Christian T. Brownlees : Citation Profile


Are you Christian T. Brownlees?

Barcelona School of Economics (BSE)

13

H index

13

i10 index

1519

Citations

RESEARCH PRODUCTION:

23

Articles

24

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (2006 - 2022). See details.
   Cites by year: 94
   Journals where Christian T. Brownlees has often published
   Relations with other researchers
   Recent citing documents: 288.    Total self citations: 21 (1.36 %)

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   Permalink: http://citec.repec.org/pbr121
   Updated: 2022-08-13    RAS profile: 2022-05-23    
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Relations with other researchers


Works with:

Dreber, Anna (5)

Holzmeister, Felix (5)

Gehrig, Thomas (5)

Johannesson, Magnus (5)

Menkveld, Albert (5)

Colliard, Jean-Edouard (4)

Alexeev, Vitali (4)

Ait-Sahalia, Yacine (4)

Gerritsen, Dirk (4)

CAPELLE-BLANCARD, Gunther (4)

Dimpfl, Thomas (4)

FERROUHI, EL MEHDI (4)

Caporin, Massimiliano (4)

Adrian, Tobias (4)

Abudy, Menachem (4)

Chow, Nikolai Sheung-Chi (4)

Bohorquez Correa, Santiago (4)

Dumitrescu, Ariadna (4)

Ferrara, Gerardo (4)

Deev, Oleg (4)

Gil-Bazo, Javier (3)

Schwarz, Marco (3)

Frömmel, Michael (3)

Füllbrunn, Sascha (3)

Reitz, Stefan (2)

Gorbenko, Arseny (2)

Lopez-Lira, Alejandro (2)

Liew, Chee (2)

Patel, Vinay (2)

Heath, Davidson (2)

Rinne, Kalle (2)

Theissen, Erik (2)

Pastor, Lubos (2)

Scaillet, Olivier (2)

Regis, Luca (2)

Vilkov, Grigory (2)

Jalkh, Naji (2)

Xia, Shuo (2)

Hautsch, Nikolaus (2)

Hurlin, Christophe (2)

Kassner, Bernhard (2)

Ranaldo, Angelo (2)

Bos, Charles (2)

Taylor, Nick (2)

Tonks, Ian (2)

Palan, Stefan (2)

Roy, Saurabh (2)

Barigozzi, Matteo (2)

Putnins, Talis (2)

Wong, Wing-Keung (2)

Pasquariello, Paolo (2)

Bouri, Elie (2)

Schenk-Hoppé, Klaus (2)

Stefanova, Denitsa (2)

Jurkatis, Simon (2)

Rakowski, David (2)

Wolff, Christian (2)

Moinas, Sophie (2)

Guðmundsson, Guðmundur (2)

Frijns, Bart (2)

Nielsson, Ulf (2)

van Kervel, Vincent (2)

Xiu, Dacheng (2)

Horenstein, Alex (2)

Lajaunie, Quentin (2)

Mesters, Geert (2)

Talavera, Oleksandr (2)

Walther, Thomas (2)

Foucault, Thierry (2)

Patton, Andrew (2)

Pelizzon, Loriana (2)

Zhou, Chen (2)

Engle, Robert (2)

Davies, Ryan (2)

Smales, Lee (2)

Sarno, Lucio (2)

Harris, Jeffrey (2)

Park, Andreas (2)

LINTON, OLIVER (2)

Wilhelmsson, Anders (2)

Lof, Matthijs (2)

PASCUAL, ROBERTO (2)

Verousis, Thanos (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 (53)

Giudici, Paolo (21)

Barigozzi, Matteo (20)

Hallin, Marc (20)

Otranto, Edoardo (20)

Lucas, Andre (18)

Engle, Robert (18)

Diebold, Francis (17)

Yilmaz, Kamil (15)

Teräsvirta, Timo (14)

Caporin, Massimiliano (14)

Cites to:

Engle, Robert (55)

Gallo, Giampiero (38)

Diebold, Francis (32)

Shephard, Neil (28)

Hautsch, Nikolaus (22)

Bollerslev, Tim (20)

Andersen, Torben (16)

Reichlin, Lucrezia (16)

Bauwens, Luc (15)

Forni, Mario (14)

Lippi, Marco (12)

Main data


Where Christian T. Brownlees has published?


