2023-30. Full description at Econpapers || Download paper |
2023 | Testing for differences in survey-based density expectations: a compositional data approach. (2023). Kenny, Geoff ; Glas, Alexander ; Dovern, Jonas. In: Working Paper Series. RePEc:ecb:ecbwps:20232791. Full description at Econpapers || Download paper |
2023 | Unveiling the sentiment behind central bank narratives: A novel deep learning index. (2023). Radu, Tefan-Constantin ; Pochea, Maria-Miruna ; Nioi, Mihai. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000230. Full description at Econpapers || Download paper |
2023 | How credible is average and symmetric inflation targeting in an episode of high inflation?. (2023). Herzog, Bodo. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:1750-1761. Full description at Econpapers || Download paper |
2023 | Carbon trading amidst global uncertainty: The role of policy and geopolitical uncertainty. (2023). Adediran, Idris ; Swaray, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000913. Full description at Econpapers || Download paper |
2023 | Forecasting stock return volatility in data-rich environment: A new powerful predictor. (2023). Li, Tingyu ; Zhang, Xiaotong ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001802. Full description at Econpapers || Download paper |
2023 | GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets. (2023). Li, Min-Jian ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000335. Full description at Econpapers || Download paper |
2023 | Volatility forecasting in the Bitcoin market: A new proposed measure based on the VS-ACARR approach. (2023). Iqbal, Najaf ; Umar, Zaghum ; Yin, Xuebao ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000712. Full description at Econpapers || Download paper |
2023 | Bootstrap specification tests for dynamic conditional distribution models. (2023). Silvapulle, Mervyn J ; Perera, Indeewara. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:949-971. Full description at Econpapers || Download paper |
2023 | Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application. (2023). Asai, Manabu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:25:y:2023:i:c:p:23-38. Full description at Econpapers || Download paper |
2023 | Do monetary condition news at the zero lower bound influence households’ expectations and readiness to spend?. (2023). Wang, Ben Zhe ; Sheen, Jeffrey. In: European Economic Review. RePEc:eee:eecrev:v:152:y:2023:i:c:s0014292122002252. Full description at Econpapers || Download paper |
2023 | Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Christopoulos, Apostolos ; Zopounidis, Constantin ; Karanasos, Menelaos ; Yfanti, Stavroula. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:813-831. Full description at Econpapers || Download paper |
2023 | Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables. (2023). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:91-122. Full description at Econpapers || Download paper |
2023 | Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2023). Javed, Farrukh ; Nguyen, Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:272-292. Full description at Econpapers || Download paper |
2023 | The effects of economic uncertainty on financial volatility: A comprehensive investigation. (2023). Wang, Tianyi ; Zhang, Cong ; Huang, Zhuo ; Tong, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:369-389. Full description at Econpapers || Download paper |
2023 | Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions. (2023). Ren, Xiaohang ; Jawadi, Fredj ; Bu, Ruijun ; Li, Jingyao ; Wang, Xiong. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006041. Full description at Econpapers || Download paper |
2023 | The role of the COVID-19 pandemic in time-frequency connectedness between oil market shocks and green bond markets: Evidence from the wavelet-based quantile approaches. (2023). Ren, Xiaohang ; Gözgör, Giray ; Gozgor, Giray ; Qi, Yinshu ; Wei, Ping. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s014098832300155x. Full description at Econpapers || Download paper |
2023 | Drivers and pass-through of the EU ETS price: Evidence from the power sector. (2023). Okullo, Samuel J ; Bai, Yiyi. In: Energy Economics. RePEc:eee:eneeco:v:123:y:2023:i:c:s0140988323001962. Full description at Econpapers || Download paper |
2023 | Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2023). Virbickait, Audron ; Nguyen, Hoang. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002360. Full description at Econpapers || Download paper |
2023 | The impact of global economic policy uncertainty on portfolio optimization: A Black–Litterman approach. (2023). Li, Jie ; Han, Yingwei. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521922004264. Full description at Econpapers || Download paper |
2023 | Co-movement between commodity and equity markets revisited—An application of the Thick Pen method. (2023). Lee, Seungho ; Durand, Robert B ; Gronwald, Marc ; Wadud, Sania. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000844. Full description at Econpapers || Download paper |
