Christian T. Brownlees : Citation Profile


Are you Christian T. Brownlees?

Barcelona Graduate School of Economics (Barcelona GSE)

8

H index

8

i10 index

370

Citations

RESEARCH PRODUCTION:

14

Articles

15

Papers

1

Chapters

RESEARCH ACTIVITY:

   13 years (2006 - 2019). See details.
   Cites by year: 28
   Journals where Christian T. Brownlees has often published
   Relations with other researchers
   Recent citing documents: 105.    Total self citations: 12 (3.14 %)

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   Permalink: http://citec.repec.org/pbr121
   Updated: 2019-12-07    RAS profile: 2019-06-03    
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Relations with other researchers


Works with:

Barigozzi, Matteo (5)

Gallo, Giampiero (2)

Abbassi, Puriya (2)

Engle, Robert (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 (27)

Barigozzi, Matteo (15)

Teräsvirta, Timo (12)

Shephard, Neil (12)

Hallin, Marc (11)

Hautsch, Nikolaus (10)

Andersen, Torben (10)

Diebold, Francis (10)

Cipollini, Fabrizio (10)

Amado, Cristina (9)

Otranto, Edoardo (9)

Cites to:

Engle, Robert (48)

Gallo, Giampiero (41)

Shephard, Neil (25)

Diebold, Francis (23)

Bollerslev, Tim (19)

Andersen, Torben (15)

Hautsch, Nikolaus (14)

Cipollini, Fabrizio (12)

Hansen, Peter (12)

Lunde, Asger (11)

Barndorff-Nielsen, Ole (11)

Main data


Where Christian T. Brownlees has published?


Journals with more than one article published# docs
Journal of Financial Econometrics3
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"8

Recent works citing Christian T. Brownlees (2019 and 2018)


YearTitle of citing document
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2018Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables. (2018). Baruník, Jozef ; Kley, Tobias. In: Papers. RePEc:arx:papers:1510.06946.

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2019Dynamic 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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2018Zero-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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2019The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Yue, YE ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:1901.02691.

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2019Quintet Volume Projection. (2019). Rashkovich, Vlad ; Vilenskaia, Olga ; Markov, Vladimir. In: Papers. RePEc:arx:papers:1904.01412.

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2019Feature Engineering for Mid-Price Prediction with Deep Learning. (2019). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Mirone, Giorgio ; Ntakaris, Adamantios. In: Papers. RePEc:arx:papers:1904.05384.

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2019Unveiling the relation between herding and liquidity with trader lead-lag networks. (2019). Tantari, Daniele ; Lillo, Fabrizio ; Campajola, Carlo. In: Papers. RePEc:arx:papers:1909.10807.

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2018Multibank Holding Companies and Bank Stability. (2018). Silva Buston, Consuelo ; Raykov, Radoslav ; Silva-Buston, Consuelo. In: Staff Working Papers. RePEc:bca:bocawp:18-51.

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2018Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests. (2018). van Oordt, Maarten. In: Staff Working Papers. RePEc:bca:bocawp:18-54.

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2018How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation. (2018). Jin, Xisong. In: BCL working papers. RePEc:bcl:bclwop:bclwp118.

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2018Monetary policy when households have debt: new evidence on the transmission mechanism. (2018). Surico, Paolo ; Ferreira Mayorga, Clodomiro ; Cloyne, James. In: Working Papers. RePEc:bde:wpaper:1813.

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2018A Survey of Systemic Risk Indicators. (2018). Rogantini Picco, Anna ; Di Cesare, Antonio. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_458_18.

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2018A General Equilibrium Appraisal of Capital Shortfall. (2018). Sahuc, Jean-Guillaume ; Jondeau, Eric ; J-G. Sahuc, . In: Working papers. RePEc:bfr:banfra:668.

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2018Monetary Policy and Long-Run Systemic Risk-Taking. (2018). Popescu, Alexandra ; Levieuge, Gregory ; Colletaz, Gilbert. In: Working papers. RePEc:bfr:banfra:694.

