Christian T. Brownlees : Citation Profile

Barcelona School of Economics (BSE) (50% share)
Libera Università Internazionale degli Studi Sociali Guido Carli (LUISS) (50% share)

14

H index

16

i10 index

2484

Citations

RESEARCH PRODUCTION:

28

Articles

35

Papers

1

Chapters

RESEARCH ACTIVITY:

   19 years (2006 - 2025). See details.
   Cites by year: 130
   Journals where Christian T. Brownlees has often published
   Relations with other researchers
   Recent citing documents: 348.    Total self citations: 22 (0.88 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbr121
   Updated: 2025-12-20    RAS profile: 2025-12-09    
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Relations with other researchers

Works with:

Dreber, Anna (12)

Gehrig, Thomas (12)

Menkveld, Albert (12)

Johannesson, Magnus (12)

FERROUHI, EL MEHDI (10)

Frömmel, Michael (10)

Holzmeister, Felix (10)

Dumitrescu, Ariadna (10)

Bos, Charles (10)

Gil-Bazo, Javier (10)

Frijns, Bart (10)

Caporin, Massimiliano (10)

Deev, Oleg (10)

Ferrara, Gerardo (10)

Alexeev, Vitali (10)

Bohorquez Correa, Santiago (9)

Schwarz, Marco (9)

Wolff, Christian (8)

Scaillet, Olivier (8)

Pastor, Lubos (8)

Korajczyk, Robert (8)

Chernov, Mikhail (8)

Tonks, Ian (8)

Rinne, Kalle (8)

Moinas, Sophie (8)

Nielsson, Ulf (8)

Talavera, Oleksandr (8)

Stefanova, Denitsa (8)

Smales, Lee (8)

Schuerhoff, Norman (8)

Ødegaard, Bernt (8)

Taylor, Nick (8)

Foucault, Thierry (8)

Degryse, Hans (8)

Liew, Chee (8)

Renault, Thomas (8)

Lof, Matthijs (8)

Palan, Stefan (8)

Füllbrunn, Sascha (8)

Harris, Jeffrey (8)

Gerritsen, Dirk (8)

Sarno, Lucio (8)

Sojli, Elvira (8)

Hurlin, Christophe (8)

Deku, Solomon (7)

Eugster, Nicolas (7)

CAPELLE-BLANCARD, Gunther (7)

Hambuckers, Julien (7)

Davies, Ryan (7)

Neszveda, Gabor (7)

Shui, Jessica (7)

Dimpfl, Thomas (7)

Schenk-Hoppé, Klaus (7)

Park, Andreas (6)

LINTON, OLIVER (6)

Pasquariello, Paolo (6)

Roy, Saurabh (6)

Xia, Shuo (6)

Shachar, Or (6)

Zhang, S. Sarah (6)

Colliard, Jean-Edouard (6)

Vilkov, Grigory (6)

Ait-Sahalia, Yacine (6)

Wilhelmsson, Anders (6)

Xiu, Dacheng (6)

Reitz, Stefan (6)

Jurkatis, Simon (6)

Ranaldo, Angelo (6)

Aloosh, Arash (6)

Jalkh, Naji (5)

Verousis, Thanos (5)

Hautsch, Nikolaus (5)

Capera Romero, Laura (5)

Walther, Thomas (5)

Chow, Nikolai Sheung-Chi (5)

Horenstein, Alex (5)

Abudy, Menachem (5)

Huang, Wenqian (5)

Koetter, Michael (5)

Güçbilmez, Ufuk (4)

Adrian, Tobias (4)

Bjønnes, Geir (4)

van Kervel, Vincent (4)

He, Xuezhong (Tony) (3)

Voigt, Stefan (3)

Guðmundsson, Guðmundur (3)

Mihet, Roxana (3)

Lopez-Lira, Alejandro (2)

Vogel, Sebastian (2)

Le Fol, Gaelle (2)

