Christian Conrad : Citation Profile

Are you Christian Conrad?

Ruprecht-Karls-Universität Heidelberg

15

H index

20

i10 index

899

Citations

RESEARCH PRODUCTION:

25

Articles

35

Papers

RESEARCH ACTIVITY:

   17 years (2005 - 2022). See details.
   Cites by year: 52
   Journals where Christian Conrad has often published
   Relations with other researchers
   Recent citing documents: 210.    Total self citations: 39 (4.16 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pco229
   Updated: 2023-08-19    RAS profile: 2023-05-09    
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Relations with other researchers

Works with:

Enders, Zeno (5)

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 (35)

Nguyen, Duc Khuong (18)

Yin, Libo (17)

Chevallier, Julien (16)

Hartmann, Matthias (14)

Salisu, Afees (13)

Caporale, Guglielmo Maria (13)

Gallo, Giampiero (12)

MORANA, CLAUDIO (12)

Bouri, Elie (11)

Amendola, Alessandra (10)

Cites to:

Bollerslev, Tim (49)

Engle, Robert (48)

Campbell, John (33)

Karanasos, Menelaos (24)

Diebold, Francis (19)

Grier, Kevin (17)

Kilian, Lutz (16)

Teräsvirta, Timo (16)

Sturm, Jan-Egbert (16)

Christiansen, Charlotte (14)

Andersen, Torben (13)

Main data

Where Christian Conrad has published?

Journals with more than one article published# docs
Economics Letters3
Journal of Empirical Finance3
Journal of Applied Econometrics2
Journal of 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 (2022 and 2021)

YearTitle of citing document
2022?????????? ??????????? ? ???????????? ???????? ???????? ???????? // Financial literacy and inflation expectations of households. (2022). Agambayeva, Saida ; Агамбаева Саида // Agambayeva Saida, ; Конурбаева Наталья // Konurbayeva Natalya, . In: Working Papers. RePEc:aob:wpaper:32.

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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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2022Cryptocurrency 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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2023Using 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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2021Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (2021). Huang, Zhuo ; Wang, Tianyi ; Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2112.05302.

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2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2023Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

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2023Discrete $q$-exponential limit order cancellation time distribution. (2023). Gontis, Vygintas. In: Papers. RePEc:arx:papers:2306.00093.

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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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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:cbafwp21160.

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2022The role of central bank communication in inflation-targeting Eastern European emerging economies. (2022). Coco, Alberto ; Ciarlone, Alessio ; Astuti, Valerio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1381_22.

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2022Oral FX Interventions in Emerging Markets: the Colombian case. (2022). Sanchez-Jabba, Andres ; Parra-Polanía, Julián ; Sarmiento, Miguel ; Sanchez -Jabba, Andres ; Parra-Polania, Julian A. In: Borradores de Economia. RePEc:bdr:borrec:1194.

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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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2021To infinity and beyond: Efficient computation of ARCH(?) models. (2021). Noël, Antoine ; Nielsen, Morten. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:338-354.

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2022Inference in Misspecified GARCH?M Models. (2022). Smallwood, Aaron D. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:2:p:334-355.

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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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2023Testing 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.

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2023Financial Integration and European Tourism Stocks. (2023). Wu, Jiaying ; Karanasos, Menelaos ; Yfanti, Stavroula ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10269.

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2023Breaking 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.

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2023Media 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.

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2023Time-Varying Parameters in Monetary Policy Rules: A GMM Approach. (2023). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10451.

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2022Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS. (2022). Otranto, Edoardo ; Gallo, Giampiero ; Domianello, Scaffidi L. In: Working Paper CRENoS. RePEc:cns:cnscwp:202205.

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2023A 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.

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2022Financial-market volatility prediction with multiplicative Markov-switching MIDAS components. (2022). Wilfling, Bernd ; Segnon, Mawuli ; Schulte-Tillman, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:9922.

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2022Inference on Multiplicative Component GARCH without any Small-Order Moment. (2022). Zakoian, Jean-Michel ; Kandji, Baye Matar ; Francq, Christian. In: Working Papers. RePEc:crs:wpaper:2022-09.

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2022Reactions of household inflation expectations to a symmetric inflation target and high inflation. (2022). van Rooij, Maarten ; Moessner, Richhild ; Galati, Gabriele. In: Working Papers. RePEc:dnb:dnbwpp:743.

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2022Look who’s Talking: Individual Committee members’ impact on inflation expectations. (2022). Kwiatkowski, Andrzej ; Menzies, Craig ; Rambaccussing, Dooruj. In: Dundee Discussion Papers in Economics. RePEc:dun:dpaper:305.

