15
H index
20
i10 index
926
Citations
Ruprecht-Karls-Universität Heidelberg | 15 H index 20 i10 index 926 Citations RESEARCH PRODUCTION: 25 Articles 35 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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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Journal of Empirical Finance | 3 |
Economics Letters | 3 |
Journal of Applied Econometrics | 2 |
Journal of Econometrics | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / University of Heidelberg, Department of Economics | 18 |
KOF Working papers / KOF Swiss Economic Institute, ETH Zurich | 3 |
ZEW Discussion Papers / ZEW - Leibniz Centre for European Economic Research | 2 |
Working Paper series / Rimini Centre for Economic Analysis | 2 |
Year | Title of citing document | |
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2022 | Cryptocurrency 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. Full description at Econpapers || Download paper | |
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 | |
2022 | The 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. Full description at Econpapers || Download paper | |
2022 | Oral FX Interventions in Emerging Markets: the Colombian case. (2022). Sanchez-Jabba, Andres ; Parra-PolanÃa, Julián ; Sarmiento, Miguel ; Sanchez -Jabba, Andres ; Parra-Polania, Julian A. In: Borradores de Economia. RePEc:bdr:borrec:1194. Full description at Econpapers || Download paper | |
2022 | Inference 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. 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 | |
2022 | Smooth 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. 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 | |
2022 | Financial-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. Full description at Econpapers || Download paper | |
2022 | Inference 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. Full description at Econpapers || Download paper | |
2022 | Reactions 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. Full description at Econpapers || Download paper | |
2022 | Look 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. 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 | |
2022 | Carbon 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2022 | When 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. 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 | |
2022 | Predicting 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. Full description at Econpapers || Download paper | |
2022 | Evolving 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. Full description at Econpapers || Download paper | |
2022 | Time-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. Full description at Econpapers || Download paper | |
2022 | Out-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. Full description at Econpapers || Download paper | |
2022 | Understanding 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. 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 | 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 | |
2022 | High-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. Full description at Econpapers || Download paper | |
2022 | Global 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. Full description at Econpapers || Download paper | |
2022 | Geopolitical 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. Full description at Econpapers || Download paper | |
2022 | Forecasting 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. Full description at Econpapers || Download paper | |
2022 | Forecasting 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. Full description at Econpapers || Download paper | |
2022 | Probability 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2022 | Natural 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. 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 | |
2022 | Oil 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. Full description at Econpapers || Download paper | |
2022 | Macroeconomic 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. 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 | |
2022 | The 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2022 | Can 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. Full description at Econpapers || Download paper | |
2022 | High-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. Full description at Econpapers || Download paper | |
2022 | An 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. 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 | |
2022 | On 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. Full description at Econpapers || Download paper | |
2022 | Sovereign 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. 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 | |
2022 | Do 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. Full description at Econpapers || Download paper | |
2022 | Inflation 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. Full description at Econpapers || Download paper | |
2022 | Time-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. Full description at Econpapers || Download paper | |
2022 | Complexity 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. 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 | |
2022 | Economic 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. Full description at Econpapers || Download paper | |
2022 | Is 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. Full description at Econpapers || Download paper | |
2022 | The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model. (2022). Dai, Peng-Fei ; Xiong, Xiong ; Zhang, Jin ; Zhou, Wei-Xing. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722002951. Full description at Econpapers || Download paper | |
2022 | Exploring the influence of the main factors on the crude oil price volatility: An analysis based on GARCH-MIDAS model with Lasso approach. (2022). Zhao, Jing. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004743. Full description at Econpapers || Download paper | |
2022 | Central bank communication with non-experts – A road to nowhere?. (2022). Ehrmann, Michael ; Wabitsch, Alena. In: Journal of Monetary Economics. RePEc:eee:moneco:v:127:y:2022:i:c:p:69-85. Full description at Econpapers || Download paper | |
