Christian Brownlees
Christian Brownlees
Associate Professor, Universitat Pompeu Fabra
Verified email at - Homepage
Cited by
Cited by
SRISK: A conditional capital shortfall measure of systemic risk
C Brownlees, RF Engle
The Review of Financial Studies 30 (1), 48-79, 2016
Financial econometric analysis at ultra-high frequency: Data handling concerns
CT Brownlees, GM Gallo
Computational statistics & data analysis 51 (4), 2232-2245, 2006
Comparison of volatility measures: a risk management perspective
CT Brownlees, GM Gallo
Journal of Financial Econometrics 8 (1), 29-56, 2010
A practical guide to volatility forecasting through calm and storm
C Brownlees, R Engle, B Kelly
Journal of Risk 14 (2), 3, 2012
Nets: Network estimation for time series
M Barigozzi, C Brownlees
Journal of Applied Econometrics, 2013
Empirical risk minimization for heavy-tailed losses
C Brownlees, E Joly, G Lugosi
The Annals of Statistics 43 (6), 2507-2536, 2015
Intra-daily volume modeling and prediction for algorithmic trading
CT Brownlees, F Cipollini, GM Gallo
Journal of Financial Econometrics 9 (3), 489-518, 2011
Impulse response estimation by smooth local projections
R Barnichon, C Brownlees
Review of Economics and Statistics 101 (3), 522-530, 2019
Multiplicative error models
CT Brownlees, F Cipollini, GM Gallo
Handbook of Volatility Models and Their Applications. New Jersey: Wiley, 2012
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
Realized networks
C Brownlees, E Nualart, Y Sun
Journal of Applied Econometrics 33 (7), 986-1006, 2018
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
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
Shrinkage estimation of semiparametric multiplicative error models
CT Brownlees, GM Gallo
International Journal of Forecasting 27 (2), 365-378, 2011
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
Hierarchical GARCH
CT Brownlees
Available at SSRN 1695649, 2015
Community Detection in Partial Correlation Network Models
CT Brownlees, GS Gudmundsson, G Lugosi
Available at SSRN, 2016
A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series
CT Brownlees, M Vannucci
Studies in Nonlinear Dynamics and Econometrics 17 (1), 21-46, 2013
Detecting granular time series in large panels
C Brownlees, G Mesters
Journal of Econometrics 220 (2), 544-561, 2021
A Truncated Two-Scales Realized Volatility Estimator
CT Brownlees, E Nualart, Y Sun
Available at SSRN, 2016
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