Gorbenko, Arseny (2)

Llorens-Terrazas, Jordi (2)

Roy, Saurabh (2)

Zhou, Chen (2)

Kassner, Bernhard (2)

Kearney, Fearghal (2)

Regis, Luca (2)

Theissen, Erik (2)

Söderlind, Paul (2)

Rakowski, David (2)

PASCUAL, ROBERTO (2)

Prokopczuk, Marcel (2)

Pelizzon, Loriana (2)

Putnins, Talis (2)

Heath, Davidson (2)

Lajaunie, Quentin (2)

Bouri, Elie (2)

Patel, Vinay (2)

Hasse, Jean-Baptiste (2)

Wong, Wing-Keung (2)

Hjalmarsson, Erik (2)

Patton, Andrew (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Christian T. Brownlees.

Is cited by:

Gallo, Giampiero (64)

Otranto, Edoardo (23)

Engle, Robert (22)

Giudici, Paolo (21)

Diebold, Francis (20)

Lucas, Andre (20)

Barigozzi, Matteo (20)

Hallin, Marc (20)

Acharya, Viral (19)

Yilmaz, Kamil (19)

Wang, Gang-Jin (18)

Cites to:

Engle, Robert (63)

Gallo, Giampiero (39)

Diebold, Francis (35)

Shephard, Neil (28)

Bauwens, Luc (26)

Hautsch, Nikolaus (26)

Bollerslev, Tim (22)

Reichlin, Lucrezia (21)

Forni, Mario (19)

Bai, Jushan (17)

Lippi, Marco (17)

Main data

Where Christian T. Brownlees has published?

Journals with more than one article published# docs
Journal of Econometrics4
International Journal of Forecasting3
Journal of Financial Econometrics3
Journal of Applied Econometrics2
Journal of Monetary Economics2

Working Papers Series with more than one paper published# docs
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"9
Post-Print / HAL5
Papers / arXiv.org4
Working Papers / Barcelona School of Economics3
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL2
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

Recent works citing Christian T. Brownlees (2025 and 2024)

YearTitle of citing document
2025ESG Reporting and Systemic Risk: Evidence from European Markets. (2025). Filip, Radu Ion ; Cosoveanu, Georgiana ; Tigu, Gabriela ; Hurduzeu, Gheorghe ; Lupu, Iulia. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:27:y:2025:i:70:p:869.

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2025Joint News, Attention Spillover,and Market Returns. (2022). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2024). Blasques, Francisco ; Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1812.07318.

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2025Policy Choice in Time Series by Empirical Welfare Maximization. (2024). Wang, Weining ; Kitagawa, Toru ; Xu, Mengshan. In: Papers. RePEc:arx:papers:2205.03970.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2025Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2025). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2025Nickell Bias in Panel Local Projection: Financial Crises Are Worse Than You Think. (2023). Sheng, Liugang ; Mei, Ziwei ; Shi, Zhentao. In: Papers. RePEc:arx:papers:2302.13455.

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2024Estimation of Grouped Time-Varying Network Vector Autoregression Models. (2024). Li, Degui ; Wu, Wei Biao ; Tang, Songqiao ; Peng, Bin. In: Papers. RePEc:arx:papers:2303.10117.

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2025Measuring risk contagion in financial networks with CoVaR. (2024). Fasen-Hartmann, Vicky ; Das, Bikramjit. In: Papers. RePEc:arx:papers:2309.15511.

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2025Regressions under Adverse Conditions. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2024Structural Analysis of Vector Autoregressive Models. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2025Decomposing Global Bank Network Connectedness: What is Common, Idiosyncratic and When?. (2025). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2402.02482.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024Factor risk measures. (2024). Liu, Peng ; Assa, Hirbod. In: Papers. RePEc:arx:papers:2404.08475.

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2024Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2404.18029.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012.

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2024On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549.

