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Professur für Empirische Wirtschaftsforschung
Alfred-Weber-Institut für Wirtschaftswissenschaften

Bergheimer Strasse 58

69115 Heidelberg

Tel. +49 (0) 6221 54 3173

 

E-Mail: christian.conrad@awi.uni-heidelberg.de

Sprechstunde: nach Vereinbarung per Mail

Raum: 01.019a

 

Research Interests

Applied Macroeconometrics, Financial Econometrics, Nonparametric Regression, Time Series Analysis.

 

Brief CV

Academic Appointments
05/2011 - date	Professor of Economics, Department of Economics, University of Heidelberg
04/2008 - 04/2011	Assistant Professor (Juniorprofessor), Department of Economics, University of Heidelberg
09/2006 - 03/2008	Post-Doc, Departement of Management, Technology and Economics, Chair of Applied Macroeconomics, ETH-Zürich.
04/2004 - 08/2006	Research Assistant, Department of Economics, Chair of Statistics, University of Mannheim.
10/2001 - 09/2002	Research Assistant, Department of Economics, Institute for International Comparative Economic and Social Statistics, University of Heidelberg.
Education
10/2002 - 07/2006	Dr. rer. pol. (Ph.D. in Economics), University of Mannheim.
10/2000 - 09/2001	MSc in Econometrics and Economics, University of York.
10/1997 - 09/2002	Dipl.-Volkswirt, University of Heidelberg.
Affiliations
09/2011 - date	Associated Research Professor, KOF Swiss Economic Institute, ETH Zurich

 

 Publications in Refereed Journals

 

• Conrad, C., and E. Mammen (2016). "Asymptotics for parametric GARCH-in-mean models." Journal of Econometrics, 194, 319-329.
• Conrad, C., and K. Zumbach (2016)."The effect of political communication on European financial markets during the sovereign debt crisis." Journal of Empirical Finance, 39, 209-214.
• Conrad, C., and K. Loch (2015). "Anticipating long-term stock market volatility." Journal of Applied Econometrics, 30, 1090-1114.
• Conrad, C., and K. Loch (2015). "The variance risk premium and fundamental uncertainty." Economics Letters, 132, 56-60.
• Conrad, C, and M. Karanasos (2015). "On the transmission of memory in GARCH-in-mean models." Journal of Time Series Analysis, 36, 706-720.
• Conrad, C., and M. Karanasos (2015). "Modeling the link between US inflation and output: the importance of the uncertainty channel." Scottish Journal of Political Economy, 62, 431-453.
• Conrad, C., K. Loch, and D. Rittler (2014). "On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets." Journal of Empirical Finance, 29, 26-40.
• Conrad, C., and T. A. Eife (2012). "Explaining inflation-gap persistence by a time-varying Taylor rule." Journal of Macroeconomics, 34, 419-428.
• Conrad, C., D. Rittler, and W. Rotfuß (2012). "Modeling and explaining the dynamics of European Union Allowance prices at high-frequency." Energy Economics, 34, 316-326.
• Conrad, C., M. Karanasos, and N. Zeng (2011). "Multivariate fractionally integrated APARCH modelling of stock market volatility: a multi-country study." Journal of Empirical Finance, 18, 147-159.
• Conrad, C. (2010). "Non-negativity conditions for the hyperbolic GARCH model.'' Journal of Econometrics, 157, 441-457.
• Conrad, C., and M. Karanasos (2010). "Negative volatility spillovers in the unrestricted ECCC-GARCH model.'' Econometric Theory, 26, 838-862.
• Conrad, C., M. Karanasos, and N. Zeng (2010). "The link between macroeconomic performance and variability in the UK." Economics Letters, 106, 154-157.
• Conrad, C., and M. J. Lamla (2010). "The high-frequency response of the EUR-USD exchange rate to ECB communication.'' Journal of Money, Credit and Banking, 42, 1391-1417.
• Conrad, C., and B. R. Haag (2006). "Inequality constraints in the fractionally integrated GARCH model." Journal of Financial Econometrics, 4, 413-449.
• Conrad, C., and M. Karanasos (2006). "The impulse response function of the long memory GARCH process." Economics Letters, 90, 34-41.
• Conrad, C., and M. Karanasos (2005). "Dual long memory in inflation dynamics across countries of the Euro area and the link between inflation uncertainty and macroeconomic performance." Studies in Nonlinear Dynamics and Econometrics, 9(4), Article 5.
• Conrad, C., and M. Karanasos (2005). "On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach." Japan and the World Economy, 17, 327-343.

Papers under Revision

• Conrad, C., and M. Schienle (2017). "Testing for an Omitted Multiplicative Long-Term Component in GARCH Models." University of Heidelberg, Department of Economics, Updated version of Discussion Paper No. 597.
• Conrad, C., and Weber, E. (2013). "Measuring persistence in volatility spillovers." University of Heidelberg, Department of Economics, Discussion Paper No. 543.
• Conrad, C., and E. Mammen (2009). "Nonparametric regression on latent covariates with an application
  to semiparametric GARCH-in-Mean models." University of Heidelberg, Department of Economics, Discussion Paper No. 473.

Papers Submitted for Publication

• Conrad, C. and O. Kleen (2018). "Two Are Better Than One: Volatility Forecasting Using Multiplicative Component GARCH Models". Available at SSRN: https://ssrn.com/abstract=2752354 (A preliminary version of this paper circulated under the title "On the Statistical Properties of Multiplicative GARCH Models", 2016.)
• Conrad, C. and K. Stürmer (2017) "On the Economic Determinants of Optimal Stock-Bond Portfolios: International Evidence" University of Heidelberg, Department of Economics, Discussion Paper Series No. 636
• Conrad, C. and M. Hartmann (2014). "Cross-sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty." University of Heidelberg, Department of Economics, Discussion Paper No. 574.