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Christian T. Brownlees

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Personal Details

First Name:Christian
Middle Name:T.
Last Name:Brownlees
Suffix:
RePEc Short-ID:pbr121
Email:
Homepage:http://www.econ.upf.edu/~cbrownlees/
Postal Address:
Phone:

Affiliation

Location: Barcelona, Spain
Homepage: http://www.econ.upf.edu/
Email:
Phone: (34) 935 42 1766
Fax: (34)935 42 17 46
Postal: Ramon Trias Fargas 25-27, 08005 Barcelona
Handle: RePEc:edi:deupfes (more details at EDIRC)

Works

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Working Papers

  1. 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.
  2. Matteo Barigozzi & Christian Brownlees, 2013. "Nets: Network Estimation for Time Series," Working Papers 723, Barcelona Graduate School of Economics.
  3. 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.
  4. 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".
  5. 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".
  6. 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".
  7. 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".
  8. 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".
  9. 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.

9 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2014-03-08
  2. NEP-ECM: Econometrics (7) 2007-01-28 2007-06-11 2008-05-17 2008-05-17 2010-08-14 2011-04-23 2013-10-11. Author is listed
  3. NEP-ETS: Econometric Time Series (7) 2007-01-28 2007-06-11 2008-05-17 2011-04-23 2013-10-11 2013-10-18 2014-03-08. Author is listed
  4. NEP-FMK: Financial Markets (2) 2008-05-17 2008-05-17
  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 (2) 2007-01-28 2008-05-17
  7. NEP-NET: Network Economics (2) 2013-10-11 2013-10-18
  8. NEP-ORE: Operations Research (3) 2011-04-23 2013-10-11 2013-10-18. Author is listed
  9. NEP-RMG: Risk Management (4) 2008-05-17 2008-05-17 2010-08-14 2014-03-08. Author is listed

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