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2024Financial Interactions and Capital Accumulation. (2024). Lotz, Aïleen ; Gosselin, Pierre. In: Papers. RePEc:arx:papers:2405.10338.

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2024Wild inference for wild SVARs with application to heteroscedasticity-based IV. (2024). Polbin, Andrey ; Karamysheva, Madina ; Gafarov, Bulat ; Skrobotov, Anton. In: Papers. RePEc:arx:papers:2407.03265.

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2025Enhancing Startup Success Predictions in Venture Capital: A GraphRAG Augmented Multivariate Time Series Method. (2025). Gao, Zitian ; Xiao, Yihao. In: Papers. RePEc:arx:papers:2408.09420.

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2024Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players. (2024). Chen, Yufan ; Zhang, Ruixun ; Xu, Renyuan ; Wu, Lan. In: Papers. RePEc:arx:papers:2408.09505.

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2024Systemic Risk Asymptotics in a Renewal Model with Multiple Business Lines and Heterogeneous Claims. (2024). Wan, Hongfu ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2410.00158.

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2024A new GARCH model with a deterministic time-varying intercept. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Back, Alexander ; Ahlgren, Niklas. In: Papers. RePEc:arx:papers:2410.03239.

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2024Persistence-Robust Break Detection in Predictive Quantile and CoVaR Regressions. (2024). Hoga, Yannick. In: Papers. RePEc:arx:papers:2410.05861.

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2024Evaluating Financial Relational Graphs: Interpretation Before Prediction. (2024). Potì, Valerio ; Dong, Ruihai ; Poti, Valerio ; Dolphin, Rian ; Lu, Lanxin ; Niu, Yingjie. In: Papers. RePEc:arx:papers:2410.07216.

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2024Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions. (2024). Shi, Zhentao ; Mei, Ziwei ; Liao, Chengwang. In: Papers. RePEc:arx:papers:2410.09825.

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2024Predictive Quantile Regression with High-Dimensional Predictors: The Variable Screening Approach. (2024). Lee, Ji Hyung ; Chen, Hongqi. In: Papers. RePEc:arx:papers:2410.15097.

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2024Calibrated quantile prediction for Growth-at-Risk. (2024). Vantini, Simone ; Neri, Luca ; Fontana, Matteo ; Bogani, Pietro. In: Papers. RePEc:arx:papers:2411.00520.

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2025On multivariate contribution measures of systemic risk with applications in cryptocurrency market. (2025). Zhang, Yiying ; Pu, Tong ; Li, Junxue ; Wen, Limin. In: Papers. RePEc:arx:papers:2411.13384.

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2025Self-Normalized Inference in (Quantile, Expected Shortfall) Regressions for Time Series. (2025). Schulz, Christian ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2502.10065.

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2025Marginal expected shortfall: Systemic risk measurement under dependence uncertainty. (2025). Lin, Sheldon X ; Furman, Edward ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2504.19953.

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2025Systemic Risk in the European Insurance Sector. (2025). Borri, Nicola ; di Giorgio, Giorgio ; Consiglio, Andrea ; Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:2505.02635.

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2025(Visualizing) Plausible Treatment Effect Paths. (2025). Freyaldenhoven, Simon ; Hansen, Christian. In: Papers. RePEc:arx:papers:2505.12014.

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2025Machine-learning Growth at Risk. (2025). Lee, Ji Hyung ; Dovi, Max-Sebastian ; Chen, Hongqi ; Adrian, Tobias. In: Papers. RePEc:arx:papers:2506.00572.

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2025Kronos: A Foundation Model for the Language of Financial Markets. (2025). Li, Jian ; Zhang, Changshui ; Xu, Wei ; Zhao, Bohan ; Chen, Shuo ; Fu, Zongliang ; Shi, YU. In: Papers. RePEc:arx:papers:2508.02739.

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2025Higher moments under dependence uncertainty with applications in insurance. (2025). Vanduffel, Steven ; Bernard, Carole ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2508.16600.

