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
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Working Papers
2022
- 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
- Climate Change and Financial Stability
FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (6)
- Liquidity Networks, Interconnectedness, and Interbank Information Asymmetry
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
2018
- Bank Holdings and Systemic Risk
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
2017
- Managing Counterparty Risk in OTC Markets
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
2015
- 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)
- 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
- 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
- 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
- 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
- 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
- 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
- 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
- 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
- Are Metals Prices Becoming More Volatile?
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (4)
Journal Articles
2022
- Counterparty Risk in Over-the-Counter Markets
Journal of Financial and Quantitative Analysis, 2022, 57, (3), 1058-1082
- Sidedness in the interbank market
Journal of Financial Markets, 2022, 59, (PA) View citations (1)
- The urgency to borrow in the interbank market
Economics Letters, 2022, 221, (C)
2020
- High frequency traders and the price process
Journal of Econometrics, 2020, 217, (1), 20-45 View citations (1)
2019
- Interconnectedness in the interbank market
Journal of Financial Economics, 2019, 133, (2), 520-538 View citations (51)
See also Working Paper (2015)
2017
- Trading networks
Econometrics Journal, 2017, 20, (3), S126-S149 View citations (9)
2016
- 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
- Commodity index trading and hedging costs
Journal of Financial Markets, 2014, 21, (C), 153-180 View citations (39)
See also Working Paper (2011)
2013
- Herding and Speculation in the Crude Oil Market
The Energy Journal, 2013, Volume 34, (Number 3) View citations (8)
- OPEC "Fair Price" Pronouncements and the Market Price of Crude Oil
The Energy Journal, 2013, Volume 34, (Number 4) View citations (4)
2011
- 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
- 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
- Bivariate FIGARCH and fractional cointegration
Journal of Empirical Finance, 2000, 7, (5), 509-530 View citations (66)
See also Working Paper (1999)
1995
- Metals price volatility, 1972-1995
Resources Policy, 1995, 21, (4), 237-254 View citations (32)
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