Journals with more than one article published# docs
Journal of Econometrics3
Journal of Financial Econometrics3
International Journal of Forecasting2
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
CEPR Discussion Papers / C.E.P.R. Discussion Papers2
Working Papers / Barcelona Graduate School of Economics2

Recent works citing Christian T. Brownlees (2022 and 2021)


YearTitle of citing document
2021Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. (2021). Kruse-Becher, Robinson ; Demetrescu, Matei. In: CREATES Research Papers. RePEc:aah:create:2021-07.

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2022A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01.

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2021Loss Sharing in Central Clearinghouses: Winners and Losers. (2021). Sherman, Mila Getmansky ; Pelizzon, Loriana ; Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:066.

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2021Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk. (2021). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:079.

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2021Dynamic Quantile Function Models. (2017). Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Papers. RePEc:arx:papers:1707.02587.

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2022Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2021Stress testing and systemic risk measures using multivariate conditional probability. (2020). Aste, Tomaso. In: Papers. RePEc:arx:papers:2004.06420.

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2021Suffocating Fire Sales. (2020). Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo ; Detering, Nils. In: Papers. RePEc:arx:papers:2006.08110.

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2021Measuring the Effect of Unconventional Policies on Stock Market Volatility. (2020). Gallo, Giampiero ; Lacava, Demetrio ; Otranto, Edoardo. In: Papers. RePEc:arx:papers:2010.08259.

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2021Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2021Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2021Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077.

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2021A Basket Half Full: Sparse Portfolios. (2020). Seregina, Ekaterina. In: Papers. RePEc:arx:papers:2011.04278.

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2021Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

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2022Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780.

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2022A Bayesian Graphical Approach for Large-Scale Portfolio Management with Fewer Historical Data. (2021). Oya, Sakae. In: Papers. RePEc:arx:papers:2103.05880.

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2022Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673.

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2021Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923.

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2021Predicting Daily Trading Volume via Various Hidden States. (2021). Li, Pengcheng ; Ma, Shaojun. In: Papers. RePEc:arx:papers:2107.07678.

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2022Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149.

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2022Weighted-average quantile regression. (2022). Chetverikov, Denis ; Tsyvinski, Aleh ; Liu, Yukun. In: Papers. RePEc:arx:papers:2203.03032.

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2022Vulnerability-CoVaR: Investigating the Crypto-market. (2022). Okhrin, Ostap ; Singh, Abhay Kumar ; Waltz, Martin. In: Papers. RePEc:arx:papers:2203.10777.

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2022Policy Choice in Time Series by Empirical Welfare Maximization. (2022). Wang, Weining ; Kitagawa, Toru ; Xu, Mengshan. In: Papers. RePEc:arx:papers:2205.03970.

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2022Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738.

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2022Increasing countries financial resilience through global catastrophe risk pooling. (2022). Strobl, Eric ; Ciullo, Alessio ; Bresch, David N ; Martius, Olivia ; Meiler, Simona. In: Papers. RePEc:arx:papers:2206.13895.

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2022Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2022Quantitative Stock Investment by Routing Uncertainty-Aware Trading Experts: A Multi-Task Learning Approach. (2022). Wang, Rundong ; Sun, Shuo. In: Papers. RePEc:arx:papers:2207.07578.

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2021Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20154.

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2021Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp21154.

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2021Systemic Risk and Portfolio Diversification: Evidence from the Futures Market. (2021). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:21-50.

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2022Asymmetric Systemic Risk. (2022). Silva Buston, Consuelo ; Raykov, Radoslav ; Silva-Buston, Consuelo. In: Staff Working Papers. RePEc:bca:bocawp:22-19.

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2021The Role of (non-)Topological Features as Drivers of Systemic Risk: a machine learning approach. (2021). Silva, Thiago ; Rodrigues, Francisco A ; Connaughton, Colm ; Alexandre, Michel. In: Working Papers Series. RePEc:bcb:wpaper:556.

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2022The Rising Interconnectedness of the Insurance Sector. (2022). Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:857.

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2021Quality of working environment and corporate financial distress. (2021). Talavera, Oleksandr ; Pham, Tho ; Yin, Shuxing ; Wood, Geoffrey. In: Discussion Papers. RePEc:bir:birmec:21-04.

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2021Optimal bank leverage and recapitalization in crowded markets. (2021). Bertsch, Christoph ; Mariathasan, Mike. In: BIS Working Papers. RePEc:bis:biswps:923.

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2022Comparison of Models for Growth-at-Risk Forecasting. (2022). Kipriyanov, Aleksei. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:81:y:2022:i:1:p:23-45.

