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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 Graduate School of Economics (Barcelona GSE), (more information at EDIRC)

Access statistics for papers by Christian T. Brownlees.

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

Short-id: pbr121


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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 Downloads View citations (4)
  2. Detecting Granular Time Series in Large Panels
    Working Papers, Barcelona Graduate School of Economics Downloads View citations (1)
  3. SRISK: a conditional capital shortfall measure of systemic risk
    ESRB Working Paper Series, European Systemic Risk Board Downloads View citations (55)
    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 (9)

2015

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

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

2013

  1. Nets: Network Estimation for Time Series
    Working Papers, Barcelona Graduate School of Economics Downloads View citations (19)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2013) Downloads View citations (14)

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

2011

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

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 (15)
    See also Journal Article in 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)
    See also Journal Article in 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 (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 Downloads
  2. NETS: Network estimation for time series
    Journal of Applied Econometrics, 2019, 34, (3), 347-364 Downloads
    See also Working Paper (2013)

2018

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

2017

  1. Credit risk interconnectedness: What does the market really know?
    Journal of Financial Stability, 2017, 29, (C), 1-12 Downloads View citations (4)
    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 (54)
    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 (16)
    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
    Journal of Financial Econometrics, 2011, 9, (3), 489-518 Downloads View citations (21)
    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 (5)
    Also in International Journal of Forecasting, 2011, 27, (2), 365-378 (2011) Downloads View citations (5)

2010

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

2008

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

2006

  1. Financial econometric analysis at ultra-high frequency: Data handling concerns
    Computational Statistics & Data Analysis, 2006, 51, (4), 2232-2245 Downloads 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 Downloads
 
Page updated 2019-10-20