Christian T. Brownlees
Names
| first: |
Christian |
| middle: |
T. |
| last: |
Brownlees |
Identifer
Contact
Affiliations
-
Barcelona School of Economics (BSE)
/ Universitat Pompeu Fabra
/ Departament d'Economia i Empresa
Research profile
author of:
- Performance of Empirical Risk Minimization for Linear Regression with Dependent Data (RePEc:arx:papers:2104.12127)
by Christian Brownlees & Gu{dh}mundur Stef'an Gu{dh}mundsson - Unit Averaging for Heterogeneous Panels (RePEc:arx:papers:2210.14205)
by Christian Brownlees & Vladislav Morozov - Non-Standard Errors (RePEc:bge:wpaper:1303)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo - Nets: Network Estimation for Time Series (RePEc:bge:wpaper:723)
by Matteo Barigozzi & Christian Brownlees - Detecting Granular Time Series in Large Panels (RePEc:bge:wpaper:991)
by Christian Brownlees & Geert Mesters - A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series (RePEc:bpj:sndecm:v:17:y:2013:i:1:p:21-46:n:2)
by Brownlees Christian T. & Vannucci Marina - Impulse Response Estimation By Smooth Local Projections (RePEc:cpr:ceprdp:11726)
by Barnichon, Regis & Brownlees, Christian - Back to the Future: Backtesting Systemic Risk Measures during Historical Bank Runs and the Great Depression (RePEc:cpr:ceprdp:12178)
by Ghysels, Eric & Chabot, Benjamin & Kurz, Christopher & Brownlees, Christian - Corporate hedging and the variance of stock returns (RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002698)
by Biguri, Kizkitza & Brownlees, Christian & Ippolito, Filippo - Financial econometric analysis at ultra-high frequency: Data handling concerns (RePEc:eee:csdana:v:51:y:2006:i:4:p:2232-2245)
by Brownlees, C.T. & Gallo, G.M. - Disentangling systematic and idiosyncratic dynamics in panels of volatility measures (RePEc:eee:econom:v:182:y:2014:i:2:p:364-384)
by Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David - Detecting granular time series in large panels (RePEc:eee:econom:v:220:y:2021:i:2:p:544-561)
by Brownlees, Christian & Mesters, Geert - Detecting groups in large vector autoregressions (RePEc:eee:econom:v:225:y:2021:i:1:p:2-26)
by Guðmundsson, Guðmundur Stefán & Brownlees, Christian - Hierarchical GARCH (RePEc:eee:empfin:v:51:y:2019:i:c:p:17-27)
by Brownlees, Christian T. - Credit risk interconnectedness: What does the market really know? (RePEc:eee:finsta:v:29:y:2017:i:c:p:1-12)
by Abbassi, Puriya & Brownlees, Christian & Hans, Christina & Podlich, Natalia - Shrinkage estimation of semiparametric multiplicative error models (RePEc:eee:intfor:v:27:y::i:2:p:365-378)
by Brownlees, Christian T. & Gallo, Giampiero M. - Shrinkage estimation of semiparametric multiplicative error models (RePEc:eee:intfor:v:27:y:2011:i:2:p:365-378)
by Brownlees, Christian T. & Gallo, Giampiero M. - Projected Dynamic Conditional Correlations (RePEc:eee:intfor:v:39:y:2023:i:4:p:1761-1776)
by Llorens-Terrazas, Jordi & Brownlees, Christian - Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression (RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426620300030)
by Brownlees, Christian & Chabot, Ben & Ghysels, Eric & Kurz, Christopher - Bank credit risk networks: Evidence from the Eurozone (RePEc:eee:moneco:v:117:y:2021:i:c:p:585-599)
by Brownlees, Christian & Hans, Christina & Nualart, Eulalia - Backtesting global Growth-at-Risk (RePEc:eee:moneco:v:118:y:2021:i:c:p:312-330)
by Brownlees, Christian & Souza, André B.M. - Nets: network estimation for time series (RePEc:ehl:lserod:90493)
by Barigozzi, Matteo & Brownlees, Christian T. - Backtesting Systemic Risk Measures During Historical Bank Runs (RePEc:fip:fedhwp:wp-2015-09)
by Christian Brownlees & Benjamin Chabot & Eric Ghysels & Christopher J. Kurz - Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns (RePEc:fir:econom:wp2006_03)
by Christian T. Brownlees & Giampiero Gallo - Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria (RePEc:fir:econom:wp2007_02)