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2021Risk contagion of global stock markets under COVID?19:A network connectedness method. (2021). Zhao, Xuezhou ; DING, Yuang ; Chu, Wangyu ; Yu, Honghai. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:4:p:5745-5782.

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2021Can “Concerted” Macroprudential Policies Mitigate Cross?border Contagion of Financial Risks? Evidence from China and Its Financially Connected Economies. (2021). Chen, Xiaoli ; Liu, Xiaoyu. In: China & World Economy. RePEc:bla:chinae:v:29:y:2021:i:3:p:26-54.

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2021GDP?network CoVaR: A tool for assessing growth?at?risk. (2021). Tizzanini, Giacomo ; De Meo, Emanuele . In: Economic Notes. RePEc:bla:ecnote:v:50:y:2021:i:2:n:e12181.

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2021Measuring Systemic Risk: Capital Shortfall and CSRISK. (2021). Lee, Joeming ; Hsu, Yuanteng ; Wang, Jyingnan ; Chen, Chihchun. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:1:p:358-369.

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2021An Extensive Comparison of Some Well?Established Value at Risk Methods. (2021). Lettieri, Davi ; Ferioli, Eduardo ; Calmon, Wilson ; Pizzinga, Adrian ; Soares, Johann. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:1:p:148-166.

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2021De?risking through equity holdings: Bank and insurer behavior under capital requirements. (2021). Zhu, Min ; Zhou, Qing ; Yang, Liu. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:48:y:2021:i:9-10:p:1889-1917.

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2021Model?Free International Stochastic Discount Factors. (2021). Vedolin, Andrea ; Trojani, Fabio ; Sandulescu, Mirela. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:935-976.

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2022Going the Extra Mile: Distant Lending and Credit Cycles. (2022). Leuz, Christian ; Rajan, Raghuram G ; Granja, Joo. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1259-1324.

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2022The Fragility of Market Risk Insurance. (2022). Yogo, Motohiro. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:815-862.

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2021Regulation of Compensation and Systemic Risk: Evidence from the UK. (2021). Tuna, rem ; Kleymenova, Anya. In: Journal of Accounting Research. RePEc:bla:joares:v:59:y:2021:i:3:p:1123-1175.

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2022White elephants on quicksand: Low oil prices and high geopolitical risk. (2022). Elgamal, Mahmoud ; Abdellatif, Hany. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:69:y:2022:i:1:p:60-107.

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2021On the origin of systemic risk. (2021). Covi, Giovanni ; Montagna, Mattia ; Torri, Gabriele. In: Bank of England working papers. RePEc:boe:boeewp:0906.

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2021Mortgage-Related Bank Penalties and Systemic Risk among U.S. Banks. (2021). Kočenda, Evžen ; Kocenda, Even ; Bro, Vaclav. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9463.

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2021Interaction of Cyclical and Structural Systemic Risks: Insights from Around and After the Global Financial Crisis. (2021). Hodula, Martin ; Pfeifer, Lukas ; Janku, Jan. In: Research and Policy Notes. RePEc:cnb:rpnrpn:2021/03.

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2022Estimating dynamic systemic risk measures. (2022). Francq, Christian ; Cantin, Loic ; Zakoian, Jean-Michel. In: Working Papers. RePEc:crs:wpaper:2022-11.

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2021Comparison of Local Projection Estimators for Proxy Vector Autoregressions. (2021). Lutkepohl, Helmut ; Bruns, Martin. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1949.

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2021How useful is market information for the identification of G-SIBs?. (2021). Cappelletti, Giuseppe ; Busch, Pascal ; Wildmann, Nadya ; Meller, Barbara ; Marincas, Vlad. In: Occasional Paper Series. RePEc:ecb:ecbops:2021260.

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2021The risk management approach to macro-prudential policy. (2021). Kremer, Manfred ; Engle, Robert ; Chavleishvili, Sulkhan ; Schwaab, Bernd ; Manganelli, Simone ; Fahr, Stephan. In: Working Paper Series. RePEc:ecb:ecbwps:20212565.

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2021Bank balance sheet constraints and bond liquidity. (2021). Ivashina, Victoria ; Breckenfelder, Johannes. In: Working Paper Series. RePEc:ecb:ecbwps:20212589.

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2021Monetary Policy in a Low Interest Rate Environment: Reversal Rate and Risk-Taking. (2021). Leonello, Agnese ; Heider, Florian. In: Working Paper Series. RePEc:ecb:ecbwps:20212593.

