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
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Working Papers
2022
- Performance of Empirical Risk Minimization for Linear Regression with Dependent Data
Papers, arXiv.org View citations (1)
2021
- 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
- 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
- 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)
- 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)
- 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
- Credit risk interconnectedness: What does the market really know?
Discussion Papers, Deutsche Bundesbank 
See also Journal Article in Journal of Financial Stability (2017)
- 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
- Backtesting Systemic Risk Measures During Historical Bank Runs
Working Paper Series, Federal Reserve Bank of Chicago View citations (12)
2014
- 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
- Multiplicative Error Models
Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (27)
2010
- 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
- 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
- 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
- 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)
- 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
- 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
- Community Detection in Partial Correlation Network Models
Journal of Business & Economic Statistics, 2022, 40, (1), 216-226 View citations (1)
- Corporate hedging and the variance of stock returns
Journal of Corporate Finance, 2022, 72, (C)
2021
- Backtesting global Growth-at-Risk
Journal of Monetary Economics, 2021, 118, (C), 312-330 View citations (13)
- Bank credit risk networks: Evidence from the Eurozone
Journal of Monetary Economics, 2021, 117, (C), 585-599 View citations (4)
- Detecting granular time series in large panels
Journal of Econometrics, 2021, 220, (2), 544-561 View citations (1)
See also Working Paper (2017)
- Detecting groups in large vector autoregressions
Journal of Econometrics, 2021, 225, (1), 2-26 View citations (1)
2020
- 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)
- 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
- Hierarchical GARCH
Journal of Empirical Finance, 2019, 51, (C), 17-27
- 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)
- NETS: Network estimation for time series
Journal of Applied Econometrics, 2019, 34, (3), 347-364 View citations (33)
See also Working Paper (2018)
2018
- EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT
Annals of Financial Economics (AFE), 2018, 13, (02), 1-25 View citations (1)
- Realized networks
Journal of Applied Econometrics, 2018, 33, (7), 986-1006 View citations (10)
2017
- 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)
- 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
- 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
- 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
- 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)
- 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
- 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
- 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
- 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
- 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)
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