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2025What influenced the lack of diversity in CSR after the companys losses: evidence from topic modeling. (2025). Liu, Ruiying. In: Papers. RePEc:arx:papers:2509.23424.

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2025Equity Market Price Changes Are Predictable: A Natural Science Approach. (2025). Han, Qingyuan. In: Papers. RePEc:arx:papers:2510.01542.

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2025Signed network models for portfolio optimization. (2025). Adhikari, Bibhas. In: Papers. RePEc:arx:papers:2510.05377.

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2025Probability equivalent level for CoVaR and VaR in bivariate Student-\textit{t} copulas with application to foreign exchange risk monitoring. (2025). Flores-Silva, Daniela I ; Su, Alfonso ; Sordo, Miguel A. In: Papers. RePEc:arx:papers:2510.15934.

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2025Concentration Inequalities for Suprema of Empirical Processes with Dependent Data via Generic Chaining with Applications to Statistical Learning. (2025). Amorino, Chiara ; Ghosh, Ankita ; Brownlees, Christian. In: Papers. RePEc:arx:papers:2511.00597.

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2024Real-time Nowcasting Growth-at-Risk using the Survey of Professional Forecasters. (2024). Schick, Manuel. In: Working Papers. RePEc:awi:wpaper:0750.

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2024Dynamic Measures of Sovereign Systemic Risk. (2024). Radev, Deyan. In: Economic Studies journal. RePEc:bas:econst:y:2024:i:5:p:3-24.

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2025España | Los cortos retardos de la política monetaria. (2025). Ortiz, Alvaro ; Duarte, Joao ; Corsetti, Giancarlo ; Carvalho, Vasco ; Buda, Gergely ; Hansen, Stephen ; da Silva, Afonso Pereira ; Rodrguez, Jos V ; Rodrigo, Tomasa. In: Working Papers. RePEc:bbv:wpaper:2502.

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2025España | Los breves desfases de la Política Monetaria. (2025). Research, Bbva. In: Working Papers. RePEc:bbv:wpaper:2508.

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2024Decomposing Large Banks’ Systemic Trading Losses. (2024). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:24-6.

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2025A Market-Based Approach to Reverse Stress Testing the Financial System. (2025). Ojea Ferreiro, Javier. In: Staff Working Papers. RePEc:bca:bocawp:25-32.

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2025Performance Measurement Framework for Local Government: A Systematic Literature Review. (2025). Rachbini, Widarto ; Roziq, Mohammad ; Widyastuti, Sri. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:9:y:2025:i:14:p:247-259.

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2025Comparing the systemic risk of Italian insurers and banks. (2025). Bianchi, Michele Leonardo ; Pallante, Federica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_922_25.

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2025Energy price shocks and their effects on the main macroeconomic variables: a Bayesian SVAR analysis. (2025). Lilla, Francesca ; Infante, Luigi ; Pasetto, Michela E. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_926_25.

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2025A high-dimensional GDP-at-risk and Inflation-at-risk for the euro area. (2025). Santi, Matteo. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1484_25.

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2024Measuring the connectedness of the Nigerian banking network and its implications for systemic risk. (2024). Kamah, Miriam ; Riti, Joshua. In: Modern Finance. RePEc:bdy:modfin:v:2:y:2024:i:2:p:96-119:id:111.

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2025Commonality under pressure: banks and funds. (2025). Cornelli, Giulio ; Aquilina, Matteo ; Tarashev, Nikola. In: BIS Quarterly Review. RePEc:bis:bisqtr:2503e.

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2024Growth at risk from climate change. (2024). Kiley, Michael. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:3:p:1134-1151.

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2024Drivers of international fiscal spillovers. (2024). YILMAZKUDAY, HAKAN. In: Economics and Politics. RePEc:bla:ecopol:v:36:y:2024:i:3:p:1491-1536.