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2021The time-varying evolution of inflation risks. (2021). Korobilis, Dimitris ; Phella, Anthoulla ; Musso, Alberto ; Landau, Bettina. In: Working Paper Series. RePEc:ecb:ecbwps:20212600.

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2021Macroeconomic reversal rate in a low interest rate environment. (2021). Samarina, Anna ; Konietschke, Paul ; Stanga, Irina M ; van den End, Jan Willem. In: Working Paper Series. RePEc:ecb:ecbwps:20212620.

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2022A narrative database of labour market reforms in euro area economies. (2022). Runstler, Gerhard ; di Tommaso, Valerio ; Aumond, Romain. In: Working Paper Series. RePEc:ecb:ecbwps:20222657.

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2022Temporal networks in the analysis of financial contagion. (2022). Nocciola, Luca ; Franch, Fabio ; Vouldis, Angelos. In: Working Paper Series. RePEc:ecb:ecbwps:20222667.

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2021Banks’ loan charge-offs and macro-level risk. (2021). Guo, Mengyang ; Song, Victor ; Jin, Justin Y. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001179.

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2021The drivers of systemic risk in financial networks: a data-driven machine learning analysis. (2021). Silva, Thiago ; Rodrigues, Francisco A ; Connaughton, Colm ; Alexandre, Michel. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:153:y:2021:i:p1:s0960077921009425.

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2021Forgive me all my sins: How penalties imposed on banks travel through markets. (2021). Degryse, Hans ; Flore, Christian ; Schiereck, Dirk ; Kolaric, Sascha. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s092911992100033x.

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2022Non-financial corporations and systemic risk. (2022). Wosser, Michael ; O'Connor, Thomas ; Flavin, Thomas ; Dungey, Mardi. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002510.

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2021Network tail risk estimation in the European banking system. (2021). Tich, Toma ; Giacometti, Rosella ; Torri, Gabriele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000609.

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2022Comparison of local projection estimators for proxy vector autoregressions. (2022). Lütkepohl, Helmut ; Lutkepohl, Helmut ; Bruns, Martin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002128.

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2021The time-varying risk of Italian GDP. (2021). Pacella, Claudia ; Busetti, Fabio ; delle Monache, Davide ; Caivano, Michele. In: Economic Modelling. RePEc:eee:ecmode:v:101:y:2021:i:c:s0264999321001115.

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2021Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises. (2021). Chevallier, Julien ; Deng, Yuanyue ; Lin, Renda ; Zhu, BO ; Chen, Pingshe. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002406.

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2022Measuring systemic risk in the global banking sector: A cross-quantilogram network approach. (2022). Výrost, Tomᚠ; Baumohl, Eduard ; Vrost, Toma ; Hussain, Syed Jawad ; Hoang, Thi-Hong-Van, ; Bouri, Elie. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000219.

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2022Forecasting macroeconomic effects of stablecoin adoption: A Bayesian approach. (2022). Milacic, Veselin ; Milosevic, Igor ; Jolicic, Ivan ; Radulovic, Mladen ; Mihailovic, Andrej ; Bracanovic, Andrej ; Muhadinovic, Milica ; Bojaj, Martin M. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000384.

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2021A model-based index for systemic risk contribution measurement in financial networks. (2021). Zhu, LI ; Zhang, Ziqing ; Deng, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:35-48.

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2021Default clustering of the nonfinancial sector and systemic risk: Evidence from China. (2021). Shen, Jie ; Hou, Siyuan ; Wang, Xiaoting. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:196-208.

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2021Network VAR models to measure financial contagion. (2021). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Hashem, Shatha Qamhieh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302059.

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2021Measuring systemic risk of the Chinese banking industry: A wavelet-based quantile regression approach. (2021). Jiang, Cuixia ; Jin, Bei ; Xu, Qifa. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302357.

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2021Analysis of the cross-region risk contagion effect in stock market based on volatility spillover networks: Evidence from China. (2021). Wang, Jian ; Zhuang, Xintian ; Li, Yanshuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302400.

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2021Systemic financial risk early warning of financial market in China using Attention-LSTM model. (2021). Lai, Yongzeng ; Yang, Xi-Te ; Ouyang, Zi-Sheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s106294082100019x.

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2021TrAffic LIght system for systemic Stress: TALIS3. (2021). Caporin, Massimiliano ; Jimenez-Martin, Juan-angel ; Garcia-Jorcano, Laura. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000772.

