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Activities

January 2020

  • Christian Conrad presented the paper "Modelling Volatility Cycles: the (MF)^2 GARCH model" (joint with Robert Engle, Stern School of Business) in the Finance Seminar at CREST, Paris, January 27, 2020.
  • The paper “Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis“ by Christian Conrad, Anessa Custovic and Eric Ghysels has won the first prize in the 2019 JRFM (Journal of Risk and Financial Management) Best Paper Award.

December 2019

  • HKMetrics-Seminar: On December 16, Christiane Baumeister (University of Notre Dame) will give a talk on "Structural Interpretation of Vector Autoregressions with Incomplete Identification: Setting the Record Straight" in the HKMetrics-Seminar. Location: Heidelberg University, Alfred-Weber-Institute, Room 00.010. The abstract can be found here.
  • HKMetrics-Seminar: On December 2, Julia Schaumburg (Vrije Universiteit Amsterdam) will give a talk on "Time-varying vector autoregressive models with structural dynamic factors" in the HKMetrics-Seminar. Location: Heidelberg University, Alfred-Weber-Institute, Room 00.010. The abstract can be found here.

November2019

  • HKMetrics-Seminar: On November 4, Joel Horowitz (Northwestern University) will give a talk on "Permutation Tests for Equality of Distributions of Functional Data" in the HKMetrics-Seminar. Location: Heidelberg University, Alfred-Weber-Institute, Room 00.010. The abstract can be found here.

October 2019

  • The Faculty of Economics and Social Sciences at Heidelberg University invites applications for an ASSISTANT PROFESSORSHIP in APPLIED ECONOMETRICS (Juniorprofessur W1 „Volkswirtschaftslehre mit dem Schwerpunkt Empirische Wirtschaftsforschung“) starting in April 2020. For further details see here.

September 2019

  • Christian Conrad presented the paper „Information Channels ofMonetary Policy and Inflation Expectations" (joint with Alexander Glas, University of Erlangen-Nuremberg) at the Deutsche Bundesbank conference on “Household Expectations”, Frankfurt, September 26-28, 2019.
  • Christian Conrad presented the paper "`Dejà Vol‘ Revisited: Survey Forecasts of Macroeconomic Variables Predict Volatility in the Cross-Section of Industry Portfolios" (joint with Alexander Glas, University of Erlangen-Nuremberg) at the Annual Meeting of the Verein für Socialpolitik, Leipzig, September 22-25.
  • On September 06, 2019, the 6th HKMetrics Doctoral Workshop takes place at the University Mannheim. The program is available here.
  • New publication: Conrad, C., and O. Kleen (2019). “Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models.” Journal of Applied Econometrics, forthcoming. Available at SSRN: https://ssrn.com/abstract=2752354
  • New publication: Trautmann, S., and C. Conrad (2019). “Book Review: A Crisis of Beliefs – Investor Psychology and Financial Fragility, Nicola Gennaioli and Andrej Shleifer.” Journal of Economic Psychology, forthcoming.

July 2019

  • HKMetrics-Seminar: On July 8, Markus Pelger (Stanford University) will give a talk on "Factors that Fit the Time Series and Cross-Section of Stock Returns" in the HKMetrics-Seminar. Location: Heidelberg University, Alfred-Weber-Institute, Room 00.010. The abstract can be found here.
  • Christian Conrad presented the paper "Modelling the Forecast Errors: the MEM GARCH model" (joint with Robert Engle, Stern School of Business) in the Econometrics and Statistics Seminar, University of Bonn, July 04, 2019.

June 2019

  • HKMetrics-Seminar: On June 26, Anne Opschoor (Vrije Universiteit Amsterdam) will give a talk on "Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings" in the HKMetrics-Seminar. Location: Heidelberg University, Alfred-Weber-Institute, Room 01.028. The abstract can be found here.

May 2019

  • The Chair of Empirical Economics is seeking to fill a PhD position starting in September 2019. The successful candidate will contribute to the research project „Heterogeneity in macroeconomic expectations: the role of individual historical experiences, local conditions, and socio-economic characteristics“. Further information is available here.

March 2019

  • Prof. Christian Conrad presented the paper "Multiplicative Mixed Frequency MEM-GARCH" (joint with Robert Engle, Stern School of Business) at the Annual Meeting of the Committee on Econometrics, Verein für Socialpolitik, at Schloss Rauischholzhausen, March 02, 2019.

February 2019

  • Alexander Glas presented the paper "Overconfidence versus rounding in survey-based density forecasts" (joint with Matthias Hartmann) at the 12th RGS Doctoral Conference in Economics in Bochum on February 20, 2019.

