Celso Brunetti

Board of Governors of the Federal Reserve System

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

17

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CITATIONS
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in Total Papers Citations

66

Scholarly Papers (17)

1.

Trading Networks

Number of pages: 32 Posted: 17 Mar 2009 Last Revised: 14 Mar 2010
University of Michigan at Ann Arbor, Board of Governors of the Federal Reserve System, American University and Centre for Global Finance and Technology, Imperial College Business School
Downloads 1,131 (11,631)
Citation 2

Abstract:

trading networks, financial networks, limit order book, limit order markets

2.

Is Speculation Destabilizing?

Number of pages: 37 Posted: 22 Apr 2009
Celso Brunetti and Bahattin Buyuksahin
Board of Governors of the Federal Reserve System and Bank of Canada
Downloads 741 (23,031)
Citation 10

Abstract:

Speculation, hedge fund, swap dealer, realized volatility, price, Granger-causality

3.

Speculators, Prices and Market Volatility

Number of pages: 34 Posted: 10 Jan 2011
Board of Governors of the Federal Reserve System, Bank of Canada and American University
Downloads 581 (28,856)
Citation 6

Abstract:

Speculation, hedge funds, swap dealers, realized volatility, price

4.

Markov Switching Garch Models of Currency Crises in Southeast Asia

PIER Working Paper No. 03-008
Number of pages: 44 Posted: 04 Apr 2003
Board of Governors of the Federal Reserve System, Singapore Management University, University of Pennsylvania - Department of Economics and Singapore Management University - School of Social Sciences
Downloads 488 (42,145)
Citation 1

Abstract:

Currency Crises, Markov Switching Models, Volatility

5.

Bivariate FIGARCH and Fractional Cointegration

Queen Mary & Westfield College, Department of Economics Working Paper No. 408
Number of pages: 21 Posted: 01 Mar 2000
Celso Brunetti and Christopher L. Gilbert
Board of Governors of the Federal Reserve System and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 453 (49,495)
Citation 14

Abstract:

6.

Effects of Central Bank Intervention on the Interbank Market during the Sub-Prime Crisis

Number of pages: 36 Posted: 02 Jul 2009
Celso Brunetti, Mario di Filippo and Jeffrey H. Harris
Board of Governors of the Federal Reserve System, World Bank Group and American University
Downloads 415 (49,495)
Citation 14

Abstract:

Central Bank, Interbank Market, Interventions, Volatility

7.

Do OPEC Members Know Something the Market Doesn’t? ‘Fair Price’ Pronouncements and the Market Price of Crude Oil

Number of pages: 35 Posted: 06 Aug 2010 Last Revised: 15 Mar 2015
Bank of Canada, Board of Governors of the Federal Reserve System, American University - Kogod School of Business and Commodity Futures Trading Commission (CFTC)
Downloads 321 (63,921)
Citation 1

Abstract:

Crude oil, OPEC, Fair price, Announcement, Market price, Event study, Kalman filter, Autoregressive Distributed Lag (ADL)

8.

Return-based and Range-Based (Co)Variance Estimation - With an Application to Foreign Exchange Markets

Number of pages: 48 Posted: 14 Jan 2002
Celso Brunetti and Peter M. Lildholdt
Board of Governors of the Federal Reserve System and Bank of England - Monetary Analysis
Downloads 277 (82,189)
Citation 10

Abstract:

Co-range, foreign exchange rates, price range, high and low prices, covariance estimation, volatility dynamics

9.

Asset Prices and Asset Correlations in Illiquid Markets

Number of pages: 24 Posted: 01 Dec 2004
Celso Brunetti and Alessio Caldarera
Board of Governors of the Federal Reserve System and PIMCO Europe Ltd.
Downloads 271 (80,004)

Abstract:

Market Liquidity, Volatilities, Correlations, Asset Pricing, GMM

10.

Commodity Index Trading and Hedging Costs

Number of pages: 43 Posted: 18 Dec 2010 Last Revised: 15 May 2012
Celso Brunetti and David Reiffen
Board of Governors of the Federal Reserve System and U.S. Commodity Futures Trading Commission (CFTC)
Downloads 241 (96,368)
Citation 3

Abstract:

index trading, hedging, limits to arbitrage, backwardation

11.

Time Series Modelling of Daily Log-price Ranges for SF/USD and USD/GBP

PIER Working Paper No. 02-017
Number of pages: 35 Posted: 23 Jul 2002
Celso Brunetti and Peter M. Lildholdt
Board of Governors of the Federal Reserve System and Bank of England - Monetary Analysis
Downloads 235 (101,730)
Citation 3

Abstract:

Daily Price Range, Foreign Exchange Rate Volatility, Persistency, CARR, FICARR

12.

Do Institutional Traders Predict Bull and Bear Markets?

Number of pages: 41 Posted: 19 Sep 2011
Bank of Canada, Board of Governors of the Federal Reserve System and American University
Downloads 189 (122,771)

Abstract:

Markov regime-switching, hedge fund, swap dealer, institutional positions

13.

Markov Switching Garch Models of Currency Turmoil in Southeast Asia

FRB International Finance Discussion Paper No. 889
Number of pages: 44 Posted: 03 Apr 2007
Board of Governors of the Federal Reserve System, Singapore Management University, Singapore Management University - School of Social Sciences and Board of Governors of the Federal Reserve System
Downloads 99 (209,963)
Citation 2

Abstract:

Currency crises, Financial markets, Banking sector, Regime Switching, Volatility

14.

Interconnectedness in the Interbank Market

FEDS Working Paper No. 2015-090
Number of pages: 49 Posted: 17 Oct 2015
Board of Governors of the Federal Reserve System, American University, Cornell University and University of Michigan at Ann Arbor
Downloads 93 (229,598)

Abstract:

Interconnectedness, correlation network, financial crisis, interbank market, physical network

Economic Volatility and Financial Markets: The Case of Mortgage-Backed Securities

Number of pages: 29 Posted: 28 Sep 2012
Gaetano Antinolfi and Celso Brunetti
Washington University in St. Louis - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 34 (383,105)

Abstract:

Great Moderation, Volatility, Mortgage Backed Securities, Regime Switching

Economic Volatility and Financial Markets: The Case of Mortgage-Backed Securities

FEDS Working Paper No. 2013-42
Number of pages: 33 Posted: 31 Jul 2013
Gaetano Antinolfi and Celso Brunetti
Washington University in St. Louis - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 16 (476,310)

Abstract:

Mortgage backed securities, volatility, great moderation

16.

Mortgage Rates and Credit Risk: Evidence from Mortgage Pools

Number of pages: 33 Posted: 15 Jul 2016 Last Revised: 06 Dec 2016
Gaetano Antinolfi, Celso Brunetti and Jay Im
Washington University in St. Louis - Department of Economics, Board of Governors of the Federal Reserve System and Duke University - Fuqua School of Business
Downloads 0 (298,079)

Abstract:

securitization, mortgage rates, subprime mortgage pools

17.

OPEC 'Fair Price' Pronouncements and the Market Price of Crude Oil

Energy Journal, Vol. 34, No. 4, 2013
Posted: 17 Nov 2012 Last Revised: 06 Oct 2013
Board of Governors of the Federal Reserve System, Bank of Canada, American University - Kogod School of Business and Commodity Futures Trading Commission (CFTC)

Abstract:

Crude oil, OPEC, Fair price, Market price, Event study, Autoregressive Distributed Lag (ADL)