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Publications

by members of

Government of the United States → Commodity Futures Trading Commission (CFTC)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2026

  1. Celso Brunetti & Jeffrey H. Harris & Ioannis Spyridopoulos, 2026, "Does Banking Consolidation Harm Households?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2026-027, May, DOI: 10.17016/FEDS.2026.027.
  2. Celso Brunetti & Christoph Frei, 2026, "Bank Regulation and the Rise of Nonbank Intermediation," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2026-030, May, DOI: 10.17016/FEDS.2026.030.

2025

  1. Todd Prono, 2025, "When Tails Are Heavy: The Benefits of Variance-Targeted, Non-Gaussian, Quasi-Maximum Likelihood Estimation of GARCH Models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2025-075, Aug, DOI: 10.17016/FEDS.2025.075.

2024

  1. Celso Brunetti & Matthew Carl & Jacob Gerszten & Chiara Scotti & Chaehee Shin, 2024, "Interconnectedness in the Corporate Bond Market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2024-066, Aug, DOI: 10.17016/FEDS.2024.066.

2023

  1. Celso Brunetti & Marc Joëts & Valérie Mignon, 2023, "Reasons Behind Words: OPEC Narratives and the Oil Market," Working Papers, CEPII research center, number 2023-19, Sep.
  2. Celso Brunetti & Nathan Foley-Fisher & Stéphane Verani, 2023, "Measuring Interest Rate Risk Management by Financial Institutions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2023-067, Oct, DOI: 10.17016/FEDS.2023.067.
  3. Celso Brunetti & Benjamin Dennis & Gurubala Kotta & Adam Smith, 2023, "Analyzing State Resilience to Weather and Climate Disasters," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2023-09-07, Sep, DOI: 10.17016/2380-7172.3342.

2022

  1. Celso Brunetti & John Caramichael & Matteo Crosignani & Benjamin Dennis & Gurubala Kotta & Donald P. Morgan & Chaehee Shin & Ilknur Zer, 2022, "Climate-related Financial Stability Risks for the United States: Methods and Applications," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2022-043, Jul, DOI: 10.17016/FEDS.2022.043.
  2. Valérie Mignon & Celso Brunetti & Marc Joëts, 2022, "Reasons Behind Words: Cause and Consequences of OPEC Narratives," Post-Print, HAL, number hal-04435783.

2021

  1. Celso Brunetti & Jeffrey H. Harris & Shawn Mankad, 2021, "Liquidity Networks, Interconnectedness, and Interbank Information Asymmetry," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-017, Mar, DOI: 10.17016/FEDS.2021.017.
  2. Celso Brunetti & Benjamin Dennis & Dylan Gates & Diana Hancock & David Ignell & Elizabeth K. Kiser & Gurubala Kotta & Anna Kovner & Richard J. Rosen & Nicholas K. Tabor, 2021, "Climate Change and Financial Stability," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2021-03-19-3, Mar, DOI: 10.17016/2380-7172.2893.

2020

  1. Thomas B. King & Travis D. Nesmith & Anna L. Paulson & Todd Prono, 2020, "Central Clearing and Systemic Liquidity Risk," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2020-009r1, Jan, revised 06 May 2022, DOI: 10.17016/FEDS.2020.009r1.

2019

  1. Todd Prono, 2019, "When Simplicity Offers a Benefit, Not a Cost: Closed-Form Estimation of the GARCH(1,1) Model that Enhances the Efficiency of Quasi-Maximum Likelihood," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-030, May, DOI: 10.17016/FEDS.2019.030.

2018

  1. Celso Brunetti & Jeffrey H. Harris & Shawn Mankad, 2018, "Bank Holdings and Systemic Risk," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2018-063, Sep, DOI: 10.17016/FEDS.2018.063.
  2. Andrew Phin & Todd Prono & Jonathan J. Reeves & Konark Saxena, 2018, "Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2018-081, Nov, DOI: 10.17016/FEDS.2018.081.

2017

  1. Celso Brunetti & Agostino Capponi & Christoph Frei, 2017, "Managing Counterparty Risk in OTC Markets," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-083, Aug, DOI: 10.17016/FEDS.2017.083r1.
  2. Esen Onur & John S. Roberts & Tugkan Tuzun, 2017, "Trader Positions and Marketwide Liquidity Demand," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-103, Oct, DOI: 10.17016/FEDS.2017.103.
  3. Todd Prono, 2017, "Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-095, Sep, DOI: 10.17016/FEDS.2017.095.