January 2019

  • Prof. Christian Conrad presented the paper "Multiplicative Mixed Frequency MEM-GARCH" (joint with Robert Engle, Stern School of Business) in the Finance Research Seminar, Leibniz University Hannover, January 30, 2019.
  • In the lecture series „VWL in der Praxis“, Dr Matthias Hartmann, Deutsche Bundesbank, will give a talk on „Makroökonomische Vorhersagen der Deutschen Bundesbank als Teil des Eurosystems“. January 22, 2019, 15.00-16.30 AWI, ÜR 01.030.
  • Professor Christian Conrad, Professor Jonas Dovern and Professor Fabian Krüger received a DFG grant for the project „Heterogeneity in macroeconomic expectations: the role of individual historical experiences, local conditions, and socio-economic characteristics“.

December 2018

  • Alexander Glas presented the paper "Overconfidence versus rounding in survey-based density forecasts" (joint with Matthias Hartmann) at the 19th IWH-CIREQ-GW Macroeconometric Workshop “Uncertainty, Expectations and Macroeconomic Modelling” in Halle (Saale) on December 13, 2018.

November 2018

  • HeiKaMEtrics-Seminar: On November 14, Stefan Voigt (Vienna Graduate School of Finance) will give a talk on "Limits to Arbitrage in Markets with Stochastic Latency" in the HeiKaMEtrics-Seminar. Location: Heidelberg University, Alfred-Weber-Institute, Room 01.030. The abstract can be found here.
  • Prof. Christian Conrad discussed the paper "Measuring Financial Cycle Time" (by Marco Lombardi, Bank for International Settlements) at the Bundesbank Conference on Financial Cycles and Regulation on November 05-06, 2018.

October 2018

  • HeiKaMEtrics-Seminar: On October 22, Elmar Mertens (German Central Bank) will give a talk on "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors" in the HeiKaMEtrics-Seminar. Location: Heidelberg University, Alfred-Weber-Institute, Room 00.010. The abstract can be found here.

September 2018

  • On October 04, 2018, the 5th HeiKaMEtrics Doctoral Workshop takes place at the University of Heidelberg. The workshop is jointly organized by Prof. Christian Conrad (Heidelberg University), Prof. Fabian Krüger (Heidelberg University), Prof. Melanie Schienle (KIT) and Prof. Carsten Trenkler (University of Mannheim). The program is available here.
  • Christian Conrad presented the paper "Two are better than one: volatility forecasting using multiplicative component GARCH models" (joint with Onno Kleen) at the Annual Conference of the German Economic Association in Freiburg on September 05, 2018.

August 2018

  • New publication: Conrad, C. and M. Hartmann (2018). "On the determinants of long-run inflation uncertainty: Evidence from a panel of 17 developed economies." European Journal of Political Economy, forthcoming.
  • Alexander Glas presented the paper "Overconfidence versus rounding in survey-based density forecasts" (joint with Matthias Hartmann) at the annual congress of the Econometric Society in Cologne on August 30, 2018 as well as the Annual Conference of the German Economic Association in Freiburg on September 04, 2018.

July 2018

  • Christian Conrad presented the paper "`Deja vol' revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios " (joint with Alexander Glas) at the Bundesbank Research Seminar, Frankfurt, July 23, 2018.
  • HeiKaMEtrics-Seminar: On July 09, Christian Brownlees (Universitat Pompeu Fabra) will give a talk on "Community Detection in Partial Correlation Network Models" in the HeiKaMEtrics-Seminar. Location: Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.010. The abstract can be found here.

June 2018

  • Christian Conrad presented the paper "Two are better than one: volatility forecasting using multiplicative component GARCH models" (joint with Onno Kleen) at the 11th Annual Meeting of the Society for Financial Econometrics, Lugano, June 14, 2018.
  • Onno Kleen and Michael Stollenwerk attended the SoFiE Financial Econometrics Summer School 2018: Big Data in Macroeconomics and Finance, Brussels, June 4-8, 2018.
  • HeiKaMEtrics-Seminar: On June 01, the RTG 1953 "Statistical Modeling of Complex Systems" and HeiKaMEtrics organize a joint econometrics workshop: Stefan Wager (Stanford University) will give talks on "Optimized Regression Discontinuity Designs" and "Augmented Minimax Linear Estimation". Location: Heidelberg University, Mathematikon, conference room, 5th floor. The abstracts can be found here.

