Details about Celso Brunetti

Access statistics for papers by Celso Brunetti.

Last updated 2023-06-08. Update your information in the RePEc Author Service.

Short-id: pbr67

Working Papers

2022

1. Climate-related Financial Stability Risks for the United States: Methods and Applications
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)

2021

2. Climate Change and Financial Stability
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (6)
3. Liquidity Networks, Interconnectedness, and Interbank Information Asymmetry
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2018

4. Bank Holdings and Systemic Risk
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)

2017

5. Managing Counterparty Risk in OTC Markets
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2015

6. Interconnectedness in the Interbank Market
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (12)
   See also Journal Article in Journal of Financial Economics (2019)
7. Speculators, Prices and Market Volatility
   Staff Working Papers, Bank of Canada View citations (13)
   See also Journal Article in Journal of Financial and Quantitative Analysis (2016)

2013

8. Economic volatility and financial markets: the case of mortgage-backed securities
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2011

9. Commodity index trading and hedging costs
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (13)
   See also Journal Article in Journal of Financial Markets (2014)

2007

10. Markov switching GARCH models of currency turmoil in southeast Asia
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (11)
    See also Journal Article in Emerging Markets Review (2008)

2006

11. Asset Prices and asset Correlations in Illiquid Markets
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (10)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) View citations (1)

2003

12. Markov Switching Garch Models of Currency Crises in Southeast Asia
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (9)

1999

13. Bivariate FIGARCH and Fractional Cointegration
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
    See also Journal Article in Journal of Empirical Finance (2000)

1998

14. A Bivariate FIGARCH Model of Crude Oil Price Volatility
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)

1996

15. Are Metals Prices Becoming More Volatile?
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (4)

Journal Articles

2022

1. Counterparty Risk in Over-the-Counter Markets
   Journal of Financial and Quantitative Analysis, 2022, 57, (3), 1058-1082
2. Sidedness in the interbank market
   Journal of Financial Markets, 2022, 59, (PA) View citations (1)
3. The urgency to borrow in the interbank market
   Economics Letters, 2022, 221, (C)

2020

4. High frequency traders and the price process
   Journal of Econometrics, 2020, 217, (1), 20-45 View citations (1)

2019

5. Interconnectedness in the interbank market
   Journal of Financial Economics, 2019, 133, (2), 520-538 View citations (51)
   See also Working Paper (2015)

2017

6. Trading networks
   Econometrics Journal, 2017, 20, (3), S126-S149 View citations (9)

2016

7. Speculators, Prices, and Market Volatility
   Journal of Financial and Quantitative Analysis, 2016, 51, (5), 1545-1574 View citations (56)
   See also Working Paper (2015)

2014

8. Commodity index trading and hedging costs
   Journal of Financial Markets, 2014, 21, (C), 153-180 View citations (39)
   See also Working Paper (2011)

2013

9. Herding and Speculation in the Crude Oil Market
   The Energy Journal, 2013, Volume 34, (Number 3) View citations (8)
10. OPEC "Fair Price" Pronouncements and the Market Price of Crude Oil
    The Energy Journal, 2013, Volume 34, (Number 4) View citations (4)

2011

11. Effects of Central Bank Intervention on the Interbank Market During the Subprime Crisis
    Review of Financial Studies, 2011, 24, (6), 2053-2083 View citations (79)

2008

12. Markov switching GARCH models of currency turmoil in Southeast Asia
    Emerging Markets Review, 2008, 9, (2), 104-128 View citations (24)
    See also Working Paper (2007)

2000

13. Bivariate FIGARCH and fractional cointegration
    Journal of Empirical Finance, 2000, 7, (5), 509-530 View citations (66)
    See also Working Paper (1999)

1995

14. Metals price volatility, 1972-1995
    Resources Policy, 1995, 21, (4), 237-254 View citations (32)