2016

  1. Todd Prono, 2016, "Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-083, Oct, DOI: 10.17016/FEDS.2016.083r1.

2015

  1. Celso Brunetti & Bahattin Buyuksahin & Jeffrey H. Harris, 2015, "Speculators, Prices and Market Volatility," Staff Working Papers, Bank of Canada, number 15-42, DOI: 10.34989/swp-2015-42.
  2. Celso Brunetti & Jeffrey H. Harris & Shawn Mankad & George Michailidis, 2015, "Interconnectedness in the Interbank Market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-90, Sep, DOI: 10.17016/FEDS.2015.090.

2013

  1. Gaetano Antinolfi & Celso Brunetti, 2013, "Economic volatility and financial markets: the case of mortgage-backed securities," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2013-42.

2011

  1. Celso Brunetti & David Reiffen, 2011, "Commodity index trading and hedging costs," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2011-57.
  2. Onur, Esen, 2011, "How much you know matters: A note on the exchange rate disconnect puzzle," MPRA Paper, University Library of Munich, Germany, number 32772.
  3. Prono, Todd, 2011, "When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models," MPRA Paper, University Library of Munich, Germany, number 33593, Sep.

2010

  1. Todd, Prono, 2010, "Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper, University Library of Munich, Germany, number 20034, Jan.

2009

  1. Todd Prono, 2009, "Market proxies, correlation, and relative mean-variance efficiency: still living with the roll critique," Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston, number QAU09-3.
  2. Todd, Prono, 2009, "Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper, University Library of Munich, Germany, number 30994, Nov, revised 30 Jul 2011.

2008

  1. Todd Prono, 2008, "GARCH-based identification and estimation of triangular systems," Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston, number QAU08-4.

2007

  1. 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, Board of Governors of the Federal Reserve System (U.S.), number 889.
  2. Ethan Cohen-Cole & Todd Prono, 2007, "Loss distribution estimation, external data and model averaging," Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston, number QAU07-8.

2006

  1. Todd Prono, 2006, "GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique," Working Papers, Federal Reserve Bank of Boston, number 07-1.

2005

  1. Alessio Caldarera & Celso Brunetti, 2005, "Asset Prices and Asset Correlations in Illiquid Markets," 2005 Meeting Papers, Society for Economic Dynamics, number 288.

2003

  1. 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, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 03-008, Mar.

1999

  1. Celso Brunetti & Christopher L. Gilbert, 1999, "Bivariate FIGARCH and Fractional Cointegration," Working Papers, Queen Mary University of London, School of Economics and Finance, number 408, Dec.

1998

  1. C. Brunetti & C.L. Gilbert, 1998, "A Bivariate FIGARCH Model of Crude Oil Price Volatility," Working Papers, Queen Mary University of London, School of Economics and Finance, number 390, Jul.

1996

  1. C. Brunetti & C.L. Gilbert, 1996, "Are Metals Prices Becoming More Volatile?," Working Papers, Queen Mary University of London, School of Economics and Finance, number 347, Jul.

Journal articles

2026

  1. Jeffrey H. Harris & Ioannis Spyridopoulos & Morad Zekhnini & Celso Brunetti, 2026, "The Role of Networks in Loan Syndicate Markets," Management Science, INFORMS, volume 72, issue 6, pages 5463-5489, June, DOI: 10.1287/mnsc.2024.06313.