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2021Clear, consistent and engaging: ECB monetary policy communication in a changing world. (2021). Assenmacher, Katrin ; Samarina, Anna ; Rieder, Kilian ; Mestre, Ricardo ; Kocharkov, Georgi ; Giovannini, Alessandro ; Gertler, Pavel ; Ehrmann, Michael ; Ioannidis, Michael ; Glockler, Gabriel ; Georgarakos, Dimitris ; Schupp, Fabian ; Meyer, Justus ; Bitterlich, Marie Therese ; Huertgen, Patrick ; Winkler, Bernhard ; Gardt, Marius ; Anta, Martin ; Bergbauer, Stephanie ; Hoffmann, Mathias ; Weber, Michael ; Ferrero, Giuseppe ; Marquez, Victor ; Bakk-Simon, Klara ; Herrala, Niko ; Tiseno, Andrea ; Ferreira, Clodomiro ; Ruhe, Corina ; Manrique, Marta ; Arigoni, Filippo ; Hernborg, Nils ; Tischer, Johannes ; Reedik, Reet ; Fernandez, Ricardo ; Linzert, Tobias ; Argiri, Eleni ; Hellstrom, Jenni ; Taylor, Eva ; Penalv
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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2021Firm expectations and economic activity. (2021). Müller, Gernot ; Enders, Zeno ; Muller, Gernot J ; Hunnekes, Franziska. In: Working Paper Series. RePEc:ecb:ecbwps:20212621.

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2023Testing 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.

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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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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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2022Carbon price prediction considering climate change: A text-based framework. (2022). Zheng, Xiaolong ; Li, Jingyu ; Hao, Jingjing ; Xie, Qiwei. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:74:y:2022:i:c:p:382-401.

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2022The driving forces of green bond market volatility and the response of the market to the COVID-19 pandemic. (2022). Liu, Min. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:288-309.

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2022When are the effects of economic policy uncertainty on oil–stock correlations larger? Evidence from a regime-switching analysis. (2022). Wang, Deqing ; Lv, Tao ; Ding, Zhihua ; Zhang, Huiying ; Liu, Zhenhua. In: Economic Modelling. RePEc:eee:ecmode:v:114:y:2022:i:c:s0264999322001870.

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2023Carbon 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.

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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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2021Forecasting stock market volatility: Can the risk aversion measure exert an important role?. (2021). Chang, Xiaoming ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001297.

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2022Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence. (2022). Liu, Xing ; Tan, Chunzhi ; Zhang, Wei Guo ; Mo, Guoli. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001765.

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2022Evolving United States stock market volatility: The role of conventional and unconventional monetary policies. (2022). GUPTA, RANGAN ; Balcilar, Mehmet ; Ji, Qiang ; Plakandaras, Vasilios. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000249.

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2022Time-varying risk aversion and renminbi exchange rate volatility: Evidence from CARR-MIDAS model. (2022). Zhang, Huanming ; Xie, Haibin ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000559.

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2022Out-of-sample prediction of Bitcoin realized volatility: Do other cryptocurrencies help?. (2022). Zhang, Yaojie ; He, Mengxi ; Yi, Yongsheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s106294082200081x.

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2022Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility. (2022). Nonejad, Nima. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000973.

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2023Forecasting 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.

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2023Volatility 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.

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

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2021What do Italian households know about the ECB’s target?. (2021). Zevi, Giordano ; Tagliabracci, Alex ; Bottone, Marco. In: Economics Letters. RePEc:eee:ecolet:v:207:y:2021:i:c:s0165176521003001.

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2021Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model. (2021). Gallo, Giampiero ; Amendola, Alessandra ; Candila, Vincenzo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:12-28.

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2023Feasible 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.

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2023Do 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.

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2023Corporate 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.

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2023Conditional 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.

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2021Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting. (2021). Lee, Chien-Chiang ; Liu, Min. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004874.

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2022High-dimensional CoVaR network connectedness for measuring conditional financial contagion and risk spillovers from oil markets to the G20 stock system. (2022). Hussain, Nazim ; Ji, Qiang ; Fan, Ying ; Liu, Bing-Yue. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005946.

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2022Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model. (2022). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322001128.

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2022Geopolitical risk and dynamic connectedness between commodity markets. (2022). Xu, Jun ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001979.

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2022Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models: Either, neither or both?. (2022). Wang, LU ; Wu, Jiangbin ; Cao, Yang ; Hong, Yanran. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002237.

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2022Forecasting crude oil volatility with exogenous predictors: As good as it GETS?. (2022). Bonnier, Jean-Baptiste. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002249.

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2022Probability distribution forecasting of carbon allowance prices: A hybrid model considering multiple influencing factors. (2022). Liu, Huiling ; Xue, Minggao ; Lei, Heng. In: Energy Economics. RePEc:eee:eneeco:v:113:y:2022:i:c:s0140988322003395.

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2022The relationship between carbon-intensive fuel and renewable energy stock prices under the emissions trading system. (2022). Kim, Ji Hun ; Cho, Hoon ; Chun, Dohyun. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322003978.

