Christian Conrad

Economics and Econometrics · with Karanasos · 2005–2020

A researcher in the Science corpus: 9 papers; trusts 34 researchers and is trusted by 18 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 124 citations into it; #3,610 of 23,481 by trust here, #4,106 by citations
• Finance — 96 citations into it; #1,804 of 10,518 by trust here, #2,404 by citations
• Management Science and Operations Research — 15 citations into it
• Renewable Energy, Sustainability and the Environment — 15 citations into it; #3,467 of 5,212 by trust here, #4,108 by citations
• Global and Planetary Change — 6 citations into it

Whom Christian Conrad trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Robert F. Engle
2. James Davidson
3. Tim Bollerslev
4. Daniel B. Nelson
5. Paolo Zaffaroni
6. Menelaos Karanasos
7. P. R. Hansen
8. Eric Ghysels
9. Eric R. Ziegel
10. Sébastien-Yves Laurent

Who trusts Christian Conrad overall

1. Tong Fang
2. Menelaos Karanasos
3. Stilianos Fountas
4. Tae-Hwy Lee
5. Zhi Su
6. D. Almeida
7. Guiglielmo Maria Caporale
8. Daniel Rittler
9. Eric Ghysels
10. Berthold R. Haag

Papers from Christian Conrad's perspective

Ordered by how strongly the researchers Christian Conrad trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
3. Dynamic Conditional Correlation
4. Consistent Ranking of Volatility Models
5. Analysis of Financial Time Series
6. STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM (Econometric Theory)
7. Dynamic Conditional Correlation a Simple Class of Multivariate GARCH Models
8. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
9. Long Memory and Regime Switching
10. A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations

Their papers

• On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach (2005) — 112 citations
• Anticipating Long‐Term Stock Market Volatility (2014) — 256 citations
• NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL (2009) — 79 citations
• On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets (2014) — 187 citations
• Inequality Constraints in the Fractionally Integrated GARCH Model (2006) — 117 citations
• Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis (2018) — 265 citations
• Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models (2020) — 138 citations
• Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency (2012) — 166 citations
• Non-Negativity Conditions for the Hyperbolic GARCH Model (2010) — 78 citations