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Celso Brunetti

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This is information that was supplied by Celso Brunetti in registering through RePEc. If you are Celso Brunetti , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Celso
Middle Name:
Last Name: Brunetti
Suffix:

RePEc Short-ID: pbr67

Email:
Homepage: https://jshare.johnshopkins.edu/myweb/celsob
Postal Address: Federal Reserve Board
Phone: 202 542 3134

Affiliation

(34%) Carey Business School
Johns Hopkins University
Location: Baltimore, Maryland (United States)
Homepage: http://www.carey.jhu.edu/
Email:
Phone:
Fax:
Postal:
Handle: RePEc:edi:bsjhuus (more details at EDIRC)
(33%) Commodity Futures Trading Commission (CFTC)
Government of the United States
Location: Washington, District of Columbia (United States)
Homepage: http://www.cftc.gov/
Email:
Phone: (202) 418-5000
Fax: (202) 418-5521
Postal: Three Lafayette Centre, 1155 21st Street, NW, Washington DC 20581
Handle: RePEc:edi:cftgvus (more details at EDIRC)
(33%) Federal Reserve Board (Board of Governors of the Federal Reserve System)
Location: Washington, District of Columbia (United States)
Homepage: http://www.federalreserve.gov/
Email:
Phone:
Fax:
Postal: 20th Street and Constitution Avenue, NW, Washington, DC 20551
Handle: RePEc:edi:frbgvus (more details at EDIRC)

Works

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Working papers

  1. Gaetano Antinolfi & Celso Brunetti, 2013. "Economic volatility and financial markets: the case of mortgage-backed securities," Finance and Economics Discussion Series 2013-42, Board of Governors of the Federal Reserve System (U.S.).
  2. Celso Brunetti & David Reiffen, 2011. "Commodity index trading and hedging costs," Finance and Economics Discussion Series 2011-57, Board of Governors of the Federal Reserve System (U.S.).
  3. Celso Brunetti & Roberto S. Mariano & Chiara Scotti & Augustine H.H. Tan, 2007. "Markov switching GARCH models of currency turmoil in southeast Asia," International Finance Discussion Papers 889, Board of Governors of the Federal Reserve System (U.S.).
  4. Alessio Caldarera & Celso Brunetti, 2005. "Asset Prices and Asset Correlations in Illiquid Markets," 2005 Meeting Papers 288, Society for Economic Dynamics.
  5. Celso Brunetti & Roberto S. Mariano & Chiara Scotti & Augustine H. H. Tan, 2003. "Markov Switching Garch Models of Currency Crises in Southeast Asia," PIER Working Paper Archive 03-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  6. Celso Brunetti & Christopher L. Gilbert, 1999. "Bivariate FIGARCH and Fractional Cointegration," Working Papers 408, Queen Mary, University of London, School of Economics and Finance.

Articles

  1. Celso Brunetti & Mario di Filippo & Jeffrey H. Harris, 2011. "Effects of Central Bank Intervention on the Interbank Market During the Subprime Crisis," Review of Financial Studies, Society for Financial Studies, vol. 24(6), pages 2053-2083.
  2. Brunetti, Celso & Scotti, Chiara & Mariano, Roberto S. & Tan, Augustine H.H., 2008. "Markov switching GARCH models of currency turmoil in Southeast Asia," Emerging Markets Review, Elsevier, vol. 9(2), pages 104-128, June.
  3. Brunetti, Celso & Gilbert, Christopher L., 2000. "Bivariate FIGARCH and fractional cointegration," Journal of Empirical Finance, Elsevier, vol. 7(5), pages 509-530, December.
  4. Brunetti, Celso & Gilbert, Christopher L., 1995. "Metals price volatility, 1972-1995," Resources Policy, Elsevier, vol. 21(4), pages 237-254, December.

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2006-07-16
  2. NEP-ECM: Econometrics (2) 2000-01-07 2007-04-28. Author is listed
  3. NEP-ETS: Econometric Time Series (2) 2000-01-07 2007-04-28. Author is listed
  4. NEP-FIN: Finance (1) 2006-07-15
  5. NEP-IFN: International Finance (1) 2007-04-28
  6. NEP-MAC: Macroeconomics (1) 2007-04-28
  7. NEP-RMG: Risk Management (1) 2007-04-28

Statistics

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Co-authorship network on CollEc

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