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Jun.Prof. Dr. Christian Conrad
Bergheimer Strasse 58 69115 Heidelberg
Tel. +49 (0)6221 54 3173 E-Mail: christian.conrad [at] awi.uni-heidelberg.de
Sprechstunde: Mittwoch, 10.00 - 11.00 Uhr Raum: 01.012 |
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Research Interests
Applied Macroeconometrics, Financial Econometrics, Nonparametric Regression, Time Series Analysis.
BRief CV
| Academic Positions | |
| 04/2008 - date |
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. |
| 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. |
Refereeing
Bulletin of Economic Research, Econometric Theory, Econometrics
Journal, Economic Modelling, Empirica,
Energy Economics, Journal of Applied Econometrics, Journal of Applied
Economics, Journal of Business Cycle Measurement and Analysis, 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, Public
Choice, Quantitative and
Qualitative Analysis in Social Sciences (Associate Editor),
Scottish Journal of Political Economy, Studies in Nonlinear Dynamics
& Econometrics, Swiss Journal of Economics and Statistics
Publications
Monographs
Conrad, C. (2006). "GARCH models with long memory and nonparametric specifications." Dissertation, University of Mannheim.
Publications in Refereed Journals
- Conrad, C., M. Karanasos, and N. Zeng (2009). "The link between
macroeconomic performance and variability in the UK." Economics Letters, forthcoming.
- Conrad, C., and M. Karanasos (2009). "Negative volatility spillovers in the unrestricted ECCC-GARCH model.'' Econometric Theory, forthcoming.
- 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.
- Conrad, C., and M. Karanasos (2004). "The impulse response function of the long memory ACD model." WSEAS Transactions on Mathematics, 3, 681 - 686.
Papers under Revision
- 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. - Conrad, C., and M. J. Lamla (2007). "The high-frequency response of the EUR-US Dollar exchange rate to ECB monetary policy announcements.'' KOF Working Papers No. 174, ETH Zürich.
- Conrad, C. (2007). "Non-negativity conditions for the hyperbolic GARCH model.'' KOF Working Papers No. 162, ETH Zürich.
- Conrad, C., M. Karanasos, and N. Zeng (2008). "Fractionally integrated APARCH modelling of stock market volatility: a multi-country study." University of Heidelberg, Department of Economics, Discussion Paper No. 472.
Papers Submitted for Publication
- Conrad, C., and M. Karanasos (2008). "Modeling volatility spillovers between the variabilities of US inflation and output: the UECCC GARCH model." University of Heidelberg, Department of Economics, Discussion Paper No. 475.
- 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.
Working Papers
- 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.
