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Details about Christian T. Brownlees

E-mail:
Homepage:http://www.econ.upf.edu/~cbrownlees/
Workplace:Departament d'Economia i Empresa (Department of Economics and Business), Universitat Pompeu Fabra (Pompeu Fabra University), Barcelona School of Economics (BSE), (more information at EDIRC)

Access statistics for papers by Christian T. Brownlees.

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

Short-id: pbr121


Jump to Journal Articles Chapters

Working Papers

2022

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

2021

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

2018

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

    See also Journal Article in Journal of Applied Econometrics (2019)

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 Downloads View citations (6)
    See also Journal Article in Journal of Banking & Finance (2020)
  2. Detecting Granular Time Series in Large Panels
    Working Papers, Barcelona School of Economics Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2021)
  3. SRISK: a conditional capital shortfall measure of systemic risk
    ESRB Working Paper Series, European Systemic Risk Board Downloads View citations (277)
    See also Journal Article in Review of Financial Studies (2017)

2016

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

2015

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

2014

  1. 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" Downloads View citations (26)
    See also Journal Article in Journal of Econometrics (2014)

2011

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

2010

  1. 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" Downloads View citations (7)

2009

  1. 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" Downloads View citations (18)
    See also Journal Article in The Journal of Financial Econometrics (2011)

2008

  1. Comparison of Volatility Measures: a Risk Management Perspective
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (8)
    Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2007) Downloads

    See also Journal Article in The Journal of Financial Econometrics (2010)

2007

  1. 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" Downloads View citations (1)
  2. 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" Downloads

2006

  1. 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" Downloads 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 Downloads View citations (1)
  2. Corporate hedging and the variance of stock returns
    Journal of Corporate Finance, 2022, 72, (C) Downloads

2021

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

2020

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

2019

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

2018

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

2017

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

2014

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

2013

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

2011

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

2010

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

2008

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

2006

  1. Financial econometric analysis at ultra-high frequency: Data handling concerns
    Computational Statistics & Data Analysis, 2006, 51, (4), 2232-2245 Downloads 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 Downloads View citations (5)
 
Page updated 2023-01-31