Christian T. Brownlees : Citation Profile


Are you Christian T. Brownlees?

Barcelona School of Economics (BSE)

14

H index

14

i10 index

1954

Citations

RESEARCH PRODUCTION:

23

Articles

24

Papers

1

Chapters

RESEARCH ACTIVITY:

   17 years (2006 - 2023). See details.
   Cites by year: 114
   Journals where Christian T. Brownlees has often published
   Relations with other researchers
   Recent citing documents: 171.    Total self citations: 21 (1.06 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbr121
   Updated: 2024-01-16    RAS profile: 2022-05-23    
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Relations with other researchers


Works with:

Holzmeister, Felix (5)

Menkveld, Albert (5)

Gehrig, Thomas (5)

Dreber, Anna (5)

Johannesson, Magnus (5)

Dumitrescu, Ariadna (4)

FERROUHI, EL MEHDI (4)

Frömmel, Michael (4)

Gerritsen, Dirk (4)

Caporin, Massimiliano (4)

Ferrara, Gerardo (4)

Abudy, Menachem (4)

Chernov, Mikhail (4)

Bohorquez Correa, Santiago (4)

Deev, Oleg (4)

Ait-Sahalia, Yacine (4)

Deku, Solomon (4)

Füllbrunn, Sascha (4)

CAPELLE-BLANCARD, Gunther (4)

Chow, Nikolai Sheung-Chi (4)

Colliard, Jean-Edouard (4)

Adrian, Tobias (4)

Dimpfl, Thomas (4)

Alexeev, Vitali (4)

Gil-Bazo, Javier (3)

Schwarz, Marco (3)

Hautsch, Nikolaus (2)

Nielsson, Ulf (2)

Jalkh, Naji (2)

Foucault, Thierry (2)

Hurlin, Christophe (2)

Rakowski, David (2)

Vilkov, Grigory (2)

He, Xuezhong (Tony) (2)

Putnins, Talis (2)

Pelizzon, Loriana (2)

Regis, Luca (2)

Jurkatis, Simon (2)

Zhou, Chen (2)

Wolff, Christian (2)

Scaillet, Olivier (2)

Stefanova, Denitsa (2)

Xia, Shuo (2)

Vogel, Sebastian (2)

Talavera, Oleksandr (2)

Harris, Jeffrey (2)

Frijns, Bart (2)

Liew, Chee (2)

Palan, Stefan (2)

Mihet, Roxana (2)

Lopez-Lira, Alejandro (2)

Heath, Davidson (2)

Söderlind, Paul (2)

Hjalmarsson, Erik (2)

Walther, Thomas (2)

Theissen, Erik (2)

van Kervel, Vincent (2)

Park, Andreas (2)

Wilhelmsson, Anders (2)

Kassner, Bernhard (2)

Sojli, Elvira (2)

Korajczyk, Robert (2)

Schenk-Hoppé, Klaus (2)

Ødegaard, Bernt (2)

Davies, Ryan (2)

PASCUAL, ROBERTO (2)

Wong, Wing-Keung (2)

Schuerhoff, Norman (2)

Patel, Vinay (2)

Prokopczuk, Marcel (2)

Roy, Saurabh (2)

Smales, Lee (2)

Lajaunie, Quentin (2)

LINTON, OLIVER (2)

Patton, Andrew (2)

Horenstein, Alex (2)

Bos, Charles (2)

Taylor, Nick (2)

Xiu, Dacheng (2)

Bouri, Elie (2)

Kearney, Fearghal (2)

Renault, Thomas (2)

Guðmundsson, Guðmundur (2)

Gorbenko, Arseny (2)

Verousis, Thanos (2)

Tonks, Ian (2)

Ranaldo, Angelo (2)

Lof, Matthijs (2)

Moinas, Sophie (2)

Pastor, Lubos (2)

Pasquariello, Paolo (2)

Reitz, Stefan (2)

Rinne, Kalle (2)

Sarno, Lucio (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 (56)

Otranto, Edoardo (23)

Giudici, Paolo (21)

Hallin, Marc (20)

Barigozzi, Matteo (20)

Engle, Robert (20)

Acharya, Viral (19)

Lucas, Andre (18)

Yilmaz, Kamil (17)

Diebold, Francis (17)

Caporin, Massimiliano (16)

Cites to:

Engle, Robert (56)

Gallo, Giampiero (38)

Diebold, Francis (33)

Shephard, Neil (28)

Hautsch, Nikolaus (23)

Bauwens, Luc (23)

Bollerslev, Tim (20)

Andersen, Torben (16)

Reichlin, Lucrezia (16)

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
The Journal of Financial Econometrics3
Journal of Monetary Economics2
International Journal of Forecasting2
Journal of Applied Econometrics2

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
Working Papers / Barcelona School of Economics2
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

Recent works citing Christian T. Brownlees (2024 and 2023)


YearTitle of citing document
2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984.