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2018Breakdown of covered interest parity: mystery or myth?. (2018). Wong, Alfred ; Zhang, Jiayue. In: BIS Papers chapters. RePEc:bis:bisbpc:96-08.

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2018Structural changes in banking after the crisis. (2018). Bank for International Settlements, . In: CGFS Papers. RePEc:bis:biscgf:60.

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2018Market†based estimates of implicit government guarantees in European financial institutions. (2018). Zhao, Lei. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:1:p:79-112.

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2019Do Negative Interest Rates Affect Bank Risk-Taking?. (2019). Reghezza, Alessio ; Santamaria, Riccardo ; Bongiovanni, Alessio ; Williams, Jonathan. In: Working Papers. RePEc:bng:wpaper:19012.

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2018Did the Basel process of capital regulation enhance the resiliency of European Banks?. (2018). Gehrig, Thomas ; Iannino, Maria Chiara . In: Research Discussion Papers. RePEc:bof:bofrdp:2018_016.

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2019Monetary policy expectations and risk-taking among U.S. banks. (2019). Kelly, Robert ; Byrne, David. In: Research Technical Papers. RePEc:cbi:wpaper:6/rt/19.

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2018Uncertainty and Hyperinflation: European Inflation Dynamics after World War I. (2018). Lopez, Jose ; Mitchener, Kris James. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7066.

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2018Systemic Risk and the Great Depression. (2018). Vossmeyer, Angela ; Mitchener, Kris James ; Das, Sanjiv R. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7425.

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2019Stress Testing Networks: The Case of Central Counterparties. (2019). Cecchetti, Stephen ; Schoenholtz, Kermit ; Berner, Richard. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13604.

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2019Taming the Global Financial Cycle: Central Banks and the Sterilization of Capital Flows in the First Era of Globalization (1891-1913). (2019). Morys, Matthias ; Monnet, Eric ; Bazot, Guillaume. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13895.

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2019Long Memory Conditional Heteroscedasticity in Count Data. (2019). Stapper, Manuel ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:8219.

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2018Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions. (2018). Geraci, Marco Valerio ; Gnabo, Jean-Yves. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:53:y:2018:i:03:p:1371-1390_00.

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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/283963.

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2019Measuring network systemic risk contributions: A leave-one-out approach. (2019). Tokpavi, Sessi ; Lucotte, Yannick ; Hue, Sullivan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:86-114.

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2018Monetary policy and long-run systemic risk-taking. (2018). LEVIEUGE, Gregory ; Popescu, Alexandra ; Colletaz, Gilbert. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:165-184.

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2018Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach. (2018). Gnabo, Jean-Yves ; Dossougoin, Cyrille ; Debarsy, Nicolas ; Ertur, Cem. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:87:y:2018:i:c:p:21-45.

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2018Systemic risk in the US: Interconnectedness as a circuit breaker. (2018). Dungey, Mardi ; Veredas, David ; Luciani, Matteo. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:305-315.

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2019On the asymmetric impact of macro–variables on volatility. (2019). Amendola, Alessandra ; Gallo, Giampiero M ; Candila, Vincenzo. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:135-152.

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2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

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2019Scaling the twin peaks: Systemic risk and dual regulation. (2019). Huan, Xing ; Conlon, Thomas. In: Economics Letters. RePEc:eee:ecolet:v:178:y:2019:i:c:p:98-101.

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2018Estimating the integrated volatility using high-frequency data with zero durations. (2018). Liu, Zhi ; Jing, Bing-Yi ; Kong, Xin-Bing. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:18-32.

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2019Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data. (2019). Dai, Chaoxing ; Xiu, Dacheng ; Lu, Kun. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:43-79.

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2019Modeling systemic risk with Markov Switching Graphical SUR models. (2019). Guidolin, Massimo ; Billio, Monica ; Bianchi, Daniele ; Casarin, Roberto. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:58-74.

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2019Monitoring banking system connectedness with big data. (2019). Lopez, Jose A ; Hale, Galina. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:203-220.