2024

  1. Celso Brunetti & Matteo Crosignani & Benjamin Dennis & Gurubala Kotta & Donald P. Morgan & Chaehee Shin & Ilknur Zer, 2024, "Climate-Related Financial Stability Risks for the United States: Methods and Applications," Economic Policy Review, Federal Reserve Bank of New York, volume 30, issue 1, pages 1-37, October, DOI: 10.59576/epr.30.1.1-37.
  2. Celso Brunetti & Jeffrey H. Harris & Bahattin Büyükşahin, 2024, "Crude Oil Price Movements and Institutional Traders," Commodities, MDPI, volume 3, issue 1, pages 1-23, February.
  3. Pankaj K. Jain & Ayla Kayhan & Esen Onur, 2024, "Determinants of commodity market liquidity," The Financial Review, Eastern Finance Association, volume 59, issue 1, pages 9-30, February, DOI: 10.1111/fire.12366.
  4. Onur, Esen & Reiffen, David & Sharma, Rajiv, 2024, "The impact of margin requirements on voluntary clearing decisions," Journal of Financial Markets, Elsevier, volume 68, issue C, DOI: 10.1016/j.finmar.2024.100892.
  5. Eleni Gousgounis & Esen Onur, 2024, "The end of an era: Who paid the price when the livestock futures pits closed?," American Journal of Agricultural Economics, John Wiley & Sons, volume 106, issue 3, pages 1111-1140, May, DOI: 10.1111/ajae.12443.

2023

  1. Brunetti, Celso & Harris, Jeffrey H. & Mankad, Shawn, 2023, "Networks, interconnectedness, and interbank information asymmetry," Journal of Financial Stability, Elsevier, volume 67, issue C, DOI: 10.1016/j.jfs.2023.101163.
  2. Onur, Esen & Reiffen, David & Sharma, Rajiv, 2023, "The effect of the last two phases of the uncleared margin rule on participant swap decisions," Journal of Securities Operations & Custody, Henry Stewart Publications, volume 15, issue 3, pages 228-237, June.
  3. Ferko, Alex & Moin, Amani & Onur, Esen & Penick, Michael, 2023, "Who trades bitcoin futures and why?," Global Finance Journal, Elsevier, volume 55, issue C, DOI: 10.1016/j.gfj.2022.100778.
  4. Onur, Esen & Roberts, John S. & Tuzun, Tugkan, 2023, "Trader positions and aggregate portfolio demand," The Journal of Economic Asymmetries, Elsevier, volume 27, issue C, DOI: 10.1016/j.jeca.2022.e00288.

2022

  1. Frei, Christoph & Capponi, Agostino & Brunetti, Celso, 2022, "Counterparty Risk in Over-the-Counter Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 57, issue 3, pages 1058-1082, May.
  2. Brunetti, Celso & Harris, Jeffrey H. & Mankad, Shawn, 2022, "The urgency to borrow in the interbank market," Economics Letters, Elsevier, volume 221, issue C, DOI: 10.1016/j.econlet.2022.110900.
  3. Brunetti, Celso & Harris, Jeffrey H. & Mankad, Shawn, 2022, "Sidedness in the interbank market," Journal of Financial Markets, Elsevier, volume 59, issue PA, DOI: 10.1016/j.finmar.2021.100663.
  4. Raymond P. H. Fishe & Richard Haynes & Esen Onur, 2022, "Resiliency in the E‐mini futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 42, issue 1, pages 5-23, January, DOI: 10.1002/fut.22259.

2020

  1. Aït-Sahalia, Yacine & Brunetti, Celso, 2020, "High frequency traders and the price process," Journal of Econometrics, Elsevier, volume 217, issue 1, pages 20-45, DOI: 10.1016/j.jeconom.2019.11.005.
  2. Riggs, Lynn & Onur, Esen & Reiffen, David & Zhu, Haoxiang, 2020, "Swap trading after Dodd-Frank: Evidence from index CDS," Journal of Financial Economics, Elsevier, volume 137, issue 3, pages 857-886, DOI: 10.1016/j.jfineco.2020.03.008.
  3. Haynes, Richard & Onur, Esen, 2020, "Precedence rules in matching algorithms," Journal of Commodity Markets, Elsevier, volume 19, issue C, DOI: 10.1016/j.jcomm.2019.100109.

2019

  1. Brunetti, Celso & Harris, Jeffrey H. & Mankad, Shawn & Michailidis, George, 2019, "Interconnectedness in the interbank market," Journal of Financial Economics, Elsevier, volume 133, issue 2, pages 520-538, DOI: 10.1016/j.jfineco.2019.02.006.
  2. Gaetano Antinolfi & Celso Brunetti, 2019, "Economic volatility and financial markets: The case of mortgage‐backed securities," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 28, issue 2, pages 85-113, May, DOI: 10.1111/fmii.12107.
  3. Fishe, Raymond P. H. & Haynes, Richard & Onur, Esen, 2019, "Anticipatory Traders and Trading Speed," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 54, issue 2, pages 729-758, April.
  4. Scott Mixon & Esen Onur, 2019, "Derivatives pricing when supply and demand matter: Evidence from the term structure of VIX futures," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 39, issue 9, pages 1035-1055, September, DOI: 10.1002/fut.22035.