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2022Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model. (2022). Wang, LU ; Lai, Xiaodong ; Xia, Zhenglan ; Liang, Chao. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s0140988322005667.

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2023Economic 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.

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2023The 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.

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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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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). Guesmi, Khaled ; ben Khelifa, Soumaya ; Urom, Christian. 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 ; Bouri, Elie ; Zhao, Yuqian ; Saeed, Tareq ; Marco, Chi Keung. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001228.

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2021How cryptocurrency affects economy? A network analysis using bibliometric methods. (2021). Wang, Shouyang ; Zhang, Dingxuan ; Li, Xuerong ; Yue, Yao . In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001976.

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2022Oil futures volatility predictability: New evidence based on machine learning models11All the authors contribute to the paper equally.. (2022). Zhang, Zehui ; Xu, Jin ; Ma, Feng ; Lu, Xinjie. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002538.

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2022Macroeconomic attention, economic policy uncertainty, and stock volatility predictability. (2022). Chevallier, Julien ; Huang, Dengshi ; Guo, Yangli ; Ma, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922002897.

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2023The 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.

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2023Co-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.

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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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2021Hedging stock market risks: Can gold really beat bonds?. (2021). Jin, YI ; Zhai, Pengxiang ; Sun, Bianxia ; Ma, Rufei. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317323.

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2022The determinants of Bitcoin returns and volatility: Perspectives on global and national economic policy uncertainty. (2022). Wu, Chih-Chiang ; Ho, Shu-Ling. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002476.

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2022The response of Brent crude oil to the European central bank monetary policy. (2022). Torro, Hipolit ; Soriano, Pilar. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003585.

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2022Can infectious disease pandemic impact the long-term volatility and correlation of gold and crude oil markets?. (2022). Chen, Xiaodan ; Li, Dongxin ; Wang, Zhuo ; Wei, YU. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s154461232100581x.

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2022High-carbon screening out: A DCC-MIDAS-climate policy risk method. (2022). Zhai, Pengxiang ; Ma, Rufei ; Ji, Qiang ; Ding, Hao. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612322001167.

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2022An interesting finding about the ability of geopolitical risk to forecast aggregate equity return volatility out-of-sample. (2022). Nonejad, Nima. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s154461232200037x.

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2023How 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.

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2023Can 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.

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2022On non-negative equity guarantee calculations with macroeconomic variables related to house prices. (2022). Tunaru, Radu ; Quaye, Enoch ; Badescu, Alexandru. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:119-138.

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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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2021Long- and short-run components of factor betas: Implications for stock pricing. (2021). Christiansen, Charlotte ; Wang, Weining ; Hou, Ai Jun ; Asgharian, Hossein. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001281.

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2022Sovereign bond market spillovers from crisis-time developments in Greece. (2022). Zigraiova, Diana ; Clancy, Daragh ; Gabriele, Carmine. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000464.

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2023Discovering 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.

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2022Do collective emotions drive bitcoin volatility? A triple regime-switching vector approach. (2022). JAWADI, Fredj ; Rozin, Philippe ; Bourghelle, David. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:196:y:2022:i:c:p:294-306.

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2022Inflation expectations: Australian consumer survey data versus the bond market. (2022). Wegener, Christoph ; Basse, Tobias. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:203:y:2022:i:c:p:416-430.

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2022Time-varying risk of nominal bonds: How important are macroeconomic shocks?. (2022). Ermolov, Andrey. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:1:p:1-28.

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2022Complexity of ECB communication and financial market trading. (2022). Zahner, Johannes ; Rapp, Marc Steffen ; Henseler, Kai ; Hayo, Bernd. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:128:y:2022:i:c:s0261560622001127.

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2023Too 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.

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2022Economic drivers of volatility and correlation in precious metal markets. (2022). Nguyen, Duc Khuong ; Goutte, Stéphane ; Walther, Thomas ; Dinh, Theu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:28:y:2022:i:c:s240585132100074x.

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2021Stock market volatility on shipping stock prices: GARCH models approach. (2021). Mokhtar, Kasypi ; Mhd, Siti Marsila. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:24:y:2021:i:c:s1703494921000372.

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2021Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach. (2021). Shi, Xunpeng ; Zhou, Yuqin ; Ding, Zhihua ; Wu, Shan ; Zhai, Pengxiang ; Liu, Zhenhua. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003901.

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2022Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS. (2022). Lee, Chien-Chiang ; Liu, Min. In: Resources Policy. RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722001519.

