Christian Conrad : Citation Profile

Ruprecht-Karls-Universität Heidelberg

15

H index

22

i10 index

1068

Citations

RESEARCH PRODUCTION:

25

Articles

40

Papers

RESEARCH ACTIVITY:

   19 years (2005 - 2024). See details.
   Cites by year: 56
   Journals where Christian Conrad has often published
   Relations with other researchers
   Recent citing documents: 76.    Total self citations: 45 (4.04 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pco229
   Updated: 2025-04-19    RAS profile: 2025-01-06    
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Relations with other researchers

Works with:

Enders, Zeno (6)

Glas, Alexander (5)

Lahiri, Kajal (2)

Schoelkopf, Julius (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 (47)

Glas, Alexander (24)

Salisu, Afees (19)

Nguyen, Duc Khuong (18)

Yin, Libo (17)

Chevallier, Julien (16)

Caporale, Guglielmo Maria (14)

Hartmann, Matthias (14)

Nguyen, Hoang (14)

Gallo, Giampiero (14)

Bouri, Elie (12)

Cites to:

Bollerslev, Tim (54)

Engle, Robert (50)

Campbell, John (35)

Karanasos, Menelaos (28)

Diebold, Francis (21)

Grier, Kevin (17)

Teräsvirta, Timo (16)

Kilian, Lutz (16)

Sturm, Jan-Egbert (16)

Schwert, G. (15)

Christiansen, Charlotte (14)

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 Economics21
KOF Working papers / KOF Swiss Economic Institute, ETH Zurich3
Working Paper series / Rimini Centre for Economic Analysis3
ZEW Discussion Papers / ZEW - Leibniz Centre for European Economic Research3

Recent works citing Christian Conrad (2025 and 2024)

YearTitle of citing document
2024?????????? ??????????? ? ???????????? ???????? ???????? ???????? // 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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2025Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024Hierarchical 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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2024Justifying the Volatility of S&P 500 Daily Returns. (2024). Brown, Hayden. In: Papers. RePEc:arx:papers:2403.01088.

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2024The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model. (2024). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2404.01641.

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2024Central bank communication and social media: From silence to Twitter. (2024). Romelli, Davide ; Peia, Oana ; Masciandaro, Donato. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:2:p:365-388.

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2024Consumers macroeconomic expectations. (2024). Lamla, Michael ; Dräger, Lena ; Drger, Lena. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:2:p:427-451.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2024“Whatever It Takes!” How Tonality of TV-News Affected Government Bond Yield Spreads during the European Debt Crisis. (2024). Feld, Lars ; Thomas, Tobias ; Kohler, Ekkehard A ; Hirsch, Patrick. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10980.

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2024The effect of information on consumer inflation expectations. (2024). van Rooij, Maarten ; Moessner, Richhild ; Galati, Gabriele ; Minina, Daria. In: Working Papers. RePEc:dnb:dnbwpp:810.

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2024.

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2024Does oil future increase the network systemic risk of financial institutions in China?. (2024). Sun, Chuanwang ; Zhou, Lichao ; Chen, Chuanglian ; Lin, Yuting. In: Applied Energy. RePEc:eee:appene:v:364:y:2024:i:c:s0306261924005592.

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2024Option listing and underlying commodity futures volatility in China. (2024). Guo, Jin ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002839.

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2024The amplifying role of geopolitical Risks, economic policy Uncertainty, and climate risks on Energy-Stock market volatility spillover across economic cycles. (2024). Borjigin, Sumuya ; Hu, Zinan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000391.

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2024Inflation dynamics and persistence: The importance of the uncertainty channel. (2024). Canepa, Alessandra. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000603.

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2024Can U.S. macroeconomic indicators forecast cryptocurrency volatility?. (2024). Su, Yi-Kai ; Tzeng, Kae-Yih. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001499.

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2024Heterogeneous responsiveness of consumers’ medium-term inflation expectations. (2024). Stanisławska, Ewa ; Paloviita, Maritta ; Stanisawska, Ewa. In: Economics Letters. RePEc:eee:ecolet:v:237:y:2024:i:c:s0165176524001125.