2023 | Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach. (2023). Brooks, Robert ; Hasanov, Akram Shavkatovich ; Vellachami, Sanggetha. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002314. Full description at Econpapers || Download paper |
2023 | Less is more? New evidence from stock market volatility predictability. (2023). Guo, Qiang ; Ma, Feng ; Lu, Fei. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003356. Full description at Econpapers || Download paper |
2023 | How do stock prices respond to the leading economic indicators? Analysis of large and small shocks. (2023). Chen, Zhonglu ; Liu, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006079. Full description at Econpapers || Download paper |
2023 | Can bonds hedge stock market risks? Green bonds vs conventional bonds. (2023). Yoon, Seong-Min ; Nie, Siyue ; Xiong, Youlin ; Dong, Xiyong. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s154461232200544x. Full description at Econpapers || Download paper |
2023 | An improved FIGARCH model with the fractional differencing operator (1-?L)d. (2023). Du, Xiuli ; Li, Peng ; Pan, Qunxing. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003471. Full description at Econpapers || Download paper |
2023 | A Real-Time GARCH-MIDAS model. (2023). Cheng, Tengfei ; Zhao, AN ; Wu, Xinyu. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004750. Full description at Econpapers || Download paper |
2023 | Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561. Full description at Econpapers || Download paper |
2023 | Heterogeneous inflation and deflation experiences and savings decisions during German industrialization. (2023). Streb, Jochen ; Neumayer, Andreas ; Lehmann-Hasemeyer, Sibylle. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001760. Full description at Econpapers || Download paper |
2023 | Too much is too bad: The effect of media coverage on the price volatility of cryptocurrencies. (2023). Jeong, Daeyoung ; Lee, Kangsan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000244. Full description at Econpapers || Download paper |
2023 | Dynamic connectedness between crude oil and equity markets: What about the effects of firms solvency and profitability positions?. (2023). Balli, Faruk ; Ha, Thi Thu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000387. Full description at Econpapers || Download paper |
2023 | Dependence structures among geopolitical risks, energy prices, and carbon emissions prices. (2023). Gözgör, Giray ; Gozgor, Giray ; Albasu, Joseph ; Soliman, Alaa M ; Lau, Chi Keung. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003148. Full description at Econpapers || Download paper |
2023 | Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:303-314. Full description at Econpapers || Download paper |
2023 | Measuring the response of clean energy stock price volatility to extreme shocks. (2023). Luo, Keyu ; Peng, Lijuan ; Wang, LU ; Zhang, LI. In: Renewable Energy. RePEc:eee:renene:v:206:y:2023:i:c:p:1289-1300. Full description at Econpapers || Download paper |
2023 | Air quality index and the Chinese stock market volatility: Evidence from both market and sector indices. (2023). Liang, Chao ; Duc, Toan Luu ; Lu, Xinjie ; Shen, Lihua. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:224-239. Full description at Econpapers || Download paper |
2023 | Does climate policy uncertainty affect Chinese stock market volatility?. (2023). Weng, Chen ; Zhang, LI ; Chen, Zhonglu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:369-381. Full description at Econpapers || Download paper |
2023 | How do economic policy uncertainty and geopolitical risk drive Bitcoin volatility?. (2023). ben Haj, Hayet ; ben Nouir, Jihed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922001957. Full description at Econpapers || Download paper |
2023 | Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?. (2023). Vo, Xuan Vinh ; Bakry, Walid ; Al-Mohamad, Somar ; Prasad, Mason ; Khaki, Audil. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002094. Full description at Econpapers || Download paper |
2023 | Nonlinearity in forecasting energy commodity prices: Evidence from a focused time-delayed neural network. (2023). Abedin, Mohammad Zoynul ; Fisher, Ben ; Hajek, Petr ; Bouteska, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002495. Full description at Econpapers || Download paper |
2023 | Economic policy uncertainty and environmental governance company volatility: Evidence from China. (2023). Feng, Jing ; Qi, Jipeng ; Lv, Wendai. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000016. Full description at Econpapers || Download paper |
2023 | Oil Price Forecasting Using FRED Data: A Comparison between Some Alternative Models. (2023). Chidmi, Benaissa ; al Shammre, Abdullah Sultan. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:11:p:4451-:d:1160822. Full description at Econpapers || Download paper |
