Personal Details
First Name: Christian
Middle Name: Timothy
Last Name: Brownlees
Suffix:
RePEc Short-ID: pbr121
Email:
Homepage:
http://pages.stern.nyu.edu/~cbrownle/
Postal Address:
Phone:
Affiliation
(in no particular order)
Works
| Working papers | Articles | Access
and download statistics | Citations (if
any)| NEP Fields |
Download all references for this author: available formats: HTML
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Working papers
- 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!]
- 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!]
- 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!]
- 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:
Articles
- 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)
- 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:
NEP Fields
4 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
- NEP-ECM: Econometrics (4) 2007-01-28 2007-06-11 2008-05-17 2008-05-17 Author is listed
- NEP-ETS: Econometric Time Series (3) 2007-01-28 2007-06-11 2008-05-17 Author is listed
- NEP-FMK: Financial Markets (2) 2008-05-17 2008-05-17 Author is listed
- NEP-FOR: Forecasting (3) 2007-06-11 2008-05-17 2008-05-17 Author is listed
- NEP-MST: Market Microstructure (2) 2007-01-28 2008-05-17 Author is listed
- NEP-RMG: Risk Management (2) 2008-05-17 2008-05-17 Author is listed
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This page was last updated on 2009-10-27.
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