2018

  1. Mixon, Scott & Onur, Esen & Riggs, Lynn, 2018, "Integrating swaps and futures: A new direction for commodity research," Journal of Commodity Markets, Elsevier, volume 10, issue C, pages 3-21, DOI: 10.1016/j.jcomm.2017.06.001.
  2. Gousgounis, Eleni & Onur, Esen, 2018, "The effect of pit closure on futures trading," Journal of Commodity Markets, Elsevier, volume 10, issue C, pages 69-90, DOI: 10.1016/j.jcomm.2017.11.002.
  3. Steve Y. Yang & Esen Onur, 2018, "Interest Rate Swap Market Complexity and Its Risk Management Implications," Complexity, Hindawi, volume 2018, pages 1-20, October, DOI: 10.1155/2018/5470305.
  4. Esen Onur & David Reiffen, 2018, "The effect of settlement rules on the incentive to Bang the Close," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 38, issue 8, pages 841-864, August, DOI: 10.1002/fut.21915.

2017

  1. Lada Adamic & Celso Brunetti & Jeffrey H. Harris & Andrei Kirilenko, 2017, "Trading networks," Econometrics Journal, Royal Economic Society, volume 20, issue 3, pages 126-149, October.

2016

  1. Brunetti, Celso & Büyükşahin, Bahattin & Harris, Jeffrey H., 2016, "Speculators, Prices, and Market Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 51, issue 5, pages 1545-1574, October.

2015

  1. Levent Celik & Esen Onur, 2015, "Determination of Odds in Prediction Markets: Coexistence of Posted-offer and Double-auction Designs," Journal of Prediction Markets, University of Buckingham Press, volume 9, issue 1, pages 68-86.
  2. Prono, Todd, 2015, "Market proxies as factors in linear asset pricing models: Still living with the roll critique," Journal of Empirical Finance, Elsevier, volume 31, issue C, pages 36-53, DOI: 10.1016/j.jempfin.2015.02.001.

2014

  1. Brunetti, Celso & Reiffen, David, 2014, "Commodity index trading and hedging costs," Journal of Financial Markets, Elsevier, volume 21, issue C, pages 153-180, DOI: 10.1016/j.finmar.2014.08.001.
  2. Todd Prono, 2014, "The Role Of Conditional Heteroskedasticity In Identifying And Estimating Linear Triangular Systems, With Applications To Asset Pricing Models That Include A Mismeasured Factor," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 29, issue 5, pages 800-824, August.

2013

  1. Celso Brunetti & Bahattin Bykahin & Jeffrey H. Harris, 2013, "Herding and Speculation in the Crude Oil Market," The Energy Journal, , volume 34, issue 3, pages 83-104, July, DOI: 10.5547/01956574.34.3.5.
  2. Celso Brunetti & Bahattin Buyukgahin & Michel A. Robe & Kirsten R. Soneson, 2013, "OPEC “Fair Price†Pronouncements and the Market Price of Crude Oil," The Energy Journal, , volume 34, issue 4, pages 79-108, October, DOI: 10.5547/01956574.34.4.5.

2011

  1. Celso Brunetti & Mario di Filippo & Jeffrey H. Harris, 2011, "Effects of Central Bank Intervention on the Interbank Market During the Subprime Crisis," The Review of Financial Studies, Society for Financial Studies, volume 24, issue 6, pages 2053-2083.

2008

  1. 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, volume 9, issue 2, pages 104-128, June.
  2. Esen Onur, 2008, "The role of asymmetric information among investors in the foreign exchange market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 13, issue 4, pages 368-385, DOI: 10.1002/ijfe.367.

2000

  1. Brunetti, Celso & Gilbert, Christopher L., 2000, "Bivariate FIGARCH and fractional cointegration," Journal of Empirical Finance, Elsevier, volume 7, issue 5, pages 509-530, December.

1995

  1. Brunetti, Celso & Gilbert, Christopher L., 1995, "Metals price volatility, 1972-1995," Resources Policy, Elsevier, volume 21, issue 4, pages 237-254, December.

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