Details about Christian T. Brownlees

Access statistics for papers by Christian T. Brownlees.

Last updated 2022-05-23. Update your information in the RePEc Author Service.

Short-id: pbr121

Working Papers

2022

1. Performance of Empirical Risk Minimization for Linear Regression with Dependent Data
   Papers, arXiv.org View citations (1)

2021

2. Non-Standard Errors
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
   Also in Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz (2021) View citations (1)
   Post-Print, HAL (2021)
   Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2021)
   Working Papers, Faculty of Economics and Statistics, University of Innsbruck (2021) View citations (1)

2018

3. Nets: network estimation for time series
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (3)
   Also in Working Papers, Barcelona School of Economics (2013) View citations (31)
   Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2013) View citations (31)
   See also Journal Article in Journal of Applied Econometrics (2019)

2017

4. Back to the Future: Backtesting Systemic Risk Measures during Historical Bank Runs and the Great Depression
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
   See also Journal Article in Journal of Banking & Finance (2020)
5. Detecting Granular Time Series in Large Panels
   Working Papers, Barcelona School of Economics View citations (3)
   See also Journal Article in Journal of Econometrics (2021)
6. SRISK: a conditional capital shortfall measure of systemic risk
   ESRB Working Paper Series, European Systemic Risk Board View citations (277)
   See also Journal Article in Review of Financial Studies (2017)

2016

7. Credit risk interconnectedness: What does the market really know?
   Discussion Papers, Deutsche Bundesbank
   See also Journal Article in Journal of Financial Stability (2017)
8. Impulse Response Estimation By Smooth Local Projections
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (19)
   See also Journal Article in The Review of Economics and Statistics (2019)

2015

9. Backtesting Systemic Risk Measures During Historical Bank Runs
   Working Paper Series, Federal Reserve Bank of Chicago View citations (12)

2014

10. Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (26)
    See also Journal Article in Journal of Econometrics (2014)

2011

11. Multiplicative Error Models
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (27)

2010

12. Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (7)

2009

13. Intra-daily Volume Modeling and Prediction for Algorithmic Trading
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (18)
    See also Journal Article in The Journal of Financial Econometrics (2011)

2008

14. Comparison of Volatility Measures: a Risk Management Perspective
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (8)
    Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2007)
    See also Journal Article in The Journal of Financial Econometrics (2010)

2007

15. Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (1)
16. Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"

2006

17. Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (77)
    See also Journal Article in Computational Statistics & Data Analysis (2006)

Journal Articles

2022

1. Community Detection in Partial Correlation Network Models
   Journal of Business & Economic Statistics, 2022, 40, (1), 216-226 View citations (1)
2. Corporate hedging and the variance of stock returns
   Journal of Corporate Finance, 2022, 72, (C)

2021

3. Backtesting global Growth-at-Risk
   Journal of Monetary Economics, 2021, 118, (C), 312-330 View citations (13)
4. Bank credit risk networks: Evidence from the Eurozone
   Journal of Monetary Economics, 2021, 117, (C), 585-599 View citations (4)
5. Detecting granular time series in large panels
   Journal of Econometrics, 2021, 220, (2), 544-561 View citations (1)
   See also Working Paper (2017)
6. Detecting groups in large vector autoregressions
   Journal of Econometrics, 2021, 225, (1), 2-26 View citations (1)

2020

7. Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression
   Journal of Banking & Finance, 2020, 113, (C) View citations (10)
   See also Working Paper (2017)
8. On the estimation of integrated volatility in the presence of jumps and microstructure noise
   Econometric Reviews, 2020, 39, (10), 991-1013 View citations (3)

2019

9. Hierarchical GARCH
   Journal of Empirical Finance, 2019, 51, (C), 17-27
10. Impulse Response Estimation by Smooth Local Projections
    The Review of Economics and Statistics, 2019, 101, (3), 522-530 View citations (46)
    See also Working Paper (2016)
11. NETS: Network estimation for time series
    Journal of Applied Econometrics, 2019, 34, (3), 347-364 View citations (33)
    See also Working Paper (2018)

2018

12. EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT
    Annals of Financial Economics (AFE), 2018, 13, (02), 1-25 View citations (1)
13. Realized networks
    Journal of Applied Econometrics, 2018, 33, (7), 986-1006 View citations (10)

2017

14. Credit risk interconnectedness: What does the market really know?
    Journal of Financial Stability, 2017, 29, (C), 1-12 View citations (16)
    See also Working Paper (2016)
15. SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
    Review of Financial Studies, 2017, 30, (1), 48-79 View citations (276)
    See also Working Paper (2017)

2014

16. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
    Journal of Econometrics, 2014, 182, (2), 364-384 View citations (29)
    See also Working Paper (2014)

2013

17. A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (1), 21-46 View citations (4)

2011

18. Intra-daily Volume Modeling and Prediction for Algorithmic Trading
    The Journal of Financial Econometrics, 2011, 9, (3), 489-518 View citations (35)
    See also Working Paper (2009)
19. Shrinkage estimation of semiparametric multiplicative error models
    International Journal of Forecasting, 2011, 27, (2), 365-378 View citations (7)
    Also in International Journal of Forecasting, 2011, 27, (2), 365-378 (2011) View citations (7)

2010

20. Comparison of Volatility Measures: a Risk Management Perspective
    The Journal of Financial Econometrics, 2010, 8, (1), 29-56 View citations (95)
    See also Working Paper (2008)

2008

21. On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria
    The Journal of Financial Econometrics, 2008, 6, (4), 513-539 View citations (11)

2006

22. Financial econometric analysis at ultra-high frequency: Data handling concerns
    Computational Statistics & Data Analysis, 2006, 51, (4), 2232-2245 View citations (149)
    See also Working Paper (2006)

Chapters

2013

1. MEASURING SYSTEMIC RISK
   Chapter 3 in Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, 2013, pp 65-98 View citations (5)