Christian Brownlees
Christian Brownlees
Associate Professor, Universitat Pompeu Fabra
Verified email at upf.edu - Homepage
Title
Cited by
Cited by
Year
SRISK: A conditional capital shortfall measure of systemic risk
C Brownlees, RF Engle
The Review of Financial Studies 30 (1), 48-79, 2016
1328*2016
Financial econometric analysis at ultra-high frequency: Data handling concerns
CT Brownlees, GM Gallo
Computational Statistics & Data Analysis 51 (4), 2232-2245, 2006
2982006
Comparison of volatility measures: a risk management perspective
CT Brownlees, GM Gallo
Journal of Financial Econometrics 8 (1), 29-56, 2010
1822010
A practical guide to volatility forecasting through calm and storm
C Brownlees, R Engle, B Kelly
Journal of Risk 14 (2), 3, 2012
1592012
Nets: Network estimation for time series
M Barigozzi, C Brownlees
Journal of Applied Econometrics, 2013
1392013
Intra-daily volume modeling and prediction for algorithmic trading
CT Brownlees, F Cipollini, GM Gallo
Journal of Financial Econometrics 9 (3), 489-518, 2011
932011
Empirical risk minimization for heavy-tailed losses
C Brownlees, E Joly, G Lugosi
The Annals of Statistics 43 (6), 2507-2536, 2015
822015
Impulse response estimation by smooth local projections
R Barnichon, C Brownlees
Review of Economics and Statistics 101 (3), 522-530, 2019
702019
Multiplicative error models
CT Brownlees, F Cipollini, GM Gallo
Handbook of Volatility Models and Their Applications. New Jersey: Wiley, 2012
652012
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
M Barigozzi, C Brownlees, GM Gallo, D Veredas
Journal of econometrics 182 (2), 364-384, 2014
46*2014
On variable selection for volatility forecasting: The role of focused selection criteria
CT Brownlees, GM Gallo
Journal of Financial Econometrics 6 (4), 513-539, 2008
292008
Shrinkage estimation of semiparametric multiplicative error models
CT Brownlees, GM Gallo
International Journal of Forecasting 27 (2), 365-378, 2011
252011
Realized networks
C Brownlees, E Nualart, Y Sun
Journal of Applied Econometrics 33 (7), 986-1006, 2018
232018
Credit risk interconnectedness: What does the market really know?
P Abbassi, C Brownlees, C Hans, N Podlich
Journal of Financial Stability 29, 1-12, 2017
202017
Back to the future: backtesting systemic risk measures during historical bank runs and the Great Depression
CT Brownlees, BR Chabot, E Ghysels, CJ Kurz
CEPR Discussion Paper No. DP12178, 2017
112017
Hierarchical GARCH
CT Brownlees
Available at SSRN 1695649, 2015
11*2015
A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series
CT Brownlees, M Vannucci
Studies in Nonlinear Dynamics & Econometrics 17 (1), 21-46, 2013
10*2013
Community Detection in Partial Correlation Network Models
CT Brownlees, GS Gudmundsson, G Lugosi
Available at SSRN, 2016
7*2016
Detecting granular time series in large panels
C Brownlees, G Mesters
Journal of Econometrics, 2020
52020
A Truncated Two-Scales Realized Volatility Estimator
CT Brownlees, E Nualart, Y Sun
Available at SSRN, 2016
22016
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