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2023FINANCIAL RISK OPTIMISATION METHODS: A SURVEY. (2023). Chiper, Alexandra-Maria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:chipera.

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2023Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2023Using 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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2023Policy Choice in Time Series by Empirical Welfare Maximization. (2022). Xu, Mengshan ; Wang, Weining ; Kitagawa, Toru. In: Papers. RePEc:arx:papers:2205.03970.

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2023Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738.

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2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2023Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2023Systemic robustness: a mean-field particle system approach. (2022). Bayraktar, Erhan ; Zhang, Yuming Paul ; Tang, Wenpin ; Guo, Gaoyue. In: Papers. RePEc:arx:papers:2212.08518.

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2023Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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2023Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808.

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2023A tale of two tails: 130 years of growth-at-risk. (2023). Huber, Florian ; Hasler, Elias ; Gachter, Martin. In: Papers. RePEc:arx:papers:2302.08920.

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2023Implicit Nickell Bias in Panel Local Projection. (2023). Shi, Zhentao ; Sheng, Liugang ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2302.13455.

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2023Inference of Grouped Time-Varying Network Vector Autoregression Models. (2023). Wu, Wei Biao ; Tang, Songqiao ; Peng, Bin ; Li, Degui. In: Papers. RePEc:arx:papers:2303.10117.

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2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

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2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192.

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2023Systemic risk indicator based on implied and realized volatility. (2023). Ślepaczuk, Robert ; Sieradzki, Rafal ; Sakowski, Pawel. In: Papers. RePEc:arx:papers:2307.05719.

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2023Systemic risk in financial networks: the effects of asymptotic independence. (2023). Fasen-Hartmann, Vicky ; Das, Bikramjit. In: Papers. RePEc:arx:papers:2309.15511.

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2023A systematic review of early warning systems in finance. (2023). Ramtinnia, Shahin ; Eyvazloo, Reza ; Namaki, Ali. In: Papers. RePEc:arx:papers:2310.00490.

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2023Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2023Tail Risk and Systemic Risk Estimation of Cryptocurrencies: an Expectiles and Marginal Expected Shortfall based approach. (2023). Teruzzi, Andrea. In: Papers. RePEc:arx:papers:2311.17239.

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2023Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2023Bayesian Local Projections. (2023). Ricco, Giovanni ; Ferreira, Leonardo ; Miranda-Agrippino, Silvia. In: Working Papers Series. RePEc:bcb:wpaper:581.

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2023Bondholder representatives on bank boards: A device for market discipline. (2023). Hieu, Phan Huy ; Strobel, Frank ; Lepetit, Laetitia ; Distinguin, Isabelle. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:3:p:738-765.

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2023.

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2023Dual holding and bank risk. (2023). Taatian, Ali ; Bonini, Stefano. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:735-763.

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2023The role of tail network topological characteristic in portfolio selection: A TNA?PMC model. (2023). Zhao, Qinna ; Jiang, Cuixia ; Xu, Qifa ; Li, Mengting. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:37-57.

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2023Directed graphs and variable selection in large vector autoregressive models. (2023). Kascha, Christian ; Bruggemann, Ralf ; Bertsche, Dominik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:223-246.

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2023.

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2023Risky news and credit market sentiment. (2023). Thorsrud, Leif Anders ; Labonne, Paul. In: Working Papers. RePEc:bny:wpaper:0125.

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2023The impact of changes in bank capital requirements. (2023). Raja, Akash. In: Bank of England working papers. RePEc:boe:boeewp:1004.

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2023Monitoring Banking System Connectedness with Big Data. (2023). Lopez, Jose ; Hale, Galina. In: Santa Cruz Department of Economics, Working Paper Series. RePEc:cdl:ucscec:qt17h5v7rj.

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2023The contribution of realized covariance models to the economic value of volatility timing. (2023). Bauwens, Luc ; Xu, Yongdeng. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023018.

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2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

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2023Macroprudential Regulation: A Risk Management Approach. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:765.

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2023Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:768.

