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Christian T. Brownlees

This is information that was supplied by Christian Brownlees in registering through RePEc. If you are Christian T. Brownlees, 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:Christian
Middle Name:T.
Last Name:Brownlees
Suffix:
RePEc Short-ID:pbr121
http://www.econ.upf.edu/~cbrownlees/

Affiliation

Barcelona, Spain
http://www.econ.upf.edu/

: (34) 935 42 1766
(34)935 42 17 46
Ramon Trias Fargas 25-27, 08005 Barcelona
RePEc:edi:deupfes (more details at EDIRC)

Works

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Working Papers

  1. Christian Brownlees & Robert Engle, 2017. "SRISK: a conditional capital shortfall measure of systemic risk," ESRB Working Paper Series 37, European Systemic Risk Board.
  2. Abbassi, Puriya & Brownlees, Christian & Hans, Christina & Podlich, Natalia, 2016. "Credit risk interconnectedness: What does the market really know?," Discussion Papers 09/2016, Deutsche Bundesbank, Research Centre.
  3. Barnichon, Régis & Brownlees, Christian, 2016. "Impulse Response Estimation By Smooth Local Projections," CEPR Discussion Papers 11726, C.E.P.R. Discussion Papers.
  4. Brownlees, Christian & Chabot, Benjamin & Ghysels, Eric & Kurz, Christopher J., 2015. "Backtesting Systemic Risk Measures During Historical Bank Runs," Working Paper Series WP-2015-9, Federal Reserve Bank of Chicago.
  5. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2014. "Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures," Econometrics Working Papers Archive 2014_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
  6. Matteo Barigozzi & Christian Brownlees, 2013. "Nets: Network Estimation for Time Series," Working Papers 723, Barcelona Graduate School of Economics.
  7. Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011. "Multiplicative Error Models," Econometrics Working Papers Archive 2011_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Apr 2011.
  8. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010. "Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets," Econometrics Working Papers Archive wp2010_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  9. Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2009. "Intra-daily Volume Modeling and Prediction for Algorithmic Trading," Econometrics Working Papers Archive wp2009_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  10. 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, Informatica, Applicazioni "G. Parenti".
  11. 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, Informatica, Applicazioni "G. Parenti".
  12. 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, Informatica, Applicazioni "G. Parenti".
  13. 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, Informatica, Applicazioni "G. Parenti".

Articles

  1. Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014. "Disentangling systematic and idiosyncratic dynamics in panels of volatility measures," Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
  2. Brownlees Christian T. & Vannucci Marina, 2013. "A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(1), pages 21-46, February.
  3. Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011. "Intra-daily Volume Modeling and Prediction for Algorithmic Trading," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(3), pages 489-518, Summer.
  4. Brownlees, Christian T. & Gallo, Giampiero M., 2011. "Shrinkage estimation of semiparametric multiplicative error models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 365-378, April.
  5. Christian T. Brownlees & Giampiero M. Gallo, 2010. "Comparison of Volatility Measures: a Risk Management Perspective," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(1), pages 29-56, Winter.
  6. Christian T. Brownlees & Giampiero M. Gallo, 2008. "On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(4), pages 513-539, Fall.
  7. 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.

Chapters

  1. Viral V. Acharya & Christian Brownlees & Robert Engle & Farhang Farazmand & Matthew Richardson, 2013. "Measuring Systemic Risk," World Scientific Book Chapters,in: Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, chapter 3, pages 65-98 World Scientific Publishing Co. Pte. Ltd..

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 13 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (8) 2007-01-28 2007-06-11 2008-05-17 2008-05-17 2010-08-14 2011-04-23 2013-10-11 2017-01-15. Author is listed
  2. NEP-ETS: Econometric Time Series (8) 2007-01-28 2007-06-11 2008-05-17 2011-04-23 2013-10-11 2013-10-18 2014-03-08 2017-01-15. Author is listed
  3. NEP-RMG: Risk Management (7) 2008-05-17 2008-05-17 2010-08-14 2014-03-08 2015-12-12 2016-05-21 2017-04-16. Author is listed
  4. NEP-BAN: Banking (4) 2014-03-08 2015-12-12 2016-05-21 2017-04-16. Author is listed
  5. NEP-FOR: Forecasting (4) 2007-06-11 2008-05-17 2008-05-17 2014-03-08. Author is listed
  6. NEP-MST: Market Microstructure (3) 2007-01-28 2008-05-17 2015-12-12
  7. NEP-ORE: Operations Research (3) 2011-04-23 2013-10-11 2013-10-18
  8. NEP-CBA: Central Banking (2) 2015-12-12 2017-04-16
  9. NEP-FMK: Financial Markets (2) 2008-05-17 2008-05-17
  10. NEP-MAC: Macroeconomics (2) 2016-05-21 2017-01-15
  11. NEP-NET: Network Economics (2) 2013-10-11 2013-10-18
  12. NEP-BEC: Business Economics (1) 2017-04-16
  13. NEP-HIS: Business, Economic & Financial History (1) 2015-12-12
  14. NEP-IAS: Insurance Economics (1) 2015-12-12
  15. NEP-IFN: International Finance (1) 2017-04-16

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