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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.
[Full Text][Citation analysis]		paper59
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: 59		article
2008Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models In: Working Papers.
[Full Text][Citation analysis]		paper10
2008Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: the UECCC GARCH Model In: Working Papers.
[Full Text][Citation analysis]		paper3
2010Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency In: Working Papers.
[Full Text][Citation analysis]		paper89
2012Modeling and explaining the dynamics of European Union Allowance prices at high-frequency.(2012) In: Energy Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 89		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: 89		paper
2010Explaining Inflation Persistence by a Time-Varying Taylor Rule In: Working Papers.
[Full Text][Citation analysis]		paper0
2010Modeling the link between US inflation and output: the importance of the uncertainty channel In: Working Papers.
[Full Text][Citation analysis]		paper7
2015Modelling 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 another version. Agregated cites: 7		article
2012Explaining Inflation-Gap Persistence by a Time-Varying Taylor Rule In: Working Papers.
[Full Text][Citation analysis]		paper14
2012Explaining inflation-gap persistence by a time-varying Taylor rule.(2012) In: Journal of Macroeconomics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		article
2012On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation In: Working Papers.
[Full Text][Citation analysis]		paper8
2012Anticipating Long-Term Stock Market Volatility In: Working Papers.
[Full Text][Citation analysis]		paper74
2015Anticipating Long?Term Stock Market Volatility.(2015) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 74		article
2012The Effect of Political Communication on European Financial Markets during the Sovereign Debt Crisis In: Working Papers.
[Full Text][Citation analysis]		paper6
2016The 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 another version. Agregated cites: 6		article
2013Measuring Persistence in Volatility Spillovers In: Working Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2015Asymptotics for parametric GARCH-in-Mean Models In: Working Papers.
[Full Text][Citation analysis]		paper11
2016Asymptotics for parametric GARCH-in-Mean models.(2016) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		article
2015The Variance Risk Premium and Fundamental Uncertainty In: Working Papers.
[Full Text][Citation analysis]		paper12
2015The variance risk premium and fundamental uncertainty.(2015) In: Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		article
2015Misspecification Testing in GARCH-MIDAS Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2016On the statistical properties of multiplicative GARCH models In: Working Papers.
[Full Text][Citation analysis]		paper0
2017On the economic determinants of optimal stock-bond portfolios: international evidence In: Working Papers.
[Full Text][Citation analysis]		paper2
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]		paper0
2015On the Transmission of Memory in Garch-in-Mean Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article3
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.
[Full Text][Citation analysis]		article35
2020The Role of Information and Experience for Households Inflation Expectations In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper19
2022The role of information and experience for households’ inflation expectations.(2022) In: European Economic Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		article
2021The role of information and experience for households inflation expectations.(2021) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		paper
2021The role of information and experience for households inflation expectations.(2021) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		paper
2020The role of information and experience for households inflation expectations.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		paper
2010NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL In: Econometric Theory.
[Full Text][Citation analysis]		article35
2008Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model.(2008) In: KOF Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		paper
2010The link between macroeconomic performance and variability in the UK In: Economics Letters.
[Full Text][Citation analysis]		article15
2006The impulse response function of the long memory GARCH process In: Economics Letters.
[Full Text][Citation analysis]		article10
2010Non-negativity conditions for the hyperbolic GARCH model In: Journal of Econometrics.
[Full Text][Citation analysis]		article36
2007Non-negativity Conditions for the Hyperbolic GARCH Model.(2007) In: KOF Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36		paper
2014On 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]		article88
2005On 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]		article69
2019On 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]		article4
2018Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis In: JRFM.
[Full Text][Citation analysis]		article75
2007An den Lippen der EZB – Der KOF Monetary Policy Communicator In: KOF Analysen.
[Full Text][Citation analysis]		article1
2007The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Monetary Policy Announcements In: KOF Working papers.
[Full Text][Citation analysis]		paper19
2010The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication In: Journal of Money, Credit and Banking.
[Citation analysis]		article72
2010The 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 another version. Agregated cites: 72		article
2006Inequality Constraints in the Fractionally Integrated GARCH Model In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article68
2021Modelling Volatility Cycles: The (MF)2 GARCH Model In: Working Paper series.
[Full Text][Citation analysis]		paper0
2020Testing for an Omitted Multiplicative Long-Term Component in GARCH Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article8
2019Testing for an omitted multiplicative long-term component in GARCH models.(2019) In: Working Paper Series in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2020Two are better than one: Volatility forecasting using multiplicative component GARCH?MIDAS models In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article29
2015Misspecification Testing in GARCH-MIDAS Models In: VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
[Full Text][Citation analysis]		paper0
2016Macroeconomic expectations and the time-varying stock-bond correlation: international evidence In: VfS Annual Conference 2016 (Augsburg): Demographic Change.
[Full Text][Citation analysis]		paper3
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.
[Full Text][Citation analysis]		paper0
2009The European Commission and EUA prices: a high-frequency analysis of the ECs decisions on second NAPs In: ZEW Discussion Papers.
[Full Text][Citation analysis]		paper3

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