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EconometricsResearch

Research Interests

Econometric Theory:

  • Volatility Models
  • Mixed Data Sampling
  • Time Series Analysis

Applied Econometrics:

  • Empirical Finance/Financial Econometrics: Long Term Volatility and Dynamic Correlations, the Risk-Return Relationship, Announcement Effects, Volatility Forecasting
  • Expectation Formation of Professional Forecasters and Households
  • Monetary Economics: Central Bank Communication, Taylor Rules, Inflation Persistence
  • Inflation/Output Uncertainty and Macroeconomic Performance

Grants

Heterogeneity in Macroeconomic Expectations: the Role of Individual Historical Experiences, Local Conditions, and Socio-Economic Characteristics

DFG – Schwerpunktprogramm SPP 1859 „Erfahrung und Erwartung. Historische Grundlagen ökonomischen Handelns“

Netzwerkbasierte Analyse und Exploration von Finanzmärkten

Marsilius Fellow,

Der Einfluss von makroökonomischen Ankündigungen auf die Terminstruktur von VIX Futures

Mobilitätsprogramm

Macro-Risk Assessment and Stabilization Policies with New Early Warning Signals (RASTANEWS)

Collaborative Project within the 7th Framework Programme of the European Community

Determinanten und Modellierung von Inflationsunsicherheit vor dem Hintergrund der Finanz- und Schuldenkrise

Fritz Thyssen Stiftung

Long-Term Financial Volatility and Dynamic Correlations

Juniorprofessoren-Programm des Landes Baden-Württemberg

Publications

Table filters

Table

Econometric Theory
Applied Econometrics
Empirical Finance/Financial Econometrics
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.
Monetary Economics
Conrad, C., and M. J. Lamla (2007). "An den Lippen der EZB - Der KOF Monetary Policy Communicator.'' KOF Analysen, Winter 2007/2008, 33-45.
Inflation/Output Uncertainty and Macroeconomic Performance
Book Reviews