EconPapers    
Economics at your fingertips  
 

Details about Celso Brunetti

E-mail:
Homepage:http://www.federalreserve.gov/econresdata/celso-brunetti.htm
Phone:202 542 3134
Postal address:Federal Reserve Board
Workplace:Carey Business School, Johns Hopkins University, (more information at EDIRC)
Commodity Futures Trading Commission (CFTC), Government of the United States, (more information at EDIRC)
Federal Reserve Board (Board of Governors of the Federal Reserve System), (more information at EDIRC)

Access statistics for papers by Celso Brunetti.

Last updated 2019-03-18. Update your information in the RePEc Author Service.

Short-id: pbr67


Jump to Journal Articles

Working Papers

2018

  1. Managing Counterparty Risk in OTC Markets
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (US) Downloads

2015

  1. Interconnectedness in the Interbank Market
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (US) Downloads View citations (7)
  2. Speculators, Prices and Market Volatility
    Staff Working Papers, Bank of Canada Downloads View citations (4)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2016)

2013

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

2011

  1. Commodity index trading and hedging costs
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (US) Downloads View citations (12)
    See also Journal Article in Journal of Financial Markets (2014)

2007

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

2006

  1. Asset Prices and asset Correlations in Illiquid Markets
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads View citations (5)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) Downloads

2003

  1. 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 Downloads View citations (8)

1999

  1. Bivariate FIGARCH and Fractional Cointegration
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (3)
    See also Journal Article in Journal of Empirical Finance (2000)

Journal Articles

2017

  1. Trading networks
    Econometrics Journal, 2017, 20, (3), S126-S149 Downloads

2016

  1. Speculators, Prices, and Market Volatility
    Journal of Financial and Quantitative Analysis, 2016, 51, (05), 1545-1574 Downloads View citations (12)
    See also Working Paper (2015)

2014

  1. Commodity index trading and hedging costs
    Journal of Financial Markets, 2014, 21, (C), 153-180 Downloads View citations (18)
    See also Working Paper (2011)

2013

  1. Herding and Speculation in the Crude Oil Market
    The Energy Journal, 2013, Volume 34, (Number 3) Downloads View citations (4)
  2. OPEC "Fair Price" Pronouncements and the Market Price of Crude Oil
    The Energy Journal, 2013, Volume 34, (Number 4) Downloads View citations (2)

2011

  1. Effects of Central Bank Intervention on the Interbank Market During the Subprime Crisis
    Review of Financial Studies, 2011, 24, (6), 2053-2083 Downloads View citations (58)

2008

  1. Markov switching GARCH models of currency turmoil in Southeast Asia
    Emerging Markets Review, 2008, 9, (2), 104-128 Downloads View citations (13)
    See also Working Paper (2007)

2000

  1. Bivariate FIGARCH and fractional cointegration
    Journal of Empirical Finance, 2000, 7, (5), 509-530 Downloads View citations (55)
    See also Working Paper (1999)

1995

  1. Metals price volatility, 1972-1995
    Resources Policy, 1995, 21, (4), 237-254 Downloads View citations (24)
 
Page updated 2019-10-18