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2019Bayesian nonparametric sparse VAR models. (2019). Rossini, Luca ; Billio, Monica ; Casarin, Roberto. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:97-115.

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2019Modeling Euro STOXX 50 volatility with common and market-specific components. (2019). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:22-42.

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2018Robust and sparse banking network estimation. (2018). Torri, Gabriele ; Paterlini, Sandra ; Giacometti, Rosella. In: European Journal of Operational Research. RePEc:eee:ejores:v:270:y:2018:i:1:p:51-65.

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2018Interconnectedness and systemic risk of Chinas financial institutions. (2018). Wang, Gang-Jin ; Stanley, Eugene H ; Xie, Chi ; Lin, Min ; Jiang, Zhi-Qiang. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:1-18.

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2019Sovereign bond-backed securities: A VAR-for-VaR and marginal expected shortfall assessment. (2019). Dunne, Peter ; de Sola, Maite ; Reininger, Thomas ; Puhl, Martin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:33-52.

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2018Do ETFs lead the price moves? Evidence from the major US markets. (2018). Buckle, Mike ; Tong, Chen ; Guo, Qian ; Chen, Jing. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:91-103.

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2019Modeling intraday volatility of European bond markets: A data filtering application. (2019). Dufour, Alfonso ; Zhang, Hanyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:131-146.

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2018Downside and upside risk spillovers from China to Asian stock markets: A CoVaR-copula approach. (2018). Jin, Xiaoye. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:202-212.

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2019The effect of non-traditional banking activities on systemic risk: Does bank size matter?. (2019). Kamani, Eric Fina. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:297-305.

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2018Syndication, interconnectedness, and systemic risk. (2018). Cai, Jian ; Steffen, Sascha ; Saunders, Anthony ; Eidam, Frederik. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:105-120.

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2018Systemic risk in a structural model of bank default linkages. (2018). Kreis, Yvonne. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:221-236.

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2019Do different forms of government ownership matter for bank capital behavior? Evidence from China. (2019). Molyneux, Philip ; Liu, Hong ; Jiang, Chunxia. In: Journal of Financial Stability. RePEc:eee:finsta:v:40:y:2019:i:c:p:38-49.

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2019Foreign expansion, competition and bank risk. (2019). Laffitte, Sébastien ; Faia, Ester. In: Journal of International Economics. RePEc:eee:inecon:v:118:y:2019:i:c:p:179-199.

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2018Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?. (2018). Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhao, Longfeng ; Xie, Chi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:57:y:2018:i:c:p:205-230.

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2018An approximate long-memory range-based approach for value at risk estimation. (2018). Meng, Xiaochun ; Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:377-388.

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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:25-44.

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2019The leverage effect and the basket-index put spread. (2019). Bai, Jennie ; Yang, Fan ; Goldstein, Robert S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:1:p:186-205.

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2018Systemic risk and bank size. (2018). Varotto, Simone ; Zhao, Lei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:82:y:2018:i:c:p:45-70.

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2019Drivers of systemic risk: Do national and European perspectives differ?. (2019). Buch, Claudia M ; Tonzer, Lena ; Krause, Thomas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:91:y:2019:i:c:p:160-176.

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2018Effective network inference through multivariate information transfer estimation. (2018). Gnabo, Jean-Yves ; Dahlqvist, Carl-Henrik. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:376-394.

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2018Measuring bank downside systemic risk in Taiwan. (2018). Su, Ender ; Wong, Kai Wen. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:172-193.

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2019A focused information criterion for quantile regression: Evidence for the rebound effect. (2019). Vance, Colin ; Frondel, Manuel ; Dette, Holger ; Behl, Peter. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:223-227.

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2019Predictive, finite-sample model choice for time series under stationarity and non-stationarity. (2019). Preuss, Philip ; Kley, Tobias ; Fryzlewicz, Piotr. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:101748.

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2018Nets: network estimation for time series. (2018). Barigozzi, Matteo ; Brownlees, Christian T. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:90493.

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2018Uncertainty and Hyperinflation: European Inflation Dynamics after World War I. (2018). Lopez, Jose ; Mitchener, Kris James. In: Working Paper Series. RePEc:fip:fedfwp:2018-06.

