14
H index
19
i10 index
893
Citations
Ruprecht-Karls-Universität Heidelberg | 14 H index 19 i10 index 893 Citations RESEARCH PRODUCTION: 22 Articles 38 Papers RESEARCH ACTIVITY: 19 years (2005 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pco229 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Christian Conrad. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Empirical Finance | 3 |
Economics Letters | 3 |
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 | 19 |
Working Paper series / Rimini Centre for Economic Analysis | 3 |
ZEW Discussion Papers / ZEW - Leibniz Centre for European Economic Research | 3 |
KOF Working papers / KOF Swiss Economic Institute, ETH Zurich | 3 |
Year | Title of citing document | |
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2023 | ?????????? ??????????? ? ???????????? ???????? ???????? ???????? // 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. 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 | |
2024 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. 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 | |
2024 | The 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. Full description at Econpapers || Download paper | |
2023 | 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 | Modeling which Factors Impact Interest Rates. (2023). Wang, Guizhou ; Hausken, Kjell. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:12:y:2023:i:2:p:211-237. Full description at Econpapers || Download paper | |
2023 | Testing for Differences in Survey-Based Density Expectations: A Compositional Data Approach. (2023). Kenny, Geoff ; Glas, Alexander ; Dovern, Jonas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10256. Full description at Econpapers || Download paper | |
2023 | Financial Integration and European Tourism Stocks. (2023). Wu, Jiaying ; Karanasos, Menelaos ; Yfanti, Stavroula ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10269. Full description at Econpapers || Download paper | |
2023 | Breaking Monetary Policy News: The Role of Mass Media Coverage of ECB Announcements for Public Inflation Expectations. (2023). Feld, Lars ; Kohler, Ekkehard A ; Hirsch, Patrick. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10285. Full description at Econpapers || Download paper | |
2023 | Media Treatment of Monetary Policy Surprises and Their Impact on Firms’ and Consumers’ Expectations. (2023). Kočenda, Evžen ; Kocenda, Even ; Pinter, Julien. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10413. Full description at Econpapers || Download paper | |
2023 | Time-Varying Parameters in Monetary Policy Rules: A GMM Approach. (2023). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10451. Full description at Econpapers || Download paper | |
2023 | Consumers Macroeconomic Expectations. (2023). Lamla, Michael ; Drager, Lena. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10709. Full description at Econpapers || Download paper | |
2023 | Central Bank Communication with the General Public. (2023). Drager, Lena. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10713. Full description at Econpapers || Download paper | |
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. 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 | |
2024 | The effect of information on consumer inflation expectations. (2024). van Rooij, Maarten ; Moessner, Richhild ; Galati, Gabriele ; Minina, Daria. In: Working Papers. RePEc:dnb:dnbwpp:810. Full description at Econpapers || Download paper | |
2023 | Opportunistic Political Central Bank Coverage: Does media coverage of ECBs Monetary Policy Impacts German Political Parties Popularity?. (2023). Picault, Matthieu ; Oriola, Hugo. In: EconomiX Working Papers. RePEc:drm:wpaper:2023-30. Full description at Econpapers || Download paper | |
2024 | . 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 | |
2024 | Does 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. Full description at Econpapers || Download paper | |
2023 | Unveiling the sentiment behind central bank narratives: A novel deep learning index. (2023). Radu, Tefan-Constantin ; Pochea, Maria-Miruna ; Nioi, Mihai. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000230. Full description at Econpapers || Download paper | |
2023 | How credible is average and symmetric inflation targeting in an episode of high inflation?. (2023). Herzog, Bodo. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:1750-1761. Full description at Econpapers || Download paper | |
2023 | Carbon trading amidst global uncertainty: The role of policy and geopolitical uncertainty. (2023). Adediran, Idris ; Swaray, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000913. Full description at Econpapers || Download paper | |
2023 | 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 | |
2024 | The 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. Full description at Econpapers || Download paper | |
2024 | Inflation 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. Full description at Econpapers || Download paper | |
2024 | Heterogeneous 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. Full description at Econpapers || Download paper | |
2023 | Bootstrap specification tests for dynamic conditional distribution models. (2023). Silvapulle, Mervyn J ; Perera, Indeewara. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:949-971. Full description at Econpapers || Download paper | |
2023 | Dynamic conditional eigenvalue GARCH. (2023). Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Hetland, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002141. 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 | Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2023). Javed, Farrukh ; Nguyen, Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:272-292. Full description at Econpapers || Download paper | |
2023 | Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions. (2023). Ren, Xiaohang ; Jawadi, Fredj ; Bu, Ruijun ; Li, Jingyao ; Wang, Xiong. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006041. Full description at Econpapers || Download paper | |