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2023Nightless City: Impacts of Policymakers Questions on Overtime Work of Government Officials. (2023). Yamada, Katsunori ; Murakami, Yuki ; Katayama, Munechika ; Hamano, Masashige ; Arai, Natsuki. In: ISER Discussion Paper. RePEc:dpr:wpaper:1206.

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2023Is Quantitative Easing Productive? The Role of Bank Lending in the Monetary Transmission Process. (2023). Saadaoui, Jamel ; Roderweis, Philipp ; Serranito, Francisco. In: EconomiX Working Papers. RePEc:drm:wpaper:2023-17.

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2023Medium-term growth-at-risk in the euro area. (2023). Greiwe, Moritz ; Rusnak, Marek ; Lang, Jan Hannes. In: Working Paper Series. RePEc:ecb:ecbwps:20232808.

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2023Labour at risk. (2023). Renzetti, Andrea ; Foroni, Claudia ; Botelho, Vasco. In: Working Paper Series. RePEc:ecb:ecbwps:20232840.

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2023Measuring systemic financial stress and its risks for growth. (2023). Kremer, Manfred ; Chavleishvili, Sulkhan. In: Working Paper Series. RePEc:ecb:ecbwps:20232842.

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2023Estimating systemic risk for non-listed euro-area banks. (2023). Engle, Robert ; Pizzeghello, Riccardo ; Parisi, Laura ; Manganelli, Simone ; Emambakhsh, Tina. In: Working Paper Series. RePEc:ecb:ecbwps:20232856.

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2023Do market-based networks reflect true exposures between banks?. (2023). Karamysheva, Madina ; Craig, Ben ; Salakhova, Dilyara. In: Working Paper Series. RePEc:ecb:ecbwps:20232867.

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2023Global spillovers from multi-dimensional US monetary policy. (2023). Georgiadis, Georgios ; Jarociski, Marek. In: Working Paper Series. RePEc:ecb:ecbwps:20232881.

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2023Systemic Risk: A Comparative Study between Public and Private Banks. (2023). Mahmoud, Imen ; Mselmi, Aymen. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-03-12.

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2023Liability taxes, risk, and the cost of banking crises. (2023). Fatica, Serena ; Pagano, Andrea ; Kvedaras, Virmantas ; Heynderickx, Wouter ; Bellucci, Andrea. In: Journal of Corporate Finance. RePEc:eee:corfin:v:79:y:2023:i:c:s0929119923000366.

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2023Systemic risk of optioned portfolio: Controllability and optimization. (2023). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001070.

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2023Systemic political risk. (2023). Uribe, Jorge ; Chuliá, Helena ; Estevez, Marc ; Chulia, Helena. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001876.

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2023Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data. (2023). Yang, Guang-Yi ; Tang, Chun ; Liu, Xiao-Xing ; Zhou, Dong-Hai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002054.

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2023US structural drivers of international portfolio returns. (2023). Tong, Eric ; So, Inhwan ; Jang, Bosung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002078.

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2023Systemic risk of Chinese financial institutions and asset price bubbles. (2023). Tian, Yiming ; Lee, Chien-Chiang ; Wei, Chunyan ; Zhang, Xiaoming. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940823000037.

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2023How does inter-industry spillover improve the performance of volatility forecasting?. (2023). Zhu, Xingting ; Xiao, Wen ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000013.

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2023A description of the COVID-19 outbreak role in financial risk forecasting. (2023). Righi, Marcelo Brutti ; Santos, Samuel Solgon ; Muller, Fernanda Maria. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000177.

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2023Topological properties of reconstructed credit networks and banking systemic risk. (2023). Li, Menyu ; Chen, Boyi ; Liu, Xiaoxing ; Wang, Chao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000360.

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2023Cross-industry asset allocation with the spatial interaction on multiple risk transmission channels. (2023). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s106294082300058x.

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2023High-dimensional VARs with common factors. (2023). Su, Liangjun ; Phillips, Peter ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:155-183.

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2023Structural inference in sparse high-dimensional vector autoregressions. (2023). Trenkler, C ; Paparoditis, E ; Krampe, J. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:276-300.

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2023Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms. (2023). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:s:p:70-90.

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2023Community network auto-regression for high-dimensional time series. (2023). Zhu, Xuening ; Fan, Jianqing ; Chen, Elynn Y. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1239-1256.

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2023Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. (2023). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:643-665.

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2023News-implied linkages and local dependency in the equity market. (2023). Linton, Oliver ; Ge, Shuyi. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:779-815.

