SSRN logo
Public User
Advanced Search

Christian T. Brownlees

Universitat Pompeu Fabra - Department of Economics and Business

Assistant Professor

Ramon Trias Fargas 25-27

Barcelona, 08005

Spain

http://www.econ.upf.edu/~cbrownlees/

Barcelona Graduate School of Economics (Barcelona GSE)

Ramon Trias Fargas 25-27

Barcelona, Catalonia 08014

Spain

  • Universitat Pompeu Fabra - Department of Economics and Business

  • Barcelona Graduate School of Economics (Barcelona GSE)

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 1,014

SSRN RANKINGS

Top 1,014

in Total Papers Downloads

20,837

CITATIONS
Rank 6,907

SSRN RANKINGS

Top 6,907

in Total Papers Citations

70

Scholarly Papers (20)

Actions:
Email selected abstracts
1.

SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

Number of pages: 47 Posted: 18 May 2010 Last Revised: 05 Aug 2016
Christian T. Brownlees and Robert F. Engle
Universitat Pompeu Fabra - Department of Economics and Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 7,594 (305)
Citation 5

Abstract:

Systemic Risk Measurement, Forecasting

2.

A Practical Guide to Volatility Forecasting through Calm and Storm

Number of pages: 23 Posted: 10 Nov 2009 Last Revised: 15 Nov 2013
Christian T. Brownlees, Robert F. Engle and Bryan T. Kelly
Universitat Pompeu Fabra - Department of Economics and Business, New York University - Leonard N. Stern School of Business - Department of Economics and University of Chicago - Booth School of Business
Downloads 2,538 (3,071)
Citation 6

Abstract:

Volatility, ARCH, Forecasting, Forecast Evaluation

3.

Intra-Daily Volume Modeling and Prediction for Algorithmic Trading

Number of pages: 39 Posted: 24 Apr 2009 Last Revised: 19 Feb 2010
Christian T. Brownlees, Fabrizio Cipollini and Giampiero M. Gallo
Universitat Pompeu Fabra - Department of Economics and Business, Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni) and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 1,589 (7,061)
Citation 4

Abstract:

4.

Financial Econometric Analysis at Ultra-High Frequency: Data Handling Concerns

Universita' di Firenze, Dipartimento di Statistica G. Parenti Working Paper No. 2006-3
Number of pages: 30 Posted: 03 Mar 2006
Christian T. Brownlees and Giampiero M. Gallo
Universitat Pompeu Fabra - Department of Economics and Business and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 1,029 (13,233)
Citation 22

Abstract:

5.

NETS: Network Estimation for Time Series

Number of pages: 50 Posted: 14 Apr 2013 Last Revised: 15 Jan 2017
Matteo Barigozzi and Christian T. Brownlees
London School of Economics and Political Science and Universitat Pompeu Fabra - Department of Economics and Business
Downloads 890 (9,164)
Citation 1

Abstract:

Networks, Multivariate Time Series, Long Run Covariance, LASSO

6.

Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures

Number of pages: 59 Posted: 31 May 2010 Last Revised: 07 Oct 2014
Matteo Barigozzi, Christian T. Brownlees, Giampiero M. Gallo and David Veredas
London School of Economics and Political Science, Universitat Pompeu Fabra - Department of Economics and Business, Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and Vlerick Business School
Downloads 783 (22,356)

Abstract:

Vector Multiplicative Error Model, Seminonparametric Estimation, Volatility

7.

Comparison of Volatility Measures: A Risk Management Perspective

Downloads 530 ( 41,666)
Citation 15

Comparison of Volatility Measures: A Risk Management Perspective

Universita' di Firenze, Dipartimento di Statistica G. Parenti Working Paper No. 2008-3
Number of pages: 38 Posted: 12 Dec 2007 Last Revised: 27 Apr 2009
Christian T. Brownlees and Giampiero M. Gallo
Universitat Pompeu Fabra - Department of Economics and Business and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 530 (41,137)
Citation 15

Abstract:

Volatility Measures, VaR Forecasting, GARCH, MEM, P-Splines

Comparison of Volatility Measures: A Risk Management Perspective

Journal of Financial Econometrics, Vol. 8, Issue 1, pp. 29-56, 2010
Posted: 28 Dec 2009
Christian T. Brownlees and Giampiero M. Gallo
Universitat Pompeu Fabra - Department of Economics and Business and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"

Abstract:

C22, C51, C52, C53, GARCH, MEM, P-splines, VaR, volatility measures

8.

