Celso Brunetti

Board of Governors of the Federal Reserve System

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

19

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6,955

SSRN CITATIONS
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SSRN RANKINGS

Top 7,690

in Total Papers Citations

33

CROSSREF CITATIONS

97

Scholarly Papers (19)

1.
Downloads 1,434 ( 12,706)
Citation 10

On the Informational Properties of Trading Networks

Trading Networks, 2017, Econometrics Journal 20(3), S126-S149
Number of pages: 29 Posted: 17 Mar 2009 Last Revised: 06 Aug 2019
University of Michigan at Ann Arbor, Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and University of Cambridge - Finance
Downloads 1,433 (12,464)
Citation 23

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

Trading Networks

The Econometrics Journal, Vol. 20, Issue 3, pp. S126-S149, 2017
Number of pages: 24 Posted: 27 Nov 2017
University of Michigan at Ann Arbor, Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and University of Cambridge - Finance
Downloads 1 (693,296)
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Financial forecasting and simulation, Network formation and analysis, Trading volume

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 CoMeX Consulting and Advising
Downloads 886 (26,216)
Citation 32

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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, CoMeX Consulting and Advising and American University - Department of Finance and Real Estate
Downloads 756 (32,667)
Citation 44

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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 537 (51,387)
Citation 3

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Currency Crises, Markov Switching Models, Volatility

5.

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 - Department of Finance and Real Estate
Downloads 479 (59,436)
Citation 24

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Central Bank, Interbank Market, Interventions, Volatility

6.

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 Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 472 (60,505)
Citation 1

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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
CoMeX Consulting and Advising, Board of Governors of the Federal Reserve System, University of Illinois at Urbana-Champaign and Commodity Futures Trading Commission (CFTC)
Downloads 392 (75,670)
Citation 5

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

8.

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 342 (88,577)
Citation 3

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Market Liquidity, Volatilities, Correlations, Asset Pricing, GMM

9.

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 322 (94,695)
Citation 14

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

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 276 (111,958)
Citation 13

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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 253 (122,604)
Citation 4

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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
CoMeX Consulting and Advising, Board of Governors of the Federal Reserve System and American University - Department of Finance and Real Estate
Downloads 220 (140,863)
Citation 1

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

13.

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 - Department of Finance and Real Estate, Cornell University and University of Michigan at Ann Arbor
Downloads 155 (193,105)
Citation 6

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

14.

Managing Counterparty Risk in OTC Markets

FEDS Working Paper No. 2017-083
Number of pages: 42 Posted: 07 Sep 2017 Last Revised: 21 Feb 2019
Christoph Frei, Agostino Capponi and Celso Brunetti
University of Alberta - Department of Mathematical and Statistical Sciences, Columbia University and Board of Governors of the Federal Reserve System
Downloads 127 (226,658)

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Over-the-counter markets, Conterparty concentration, Counterparty risk, Negative externalities

15.

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 114 (245,599)
Citation 9

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

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 83 (303,064)
Citation 1

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securitization, mortgage rates, subprime mortgage pools

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 41 (435,854)

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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 23 (528,881)
Citation 1

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Mortgage backed securities, volatility, great moderation

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

Financial Markets, Institutions & Instruments, Vol. 28, Issue 2, pp. 85-113, 2019
Number of pages: 29 Posted: 05 Apr 2019
Gaetano Antinolfi and Celso Brunetti
Washington University in St. Louis - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 1 (693,296)
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Great Moderation, Mortgage‐backed securities, Volatility

18.

Bank Holdings and Systemic Risk

FEDS Working Paper No. 2018-063
Number of pages: 52 Posted: 17 Sep 2018 Last Revised: 21 Feb 2019
Celso Brunetti, Jeffrey H. Harris and Shawn Mankad
Board of Governors of the Federal Reserve System, American University - Department of Finance and Real Estate and Cornell University
Downloads 42 (423,214)

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Systemic risk, Concentration index, Bank holdings, Similarity index

19.

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, CoMeX Consulting and Advising, University of Illinois at Urbana-Champaign and Commodity Futures Trading Commission (CFTC)

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