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2021Network-augmented time-varying parametric portfolio selection: Evidence from the Chinese stock market. (2021). Jiang, Cuixia ; Li, Mengting ; Xu, Qifa. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001224.

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2021Measuring real–financial connectedness in the U.S. economy. (2021). Yilmaz, Kamil ; Uluceviz, Erhan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001637.

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2022Time and frequency connectedness and portfolio diversification between cryptocurrencies and renewable energy stock markets during COVID-19. (2022). Meng, Qiaoyu ; Li, Zijian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001728.

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2022Contagion effect of systemic risk among industry sectors in China’s stock market. (2022). Zhao, Tianyu ; Yan, Haoyang ; Xu, Qiuhua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001819.

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2022Forecasting risk measures using intraday and overnight information. (2022). Candido, Osvaldo ; Tofoli, Paula V ; Santos, Douglas G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000250.

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2021SRISKv2 – A note. (2021). Jiron, Alexander ; Migueis, Marco. In: Economics Letters. RePEc:eee:ecolet:v:201:y:2021:i:c:s0165176521000744.

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2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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2021Detection of units with pervasive effects in large panel data models. (2021). Pesaran, M ; Reese, S ; Kapetanios, G. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:510-541.

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2021Estimation and inference in spatial models with dominant units. (2021). Yang, Cynthia Fan ; Pesaran, M. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:591-615.

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2021Time-varying general dynamic factor models and the measurement of financial connectedness. (2021). Soccorsi, Stefano ; von Sachs, Rainer ; Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:324-343.

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2021Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model. (2021). Gallo, Giampiero ; Amendola, Alessandra ; Candila, Vincenzo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:12-28.

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2021Global banking: Endogenous competition and risk taking. (2021). Ottaviano, Gianmarco ; Mayer, Maximilian ; Laffitte, Sébastien ; Faia, Ester. In: European Economic Review. RePEc:eee:eecrev:v:133:y:2021:i:c:s0014292121000143.

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2021Large portfolio losses in a turbulent market. (2021). Yang, Yang ; Tong, Zhiwei ; Tang, Qihe. In: European Journal of Operational Research. RePEc:eee:ejores:v:292:y:2021:i:2:p:755-769.

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2022Fat tails, serial dependence, and implied volatility index connections. (2022). Ellington, Michael. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:2:p:768-779.

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2022Insurance risk analysis of financial networks vulnerable to a shock. (2022). Xun, LI ; Tong, Zhiwei ; Tang, Qihe. In: European Journal of Operational Research. RePEc:eee:ejores:v:301:y:2022:i:2:p:756-771.

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2022Identifying systemically important financial institutions in complex network: A case study of Chinese stock market. (2022). Jiang, Cheng ; Hou, Xiaoli ; Chen, Wei. In: Emerging Markets Review. RePEc:eee:ememar:v:50:y:2022:i:c:s1566014121000443.

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2021Volatility cascades in cryptocurrency trading. (2021). Tsiakas, Ilias ; Gradojevic, Nikola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:252-265.

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2021Forecasting volatility using double shrinkage methods. (2021). Cheng, Mingmian ; Yang, Xiye ; Swanson, Norman R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:46-61.

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2021Bank stocks, risk factors, and tail behavior. (2021). Huang, Lin ; Marcus, Alan J ; Cai, Jun ; Yang, Huan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:203-229.

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2021Do negative interest rates affect bank risk-taking?. (2021). Williams, Jonathan ; Reghezza, Alessio ; Santamaria, Riccardo ; Bongiovanni, Alessio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:350-364.

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2021The effect of structural oil shocks on bank systemic risk in the GCC countries. (2021). Maghyereh, Aktham ; Abdoh, Hussein. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004400.

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2022High-dimensional CoVaR network connectedness for measuring conditional financial contagion and risk spillovers from oil markets to the G20 stock system. (2022). Hussain, Nazim ; Ji, Qiang ; Fan, Ying ; Liu, Bing-Yue. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005946.

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2022The banking instability and climate change: Evidence from China. (2022). Lu, Li Ping ; Zhang, Shuai. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s0140988321006253.

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2022A robust hybrid method using dynamic network analysis and Weighted Mahalanobis distance for modeling systemic risk in the international energy market. (2022). Chen, Weidong ; Xiong, Shi. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s014098832200130x.