May 2018

  • Michael Stollenwerk gave a talk on „Dynamic Principal Component CAW Models for High-Dimensional Realized Covariance Matrices" (joint paper with Bastian Gribisch) at the Quantitative Finance and Financial Econometrics (QFFE) Conference 2018, Marseille, May 30 – June 01, 2018.
  • Christian Conrad presented the paper "Two are better than one: volatility forecasting using multiplicative component GARCH models" (joint with Onno Kleen) at the QFFE 2018 - Quantitative Finance and Financial Econometrics conference, Aix-Marseille School of Economics, May 31, 2018.
  • Michael Stollenwerk attended Quantitative Finance and Financial Econometrics Summer School 2018: Marseille, May 28-30, 2018.
  • HeiKaMEtrics-Seminar: On May 28, Victor Chernozhukov (Massachusetts Institute of Technology) will give a talk on "Double/De-Biased Machine Learning with Regularized Riesz Representers" in the HeiKaMEtrics-Seminar. Location: Heidelberg University, Mathematikon, Room SR C. The abstract can be found here.
  • New publication: Conrad, C., and M. Schienle (2018). "Testing for an omitted multiplicative long-term component in GARCH models." Journal of Business & Economic Statistics, forthcoming.
  • New publication: Conrad, C., A. Custovic, and E. Ghysels (2018). "Long- and short-term cryptocurrency volatility components: A GARCH-MIDAS analysis." Journal of Risk and Financial Management, 11, 23.

April 2018

  • HeiKaMEtrics-Seminar: On April 26, Bernd Schwaab (European Central Bank) will give a talk on "Risk endogeneity at the lender-/investor-of-last-resort". Location: Karlsruher Institut für Technologie, Building 09.21, Room 320, 11:45-13:00. The abstract con be found here.
  • Onno Kleen presented the paper "Low-volatility forecasting for low-volatility investing" (joint with Christian Conrad and Fabian Krüger) at the Frontiers of Factor Investing Conference, Lancaster University, April 23, 2018.

March 2018

  • Onno Kleen persented the paper "Two are better than one: volatility forecasting using multiplicative component GARCH models" (joint with Christian Conrad) at the IV International PhD Conference in Economics, University of Leicester, March 23, 2018.

February 2018

  • Alexander Glas presented the paper "Overconfidence versus rounding in survey-based density forecasts" (joint with Matthias Hartmann) at the 11th RGS Doctoral Conference in Economics of the University Duisburg-Essen, February 22, 2018.

  • On February 22, Manfred Deistler (TU Vienna) and Alexander Braumann (TU Braunschweig) will give a talk in the HeiKaMEtrics Seminar. Manfred Deistler presents the paper "Generalized Linear Dynamic Factor Models - A Structure Theory" and Alexander Braumann the paper "Bootstrapping for Vector Autoregression Estimates in Generalized Dynamic Factor Models". Location: University of Mannheim, L7, 3-5, Room S 031. Link to the abtract (Deistler, Braumann).

January 2018

  • On January 25, 2018, the fourth HeiKaMEtrics Doctoral Workshop takes place at the Karlsruhe Institute of Technology. The workshop is jointly organized by Prof. Christian Conrad (Heidelberg University), Prof. Melanie Schienle (KIT) and Prof. Carsten Trenkler (University of Mannheim). The program is available here.
  • Christian Conrad persented the paper "Two are better than one: volatility forecasting using multiplicative component GARCH models" (joint with Onno Kleen) in the Statistik-Kolloquium, University of Gießen, January, 23, 2018.
  • Christian Conrad persented the paper "Two are better than one: volatility forecasting using multiplicative component GARCH models" (joint with Onno Kleen) in the Seminar on Statistics and Econometrics, Kiel University, January 18, 2018.
  • HeiKaMEtrics-Seminar: On January 10, Jörg Breitung (University of Cologne) will give a talk on "Asymmetric Impulse Responses". Location: Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 01.030, 17:00-18:00. The abstract con be found here.

December 2017

  • HeiKaMEtrics-Seminar: On December 18, Roman Liesenfeld (University of Cologne) will give a talk on "Factor State-Space Models for High-Dimensional Realized Covariance Matrices of Asset Returns". Location: Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.010. The abstract can be found here.
  • Christian Conrad presented the paper "On the Economic Determinants of Optimal Stock-Bond Portfolios: International Evidence" (joint with Karin Stürmer) at the 11th International Conference on Computational and Financial Econometrics, University of London, UK, December, 16-18, 2017.