2023 | Effects of Crude Oil Price Shocks on Stock Markets and Currency Exchange Rates in the Context of Russia-Ukraine Conflict: Evidence from G7 Countries. (2023). Paul, Biswajit ; Bagchi, Bhaskar. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:64-:d:1045044. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | The Influencing Factors of the Carbon Trading Price: A Case of China against a “Double Carbon” Background. (2023). Yu, Yang ; Tian, Yihua ; Yang, Danni ; Fu, Qinyi ; Zeng, Shaolong. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:2203-:d:1046138. Full description at Econpapers || Download paper |
2023 | Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models. (2023). Tran, Minh-Ngoc ; Nguyen, Hoang ; Virbickaite, Audrone. In: Working Papers. RePEc:hhs:oruesi:2023_007. Full description at Econpapers || Download paper |
2023 | Disentangling the Nonlinearity Effect in Cryptocurrency Markets During the Covid-19 Pandemic: Evidence from a Regime-Switching Approach. (2023). Moussa, Wajdi ; Bejaoui, Azza ; Mgadmi, Nidhal. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:3:d:10.1007_s10690-022-09384-6. Full description at Econpapers || Download paper |
2023 | Do Gas Price and Uncertainty Indices Forecast Crude Oil Prices? Fresh Evidence Through XGBoost Modeling. (2023). Nsaibi, Mariem ; Hakimi, Abdelaziz ; Zaghdoudi, Taha ; Tissaoui, Kais. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10305-y. Full description at Econpapers || Download paper |
2023 | A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting. (2023). Miller, Stephen ; Boubaker, Heni ; Gupta, Rangan ; Canarella, Giorgio. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10320-z. Full description at Econpapers || Download paper |
2023 | Inflation Expectations in CESEE: The Role of Sentiment and Experiences (Katharina Allinger, Fabio Rumler). (2023). Rumler, Fabio ; Allinger, Katharina. In: Working Papers. RePEc:onb:oenbwp:247. Full description at Econpapers || Download paper |
2023 | FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series. (2023). Letmathe, Sebastian ; Gries, Thomas ; Feng, Yuanhua. In: Working Papers CIE. RePEc:pdn:ciepap:156. Full description at Econpapers || Download paper |
2023 | Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Working Papers. RePEc:pre:wpaper:202308. Full description at Econpapers || Download paper |
2023 | Economic Conditions and Predictability of US Stock Returns Volatility: Local Factor versus National Factor in a GARCH-MIDAS Model. (2023). Cepni, Oguzhan ; Gupta, Rangan ; Liao, Wenting ; Salisu, Afees A. In: Working Papers. RePEc:pre:wpaper:202323. Full description at Econpapers || Download paper |
2023 | Long-Term Volatility Shapes the Stock Market’s Sensitivity to News. (2023). Tushteva, Nikoleta ; Schoelkopf, Julius Theodor ; Conrad, Christian. In: Working Paper series. RePEc:rim:rimwps:23-16. Full description at Econpapers || Download paper |
2023 | Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? A quantile machine-learning approach. (2023). GUPTA, RANGAN ; Pierdzioch, Christian. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00435-5. Full description at Econpapers || Download paper |
2023 | Diversification evidence of bitcoin and gold from wavelet analysis. (2023). Zhang, Changyong ; Husain, Afzol ; Bhuiyan, Rubaiyat Ahsan. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00495-1. Full description at Econpapers || Download paper |
2023 | Forecasting returns volatility of cryptocurrency by applying various deep learning algorithms. (2023). Shaikh, Parvez Ahmed ; Khan, Faridoon. In: Future Business Journal. RePEc:spr:futbus:v:9:y:2023:i:1:d:10.1186_s43093-023-00200-9. Full description at Econpapers || Download paper |
2023 | Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. (2023). Usman, Ojonugwa ; Olasehinde-Williams, Godwin O ; Olanipekun, Ifedolapo O ; Alao, Saheed ; Alhassan, Abdul Kareem. In: Letters in Spatial and Resource Sciences. RePEc:spr:lsprsc:v:16:y:2023:i:1:d:10.1007_s12076-023-00325-z. Full description at Econpapers || Download paper |
2023 | Monetary policy and financial markets: evidence from Twitter traffic. (2023). Rubera, Gaia ; Romelli, Davide ; Masciandaro, Donato. In: Trinity Economics Papers. RePEc:tcd:tcduee:tep1023. Full description at Econpapers || Download paper |
2023 | Modelling and Forecasting Energy Market Cycles: A Generalized Smooth Transition Approach.. (2023). Alqaralleh, Huthaifa ; Chini, Emilio Zanetti ; Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202318. Full description at Econpapers || Download paper |
2023 | Uncertainty?driven oil volatility risk premium and international stock market volatility forecasting. (2023). Yin, Libo ; Su, Zhi ; Miao, Deyu ; Fang, Tong. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:872-904. Full description at Econpapers || Download paper |