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

Works by Christian T. Brownlees:


YearTitleTypeCited
2021Performance of Empirical Risk Minimization for Linear Regression with Dependent Data In: Papers.
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paper1
2013Nets: Network Estimation for Time Series In: Working Papers.
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paper61
2018Nets: network estimation for time series.(2018) In: LSE Research Online Documents on Economics.
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2013Nets: Network estimation for time series.(2013) In: Economics Working Papers.
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2019NETS: Network estimation for time series.(2019) In: Journal of Applied Econometrics.
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article
2017Detecting Granular Time Series in Large Panels In: Working Papers.
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paper5
2021Detecting granular time series in large panels.(2021) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 5
article
2013A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series In: Studies in Nonlinear Dynamics & Econometrics.
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article4
2016Impulse Response Estimation By Smooth Local Projections In: CEPR Discussion Papers.
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paper54
2019Impulse Response Estimation by Smooth Local Projections.(2019) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 54
article
2017Back to the Future: Backtesting Systemic Risk Measures during Historical Bank Runs and the Great Depression In: CEPR Discussion Papers.
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paper13
2020Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression.(2020) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 13
article
2022Corporate hedging and the variance of stock returns In: Journal of Corporate Finance.
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article0
2006Financial econometric analysis at ultra-high frequency: Data handling concerns In: Computational Statistics & Data Analysis.
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article136
2006Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns.(2006) In: Econometrics Working Papers Archive.
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This paper has another version. Agregated cites: 136
paper
2014Disentangling systematic and idiosyncratic dynamics in panels of volatility measures In: Journal of Econometrics.
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article26
2014Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures.(2014) In: Econometrics Working Papers Archive.
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This paper has another version. Agregated cites: 26
paper
2021Detecting groups in large vector autoregressions In: Journal of Econometrics.
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article0
2019Hierarchical GARCH In: Journal of Empirical Finance.
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article0
2017Credit risk interconnectedness: What does the market really know? In: Journal of Financial Stability.
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article15
2016Credit risk interconnectedness: What does the market really know?.(2016) In: Discussion Papers.
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This paper has another version. Agregated cites: 15
paper
2011Shrinkage estimation of semiparametric multiplicative error models In: International Journal of Forecasting.
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article7
2011Shrinkage estimation of semiparametric multiplicative error models.(2011) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2021Bank credit risk networks: Evidence from the Eurozone In: Journal of Monetary Economics.
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article3
2021Backtesting global Growth-at-Risk In: Journal of Monetary Economics.
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article9
2015Backtesting Systemic Risk Measures During Historical Bank Runs In: Working Paper Series.
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paper13
2007Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria In: Econometrics Working Papers Archive.
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paper0
2007Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria In: Econometrics Working Papers Archive.
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paper0
2007Comparison of Volatility Measures: a Risk Management Perspective In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
paper92
2008Comparison of Volatility Measures: a Risk Management Perspective.(2008) In: Econometrics Working Papers Archive.
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This paper has another version. Agregated cites: 92
paper
2010Comparison of Volatility Measures: a Risk Management Perspective.(2010) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 92
article
2009Intra-daily Volume Modeling and Prediction for Algorithmic Trading In: Econometrics Working Papers Archive.
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paper37
2011Intra-daily Volume Modeling and Prediction for Algorithmic Trading.(2011) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 37
article
2010Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets In: Econometrics Working Papers Archive.
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paper7
2011Multiplicative Error Models In: Econometrics Working Papers Archive.
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paper27
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
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paper1
2021Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2021Non-Standard Errors.(2021) In: Post-Print.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2021Non-standard errors.(2021) In: Economics Working Papers.
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This paper has another version. Agregated cites: 1
paper
2008On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria In: Journal of Financial Econometrics.
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article8
2017SRISK: A Conditional Capital Shortfall Measure of Systemic Risk In: Review of Financial Studies.
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article239
2017SRISK: a conditional capital shortfall measure of systemic risk.(2017) In: ESRB Working Paper Series.
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This paper has another version. Agregated cites: 239
paper
2020On the estimation of integrated volatility in the presence of jumps and microstructure noise In: Econometric Reviews.
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article3
2022Community Detection in Partial Correlation Network Models In: Journal of Business & Economic Statistics.
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article0
2018Realized networks In: Journal of Applied Econometrics.
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article15
2018EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT In: Annals of Financial Economics (AFE).
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article1
2013MEASURING SYSTEMIC RISK In: World Scientific Book Chapters.
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