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 - 11:00 am
Expectation Formation, Financial Econometrics, Financial Risk Modeling, Forecasting, Macroeconometrics, Time Series Analysis, Volatility.
|05/2011 - date||Professor of Economics, Department of Economics, Heidelberg University|
|06/2015 - date||Steering Board Member, HKMetrics Network|
|10/2013 - 09/2015||Head of Department, Department of Economics, Heidelberg University|
|04/2008 - 04/2011||Assistant Professor (Juniorprofessor), Department of Economics, Heidelberg University|
|09/2006 - 03/2008||Post-Doctoral Research Fellow, KOF Swiss Economic Institute, 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, Heidelberg University.|
|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, Heidelberg University.|
|08/2020 - date||Senior Fellow, Rimini Centre for Economic Analysis|
|07/2019 - date||External Fellow, Center for European Studies (CefES-DEMS)|
|09/2011 - date||Associated Research Professor, KOF Swiss Economic Institute, ETH Zurich|
Publications in Refereed Journals
- Conrad, C., Z. Enders, and A. Glas (2022). "The role of information and experience for households' inflation expectations." European Economic Review, 143, 104015.
- Conrad, C., and M. Schienle (2020). "Testing for an omitted multiplicative long-term component in GARCH models." Journal of Business & Economic Statistics, 38,229-242. Supplemental material.
- Conrad, C., and O. Kleen (2020). “Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models.” Journal of Applied Econometrics, 35, 19-45. Supplemental Material. An R package for estimating GARCH-MIDAS models is available here.
- 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., 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. Supplemental Material.
- 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.
- 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, 74, 102201.
Papers under Revision
- 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 Weber, E. (2013). "Measuring persistence in volatility spillovers." Heidelberg University, 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." Heidelberg University, Department of Economics, Discussion Paper No. 473.
Papers Submitted for Publication
- Conrad, C., and R. F. Engle (2021). "Modelling volatility cycles: The (MF)^2 GARCH model." Available at SSRN: http://dx.doi.org/10.2139/ssrn.3793571 and Rimini Centre for Economic Analysis, Working Paper Series, wp 21-05.
- Conrad, C., and K. Stürmer (2017) "On the economic determinants of optimal stock-bond portfolios: International evidence" Heidelberg University, Department of Economics, Discussion Paper Series No. 636.