2022 | Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks. (2022). Agan, Busra ; Ozdemir, Huseyin ; Balcilar, Mehmet. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:604:y:2022:i:c:s0378437122005696. Full description at Econpapers || Download paper | |
2022 | Time-varying dependence of Bitcoin. (2022). le Fur, Eric ; Haffar, Adlane. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:86:y:2022:i:c:p:211-220. 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 | |
2022 | Geopolitical risks and historical exchange rate volatility of the BRICS. (2022). Salisu, Afees ; GUPTA, RANGAN ; Cuado, Juncal. In: International Review of Economics & Finance. RePEc:eee:reveco:v:77:y:2022:i:c:p:179-190. Full description at Econpapers || Download paper | |
2022 | Forecasting Pakistan stock market volatility: Evidence from economic variables and the uncertainty index. (2022). Li, Tao ; Ma, Feng ; Guo, Qiang ; Ghani, Maria. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:1180-1189. 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 | |
2022 | EUR/USD Exchange Rate Characterization: Study of Events. (2022). Pimentel, Pedro ; Couto, Gualter ; Carvalho, Jorge. In: Economies. RePEc:gam:jecomi:v:10:y:2022:i:12:p:294-:d:982874. Full description at Econpapers || Download paper | |
2022 | Identification of Breakpoints in Carbon Market Based on Probability Density Recurrence Network. (2022). Gao, Xingyu ; Xu, Hua ; Zhu, Mengrui ; Tian, Lixin ; Wang, Minggang. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:15:p:5540-:d:876237. Full description at Econpapers || Download paper | |
2022 | Identifying the Determinants of Crude Oil Market Volatility by the Multivariate GARCH-MIDAS Model. (2022). Yang, Chenxu ; Xuyang, Chen ; Chuang, O-Chia . In: Energies. RePEc:gam:jeners:v:15:y:2022:i:8:p:2945-:d:795842. 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 | |
2022 | . Full description at Econpapers || Download paper | |
2022 | Performance Comparison of Predictive Methodologies for Carbon Emission Credit Price in the Korea Emission Trading System. (2022). Kim, Yu Jin ; Han, Seungwoo ; Ko, Yongho. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:13:p:8177-:d:855710. Full description at Econpapers || Download paper | |
2022 | Impact of Changes in Membership on Prices of a Unified Carbon Market: Case Study of the European Union Emissions Trading System. (2022). Xu, Yue ; Zhai, Dayu. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:21:p:13806-:d:952077. Full description at Econpapers || Download paper | |
2022 | Forecasting the Volatility of European Union Allowance Futures with Climate Policy Uncertainty Using the EGARCH-MIDAS Model. (2022). Yin, Xuebao ; Wu, Xinyu ; Mei, Xueting. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:7:p:4306-:d:787154. 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 | |
2022 | Economic drivers of volatility and correlation in precious metal markets. (2022). Walther, Thomas ; Nguyen, Khuong ; Goutte, Stephane ; Dinh, Theu. In: Working Papers. RePEc:hal:wpaper:halshs-03672469. Full description at Econpapers || Download paper | |
2022 | Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2022). Nguyen, Hoang ; Virbickaite, Audrone. In: Working Papers. RePEc:hhs:oruesi:2022_005. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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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 another 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 | 90 |
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 another version. Agregated cites: 90 | 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 another version. Agregated cites: 90 | paper | |
2010 | Explaining Inflation Persistence by a Time-Varying Taylor Rule In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
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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 another 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 |
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2012 | On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
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2015 | Anticipating Long?Term Stock Market Volatility.(2015) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 75 | 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 another 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 another 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 another 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 another version. Agregated cites: 5 | paper | |
2015 | Asymptotics for parametric GARCH-in-Mean Models In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
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2015 | The Variance Risk Premium and Fundamental Uncertainty In: Working Papers. [Full Text][Citation analysis] | paper | 12 |
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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 | 2 |
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 |
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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 | 25 |
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2020 | The role of information and experience for households inflation expectations.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | 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 another 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 | 36 |
2007 | Non-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 | |
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 | 97 |
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 |
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2010 | The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication In: Journal of Money, Credit and Banking. [Citation analysis] | article | 73 |
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 another version. Agregated cites: 73 | article | |
2006 | Inequality Constraints in the Fractionally Integrated GARCH Model In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 68 |
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 |
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2020 | Two are better than one: Volatility forecasting using multiplicative component GARCH?MIDAS models In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 32 |
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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