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2024Impacts of Monetary Policy Shocks on Inflation and Output in New Zealand. (2024). Kirkby, Robert ; Vu, Huong Ngoc. In: The Economic Record. RePEc:bla:ecorec:v:100:y:2024:i:329:p:160-187.

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2024Are stress‐tested banks in the United States becoming similar? Evidence from convergence tests. (2024). Payne, James ; Nazlioglu, Saban ; Kirimhan, Destan. In: Journal of Financial Research. RePEc:bla:jfnres:v:47:y:2024:i:1:p:61-88.

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2024Testing for jumps with robust spot volatility estimators. (2024). Sun, Yucheng. In: Statistica Neerlandica. RePEc:bla:stanee:v:78:y:2024:i:1:p:79-104.

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2024Growth-at-risk for macroprudential policy stance assessment: a survey. (2024). Škrinjarić, Tihana. In: Bank of England working papers. RePEc:boe:boeewp:1075.

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2025The Short Lags of Monetary Policy. (2025). Ortiz, Alvaro ; Duarte, Joao ; Hansen, S ; Corsetti, G ; Carvalho, V M ; Buda, G ; Rodrigo, T ; da Silva, Alves G ; Rodraiguez, J V ; Moura, A S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2509.

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2025The Short Lags of Monetary Policy. (2025). Ortiz, Alvaro ; Duarte, Joao ; Moura, A S ; Hansen, S ; Corsetti, G ; Carvalho, V M ; Buda, G ; da Silva, Alves G ; Rodraiguez, J V ; Rodrigo, T. In: Janeway Institute Working Papers. RePEc:cam:camjip:2504.

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2025Charting the Uncharted: The (Un)Intended Consequences of Oil Sanctions and Dark Shipping. (2025). Zanetti, Francesco ; Fernandez-Villaverde, Jesus ; Xu, LE ; Li, Yiliang ; Fernndez-Villaverde, Jess. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11684.

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2025Charting the Uncharted: The (Un)Intended Consaequences of Oil Sanctions and Dark Shipping. (2025). Zanetti, Francesco ; Fernandez-Villaverde, Jesus ; Li, Yiliang ; Xu, LE. In: CIGS Working Paper Series. RePEc:cnn:wpaper:25-009e.

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2024On the relationship of country geopolitical risk on energy inflation. (2024). Lopes, Mara Helena ; Vedia, Ignacio Garrn ; de Oliveira, Cristina Alexandra. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:45113.

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2024The nonlinear effects of banks’ vulnerability to capital depletion in euro area countries. (2024). Davidson, Sharada Nia ; Moccero, Diego Nicolas. In: Working Paper Series. RePEc:ecb:ecbwps:20242912.

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2024Stress testing with multiple scenarios: a tale on tails and reverse stress scenarios. (2024). Budnik, Katarzyna ; Angotti, Romain ; Aikman, David. In: Working Paper Series. RePEc:ecb:ecbwps:20242941.

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2024Tackling the volatility paradox: spillover persistence and systemic risk. (2024). Kubitza, Christian. In: Working Paper Series. RePEc:ecb:ecbwps:20242981.

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2024Monetary policy pass-through to consumer prices: evidence from granular price data. (2024). Allayioti, Anastasia ; Grnicka, Lucyna ; Holton, Sarah ; Hernndez, Catalina Martnez. In: Working Paper Series. RePEc:ecb:ecbwps:20243003.

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2025Higher-order exposures. (2025). Wetzer, Thom ; Kemp, Esti ; Kleinnijenhuis, Alissa M ; Wiersema, Garbrand. In: Working Paper Series. RePEc:ecb:ecbwps:20253091.

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2025Gaming the test? Window-dressing and portfolio similarity around the EU-wide stress tests. (2025). Barbieri, Claudio ; Cuzzola, Angelo ; Haaj, Grzegorz. In: Working Paper Series. RePEc:ecb:ecbwps:20253094.

