Christian T. Brownlees

Universitat Pompeu Fabra - Faculty of Economic and Business Sciences

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

SCHOLARLY PAPERS

22

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CITATIONS
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70

Scholarly Papers (22)

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 - Faculty of Economic and Business Sciences and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 7,594 (311)
Citation 5

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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 - Faculty of Economic and Business Sciences, New York University - Leonard N. Stern School of Business - Department of Economics and Yale SOM
Downloads 2,538 (3,262)
Citation 6

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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 - 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"
Downloads 1,589 (7,495)
Citation 4

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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 - Faculty of Economic and Business Sciences and Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti"
Downloads 1,029 (13,841)
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
Downloads 890 (7,006)
Citation 1

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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 - Faculty of Economic and Business Sciences, Universita' di Firenze - Dipartimento di Statistica, Informatica, Applicazioni "G.Parenti" and Vlerick Business School
Downloads 783 (24,556)

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Vector Multiplicative Error Model, Seminonparametric Estimation, Volatility

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"
Downloads 548 (43,707)
Citation 15

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

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

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)

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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 - Faculty of Economic and Business Sciences
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impulse response, local projections, semiparametric estimation

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
Downloads 382 (50,966)
Citation 1

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Panel GARCH, Nonlinear Panel, Random Effects, Volatility

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
Downloads 235 (110,604)

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Financial Durations, ACD, MCMC

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"
Downloads 226 (79,393)
Citation 15

Abstract:

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MEM, Realized Volatility, Forecasting

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
Downloads 188 (62,781)

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Networks, Realized Covariance, Lasso

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
Downloads 131 (198,958)

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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 - Faculty of Economic and Business Sciences, Universitat Pompeu Fabra - Department of Economics and Business and Deutsche Bundesbank
Downloads 52 (354,357)

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

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
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
Downloads 146 (182,091)

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Systemic Risk, Financial Crises, Risk Measures

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
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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Financial crises, Risk Measures, systemic risk

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"
Downloads 103 (224,711)
Citation 1

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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
Downloads 0 (348,769)

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hedging, commodity derivatives, risk management, variance of stock returns, difference-in-differences

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
Downloads 0 (262,619)

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Granularity, Network Models, Factor Models, Panel Data, Industrial Production, CDS Spreads

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)
Downloads 0 (216,240)

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Partial Correlation Networks, Random Graphs, Power-Law

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
Downloads 0 (224,711)

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

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)
Downloads 0 (107,939)

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

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
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
Downloads 0 (204,459)

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

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"

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