Prof. Dr. Christian Conrad
Chair of Empirical Economics
Alfred-Weber-Institute for Economics
Bergheimer Strasse 58
phone: +49 (0) 6221 54 3173
Office Hours: Monday, 10.00 am - 11.00 am
Applied Macroeconometrics, Financial Econometrics, Nonparametric Regression, Time Series Analysis.
|05/2011 - date||Professor of Economics, Department of Economics, University of Heidelberg|
|04/2008 - 04/2011||Assistant Professor, 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.|
|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.|
|09/2011 - date||Associated Research Professor, KOF Swiss Economic Institute, ETH Zurich|
American Journal of Agricultural Economics, Advances in Statistical Analysis, Bulletin of Economic Research, Computational Economics, Computational Statistics and Data Analysis, Econometric Theory, Econometrics Journal, Economic Modelling, Emerging Markets Review, Empirica, Empirical Economics, Energy Economics, European Journal of Political Economy, Journal of Applied Econometrics, Journal of Applied Economics, Journal of Banking & Finance, Journal of Econometrics, Journal of Economic Dynamics and Control, Journal of Empirical Finance, Journal of Financial Econometrics, Journal of Futures Markets, Journal of International Money and Finance, Journal of Money, Credit and Banking, North American Journal of Economics and Finance, Oxford Bulletin of Economics and Statistics, Public Choice, Quantitative and Qualitative Analysis in Social Sciences (Editor), Scottish Journal of Political Economy, Studies in Nonlinear Dynamics & Econometrics, Swiss Journal of Economics and Statistics
Publications in Refereed Journals
- Conrad, C, and M. Karanasos (2014). "On the transmission of memory in GARCH-in-mean models", Journal of Time Series Analysis, forthcoming.
- Conrad, C., and K. Loch (2014). "Anticipating long-term stock market volatility." Journal of Applied Econometrics, forthcoming.
- Conrad, C., and M. Karanasos (2014). "Modeling the link between US inflation and output: the importance of the uncertainty channel." Scottish Journal of Political Economy, forthcoming.
- 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 K. Zumbach (2012)."The Effect of Political Communication on European Financial Markets During the Sovereign Debt Crisis" University of Heidelberg, Department of Economics, Discussion Paper No. 536.
- 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 Hartmann, M. (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.
- Conrad, C., and Weber, E. (2013). "Measuring Persistence in Volatility Spillovers" University of Heidelberg, Department of Economics, Discussion Paper No. 543.
- Conrad, C., D. Rittler, and W. Rotfuß (2009). "The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs." ZEW Discussion Paper No. 09-045.
- Conrad, C., F. Jiang, and M. Karanasos (2004). "Modelling and predicting exchange rate volatility via power ARCH models: the role of long-memory." Working Paper, University of Mannheim.