Author Page for Christian T. Brownlees

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 - Faculty of Economic and Business Sciences and New York University - Leonard N. Stern School of Business - Department of Economics

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Citation 5

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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 - Faculty of Economic and Business Sciences, New York University - Leonard N. Stern School of Business - Department of Economics and Yale SOM

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Citation 6

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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 - Faculty of Economic and Business Sciences, Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni) and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"

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Citation 4

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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 - Faculty of Economic and Business Sciences and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"

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Citation 22

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5.

NETS: Network Estimation for Time Series

Number of pages: 51 Posted: 14 Apr 2013 Last Revised: 04 Feb 2018

Matteo Barigozzi and Christian T. Brownlees

London School of Economics and Political Science and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences

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Citation 1

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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 - Faculty of Economic and Business Sciences, Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and Vlerick Business School

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Abstract:

7.

Comparison of Volatility Measures: A Risk Management Perspective

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Citation 15

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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 - Faculty of Economic and Business Sciences and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"

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Citation 15

Abstract:

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 - Faculty of Economic and Business Sciences and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"

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Impulse Response Estimation by Smooth Local Projections

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Impulse Response Estimation by Smooth Local Projections

Number of pages: 20 Posted: 04 Jan 2017 Last Revised: 10 May 2018

Regis Barnichon and Christian T. Brownlees

Federal Reserve Bank of San Francisco and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences

Downloads 428 (59,882)

Abstract:

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 - Faculty of Economic and Business Sciences

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9.

Hierarchical GARCH

Number of pages: 29 Posted: 23 Oct 2010 Last Revised: 19 Dec 2015

Christian T. Brownlees

Universitat Pompeu Fabra - Faculty of Economic and Business Sciences

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Citation 1

Abstract:

10.

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 - Faculty of Economic and Business Sciences and Rice University

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11.

Multiplicative Error Models

Number of pages: 26 Posted: 27 May 2011

Christian T. Brownlees, Fabrizio Cipollini and Giampiero M. Gallo

Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni) and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"

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Citation 15

Abstract:

12.

Realized Networks

Number of pages: 51 Posted: 09 Oct 2014 Last Revised: 03 Feb 2018

Christian T. Brownlees, Eulalia Nualart and Yucheng Sun

Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Universitat Pompeu Fabra - Department of Economics and Business and Universitat Pompeu Fabra, Department of Economics and Business

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Abstract:

13.

Credit Risk Interconnectedness: What Does the Market Really Know?

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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 - Faculty of Economic and Business Sciences, Universitat Pompeu Fabra - Department of Economics and Business and Deutsche Bundesbank

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Abstract:

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 - Faculty of Economic and Business Sciences, Universitat Pompeu Fabra - Department of Economics and Business and Deutsche Bundesbank

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14.

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

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2

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

Number of pages: 73 Posted: 14 Jun 2017 Last Revised: 25 May 2018

Christian T. Brownlees, Benjamin Remy Chabot, Eric Ghysels and Christopher Johann Kurz

Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Board of Governors of the Federal Reserve System

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

CEPR Discussion Paper No. DP12178

Number of pages: 65 Posted: 04 Aug 2017

Christian T. Brownlees, Benjamin Remy Chabot, Eric Ghysels and Christopher Johann Kurz

Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Board of Governors of the Federal Reserve System

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15.

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 - Faculty of Economic and Business Sciences and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"

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Citation 1

Abstract:

16.

Corporate Hedging and the Variance of Stock Returns

Number of pages: 44 Posted: 06 Mar 2018

Kizkitza Biguri, Christian T. Brownlees and Filippo Ippolito

BI Norwegian Business School, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences

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17.

Detecting Granular Time Series in Large Panels

Number of pages: 51 Posted: 22 Sep 2017

Christian T. Brownlees and Geert Mesters

Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and VU University Amsterdam - Faculty of Economics and Business Administration

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18.

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 - Faculty of Economic and Business Sciences and Universitat Pompeu Fabra - Department of Economics and Business (DEB)

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Abstract:

19.

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 - Faculty of Economic and Business Sciences, Universitat Pompeu Fabra - Department of Economics and Business and Universitat Pompeu Fabra, Department of Economics and Business

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Abstract:

20.

Community Detection in Partial Correlation Network Models

Number of pages: 51 Posted: 07 May 2016 Last Revised: 19 May 2018

Christian T. Brownlees, Gudmundur Gudmundsson and Gabor Lugosi

Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Universitat Pompeu Fabra - Department of Economics and Business and Universitat Pompeu Fabra - Department of Economics and Business (DEB)

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Abstract:

21.

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 - Faculty of Economic and Business Sciences, Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Board of Governors of the Federal Reserve System

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Abstract:

22.

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 - Faculty of Economic and Business Sciences and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"

Christian T. Brownlees

Universitat Pompeu Fabra - Faculty of Economic and Business Sciences

Assistant Professor

Barcelona Graduate School of Economics (Barcelona GSE)

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Scholarly Papers (22)

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Impulse Response Estimation by Smooth Local Projections

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

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