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2024Does oil future increase the network systemic risk of financial institutions in China?. (2024). Sun, Chuanwang ; Lin, Yuting ; Zhou, Lichao ; Chen, Chuanglian. In: Applied Energy. RePEc:eee:appene:v:364:y:2024:i:c:s0306261924005592.

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2024Asymmetric spillover and network connectedness of policy uncertainty, fossil fuel energy, and global ESG investment. (2024). Zhou, Zhongbao ; Jiang, Yong ; Lin, Ling. In: Applied Energy. RePEc:eee:appene:v:368:y:2024:i:c:s0306261924008158.

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2024Data driven cost-sensitive boosted tree for interpretable banking systemic risk prediction. (2024). Wang, Zhijie ; Xia, Meng ; Liu, Wanan. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:189:y:2024:i:p1:s0960077924012165.

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2025Is U.S. real output growth non-normal? A tale of time-varying location and scale. (2025). Demetrescu, Matei ; Kruse-Becher, Robinson. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002240.

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2024Financial shock transmission in Chinas banking and housing sectors: A network analysis. (2024). Yu, Ziliang ; Li, Yang ; Nong, Huifu. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:701-723.

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2024The determinants of systemic risk contagion. (2024). Atasoy, Burak ; Erden, Lutfi ; Ozkan, Brahim. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s026499932300408x.

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2024Pushing and pulling on a string? Inflationary effects of expansionary and contractionary monetary policies when rates are negative. (2024). Laine, Olli-Matti ; Pihlajamaa, Matias. In: Economic Modelling. RePEc:eee:ecmode:v:131:y:2024:i:c:s0264999323004327.

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2024Exchange rates, uncertainty, and price-setting: Evidence from CPI microdata. (2024). Lopez-Martin, Bernabe ; Canales, Mario. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001184.

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2025Adaptive local VAR for dynamic economic policy uncertainty spillover. (2025). Gillmann, Niels ; Okhrin, Ostap. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000744.

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2024Economic policy uncertainty, macroeconomic shocks, and systemic risk: Evidence from China. (2024). Lai, Yongzeng ; Yang, Xite ; Tao, Qiufan ; Zhang, Qin ; Huang, Linya ; Liu, Haiyue. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001559.

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2024Constructing early warning indicators for banks using machine learning models. (2024). Tarkocin, Coskun ; Donduran, Murat. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001419.

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2024Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan. (2024). Ruan, Jia ; Ni, Jianhui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300178x.

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2024Risk spillover mechanism among commercial banks and FinTech institutions throughout public health emergencies. (2024). Zhu, Jing ; Zhao, Jingsong ; Sun, Jiaojiao ; Zhang, Chen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001402.

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2024Stock market extreme risk prediction based on machine learning: Evidence from the American market. (2024). Ren, Tingting ; Zhang, Siying ; Li, Shaofang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001669.

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2024Risk spillovers among oil, gold, stock, and foreign exchange markets: Evidence from G20 economies. (2024). Liu, Zixin ; He, Zhipeng ; Zhang, Shuguang ; Hu, Jun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001748.

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2025An early prediction model on systemic risk under global risk: Using FinBERT and temporal fusion transformer to multimodal data fusion framework. (2025). Lin, Shu-Ling ; Jin, Xiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000014.

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2025Asymmetry and determinants of financial connectivity in G20: Evidence from a quantile-based and lasso regression analysis. (2025). Liu, Xiaoxing ; Yang, Guangyi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000191.

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2025From collapse to contagion: How bank failures influence stock markets. (2025). Tepl, Petr ; Bro, Vclav. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000841.

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2025Network volatility, contagion, and two-pillar policies: Insights from Chinese financial sector data. (2025). Zhang, Xiaoyuan ; You, Hang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000890.