2023 | Climate change attention and carbon futures return prediction. (2023). Sun, Chuanwang ; Guan, Keqin ; Li, Mengjie ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1261-1288. Full description at Econpapers || Download paper |
2023 | Households expectations and regional COVID-19 dynamics. (2023). Schmidt, Tobias ; Cato, Misina. In: Discussion Papers. RePEc:zbw:bubdps:022023. Full description at Econpapers || Download paper |
2023 | Households probabilistic inflation expectations in high-inflation regimes. (2023). Glas, Alexander ; Eife, Thomas A ; Dursch, Peter ; Becker, Christoph. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:012023. Full description at Econpapers || Download paper |
2023 | Inflation news coverage, expectations and risk premium. (2023). Ortiz, Daniel Perico. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:052023. Full description at Econpapers || Download paper |
2023 | Eliciting expectation uncertainty from private households. (2023). Dovern, Jonas. In: Working Papers. RePEc:zbw:pp1859:38. Full description at Econpapers || Download paper |
2023 | Testing for differences in survey-based density expectations: A compositional data approach. (2023). Kenny, Geoff ; Glas, Alexander ; Dovern, Jonas. In: Working Papers. RePEc:zbw:pp1859:39. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2008 | Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study In: Working Papers. [Full Text][Citation analysis] | paper | 59 |
2011 | Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study.(2011) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | article | |
2008 | Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models In: Working Papers. [Full Text][Citation analysis] | paper | 10 |
2008 | Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: the UECCC GARCH Model In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2010 | Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency In: Working Papers. [Full Text][Citation analysis] | paper | 93 |
2012 | Modeling and explaining the dynamics of European Union Allowance prices at high-frequency.(2012) In: Energy Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | article | |
2010 | Modeling and explaining the dynamics of European Union allowance prices at high-frequency.(2010) In: ZEW Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 93 | paper | |
2010 | Explaining Inflation Persistence by a Time-Varying Taylor Rule In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Modeling the link between US inflation and output: the importance of the uncertainty channel In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
2015 | Modelling the Link Between US Inflation and Output: The Importance of the Uncertainty Channel.(2015) In: Scottish Journal of Political Economy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2012 | Explaining Inflation-Gap Persistence by a Time-Varying Taylor Rule In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
2012 | Explaining inflation-gap persistence by a time-varying Taylor rule.(2012) In: Journal of Macroeconomics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
2012 | On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
2012 | Anticipating Long-Term Stock Market Volatility In: Working Papers. [Full Text][Citation analysis] | paper | 79 |
2015 | Anticipating Long?Term Stock Market Volatility.(2015) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 79 | article | |
2012 | The Effect of Political Communication on European Financial Markets during the Sovereign Debt Crisis In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
2016 | The effect of political communication on European financial markets during the sovereign debt crisis.(2016) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2013 | Measuring Persistence in Volatility Spillovers In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
2013 | Measuring Persistence in Volatility Spillovers.(2013) In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2013 | Measuring Persistence in Volatility Spillovers.(2013) In: VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2014 | Cross-sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2014 | Cross 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. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2015 | Asymptotics for parametric GARCH-in-Mean Models In: Working Papers. [Full Text][Citation analysis] | paper | 12 |
2016 | Asymptotics for parametric GARCH-in-Mean models.(2016) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
2015 | The Variance Risk Premium and Fundamental Uncertainty In: Working Papers. [Full Text][Citation analysis] | paper | 12 |
2015 | The variance risk premium and fundamental uncertainty.(2015) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