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2024Changing determinant driver and oil volatility forecasting: A comprehensive analysis. (2024). Wang, Jiqian ; Ma, Feng ; Luo, Qin ; Wu, You. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006850.

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2024Exploring the influence of the geopolitical risks on the natural resource price volatility and correlation: Evidence from DCC-MIDAS-X model. (2024). He, Yongda ; Yang, Peng ; Liu, Han ; Guo, Pengwei ; Oxley, Les. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007028.

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2024Examining spillovers and connectedness among commodities, inflation, and uncertainty: A quantile-VAR framework. (2024). Tzeremes, Panayiotis ; Papadamou, Stephanos ; Corbet, Shaen ; Kyriazis, Nikolaos. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002160.

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2024Extreme weather, policy uncertainty, and risk spillovers between energy, financial, and carbon markets. (2024). Huang, Zihuang ; Li, Zhicheng ; Liu, YU ; Dong, Feng. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324004699.

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2024Uncertainty and bubbles in cryptocurrencies: Evidence from newly developed uncertainty indices. (2024). Damianov, Damian S ; Shahedur, MD. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004659.

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2024Volatility forecasting of Chinese energy market: Which uncertainty have better performance?. (2024). Zou, Yang ; Xiang, Yitian ; Zhang, Jiaming ; Guo, Songlin. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004684.

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2024Connectedness and portfolio hedging between NFTs segments, American stocks and cryptocurrencies Nexus. (2024). Soltane, Feriel ; Sassi, Syrine ; Benmabrouk, Houda ; Abid, Ilyes. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004751.

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2024Cryptocurrency price forecasting – A comparative analysis of ensemble learning and deep learning methods. (2024). Yuan, Kunpeng ; Hajek, Petr ; Abedin, Mohammad Zoynul ; Bouteska, Ahmed. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521923005719.

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2024Volatility prediction for the energy sector with economic determinants: Evidence from a hybrid model. (2024). Liu, Xiaoquan ; Jiang, Ying ; Ye, Wuyi ; Wang, Yuejing. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000267.

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2024Machine-learning stock market volatility: Predictability, drivers, and economic value. (2024). Cabrera, Gabriel ; Hansen, Erwin ; Diaz, Juan D. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002187.

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2024Macroeconomic determinants of the long-term correlation between stock and exchange rate markets in China: A DCC-MIDAS-X approach considering structural breaks. (2024). Dong, Xiyong ; Yoon, Seong-Min ; Shen, Jun ; Xiong, Youlin. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000503.

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2024Do design features explain the volatility of cryptocurrencies?. (2024). Shi, Yanghua ; Uhrig-Homburg, Marliese ; Eska, Fabian E ; Theissen, Erik. In: Finance Research Letters. RePEc:eee:finlet:v:66:y:2024:i:c:s154461232400566x.

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2024The role of central bank communication in the long-term stock-bond correlations: Evidence from China. (2024). Wang, Yanning. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009231.

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2024Deep learning enhanced volatility modeling with covariates. (2024). Nguyen, Hoang ; Tran, Minh-Ngoc. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011747.

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2024Forecasting exchange rate volatility: An amalgamation approach. (2024). Souropanis, Ioannis ; Alexandridis, Antonios K ; Panopoulou, Ekaterini. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001331.

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2024Eliciting expectation uncertainty from private households. (2024). Dovern, Jonas. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:113-123.

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2024Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks. (2024). Wilfling, Bernd ; GUPTA, RANGAN ; Segnon, Mawuli. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:29-43.

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2024Talking in a language that everyone can understand? Clarity of speeches by the ECB Executive Board. (2024). Glas, Alexander ; Bjerkander, Lena. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:149:y:2024:i:c:s0261560624001876.

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2024The role of trade policy uncertainty on contemporaneous and lagged connectedness between critical raw materials and high-tech markets: Evidence from China. (2024). Zhang, Hongwei ; Gao, Wang. In: Resources Policy. RePEc:eee:jrpoli:v:98:y:2024:i:c:s0301420724007232.

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2024“Whatever It Takes!” How tonality of TV-news affected government bond yield spreads during the European debt crisis. (2024). Feld, Lars ; Kohler, Ekkehard A ; Hirsch, Patrick ; Thomas, Tobias. In: European Journal of Political Economy. RePEc:eee:poleco:v:82:y:2024:i:c:s0176268024000132.