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2023Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk. (2023). Gutknecht, Daniel ; Fosten, Jack ; Corradi, Valentina. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623002063.

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2023Determinants of connectedness in financial institutions: Evidence from Taiwan. (2023). Mo, Wan-Shin ; Chiang, Shu-Hen ; Chen, Yu-Lun. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000681.

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2023Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries. (2023). Xie, Chi ; Zhu, You ; Wang, Gang-Jin ; Feng, Yusen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000250.

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2023Can corporate financing through the stock market create systemic risk? Evidence from the BRVM securities market. (2023). Amenounve, Edoh ; Soumare, Issouf ; Kanga, Desire. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000365.

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2023A financial risk meter for China. (2023). Hardle, Wolfgang Karl ; Althof, Michael ; Wang, Ruting. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000572.

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2023Energy firms in emerging markets: Systemic risk and diversification opportunities. (2023). Uribe, Jorge ; Chuliá, Helena ; Muoz-Mendoza, Jorge A ; Chulia, Helena. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000584.

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2023Herding behavior and systemic risk in global stock markets. (2023). Vioto, Davide ; Tunaru, Radu ; Hasan, Iftekhar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:107-133.

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2023Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758.

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2023The macroeconomic effects of oil price uncertainty. (2023). Abiad, Abdul ; Qureshi, Irfan A. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003377.

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2023Risk spillovers from Chinas and the US stock markets during high-volatility periods: Evidence from East Asianstock markets. (2023). Xiao, Yang ; Wang, BO. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000546.

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2023Systemic risk in non financial companies: Does governance matter?. (2023). Soana, Maria Gaia ; Cucinelli, Doriana. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001175.

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2023Can CoCo-bonds mitigate systemic risk?. (2023). Petras, Matthias ; Kund, Arndt-Gerrit. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002028.

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2023Forecasting and backtesting systemic risk in the cryptocurrency market. (2023). Egan, Paul ; Cao, Guangxi ; Fang, Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001617.

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2023Do derivatives benefit shareholders? Evidence from India. (2023). Gupta, Aastha ; Chaudhry, Neeru. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003847.

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2023Sectoral spillovers and systemic risks: Evidence from China. (2023). Liu, Xutang ; Yue, Dianmin ; Goodell, John W ; Chen, Shoudong. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003902.

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2023Uncertainty in systemic risks rankings: Bayesian and frequentist analysis. (2023). Goldman, Elena. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004002.

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2023Addressing Spillovers from Prolonged U.S. Monetary Policy Easing. (2023). Sahay, Ratna ; Rawat, Umang ; Narita, Machiko ; Cecchetti, Stephen G. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s1572308922001085.

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2023A Bayesian approach for more reliable tail risk forecasts. (2023). Drovandi, Christopher ; Clements, Adam ; Li, Dan. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s157230892200119x.

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2023Regulatory oversight and bank risk. (2023). Yilmaz, Muhammed H ; Chronopoulos, Dimitris K. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s1572308923000050.

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2023Climate change and financial systemic risk: Evidence from US banks and insurers. (2023). Vioto, Davide ; Gianfrancesco, Igor ; Curcio, Domenico. In: Journal of Financial Stability. RePEc:eee:finsta:v:66:y:2023:i:c:s1572308923000323.

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2023Asset securitization, cross holdings, and systemic risk in banking. (2023). Wu, Ying ; Zhu, Shushang ; Xiao, Shuhua. In: Journal of Financial Stability. RePEc:eee:finsta:v:67:y:2023:i:c:s1572308923000402.

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2023Bank resolution mechanisms revisited: Towards a new era of restructuring. (2023). Tsomocos, Dimitrios P ; Kryg, Natalia ; Hryckiewicz, Aneta. In: Journal of Financial Stability. RePEc:eee:finsta:v:67:y:2023:i:c:s157230892300058x.

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2023European stock market volatility connectedness: The role of country and sector membership. (2023). Uribe, Jorge ; Guillen, Montserrat ; Vidal-Llana, Xenxo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001688.

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2023Social capital, trust, and bank tail risk: The value of ESG rating and the effects of crisis shocks. (2023). Elnahass, Marwa ; Li, Teng ; Cao, Ngan Duong ; Trinh, Vu Quang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443123000082.

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2023Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality. (2023). Sha, Yezhou ; Yin, Shiqi ; Zhang, Ping. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000513.

