Details about Christian T. Brownlees

Access statistics for papers by Christian T. Brownlees.

Last updated 2019-06-03. Update your information in the RePEc Author Service.

Short-id: pbr121

Working Papers

2017

1. 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 (4)
2. Detecting Granular Time Series in Large Panels
   Working Papers, Barcelona Graduate School of Economics View citations (1)
3. SRISK: a conditional capital shortfall measure of systemic risk
   ESRB Working Paper Series, European Systemic Risk Board View citations (55)
   See also Journal Article in Review of Financial Studies (2017)

2016

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

2015

6. Backtesting Systemic Risk Measures During Historical Bank Runs
   Working Paper Series, Federal Reserve Bank of Chicago View citations (4)

2014

7. 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 (16)
   See also Journal Article in Journal of Econometrics (2014)

2013

8. Nets: Network Estimation for Time Series
   Working Papers, Barcelona Graduate School of Economics View citations (19)
   Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2013) View citations (14)
   See also Journal Article in Journal of Applied Econometrics (2019)

2011

9. Multiplicative Error Models
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (22)

2010

10. 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

11. 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 (15)
    See also Journal Article in Journal of Financial Econometrics (2011)

2008

12. 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)
    See also Journal Article in Journal of Financial Econometrics (2010)

2007

13. 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)
14. 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

15. 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 (46)
    See also Journal Article in Computational Statistics & Data Analysis (2006)

Journal Articles

2019

1. Hierarchical GARCH
   Journal of Empirical Finance, 2019, 51, (C), 17-27
2. NETS: Network estimation for time series
   Journal of Applied Econometrics, 2019, 34, (3), 347-364
   See also Working Paper (2013)

2018

3. EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT
   Annals of Financial Economics (AFE), 2018, 13, (02), 1-25
4. Realized networks
   Journal of Applied Econometrics, 2018, 33, (7), 986-1006 View citations (2)

2017

5. Credit risk interconnectedness: What does the market really know?
   Journal of Financial Stability, 2017, 29, (C), 1-12 View citations (4)
   See also Working Paper (2016)
6. SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
   Review of Financial Studies, 2017, 30, (1), 48-79 View citations (54)
   See also Working Paper (2017)

2014

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

2013

8. 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

9. Intra-daily Volume Modeling and Prediction for Algorithmic Trading
   Journal of Financial Econometrics, 2011, 9, (3), 489-518 View citations (21)
   See also Working Paper (2009)
10. Shrinkage estimation of semiparametric multiplicative error models
    International Journal of Forecasting, 2011, 27, (2), 365-378 View citations (5)
    Also in International Journal of Forecasting, 2011, 27, (2), 365-378 (2011) View citations (5)

2010

11. Comparison of Volatility Measures: a Risk Management Perspective
    Journal of Financial Econometrics, 2010, 8, (1), 29-56 View citations (70)
    See also Working Paper (2008)

2008

12. On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria
    Journal of Financial Econometrics, 2008, 6, (4), 513-539 View citations (9)

2006

13. Financial econometric analysis at ultra-high frequency: Data handling concerns
    Computational Statistics & Data Analysis, 2006, 51, (4), 2232-2245 View citations (92)
    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