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2024Navigating the storm: Time-frequency quantile dependence and non-linear causality between crypto-currency market volatility and financial instability. (2024). Bouzouita, Nesrine ; Chaabane, Najeh ; Gaies, Brahim. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:43-70.

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2024The new bond on the block — Designing a carbon-linked bond for sustainable investment projects. (2024). Schreiter, Maximilian ; Fehrenkotter, Rieke ; Dahlen, Niklas. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:316-325.

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2024Integration of the international carbon market: A time-varying analysis. (2024). Scholtens, Bert ; Lyu, Chenyan. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:191:y:2024:i:c:s1364032123009607.

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2024Do the dynamics of macroeconomic attention drive the yen/dollar exchange market volatility?. (2024). Zhang, Lixia ; Sun, Huaping ; Luo, Tao ; Bai, Jiancheng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:597-611.

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2024Doubly multiplicative error models with long- and short-run components. (2024). Gallo, Giampiero ; Amendola, Alessandra ; Cipollini, F ; Candila, V. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:91:y:2024:i:c:s0038012123002768.

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2024Are the Crypto Markets Shock Resilient to COVID-19? A Comparative Investigation of Trading Prices and Volumes. (2024). Bwando, William ; Ul, Asad. In: International Econometric Review (IER). RePEc:erh:journl:v:16:y:2024:i:2:p:148-171.

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2024Estimation and Prediction of Commodity Returns Using Long Memory Volatility Models. (2024). Chinhamu, Knowledge ; Dhliwayo, Lawrence ; Basira, Kisswell ; Matarise, Florence ; Chifurira, Retius. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:5:p:73-:d:1380791.

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2024Economic Policy Uncertainty and Emerging Stock Market Volatility. (2024). Ghani, Usman. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:1:d:10.1007_s10690-023-09410-1.

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2025Unleashing the Potential of Mixed Frequency Data: Measuring Risk with Dynamic Tail Index Regression Model. (2025). Tian, Boping. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10592-7.

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2025Deglobalization and Foreign Exchange Volatility: The Role of Supply Chain Pressures. (2025). GUPTA, RANGAN ; Demirer, Riza ; Schulte-Tillmann, Bjorn ; Segnon, Mawuli. In: Working Papers. RePEc:pre:wpaper:202506.

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2024Reaching out to the general public: a challenging journey for central banks. (2024). Abreu, Ildeberta ; Duarte, Rita ; Gameiro, Isabel. In: Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies. RePEc:ptu:bdpart:e202410.

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2024Reaching out to the general public: a challenging journey for central banks. (2024). Abreu, Ildeberta ; Duarte, Rita ; Gameiro, Isabel. In: Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies. RePEc:ptu:bdpart:re202410.

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2024Global and domestic economic policy uncertainties and tourism stock market: Evidence from China. (2024). Song, Haiyan ; Yang, Peng ; Liu, Han ; Wu, Doris Chenguang. In: Tourism Economics. RePEc:sae:toueco:v:30:y:2024:i:3:p:567-591.

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2025Forecasting oil commodity spot price in a data-rich environment. (2025). Liu, Zhenya ; Boubaker, Sabri ; Zhang, Yifan. In: Annals of Operations Research. RePEc:spr:annopr:v:345:y:2025:i:2:d:10.1007_s10479-022-05004-8.

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2024Relationships between inflation, output growth, and uncertainty in the era of inflation stabilization: a multicountry study. (2024). Chowdhury, Kushal Banik. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:2:d:10.1007_s00181-023-02473-z.

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2024Asymmetric interactions among cutting-edge technologies and pioneering conventional and Islamic cryptocurrencies: fresh evidence from intra-day-based good and bad volatilities. (2024). Roubaud, David ; Asl, Mahdi Ghaemi. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00623-5.

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2025Forecasting cryptocurrency volatility: a novel framework based on the evolving multiscale graph neural network. (2025). Zhou, Yang ; Xie, Chi ; Zhu, You ; Gong, Jue ; Wang, Gang-Jin. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00768-x.