November 2017

  • HeiKaMEtrics-Seminar: On November 27, Marie Hoerova (European Central Bank) will give a talk on "The Macroeconomic Impact of Money Market Freezes". Location: Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.010. The abstract can be found here.

October 2017

  • HeiKaMEtrics-Seminar: On October 25, Michael Rockinger (University of Lausanne) will give a talk on "Predicting Long-Term Financial Returns: VAR vs. DSGE Model - A Horse-Race". Link to Abstract. 

September 2017

  • The inaugural conference of the HeiKaMEtrics Network on Financial Econometrics will take place at the International Academic Forum Heidelberg on September 14-15, 2017. The opening of the HeiKaMEtrics Network will be celebrated with the HeiKaMEtrics Lecture in memory of Emil J. Gumbel held by Professor Eric Ghysels (University of North Carolina, Chapel Hill). The lecture will take place on Friday, September 15th at the Alte Aula of Heidelberg University. More Information here.
  • Alexander Glas presents the paper "Overconfidence versus rounding in survey-based density forecasts" (joint with Matthias Hartmann) at the 7th IWH/INFER Workshop on Challenges and Implications of Inflationary Dynamics, Halle Institute for Economic Research (IWH), Halle, September 07-08, 2017. 
  • Christian Conrad presented the paper "On the Economic Determinants of Optimal Stock-Bond Portfolios: International Evidence" (joint with Karin Stürmer) at the annual meeting of the Verein für Socialpolitik, Vienna, September 3-9, 2017.

July 2017

  • New discussion paper: 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
  • Onno Kleen attended the SoFiE Financial Econometrics Summer School 2017 at Kellogg: The Econometrics of Derivatives Markets, Chicago, July 24-28, 2017.
  • Onno Kleen gave a talk on "Volatility Forecasting Using Multiplicative Component Models" (joint paper with Christian Conrad) at the 4th Annual Conference of the International Association for Applied Econometrics (IAAE), Sapporo, Japan, June 26-29, 2017.

June 2017

  • Christian Conrad presents the paper "On the Economic Determinants of Optimal Stock-Bond Portfolios: International Evidence" (joint with Karin Stürmer) at the 10th Annual Society for Financial Econometrics (SoFiE) Conference, NYU Stern School of Business, New York, June 21-23, 2017.

April 2017

  • HeiKaMEtrics-Seminar: Prof. Christian Brownlees (Universitat Pompeu Fabra) gives a talk on „Detecting Granular Time Series in Large Panels”. Link to Abstract

March 2017

  • Onno Kleen presents the paper "Volatility Forecasting Using Multiplicative Component Models" (joint with Christian Conrad) at the Rhenish Multivariate Time Series Econometrics Meeting, Rotterdam, March 23-24, 2017. 

  • Dr. Matthias Hartmann has left the chair of Empirical Economics to take up a position at the Bundesbank.
  • Prof. Christian Conrad gives a talk on "Testing for an Omitted Long-Term Component in Multiplicative GARCH Models" (joint paper with Melanie Schienle) at the Vienna-Copenhagen Conference on Financial Econometrics, Vienna, March 9-11, 2017.

January 2017

  • Prof. Christian Conrad has been awarded a Marsilius Fellowship for the class of 2017/18. He will work together with Prof. Michael Gertz, Institute of Computer Science, on an interdisciplinary project entitled “Network-based analysis and exploration of financial markets”.
  • Dr. Matthias Hartmann presents the paper  "The Uncertainty-Adjusted Consensus Forecast" (joint with Christian Conrad) at the Workshop on Quantitative Finance, Mailand, Italy, January 25-27, 2017.
  • Prof. Christian Conrad gave a talk on "Testing for an Omitted Long-Term Component in Multiplicative GARCH Models" (joint paper with Melanie Schienle) in the Research Seminar of the Norwegian Business School, Oslo, January 11, 2017.
  • Dr. Matthias Hartmann presents the paper  "Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters" (joint with Alexander Glas) at the Annual Meeting of the American Economic Association, Chicago, USA, January 6-8, 2017.

December 2016

  • Prof. Christian Conrad presented the paper "Testing for an Omitted Long-Term Component in Multiplicative GARCH Models" (co-authored with Melanie Schienle) at the International Conference on Computational and Financial Econometrics, Seville, Spain, December 09-11, 2016.
  • Dr. Matthias Hartmann presents the paper  "Forecast Performance, disagreement, and heterogeneous signal-to-noise ratios" (joint with Jonas Dovern) at the Cumputational and Financial Econometrics Conference , Seville, Spain, December 9-11, 2016.