Hierarchical GARCH

Number of pages: 29 Posted: 23 Oct 2010 Last Revised: 19 Dec 2015
Christian T. Brownlees
Universitat Pompeu Fabra - Department of Economics and Business
Downloads 382 (47,582)
Citation 1

Abstract:

Panel GARCH, Nonlinear Panel, Random Effects, Volatility

9.

A Bayesian Approach for Capturing Daily Heterogeneity in Intra-Daily Durations Time Series

Number of pages: 32 Posted: 09 Feb 2010 Last Revised: 27 Nov 2012
Christian T. Brownlees and Marina Vannucci
Universitat Pompeu Fabra - Department of Economics and Business and Rice University
Downloads 235 (101,832)

Abstract:

Financial Durations, ACD, MCMC

10.

Multiplicative Error Models

Number of pages: 26 Posted: 27 May 2011
Christian T. Brownlees, Fabrizio Cipollini and Giampiero M. Gallo
Universitat Pompeu Fabra - Department of Economics and Business, Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni) and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 226 (83,644)
Citation 15

Abstract:

MEM, Realized Volatility, Forecasting

11.

Impulse Response Estimation by Smooth Local Projections

Downloads 194 (129,147)

Impulse Response Estimation by Smooth Local Projections

Number of pages: 42 Posted: 04 Jan 2017 Last Revised: 29 Jan 2017
Regis Barnichon and Christian T. Brownlees
Federal Reserve Bank of San Francisco and Universitat Pompeu Fabra - Department of Economics and Business
Downloads 194 (128,934)

Abstract:

local projections, semiparametric estimation, structural impulse response

Impulse Response Estimation by Smooth Local Projections

CEPR Discussion Paper No. DP11726
Number of pages: 45 Posted: 03 Jan 2017
Regis Barnichon and Christian T. Brownlees
Federal Reserve Bank of San Francisco and Universitat Pompeu Fabra - Department of Economics and Business
Downloads 0

Abstract:

impulse response, local projections, semiparametric estimation

12.

Realized Networks

Number of pages: 45 Posted: 09 Oct 2014 Last Revised: 01 Nov 2015
Christian T. Brownlees, Eulalia Nualart and Yucheng Sun
Universitat Pompeu Fabra - Department of Economics and Business, Universitat Pompeu Fabra - Department of Economics and Business and Universitat Pompeu Fabra - Department of Economics and Business
Downloads 188 (68,957)

Abstract:

Networks, Realized Covariance, Lasso

13.

Credit Risk Interconnectedness: What Does the Market Really Know?

Downloads 146 (166,203)

Credit Risk Interconnectedness: What Does the Market Really Know?

Number of pages: 35 Posted: 07 Nov 2015 Last Revised: 22 Jan 2016
Puriya Abbassi, Christian T. Brownlees, Christina Hans and Natalia Podlich
Deutsche Bundesbank, Universitat Pompeu Fabra - Department of Economics and Business, Universitat Pompeu Fabra - Department of Economics and Business and Deutsche Bundesbank
Downloads 113 (203,841)

Abstract:

Credit Risk, Networks, CDS, Interbank Lending, Portfolio Distance

Credit Risk Interconnectedness: What Does the Market Really Know?