2023 | The role of the COVID-19 pandemic in time-frequency connectedness between oil market shocks and green bond markets: Evidence from the wavelet-based quantile approaches. (2023). Ren, Xiaohang ; Gözgör, Giray ; Gozgor, Giray ; Qi, Yinshu ; Wei, Ping. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s014098832300155x. Full description at Econpapers || Download paper | |
2023 | Drivers and pass-through of the EU ETS price: Evidence from the power sector. (2023). Okullo, Samuel J ; Bai, Yiyi. In: Energy Economics. RePEc:eee:eneeco:v:123:y:2023:i:c:s0140988323001962. Full description at Econpapers || Download paper | |
2023 | Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2023). Virbickait, Audron ; Nguyen, Hoang. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002360. Full description at Econpapers || Download paper | |
2024 | Changing 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. Full description at Econpapers || Download paper | |
2024 | Examining 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. Full description at Econpapers || Download paper | |
2023 | Co-movement between commodity and equity markets revisited—An application of the Thick Pen method. (2023). Lee, Seungho ; Durand, Robert B ; Gronwald, Marc ; Wadud, Sania. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000844. Full description at Econpapers || Download paper | |
2023 | Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach. (2023). Brooks, Robert ; Hasanov, Akram Shavkatovich ; Vellachami, Sanggetha. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002314. Full description at Econpapers || Download paper | |
2023 | Machine learning approaches to forecasting cryptocurrency volatility: Considering internal and external determinants. (2023). Martin-Barragan, Belen ; Andreeva, Galina ; Wang, Yijun. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004301. Full description at Econpapers || Download paper | |
2024 | Uncertainty 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. Full description at Econpapers || Download paper | |
2024 | Connectedness 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. Full description at Econpapers || Download paper | |
2024 | Cryptocurrency 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. Full description at Econpapers || Download paper | |
2024 | Volatility 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. Full description at Econpapers || Download paper | |
2023 | Can bonds hedge stock market risks? Green bonds vs conventional bonds. (2023). Yoon, Seong-Min ; Nie, Siyue ; Xiong, Youlin ; Dong, Xiyong. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s154461232200544x. Full description at Econpapers || Download paper | |
2023 | How do composite and categorical economic policy uncertainties affect the long-term correlation between Chinas stock and conventional/green bond markets?. (2023). Deng, Yiwen ; Guo, Yaoqi ; Zhang, Hongwei. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005202. Full description at Econpapers || Download paper | |
2023 | Predicting cryptocurrency market volatility: Novel evidence from climate policy uncertainty. (2023). Yu, Jize ; Jin, Daxiang. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008929. Full description at Econpapers || Download paper | |
2024 | Macroeconomic 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. Full description at Econpapers || Download paper | |
2023 | Stock market volatility predictability in a data-rich world: A new insight. (2023). Ma, Yuanhui ; Wahab, M. I. M., ; Wang, Jiqian. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1804-1819. Full description at Econpapers || Download paper | |
2024 | Eliciting 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. Full description at Econpapers || Download paper | |
2023 | Heterogeneous inflation and deflation experiences and savings decisions during German industrialization. (2023). Streb, Jochen ; Neumayer, Andreas ; Lehmann-Hasemeyer, Sibylle. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001760. Full description at Econpapers || Download paper | |
2023 | Too much is too bad: The effect of media coverage on the price volatility of cryptocurrencies. (2023). Jeong, Daeyoung ; Lee, Kangsan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000244. Full description at Econpapers || Download paper | |
2023 | Dynamic connectedness between crude oil and equity markets: What about the effects of firms solvency and profitability positions?. (2023). Balli, Faruk ; Ha, Thi Thu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000387. Full description at Econpapers || Download paper | |
2023 | Dependence structures among geopolitical risks, energy prices, and carbon emissions prices. (2023). Gözgör, Giray ; Gozgor, Giray ; Albasu, Joseph ; Soliman, Alaa M ; Lau, Chi Keung. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003148. Full description at Econpapers || Download paper | |
2023 | Bayesian predictive distributions of oil returns using mixed data sampling volatility models. (2023). Virbickaite, Audrone ; Nguyen, Hoang ; Tran, Minh-Ngoc. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723008784. Full description at Econpapers || Download paper | |
2023 | Fluctuations in gold prices in Vietnam during the COVID-19 pandemic: Insights from a time-varying parameter autoregression model. (2023). Mefteh-Wali, Salma ; Bouteska, Ahmed ; Ha, Le Thanh ; Anh, Pham The. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pb:s0301420723009406. Full description at Econpapers || Download paper | |
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. 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 | |
2024 | Navigating 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. Full description at Econpapers || Download paper | |
2024 | The 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. 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 | |
