Details about Christian T. Brownlees

Access statistics for papers by Christian T. Brownlees.

Last updated 2021-10-22. Update your information in the RePEc Author Service.

Short-id: pbr121

Working Papers

2021

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

2018

2. 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 Graduate School of Economics (2013) View citations (21)
   Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2013) View citations (16)
   See also Journal Article in Journal of Applied Econometrics (2019)

2017

3. 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)
4. Detecting Granular Time Series in Large Panels
   Working Papers, Barcelona Graduate School of Economics View citations (3)
   See also Journal Article in Journal of Econometrics (2021)
5. SRISK: a conditional capital shortfall measure of systemic risk
   ESRB Working Paper Series, European Systemic Risk Board View citations (173)
   See also Journal Article in Review of Financial Studies (2017)

2016

6. Credit risk interconnectedness: What does the market really know?
   Discussion Papers, Deutsche Bundesbank
   See also Journal Article in Journal of Financial Stability (2017)
7. Impulse Response Estimation By Smooth Local Projections
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
   See also Journal Article in The Review of Economics and Statistics (2019)

2015

8. Backtesting Systemic Risk Measures During Historical Bank Runs
   Working Paper Series, Federal Reserve Bank of Chicago View citations (11)

2014

9. 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 (23)
   See also Journal Article in Journal of Econometrics (2014)

2011

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

2010

11. 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

12. 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 Journal of Financial Econometrics (2011)

2008

13. 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 Journal of Financial Econometrics (2010)

2007

14. 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)
15. 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

16. 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 (71)
    See also Journal Article in Computational Statistics & Data Analysis (2006)

Journal Articles

2021

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

2020

5. 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 (5)
   See also Working Paper (2017)
6. On the estimation of integrated volatility in the presence of jumps and microstructure noise
   Econometric Reviews, 2020, 39, (10), 991-1013

2019

7. Hierarchical GARCH
   Journal of Empirical Finance, 2019, 51, (C), 17-27
8. Impulse Response Estimation by Smooth Local Projections
   The Review of Economics and Statistics, 2019, 101, (3), 522-530 View citations (21)
   See also Working Paper (2016)
9. NETS: Network estimation for time series
   Journal of Applied Econometrics, 2019, 34, (3), 347-364 View citations (21)
   See also Working Paper (2018)

2018

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

2017

12. Credit risk interconnectedness: What does the market really know?
    Journal of Financial Stability, 2017, 29, (C), 1-12 View citations (12)
    See also Working Paper (2016)
13. SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
    Review of Financial Studies, 2017, 30, (1), 48-79 View citations (172)
    See also Working Paper (2017)

2014

14. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
    Journal of Econometrics, 2014, 182, (2), 364-384 View citations (23)
    See also Working Paper (2014)

2013

15. 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

16. Intra-daily Volume Modeling and Prediction for Algorithmic Trading
    Journal of Financial Econometrics, 2011, 9, (3), 489-518 View citations (31)
    See also Working Paper (2009)
17. Shrinkage estimation of semiparametric multiplicative error models
    International Journal of Forecasting, 2011, 27, (2), 365-378 View citations (6)
    Also in International Journal of Forecasting, 2011, 27, (2), 365-378 (2011) View citations (7)

2010

18. Comparison of Volatility Measures: a Risk Management Perspective
    Journal of Financial Econometrics, 2010, 8, (1), 29-56 View citations (86)
    See also Working Paper (2008)

2008

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

2006

20. Financial econometric analysis at ultra-high frequency: Data handling concerns
    Computational Statistics & Data Analysis, 2006, 51, (4), 2232-2245 View citations (117)
    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