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 by appointment only
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|
Publications in Refereed Journals
- Conrad, C. and M. Hartmann (2019). "On the determinants of long-run inflation uncertainty: Evidence from a panel of 17 developed economies." European Journal of Political Economy, 56, 233-250.
- Conrad, C., and M. Schienle (2019). "Testing for an omitted multiplicative long-term component in GARCH models." Journal of Business & Economic Statistics, forthcoming.
- 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.
- 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 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 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 Glas, A. (2018). "'Déjà vol' revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios." Available at SSRN: http://ssrn.com/abstract=3186567.
- 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.