by Christian T. Brownlees & Giampiero Gallo - Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria (RePEc:fir:econom:wp2007_04)
by Christian T. Brownlees & Giampiero Gallo - Comparison of Volatility Measures: a Risk Management Perspective (RePEc:fir:econom:wp2007_15)
by Christian T. Brownlees & Giampiero M. Gallo - Comparison of Volatility Measures: a Risk Management Perspective (RePEc:fir:econom:wp2008_03)
by Christian T. Brownlees & Giampiero Gallo - Intra-daily Volume Modeling and Prediction for Algorithmic Trading (RePEc:fir:econom:wp2009_01)
by Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo - Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets (RePEc:fir:econom:wp2010_06)
by Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas - Multiplicative Error Models (RePEc:fir:econom:wp2011_03)
by Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo - Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures (RePEc:fir:econom:wp2014_02)
by Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas - Non-Standard Errors (RePEc:grz:wpsses:2021-08)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-DÃaz & Menachem Abudy & To - Non-Standard Errors (RePEc:hal:cesptp:halshs-03500882)
by Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí - Non-Standard Errors (RePEc:hal:journl:halshs-03500882)
by Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí - Non-Standard Errors (RePEc:hhs:lunewp:2021_017)
by Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena - Non-Standard Errors (RePEc:inn:wpaper:2021-31)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & Tobi - On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria (RePEc:oup:jfinec:v:6:y:2008:i:4:p:513-539)
by Christian T. Brownlees & Giampiero M. Gallo - Comparison of Volatility Measures: a Risk Management Perspective (RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56)
by Christian T. Brownlees & Giampiero M. Gallo - Intra-daily Volume Modeling and Prediction for Algorithmic Trading (RePEc:oup:jfinec:v:9:y:2011:i:3:p:489-518)
by Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo - SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (RePEc:oup:rfinst:v:30:y:2017:i:1:p:48-79.)
by Christian Brownlees & Robert F. Engle - SRISK: a conditional capital shortfall measure of systemic risk (RePEc:srk:srkwps:201737)
by Brownlees, Christian & Engle, Robert F. - On the estimation of integrated volatility in the presence of jumps and microstructure noise (RePEc:taf:emetrv:v:39:y:2020:i:10:p:991-1013)
by Christian Brownlees & Eulalia Nualart & Yucheng Sun - Community Detection in Partial Correlation Network Models (RePEc:taf:jnlbes:v:40:y:2022:i:1:p:216-226)
by Christian Brownlees & Guðmundur Stefán Guðmundsson & Gábor Lugosi - Impulse Response Estimation by Smooth Local Projections (RePEc:tpr:restat:v:101:y:2019:i:3:p:522-530)
by Regis Barnichon & Christian Brownlees - Nets: Network estimation for time series (RePEc:upf:upfgen:1391)
by Matteo Barigozzi & Christian T. Brownlees - Non-standard errors (RePEc:upf:upfgen:1807)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz - Realized networks (RePEc:wly:japmet:v:33:y:2018:i:7:p:986-1006)
by Christian Brownlees & Eulàlia Nualart & Yucheng Sun - NETS: Network estimation for time series (RePEc:wly:japmet:v:34:y:2019:i:3:p:347-364)
by Matteo Barigozzi & Christian Brownlees - Evaluating The Accuracy Of Tail Risk Forecasts For Systemic Risk Measurement (RePEc:wsi:afexxx:v:13:y:2018:i:02:n:s2010495218500094)
by Christian Brownlees & Giuseppe Cavaliere & Alice Monti - Measuring Systemic Risk (RePEc:wsi:wschap:9789814417501_0003)
by Viral V. Acharya & Christian Brownlees & Robert Engle & Farhang Farazmand & Matthew Richardson - Credit risk interconnectedness: What does the market really know? (RePEc:zbw:bubdps:092016)
by Abbassi, Puriya & Brownlees, Christian & Hans, Christina & Podlich, Natalia