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2024Assessing time-varying risk in China’s GDP growth. (2024). Ye, Wuyi ; Jiao, Shoukun ; Lv, Mengdi ; Xu, Jiexin ; Song, Hongmei. In: Economics Letters. RePEc:eee:ecolet:v:242:y:2024:i:c:s016517652400380x.

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2024Estimation of complier expected shortfall treatment effects with a binary instrumental variable. (2024). He, Xuming ; Tan, Kean Ming ; Wei, BO. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002889.

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2024Measuring tail risk. (2024). Prokopczuk, Marcel ; Dierkes, Maik ; Hollstein, Fabian ; Wursig, Christoph Matthias. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001155.

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2024Local projections vs. VARs: Lessons from thousands of DGPs. (2024). Plagborg-Moller, Mikkel ; Wolf, Christian K ; Plagborg-Mller, Mikkel ; Li, Dake. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s030440762400068x.

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2024Local projections in unstable environments. (2024). Wang, Yiru ; Rossi, Barbara ; Inoue, Atsushi. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624000721.

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2024Reprint of: Out-of-sample tests for conditional quantile coverage: An application to Growth-at-Risk. (2024). Fosten, Jack ; Corradi, Valentina ; Gutknecht, Daniel. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624000927.

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2025Inference on dynamic systemic risk measures. (2025). Francq, Christian ; Zakoan, Jean-Michel. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002872.

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2025Identifying the volatility risk price through the leverage effect. (2025). Renault, Eric ; Sangrey, Paul ; Cheng, XU. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400294x.

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2025Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach. (2025). Korobilis, Dimitris ; Schrder, Maximilian. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624000769.

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2025Estimating time-varying networks for high-dimensional time series. (2025). Chen, Jia ; Li, Degui ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624002926.

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2025A simple and computationally trivial estimator for grouped fixed effects models. (2025). Mugnier, Martin. In: Journal of Econometrics. RePEc:eee:econom:v:250:y:2025:i:c:s030440762500065x.

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2024Modeling Turning Points in the Global Equity Market. (2024). Casarin, Roberto ; Billio, Monica ; Ahelegbey, Daniel Felix. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:60-75.

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More than 100 citations found, this list is not complete...

Works by Christian T. Brownlees:

YearTitleTypeCited
2023Performance of Empirical Risk Minimization for Linear Regression with Dependent Data In: Papers.
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2025PERFORMANCE OF EMPIRICAL RISK MINIMIZATION FOR LINEAR REGRESSION WITH DEPENDENT DATA.(2025) In: Econometric Theory.
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This paper has nother version. Agregated cites: 2		article
2024Unit Averaging for Heterogeneous Panels In: Papers.
[Full Text][Citation analysis]		paper0
2024Performance of Empirical Risk Minimization For Principal Component Regression In: Papers.
[Full Text][Citation analysis]		paper0
2025Concentration Inequalities for Suprema of Empirical Processes with Dependent Data via Generic Chaining with Applications to Statistical Learning In: Papers.
[Full Text][Citation analysis]		paper0
2021Non-Standard Errors In: Working Papers.
[Full Text][Citation analysis]		paper14
2024Nonstandard Errors.(2024) In: Journal of Finance.
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This paper has nother version. Agregated cites: 14		article
2024Nonstandard errors.(2024) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 14		paper
2024Nonstandard Errors.(2024) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2021Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 14		paper
2024Nonstandard Errors.(2024) In: Post-Print.
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This paper has nother version. Agregated cites: 14		paper
2024Nonstandard Errors.(2024) In: Post-Print.
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This paper has nother version. Agregated cites: 14		paper
2021Non-Standard Errors.(2021) In: Post-Print.
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This paper has nother version. Agregated cites: 14		paper
2021Non-Standard Errors.(2021) In: Working Papers.
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This paper has nother version. Agregated cites: 14		paper
2021Non-Standard Errors.(2021) In: Working Papers.
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This paper has nother version. Agregated cites: 14		paper
2021Non-standard errors.(2021) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 14		paper
2015Nets: Network Estimation for Time Series In: Working Papers.
[Full Text][Citation analysis]		paper104
2018Nets: network estimation for time series.(2018) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 104		paper
2013Nets: Network estimation for time series.(2013) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 104		paper
2019NETS: Network estimation for time series.(2019) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 104		article
2017Detecting Granular Time Series in Large Panels In: Working Papers.
[Full Text][Citation analysis]		paper7
2021Detecting granular time series in large panels.(2021) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2013A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article4
2016Impulse Response Estimation By Smooth Local Projections In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper140
2019Impulse Response Estimation by Smooth Local Projections.(2019) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 140		article
2017Back to the Future: Backtesting Systemic Risk Measures during Historical Bank Runs and the Great Depression In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper24
2020Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression.(2020) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		article
2022Corporate hedging and the variance of stock returns In: Journal of Corporate Finance.
[Full Text][Citation analysis]		article3
2006Financial econometric analysis at ultra-high frequency: Data handling concerns In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article163
2006Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns.(2006) In: Econometrics Working Papers Archive.
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This paper has nother version. Agregated cites: 163		paper
2014Disentangling systematic and idiosyncratic dynamics in panels of volatility measures In: Journal of Econometrics.
[Full Text][Citation analysis]		article32
2014Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures.(2014) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
2021Detecting groups in large vector autoregressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
2024Empirical risk minimization for time series: Nonparametric performance bounds for prediction In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2019Hierarchical GARCH In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
2017Credit risk interconnectedness: What does the market really know? In: Journal of Financial Stability.
[Full Text][Citation analysis]		article28
2016Credit risk interconnectedness: What does the market really know?.(2016) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
2011Shrinkage estimation of semiparametric multiplicative error models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article8
2011Shrinkage estimation of semiparametric multiplicative error models.(2011) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2023Projected Dynamic Conditional Correlations In: International Journal of Forecasting.
[Full Text][Citation analysis]		article1
2021Bank credit risk networks: Evidence from the Eurozone In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article13
2021Backtesting global Growth-at-Risk In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article51
2015Backtesting Systemic Risk Measures During Historical Bank Runs In: Working Paper Series.
[Full Text][Citation analysis]		paper14
2007Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper0
2007Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper0
2007Comparison of Volatility Measures: a Risk Management Perspective In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper107
2008Comparison of Volatility Measures: a Risk Management Perspective.(2008) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 107		paper
2010Comparison of Volatility Measures: a Risk Management Perspective.(2010) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 107		article
2009Intra-daily Volume Modeling and Prediction for Algorithmic Trading In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper45
2011Intra-daily Volume Modeling and Prediction for Algorithmic Trading.(2011) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 45		article
2010Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper7
2011Multiplicative Error Models In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper30
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper5
2022Forecasting intra-daily volume in large panels of assets In: Post-Print.
[Citation analysis]		paper0
2024Forecasting Intra-daily Volume in Large Panels of Assets.(2024) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2008On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article8
2017SRISK: A Conditional Capital Shortfall Measure of Systemic Risk In: The Review of Financial Studies.
[Full Text][Citation analysis]		article477
2017SRISK: a conditional capital shortfall measure of systemic risk.(2017) In: ESRB Working Paper Series.
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This paper has nother version. Agregated cites: 477		paper
A practical guide to volatility forecasting through calm and storm In: Journal of Risk.
[Full Text][Citation analysis]		article0
2020On the estimation of integrated volatility in the presence of jumps and microstructure noise In: Econometric Reviews.
[Full Text][Citation analysis]		article6
2022Community Detection in Partial Correlation Network Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article3
2018Realized networks In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article15
2018EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT In: Annals of Financial Economics (AFE).
[Full Text][Citation analysis]		article3
2013MEASURING SYSTEMIC RISK In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter1164

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