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2023Time-varying variance and skewness in realized volatility measures. (2023). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:827-840.

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2023Improving variance forecasts: The role of Realized Variance features. (2023). Papantonis, Ioannis ; Tzavalis, Elias ; Rompolis, Leonidas. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237.

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2023Political connections and short sellers. (2023). Feng, Hongrui ; Simkins, Betty ; Jia, Yuecheng. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002837.

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2023Does macroprudential policy alleviate the adverse impact of COVID-19 on the resilience of banks?. (2023). Mirzaei, Ali ; Igan, Deniz ; Moore, Tomoe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s037842662200019x.

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2023Reprint of: Do retail traders destabilize financial markets? An investigation surrounding the COVID-19 pandemic. (2023). Blau, Benjamin ; Yasin, Awaid ; Butt, Hassan A ; Baig, Ahmed S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426622003247.

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2023Panic and propagation in 1873: A network analytic approach. (2023). Rousseau, Peter ; Ladley, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:151:y:2023:i:c:s0378426623000699.

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2023Share pledge financing network and systemic risks: Evidence from China. (2023). Wang, ZE ; Qin, Xiao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:152:y:2023:i:c:s037842662300095x.

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2023Impact of systemic risk regulation on optimal policies and asset prices. (2023). Cui, Xuecan ; Bernard, Carole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426622002011.

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2023Macro-financial spillovers. (2023). Yilmaz, Kamil ; Hallam, Mark ; Cotter, John. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000256.

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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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paper1
2013Nets: Network Estimation for Time Series In: Working Papers.
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paper84
2018Nets: network estimation for time series.(2018) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 84
paper
2013Nets: Network estimation for time series.(2013) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 84
paper
2019NETS: Network estimation for time series.(2019) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 84
article
2017Detecting Granular Time Series in Large Panels In: Working Papers.
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paper7
2021Detecting granular time series in large panels.(2021) In: Journal of Econometrics.
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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.
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article4
2016Impulse Response Estimation By Smooth Local Projections In: CEPR Discussion Papers.
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paper86
2019Impulse Response Estimation by Smooth Local Projections.(2019) In: The Review of Economics and Statistics.
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This paper has nother version. Agregated cites: 86
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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paper21
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 nother version. Agregated cites: 21
article
2022Corporate hedging and the variance of stock returns In: Journal of Corporate Finance.
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article2
2006Financial econometric analysis at ultra-high frequency: Data handling concerns In: Computational Statistics & Data Analysis.
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article147
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: 147
paper
2014Disentangling systematic and idiosyncratic dynamics in panels of volatility measures In: Journal of Econometrics.
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article29
2014Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures.(2014) In: Econometrics Working Papers Archive.
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This paper has nother version. Agregated cites: 29
paper
2021Detecting groups in large vector autoregressions In: Journal of Econometrics.
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article4
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.
[Full Text][Citation analysis]
article17
2016Credit risk interconnectedness: What does the market really know?.(2016) In: Discussion Papers.
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This paper has nother version. Agregated cites: 17
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 nother version. Agregated cites: 7
article
2021Bank credit risk networks: Evidence from the Eurozone In: Journal of Monetary Economics.
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article7
2021Backtesting global Growth-at-Risk In: Journal of Monetary Economics.
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article23
2015Backtesting Systemic Risk Measures During Historical Bank Runs In: Working Paper Series.
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paper14
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]
paper97
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: 97
paper
2010Comparison of Volatility Measures: a Risk Management Perspective.(2010) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 97
article
2009Intra-daily Volume Modeling and Prediction for Algorithmic Trading In: Econometrics Working Papers Archive.
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paper39
2011Intra-daily Volume Modeling and Prediction for Algorithmic Trading.(2011) In: The Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 39
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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paper30
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
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paper4
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: 4
paper
2021Non-Standard Errors.(2021) In: Post-Print.
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This paper has nother version. Agregated cites: 4
paper
2021Non-Standard Errors.(2021) In: Working Papers.
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This paper has nother version. Agregated cites: 4
paper
2021Non-standard errors.(2021) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 4
paper
2008On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria In: The 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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article347
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: 347
paper
2020On the estimation of integrated volatility in the presence of jumps and microstructure noise In: Econometric Reviews.
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article5
2022Community Detection in Partial Correlation Network Models In: Journal of Business & Economic Statistics.
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article1
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).
[Full Text][Citation analysis]
article3
2013MEASURING SYSTEMIC RISK In: World Scientific Book Chapters.
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