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Brownlees, Christian T.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
10,715 |
Total
Citations
89 |
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1.
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Brownlees, Christian T.
Universitat Pompeu Fabra Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics
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18 May 10
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Last Revised:
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26 Oct 12
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4,438
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28
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Systemic Risk, Volatility, Correlations, Tails, Forecasting
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2.
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Brownlees, Christian T.
Universitat Pompeu Fabra Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Kelly, Bryan T.
University of Chicago - Booth School of Business
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10 Nov 09
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Last Revised:
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07 Sep 11
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2,226
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6
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Volatility, ARCH, Forecasting, Forecast Evaluation
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3.
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Brownlees, Christian T.
Universitat Pompeu Fabra Cipollini, Fabrizio
Universita di Firenze, Dipartimento di Statistica Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
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24 Apr 09
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Last Revised:
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19 Feb 10
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1,315
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4.
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Brownlees, Christian T.
Universitat Pompeu Fabra Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
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875
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21
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5.
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Barigozzi, Matteo
London School of Economics and Political Science Brownlees, Christian T.
Universitat Pompeu Fabra Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica Veredas, David
Universite Libre de Bruxelles - Solvay Brussels School of Economics and Management - ECARES
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31 May 10
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Last Revised:
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12 May 13
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589
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1
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Vector Multiplicative Error Model, Seminonparametric Estimation, Volatility
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6.
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Comparison of Volatility Measures: A Risk Management Perspective
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Brownlees, Christian T.
Universitat Pompeu Fabra Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
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Posted:
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12 Dec 07
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Last Revised:
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29 Jul 10
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456
(28,788)
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15
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Brownlees, Christian T.
Universitat Pompeu Fabra Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
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0
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C22, C51, C52, C53, GARCH, MEM, P-splines, VaR, volatility measures
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Brownlees, Christian T.
Universitat Pompeu Fabra Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
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12 Dec 07
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Last Revised:
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27 Apr 09
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456
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15
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Volatility Measures, VaR Forecasting, GARCH, MEM, P-Splines
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7.
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Brownlees, Christian T.
Universitat Pompeu Fabra
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23 Oct 10
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Last Revised:
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03 Jan 13
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301
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1
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Panel GARCH, Nonlinear Panel, Random Effects, Volatility
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8.
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Brownlees, Christian T.
Universitat Pompeu Fabra Vannucci, Marina
Rice University
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09 Feb 10
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Last Revised:
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27 Nov 12
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183
(81,523)
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Financial Durations, ACD, MCMC
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9.
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Brownlees, Christian T.
Universitat Pompeu Fabra Cipollini, Fabrizio
Universita di Firenze, Dipartimento di Statistica Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
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131
(110,625)
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12
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MEM, Realized Volatility, Forecasting
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10.
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Barigozzi, Matteo
London School of Economics and Political Science Brownlees, Christian T.
Universitat Pompeu Fabra
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| Posted: |
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14 Apr 13
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Last Revised:
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15 Apr 13
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106
(129,698)
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Networks, Multivariate Time Series, Long Run Covariance, LASSO
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11.
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Brownlees, Christian T.
Universitat Pompeu Fabra Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
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95
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1
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12.
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Brownlees, Christian T.
Universitat Pompeu Fabra Gallo, Giampiero M.
Universita' di Firenze - Dipartimento di Statistica
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C22, C52, C53, focused information criteria, forecasting, model selection, realized volatility, value at risk
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