Information about:
Christian Timothy Brownlees

Other registered authors

Email:
Homepage: http://pages.stern.nyu.edu/~cbrownle/
Postal Address:
Phone:

Affiliation

• Dipartimento di Statistica "G. Parenti" (Department of Statistics)
  Università degli Studi di Firenze

  Location: Firenze, Italy
  Homepage: http://www.ds.unifi.it/
  Email:
  Phone: +39 055 4237 217
  Fax: +39 055 4223560
  Postal: Viale G.B. Morgagni 59, 50134 Firenze
  Handle: RePEc:edi:dsfirit (registered authors at this institution)

• Finance Department
  Stern School of Business
  New York University

  Location: New York City, New York (United States)
  Homepage: http://w4.stern.nyu.edu/finance/
  Email:
  Phone:
  Fax:
  Postal: 44 West Fourth Street, New York, NY 10012
  Handle: RePEc:edi:fdnyuus (registered authors at this institution)

Working papers

1. Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

2. Christian T. Brownlees & Giampiero Gallo, 2007. "Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria," Econometrics Working Papers Archive wp2007_04, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

3. Christian T. Brownlees & Giampiero Gallo, 2007. "Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria," Econometrics Working Papers Archive wp2007_02, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

4. Christian T. Brownlees & Giampiero Gallo, 2006. "Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns," Econometrics Working Papers Archive wp2006_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
   Published as:
   • Brownlees, C.T. & Gallo, G.M., 2006. "Financial econometric analysis at ultra-high frequency: Data handling concerns," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2232-2245, December. [Downloadable!] (restricted)

1. Christian T. Brownlees, 2008. "On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 513-539, Fall. [Downloadable!] (restricted)

2. Brownlees, C.T. & Gallo, G.M., 2006. "Financial econometric analysis at ultra-high frequency: Data handling concerns," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2232-2245, December. [Downloadable!] (restricted)
   Other versions:
   • Christian T. Brownlees & Giampiero Gallo, 2006. "Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns," Econometrics Working Papers Archive wp2006_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]

1. NEP-ECM: Econometrics (4) 2007-01-28 2007-06-11 2008-05-17 2008-05-17 Author is listed
2. NEP-ETS: Econometric Time Series (3) 2007-01-28 2007-06-11 2008-05-17 Author is listed
3. NEP-FMK: Financial Markets (2) 2008-05-17 2008-05-17 Author is listed
4. NEP-FOR: Forecasting (3) 2007-06-11 2008-05-17 2008-05-17 Author is listed
5. NEP-MST: Market Microstructure (2) 2007-01-28 2008-05-17 Author is listed
6. NEP-RMG: Risk Management (2) 2008-05-17 2008-05-17 Author is listed

This page was last updated on 2009-10-27.