Bundesbank Discussion Paper No. 09/2016
Number of pages: 39 Posted: 21 Jun 2016
Puriya Abbassi, Christian T. Brownlees, Christina Hans and Natalia Podlich
Deutsche Bundesbank, Universitat Pompeu Fabra - Department of Economics and Business, Universitat Pompeu Fabra - Department of Economics and Business and Deutsche Bundesbank
Downloads 33 (392,228)

Abstract:

Credit Risk, Networks, CDS, Interbank Lending, Portfolio Distance

14.

Shrinkage Estimation of Semiparametric Multiplicative Error Models

Number of pages: 29 Posted: 28 Jan 2009
Christian T. Brownlees and Giampiero M. Gallo
Universitat Pompeu Fabra - Department of Economics and Business and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 103 (214,059)
Citation 1

Abstract:

15.

Back to the Future: Backtesting Systemic Risk Measures During Historical Bank Runs and the Great Depression

Number of pages: 62 Posted: 14 Jun 2017
Christian T. Brownlees, Benjamin Remy Chabot, Eric Ghysels and Christopher Johann Kurz
Universitat Pompeu Fabra - Department of Economics and Business, Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Board of Governors of the Federal Reserve System
Downloads 0 (348,036)

Abstract:

Systemic Risk, Financial Crises, Risk Measures

16.

On the Consequences of Power-Law Behavior in Partial Correlation Network Models

Number of pages: 30 Posted: 04 Jan 2017 Last Revised: 11 Apr 2017
Matteo Barigozzi, Christian T. Brownlees and Gabor Lugosi
London School of Economics and Political Science, Universitat Pompeu Fabra - Department of Economics and Business and Universitat Pompeu Fabra - Department of Economics and Business (DEB)
Downloads 0 (287,448)

Abstract:

Partial Correlation Networks, Random Graphs, Power-Law

17.

A Truncated Two-Scales Realized Volatility Estimator

Number of pages: 43 Posted: 10 Jun 2016
Christian T. Brownlees, Eulalia Nualart and Yucheng Sun
Universitat Pompeu Fabra - Department of Economics and Business, Universitat Pompeu Fabra - Department of Economics and Business and Universitat Pompeu Fabra - Department of Economics and Business
Downloads 0 (253,615)

Abstract:

integrated volatility, two-scales realized volatility estimator, jumps, market microstructure noise

18.

Community Detection in Partial Correlation Network Models

Number of pages: 50 Posted: 07 May 2016 Last Revised: 26 Jun 2017
Christian T. Brownlees, Gudmundur Stefan Gudmundsson and Gabor Lugosi
Universitat Pompeu Fabra - Department of Economics and Business, Universitat Pompeu Fabra - Department of Economics and Business and Universitat Pompeu Fabra - Department of Economics and Business (DEB)
Downloads 0 (166,203)

Abstract:

Partial Correlation Networks, Random Graphs, Community Detection, Spectral Clustering, Graphical Models

19.

Backtesting Systemic Risk Measures During Historical Bank Runs

FRB of Chicago Working Paper No. WP-2015-9
Number of pages: 36 Posted: 11 Dec 2015
Christian T. Brownlees, Benjamin Remy Chabot, Eric Ghysels and Christopher Johann Kurz
Universitat Pompeu Fabra - Department of Economics and Business, Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Board of Governors of the Federal Reserve System
Downloads 0 (211,140)

Abstract:

Financial crisis, Systemic risk, Stress testing, credit risk, High-frequency data

20.

On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria

Journal of Financial Econometrics, Vol. 6, Issue 4, pp. 513-539, 2008
Posted: 16 Oct 2008
Christian T. Brownlees and Giampiero M. Gallo
Universitat Pompeu Fabra - Department of Economics and Business and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"

Abstract:

C22, C52, C53, focused information criteria, forecasting, model selection, realized volatility, value at risk

Submit a Paper Section 508 Text Only Pages

Quick Links

Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up

Rankings

Top Papers Top Authors Top Organizations

About

SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs
Elsevier logo
Copyright Terms and Conditions Privacy Policy

Cookies are used by this site. To decline or learn more, visit our Cookies page. This page was processed by apollobot1 in 0.755 seconds

Relx Group logo