Details about Christian T. Brownlees

Access statistics for papers by Christian T. Brownlees.

Last updated 2024-11-09. Update your information in the RePEc Author Service.

Short-id: pbr121

Working Papers

2024

1. Nonstandard Errors
   Post-Print, HAL View citations (2)
   Also in Working Papers, Lund University, Department of Economics (2021)
   Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2021)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024) View citations (2)
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   Working Papers, Barcelona School of Economics (2021)
   Post-Print, HAL (2021)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) View citations (2) (2024)
2. Performance of Empirical Risk Minimization For Principal Component Regression
   Papers, arXiv.org
3. Unit Averaging for Heterogeneous Panels
   Papers, arXiv.org

2023

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

2022

5. Forecasting intra-daily volume in large panels of assets
   Post-Print, HAL

2018

6. 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 (2015) View citations (31)
   Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2013) View citations (32)
   See also Journal Article NETS: Network estimation for time series, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) View citations (69) (2019)

2017

7. 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 Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression, Journal of Banking & Finance, Elsevier (2020) View citations (18) (2020)
8. Detecting Granular Time Series in Large Panels
   Working Papers, Barcelona School of Economics View citations (3)
   See also Journal Article Detecting granular time series in large panels, Journal of Econometrics, Elsevier (2021) View citations (2) (2021)
9. SRISK: a conditional capital shortfall measure of systemic risk
   ESRB Working Paper Series, European Systemic Risk Board View citations (441)
   See also Journal Article SRISK: A Conditional Capital Shortfall Measure of Systemic Risk, The Review of Financial Studies, Society for Financial Studies (2017) View citations (461) (2017)

2016

10. Credit risk interconnectedness: What does the market really know?
    Discussion Papers, Deutsche Bundesbank View citations (1)
    See also Journal Article Credit risk interconnectedness: What does the market really know?, Journal of Financial Stability, Elsevier (2017) View citations (25) (2017)
11. Impulse Response Estimation By Smooth Local Projections
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (21)
    See also Journal Article Impulse Response Estimation by Smooth Local Projections, The Review of Economics and Statistics, MIT Press (2019) View citations (114) (2019)

2015

12. Backtesting Systemic Risk Measures During Historical Bank Runs
    Working Paper Series, Federal Reserve Bank of Chicago View citations (13)

2014

13. 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 (32)
    See also Journal Article Disentangling systematic and idiosyncratic dynamics in panels of volatility measures, Journal of Econometrics, Elsevier (2014) View citations (33) (2014)

2011

14. Multiplicative Error Models
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (30)

2010

15. 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

16. 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 Intra-daily Volume Modeling and Prediction for Algorithmic Trading, Journal of Financial Econometrics, Oxford University Press (2011) View citations (42) (2011)

2008

17. 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 Comparison of Volatility Measures: a Risk Management Perspective, Journal of Financial Econometrics, Oxford University Press (2010) View citations (108) (2010)

2007

18. 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)
19. 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

20. 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 (90)
    See also Journal Article Financial econometric analysis at ultra-high frequency: Data handling concerns, Computational Statistics & Data Analysis, Elsevier (2006) View citations (166) (2006)

Journal Articles

2024

1. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390 View citations (2)
   See also Working Paper Nonstandard Errors, Post-Print (2024) View citations (2) (2024)

2023

2. Projected Dynamic Conditional Correlations
   International Journal of Forecasting, 2023, 39, (4), 1761-1776

2022

3. Community Detection in Partial Correlation Network Models
   Journal of Business & Economic Statistics, 2022, 40, (1), 216-226 View citations (2)
4. Corporate hedging and the variance of stock returns
   Journal of Corporate Finance, 2022, 72, (C) View citations (2)

2021

5. Backtesting global Growth-at-Risk
   Journal of Monetary Economics, 2021, 118, (C), 312-330 View citations (46)
6. Bank credit risk networks: Evidence from the Eurozone
   Journal of Monetary Economics, 2021, 117, (C), 585-599 View citations (12)
7. Detecting granular time series in large panels
   Journal of Econometrics, 2021, 220, (2), 544-561 View citations (2)
   See also Working Paper Detecting Granular Time Series in Large Panels, Working Papers (2017) View citations (3) (2017)
8. Detecting groups in large vector autoregressions
   Journal of Econometrics, 2021, 225, (1), 2-26 View citations (6)

2020

9. 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 (18)
   See also Working Paper Back to the Future: Backtesting Systemic Risk Measures during Historical Bank Runs and the Great Depression, CEPR Discussion Papers (2017) View citations (6) (2017)
10. On the estimation of integrated volatility in the presence of jumps and microstructure noise
    Econometric Reviews, 2020, 39, (10), 991-1013 View citations (6)

2019

11. Hierarchical GARCH
    Journal of Empirical Finance, 2019, 51, (C), 17-27
12. Impulse Response Estimation by Smooth Local Projections
    The Review of Economics and Statistics, 2019, 101, (3), 522-530 View citations (114)
    See also Working Paper Impulse Response Estimation By Smooth Local Projections, CEPR Discussion Papers (2016) View citations (21) (2016)
13. NETS: Network estimation for time series
    Journal of Applied Econometrics, 2019, 34, (3), 347-364 View citations (69)
    See also Working Paper Nets: network estimation for time series, LSE Research Online Documents on Economics (2018) View citations (3) (2018)

2018

14. EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT
    Annals of Financial Economics (AFE), 2018, 13, (02), 1-25 View citations (3)
15. Realized networks
    Journal of Applied Econometrics, 2018, 33, (7), 986-1006 View citations (10)

2017

16. Credit risk interconnectedness: What does the market really know?
    Journal of Financial Stability, 2017, 29, (C), 1-12 View citations (25)
    See also Working Paper Credit risk interconnectedness: What does the market really know?, Discussion Papers (2016) View citations (1) (2016)
17. SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
    The Review of Financial Studies, 2017, 30, (1), 48-79 View citations (461)
    See also Working Paper SRISK: a conditional capital shortfall measure of systemic risk, ESRB Working Paper Series (2017) View citations (441) (2017)

2014

18. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
    Journal of Econometrics, 2014, 182, (2), 364-384 View citations (33)
    See also Working Paper Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures, Econometrics Working Papers Archive (2014) View citations (32) (2014)

2013

19. 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

20. Intra-daily Volume Modeling and Prediction for Algorithmic Trading
    Journal of Financial Econometrics, 2011, 9, (3), 489-518 View citations (42)
    See also Working Paper Intra-daily Volume Modeling and Prediction for Algorithmic Trading, Econometrics Working Papers Archive (2009) View citations (18) (2009)
21. Shrinkage estimation of semiparametric multiplicative error models
    International Journal of Forecasting, 2011, 27, (2), 365-378 View citations (8)
    Also in International Journal of Forecasting, 2011, 27, (2), 365-378 (2011) View citations (8)

2010

22. Comparison of Volatility Measures: a Risk Management Perspective
    Journal of Financial Econometrics, 2010, 8, (1), 29-56 View citations (108)
    See also Working Paper Comparison of Volatility Measures: a Risk Management Perspective, Econometrics Working Papers Archive (2008) View citations (8) (2008)

2008

23. 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

24. Financial econometric analysis at ultra-high frequency: Data handling concerns
    Computational Statistics & Data Analysis, 2006, 51, (4), 2232-2245 View citations (166)
    See also Working Paper Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns, Econometrics Working Papers Archive (2006) View citations (90) (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 View citations (6)