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2025Modelling commodity market volatility with climate policy uncertainty: a GARCH-MIDAS approach. (2025). Lasisi, Lukman ; Ngwu, Franklin N ; Taliat, Mohammed K ; Olaniran, Abeeb O ; Nnamdi, Kelechi C. In: SN Business & Economics. RePEc:spr:snbeco:v:5:y:2025:i:3:d:10.1007_s43546-025-00792-0.

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2024.

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Works by Christian Conrad:

YearTitleTypeCited
2008Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study In: Working Papers.
[Full Text][Citation analysis]		paper6
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]		paper98
2012Modeling 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: 98		article
2010Modeling 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: 98		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]		paper10
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 nother version. Agregated cites: 10		article
2012Explaining Inflation-Gap Persistence by a Time-Varying Taylor Rule In: Working Papers.
[Full Text][Citation analysis]		paper15
2012Explaining 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: 15		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]		paper91
2015Anticipating Long‐Term Stock Market Volatility.(2015) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 91		article
2012The Effect of Political Communication on European Financial Markets during the Sovereign Debt Crisis In: Working Papers.
[Full Text][Citation analysis]		paper8
2016The effect of political communication on European financial markets during the sovereign debt crisis.(2016) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 8		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 nother 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 nother 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 nother version. Agregated cites: 5		paper
2015Asymptotics for parametric GARCH-in-Mean Models In: Working Papers.
[Full Text][Citation analysis]		paper13
2016Asymptotics for parametric GARCH-in-Mean models.(2016) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2015The Variance Risk Premium and Fundamental Uncertainty In: Working Papers.
[Full Text][Citation analysis]		paper13
2015The variance risk premium and fundamental uncertainty.(2015) In: Economics Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		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]		paper3
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
2023Long-Term Volatility Shapes the Stock Market’s Sensitivity to News In: Working Papers.
[Full Text][Citation analysis]		paper0
2023Long-Term Volatility Shapes the Stock Market’s Sensitivity to News.(2023) In: Working Paper series.
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This paper has nother version. Agregated cites: 0		paper
2024Die Grenzen der EZB-Prognosen In: Working Papers.
[Full Text][Citation analysis]		paper0
2024Heterogeneous Expectations among Professional Forecasters In: Working Papers.
[Full Text][Citation analysis]		paper1
2023Heterogeneous expectations among professional forecasters.(2023) In: ZEW Discussion Papers.
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This paper has nother version. Agregated cites: 1		paper
2015On the Transmission of Memory in Garch-in-Mean Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article4
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]		paper43
2022The role of information and experience for households’ inflation expectations.(2022) In: European Economic Review.
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This paper has nother version. Agregated cites: 43		article
2021The role of information and experience for households inflation expectations.(2021) In: Working Paper series.
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This paper has nother version. Agregated cites: 43		paper
2021The role of information and experience for households inflation expectations.(2021) In: Discussion Papers.
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This paper has nother version. Agregated cites: 43		paper
2020The role of information and experience for households inflation expectations.(2020) In: Working Papers.
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This paper has nother version. Agregated cites: 43		paper
2010NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL In: Econometric Theory.
[Full Text][Citation analysis]		article41
2008Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model.(2008) In: KOF Working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 41		paper
2010The link between macroeconomic performance and variability in the UK In: Economics Letters.
[Full Text][Citation analysis]		article16
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]		article38
2007Non-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
2011Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article55
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]		article113
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]		article72
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]		article101
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.
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2010The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication In: Journal of Money, Credit and Banking.
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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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2006Inequality Constraints in the Fractionally Integrated GARCH Model In: Journal of Financial Econometrics.
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2021Modelling Volatility Cycles: The (MF)2 GARCH Model In: Working Paper series.
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2020Testing for an Omitted Multiplicative Long-Term Component in GARCH Models In: Journal of Business & Economic Statistics.
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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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2015Misspecification Testing in GARCH-MIDAS Models In: VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
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2016Macroeconomic expectations and the time-varying stock-bond correlation: international evidence In: VfS Annual Conference 2016 (Augsburg): Demographic Change.
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2017When does information on forecast variance improve the performance of a combined forecast? In: VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking.
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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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