2015 | Misspeciï¬cation Testing in GARCH-MIDAS Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | On the statistical properties of multiplicative GARCH models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | On the economic determinants of optimal stock-bond portfolios: international evidence In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2018 | ‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Long-Term Volatility Shapes the Stock Market’s Sensitivity to News In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Long-Term Volatility Shapes the Stock Market’s Sensitivity to News.(2023) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2015 | On the Transmission of Memory in Garch-in-Mean Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 3 |
2005 | Dual 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. [Full Text][Citation analysis] | article | 35 |
2020 | The Role of Information and Experience for Households Inflation Expectations In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 27 |
2022 | The role of information and experience for households’ inflation expectations.(2022) In: European Economic Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
2021 | The role of information and experience for households inflation expectations.(2021) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2021 | The role of information and experience for households inflation expectations.(2021) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2020 | The role of information and experience for households inflation expectations.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2010 | NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL In: Econometric Theory. [Full Text][Citation analysis] | article | 36 |
2008 | Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model.(2008) In: KOF Working papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
2010 | The link between macroeconomic performance and variability in the UK In: Economics Letters. [Full Text][Citation analysis] | article | 15 |
2006 | The impulse response function of the long memory GARCH process In: Economics Letters. [Full Text][Citation analysis] | article | 10 |
2010 | Non-negativity conditions for the hyperbolic GARCH model In: Journal of Econometrics. [Full Text][Citation analysis] | article | 38 |
2007 | Non-negativity Conditions for the Hyperbolic GARCH Model.(2007) In: KOF Working papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | paper | |
2014 | On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 101 |
2005 | On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach In: Japan and the World Economy. [Full Text][Citation analysis] | article | 71 |
2019 | On the determinants of long-run inflation uncertainty: Evidence from a panel of 17 developed economies In: European Journal of Political Economy. [Full Text][Citation analysis] | article | 4 |
2018 | Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis In: JRFM. [Full Text][Citation analysis] | article | 76 |
2007 | An den Lippen der EZB – Der KOF Monetary Policy Communicator In: KOF Analysen. [Full Text][Citation analysis] | article | 1 |
2007 | The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Monetary Policy Announcements In: KOF Working papers. [Full Text][Citation analysis] | paper | 19 |
2010 | The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication In: Journal of Money, Credit and Banking. [Citation analysis] | article | 74 |
2010 | The High?Frequency Response of the EUR?USD Exchange Rate to ECB Communication.(2010) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 74 | article | |
2006 | Inequality Constraints in the Fractionally Integrated GARCH Model In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 69 |
2021 | Modelling Volatility Cycles: The (MF)2 GARCH Model In: Working Paper series. [Full Text][Citation analysis] | paper | 0 |
2020 | Testing for an Omitted Multiplicative Long-Term Component in GARCH Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 9 |
2019 | Testing for an omitted multiplicative long-term component in GARCH models.(2019) In: Working Paper Series in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2020 | Two are better than one: Volatility forecasting using multiplicative component GARCH?MIDAS models In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 38 |
2015 | Misspecification Testing in GARCH-MIDAS Models In: VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. [Full Text][Citation analysis] | paper | 0 |
2016 | Macroeconomic expectations and the time-varying stock-bond correlation: international evidence In: VfS Annual Conference 2016 (Augsburg): Demographic Change. [Full Text][Citation analysis] | paper | 3 |
2017 | When does information on forecast variance improve the performance of a combined forecast? In: VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. [Full Text][Citation analysis] | paper | 0 |
2009 | The European Commission and EUA prices: a high-frequency analysis of the ECs decisions on second NAPs In: ZEW Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
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