November 2016

  • HeiKaMEtrics-Seminar: Prof. Yarema Okhrin (University of Augsburg) gives a talk on „Tail Event Driven Networks of SIFIs”. Link to the Abstract
  • On November 03, 2016, the third HeiKaMEtrics Doctoral Workshop takes place at the University of Mannheim. The workshop is jointly organized by Prof. Christian Conrad (Heidelberg University), Prof. Melanie Schienle (KIT) and Prof. Carsten Trenkler (University of Mannheim). The program is available here.
  • Prof. Christian Conrad presented the paper "The Uncertainty-Adjusted Consensus Forecast" (joint with Matthias Hartmann) in the cege-Forschungskolloquium at the Georg-August-Universität Göttingen, November 2, 2016.

October 2016

  • Prof. Christian Conrad gave a talk on "Testing for an Omitted Long-Term Component in Multiplicative GARCH Models" (joint with Melanie Schienle) in the Quantitative Finance Seminar at Kellogg School of Management, Northwestern University, October 7, 2016.

September 2016

  • Prof. Christian Conrad gave a talk on "Testing for an Omitted Long-Term Component in Multiplicative GARCH Models" (joint with Melanie Schienle) in the Econometrics Seminar at Michigan State University, September 29, 2016.
  • Prof. Christian Conrad presents the paper "Macroeconomic expectations and the time-varying stock-bond correlation: international evidence" (joint with Karin Stürmer) at the Annual Conference of the Verein für Socialpolitik, September 4-7, 2016, Augsburg, Germany.
  • Dr. Matthias Hartmann presents the paper  "Forecast Performance, disagreement, and heterogeneous signal-to-noise ratios" (joint with Jonas Dovern) at the Annual Conference of the Verein für Socialpolitik, September 4-7, 2016, Augsburg, Germany.
  • Alexander Glas presents the paper "Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters" (joint with Matthias Hartmann) at the Annual Conference of the German Economic Association, September 4-7, 2016, Augsburg, Germany.

August 2016

  • Prof. Christian Conrad presents the paper "Testing for an Omitted Long-Term Component in Multiplicative GARCH Models" (joint with Melanie Schienle) at the 69th European Meeting of the Econometric Society, August 22-26, 2016, Geneva, Switzerland.
  • Alexander Glas presents the paper "Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters" (joint with Matthias Hartmann) at the 31th Annual Conference of the Econometric Society, August 22-26, 2016, Geneva, Switzerland.
  • Onno Kleen presents the paper „On the Statistical Properties of Multiplicative GARCH Models" at the 69th European Meeting of the Econometric Society, August 22-26, 2016, Geneva, Switzerland.

July 2016

  • Prof. Christian Conrad will give a talk on "Wie der Ölpreis die Wirtschaft beeinflusst: Über Kausalität in der Ökonometrie". The talk is part of the lecture series “Akademische Mittagspause: Sprechen Sie Mathematik?", July 14, 2016. Further information can be found here.

June 2016

  • Dr. Karin Loch has left the chair of Empirical Economics to take up a position as a Postdoctoral Fellow in the research group of Prof. Torben Andersen at the Finance department of the Kellogg School of Management (Northwestern University). She received a two-year research fellowship from the DFG.

  • Dr. Matthias Hartmann presents the paper "Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters" (joint with Alexander Glas) at the Annual Conference of the International Association for Applied Econometrics in Milan, June 22-25, 2016.

  • Alexander Glas presents the paper "Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters" (joint with Matthias Hartmann) at the 36th International Symposium on Forecasting in Santander, Spain, June 19-22, 2016.

  • Prof. Christian Conrad presents the paper "Testing for an Omitted Long-Term Component in Multiplicative GARCH Models" (joint with Melanie Schienle) at the 9th Annual Conference of the Society for Financial Econometrics, June 14-17, 2016, Hong Kong.

May 2016

  • HeiKaMEtrics: From 26th to 29th of May 2016, Prof. Richard Baillie (Michigan State University) is our guest and gives a talk on “Is Robust Inference with OLS Sensible in Time Series Regressions? Investigating Bias and MSE Trade-offs with Feasible GLS and VAR Approaches” in the HeiKaMEtrics-Seminar. Link to the abstract

February 2016

  • On February 18, 2016, the second HeiKaMEtrics Doctoral Workshop takes place at the Alfred-Weber-Institute. The workshop is jointly organized by Prof. Christian Conrad (Heidelberg University), Prof. Melanie Schienle (KIT) and Prof. Carsten Trenkler (University of Mannheim). The program is available here.

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Latest Revision: 2020-05-04
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