2024 | Integration 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. 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 | |
2024 | Do 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. 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 | Does central bank credibility from professional forecasters and consumers affect the interest rate and its expectations?. (2023). de Lima, Cristiane Nascimento ; de Mendona, Helder Ferreira. In: Journal of Economic Studies. RePEc:eme:jespps:jes-04-2023-0205. Full description at Econpapers || Download paper | |
2023 | Oil Price Forecasting Using FRED Data: A Comparison between Some Alternative Models. (2023). Chidmi, Benaissa ; al Shammre, Abdullah Sultan. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:11:p:4451-:d:1160822. Full description at Econpapers || Download paper | |
2023 | Effects of Crude Oil Price Shocks on Stock Markets and Currency Exchange Rates in the Context of Russia-Ukraine Conflict: Evidence from G7 Countries. (2023). Paul, Biswajit ; Bagchi, Bhaskar. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:64-:d:1045044. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2024 | Estimation 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. Full description at Econpapers || Download paper | |
2023 | The Influencing Factors of the Carbon Trading Price: A Case of China against a “Double Carbon” Background. (2023). Yu, Yang ; Tian, Yihua ; Yang, Danni ; Fu, Qinyi ; Zeng, Shaolong. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:2203-:d:1046138. Full description at Econpapers || Download paper | |
2023 | Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models. (2023). Tran, Minh-Ngoc ; Nguyen, Hoang ; Virbickaite, Audrone. In: Working Papers. RePEc:hhs:oruesi:2023_007. Full description at Econpapers || Download paper | |
2023 | Disentangling the Nonlinearity Effect in Cryptocurrency Markets During the Covid-19 Pandemic: Evidence from a Regime-Switching Approach. (2023). Moussa, Wajdi ; Bejaoui, Azza ; Mgadmi, Nidhal. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:3:d:10.1007_s10690-022-09384-6. Full description at Econpapers || Download paper | |
2024 | Economic 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. Full description at Econpapers || Download paper | |
2023 | Do Gas Price and Uncertainty Indices Forecast Crude Oil Prices? Fresh Evidence Through XGBoost Modeling. (2023). Nsaibi, Mariem ; Hakimi, Abdelaziz ; Zaghdoudi, Taha ; Tissaoui, Kais. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10305-y. Full description at Econpapers || Download paper | |
2023 | A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting. (2023). Miller, Stephen ; Boubaker, Heni ; Gupta, Rangan ; Canarella, Giorgio. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10320-z. Full description at Econpapers || Download paper | |
2023 | Inflation Expectations in CESEE: The Role of Sentiment and Experiences (Katharina Allinger, Fabio Rumler). (2023). Rumler, Fabio ; Allinger, Katharina. In: Working Papers. RePEc:onb:oenbwp:247. Full description at Econpapers || Download paper | |
2023 | FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series. (2023). Letmathe, Sebastian ; Gries, Thomas ; Feng, Yuanhua. In: Working Papers CIE. RePEc:pdn:ciepap:156. Full description at Econpapers || Download paper | |
2023 | Economic Conditions and Predictability of US Stock Returns Volatility: Local Factor versus National Factor in a GARCH-MIDAS Model. (2023). Cepni, Oguzhan ; Gupta, Rangan ; Liao, Wenting ; Salisu, Afees A. In: Working Papers. RePEc:pre:wpaper:202323. Full description at Econpapers || Download paper | |
2023 | Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? A quantile machine-learning approach. (2023). GUPTA, RANGAN ; Pierdzioch, Christian. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00435-5. Full description at Econpapers || Download paper | |
2023 | Diversification evidence of bitcoin and gold from wavelet analysis. (2023). Zhang, Changyong ; Husain, Afzol ; Bhuiyan, Rubaiyat Ahsan. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00495-1. Full description at Econpapers || Download paper | |
2023 | Forecasting returns volatility of cryptocurrency by applying various deep learning algorithms. (2023). Shaikh, Parvez Ahmed ; Khan, Faridoon. In: Future Business Journal. RePEc:spr:futbus:v:9:y:2023:i:1:d:10.1186_s43093-023-00200-9. Full description at Econpapers || Download paper | |
2023 | Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. (2023). Usman, Ojonugwa ; Olasehinde-Williams, Godwin O ; Olanipekun, Ifedolapo O ; Alao, Saheed ; Alhassan, Abdul Kareem. In: Letters in Spatial and Resource Sciences. RePEc:spr:lsprsc:v:16:y:2023:i:1:d:10.1007_s12076-023-00325-z. Full description at Econpapers || Download paper | |
2023 | Monetary policy and financial markets: evidence from Twitter traffic. (2023). Rubera, Gaia ; Romelli, Davide ; Masciandaro, Donato. In: Trinity Economics Papers. RePEc:tcd:tcduee:tep1023. Full description at Econpapers || Download paper | |
2023 | Modelling and Forecasting Energy Market Cycles: A Generalized Smooth Transition Approach.. (2023). Chini, Emilio Zanetti ; Canepa, Alessandra ; Alqaralleh, Huthaifa. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202318. Full description at Econpapers || Download paper | |
2024 | Mixed?frequency forecasting of crude oil volatility based on the information content of global economic conditions. (2022). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie ; Ji, Qiang. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:1:p:134-157. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2008 | Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
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 | 97 |
2012 | Modeling and explaining the dynamics of European Union Allowance prices at high-frequency.(2012) In: Energy Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 97 | article | |
2010 | Modeling and explaining the dynamics of European Union allowance prices at high-frequency.(2010) In: ZEW Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 97 | paper | |
2010 | Explaining Inflation Persistence by a Time-Varying Taylor Rule In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Modeling the link between US inflation and output: the importance of the uncertainty channel In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
2015 | Modelling the Link Between US Inflation and Output: The Importance of the Uncertainty Channel.(2015) In: Scottish Journal of Political Economy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
2012 | Explaining Inflation-Gap Persistence by a Time-Varying Taylor Rule In: Working Papers. [Full Text][Citation analysis] | paper | 15 |
2012 | Explaining inflation-gap persistence by a time-varying Taylor rule.(2012) In: Journal of Macroeconomics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
2012 | On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
2012 | Anticipating Long-Term Stock Market Volatility In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2012 | The Effect of Political Communication on European Financial Markets during the Sovereign Debt Crisis In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
2016 | The effect of political communication on European financial markets during the sovereign debt crisis.(2016) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2013 | Measuring Persistence in Volatility Spillovers In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
2013 | Measuring Persistence in Volatility Spillovers.(2013) In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2013 | Measuring Persistence in Volatility Spillovers.(2013) In: VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2014 | Cross-sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2014 | Cross sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty.(2014) In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2015 | Asymptotics for parametric GARCH-in-Mean Models In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
2016 | Asymptotics for parametric GARCH-in-Mean models.(2016) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
2015 | The Variance Risk Premium and Fundamental Uncertainty In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
2015 | The variance risk premium and fundamental uncertainty.(2015) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
2016 | On the statistical properties of multiplicative GARCH models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | On the economic determinants of optimal stock-bond portfolios: international evidence In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2018 | ‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Long-Term Volatility Shapes the Stock Market’s Sensitivity to News In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Long-Term Volatility Shapes the Stock Market’s Sensitivity to News.(2023) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2024 | Die Grenzen der EZB-Prognosen In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | On the Transmission of Memory in Garch-in-Mean Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 4 |
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 | 38 |
2022 | The role of information and experience for households’ inflation expectations.(2022) In: European Economic Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | article | |
2021 | The role of information and experience for households inflation expectations.(2021) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | paper | |
2021 | The role of information and experience for households inflation expectations.(2021) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | paper | |
2020 | The role of information and experience for households inflation expectations.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | paper | |
2010 | NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL In: Econometric Theory. [Full Text][Citation analysis] | article | 39 |
2008 | Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model.(2008) In: KOF Working papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | paper | |
2010 | The link between macroeconomic performance and variability in the UK In: Economics Letters. [Full Text][Citation analysis] | article | 16 |
2006 | The impulse response function of the long memory GARCH process In: Economics Letters. [Full Text][Citation analysis] | article | 10 |
2010 | Non-negativity conditions for the hyperbolic GARCH model In: Journal of Econometrics. [Full Text][Citation analysis] | article | 38 |
2007 | Non-negativity Conditions for the Hyperbolic GARCH Model.(2007) In: KOF Working papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | paper | |
2011 | Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 55 |
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 | 109 |
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 | 72 |
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 | 90 |
2007 | An den Lippen der EZB – Der KOF Monetary Policy Communicator In: KOF Analysen. [Full Text][Citation analysis] | article | 1 |
2007 | The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Monetary Policy Announcements In: KOF Working papers. [Full Text][Citation analysis] | paper | 20 |
2010 | The High-Frequency Response of the EUR-USD Exchange Rate to ECB Communication In: Journal of Money, Credit and Banking. [Citation analysis] | article | 76 |
2006 | Inequality Constraints in the Fractionally Integrated GARCH Model In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 70 |
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 | 10 |
2019 | Testing for an omitted multiplicative long-term component in GARCH models.(2019) In: Working Paper Series in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
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 |
2023 | Heterogeneous expectations among professional forecasters In: ZEW Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team