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2018Bank Holdings and Systemic Risk. (2018). Harris, Jeffrey ; Mankad, Shawn ; Brunetti, Celso. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-63.

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2019Assessing Macroeconomic Tail Risk. (2019). Zhang, Donghai ; Matthes, Christian ; Loria, Francesca. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-26.

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2018Cross-Border Bank Flows and Monetary Policy. (2018). Zlate, Andrei ; Correa, Ricardo ; Sapriza, Horacio ; Paligorova, Teodora. In: International Finance Discussion Papers. RePEc:fip:fedgif:1241.

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2019Assessing Macroeconomic Tail Risk. (2019). Matthes, Christian ; Zhang, Donghai ; Loria, Francesca. In: Working Paper. RePEc:fip:fedrwp:19-10.

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2019Realized Volatility Forecasting: Robustness to Measurement Errors. (2019). Otranto, Edoardo ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_04.

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2019Realized variance modeling: decoupling forecasting from estimation. (2019). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_05.

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2018Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants. (2018). Allen, David ; Gerlach, Richard ; Peiris, Shelton ; Yatigammana, Rasika. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:52-:d:144971.

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2018Diversification and Systemic Risk: A Financial Network Perspective. (2018). Frey, Rudiger ; Hledik, Juraj. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:54-:d:146414.

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2018Measurement of Systemic Risk in a Common European Union Risk-Based Deposit Insurance System: Formal Necessity or Value-Adding Process?. (2018). Barkauskaite, Aida ; Witkowska, Justyna ; Lakstutiene, Ausrine. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:137-:d:187763.

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2019Measuring and Allocating Systemic Risk. (2019). Brunnermeier, Markus ; Cheridito, Patrick. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:46-:d:226193.

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2019Comparing Different Systemic Risk Measures for European Banking System. (2019). Di Clemente, Annalisa . In: International Business Research. RePEc:ibn:ibrjnl:v:12:y:2019:i:1:p:35-53.

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2018Modeling Systemic Risk with Markov Switching Graphical SUR Models. (2018). Guidolin, Massimo ; Billio, Monica ; Bianchi, Daniele ; Casarin, Roberto. In: Working Papers. RePEc:igi:igierp:626.

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2018Systemic risk in Europe: deciphering leading measures, common patterns and real effects. (2018). Stolbov, Mikhail ; Shchepeleva, Maria. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:1:d:10.1007_s10436-017-0310-3.

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2019Ranking consistency of systemic risk measures: a simulation-based analysis in a banking network model. (2019). Grundke, Peter. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:52:y:2019:i:4:d:10.1007_s11156-018-0732-7.

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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers. RePEc:lan:wpaper:257939806.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: NIPE Working Papers. RePEc:nip:nipewp:07/2018.

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2019Dynamic discrete mixtures for high frequency prices. (2019). Santucci de Magistris, Paolo ; di Mari, Roberto ; Catania, Leopoldo. In: Discussion Papers. RePEc:not:notgts:19/05.

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2018Does Economic Policy Uncertainty Lead Systemic Risk? A Comparative Analysis of Selected European Countries. (2018). Karminsky, Alexandr ; Shchepeleva, Maria ; Stolbov, Mikhail. In: Comparative Economic Studies. RePEc:pal:compes:v:60:y:2018:i:3:d:10.1057_s41294-018-0065-5.

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2018Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting. (2018). Gerlach, Richard ; Storti, Giuseppe ; Naimoli, Antonio. In: MPRA Paper. RePEc:pra:mprapa:83893.

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2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: MPRA Paper. RePEc:pra:mprapa:93802.

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2018Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting. (2018). Storti, Giuseppe ; Naimoli, Antonio ; Gerlach, Richard. In: MPRA Paper. RePEc:pra:mprapa:94289.

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2018Output Hysteresis and Optimal Monetary Policy. (2018). Singh, Sanjay. In: 2018 Meeting Papers. RePEc:red:sed018:554.

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2018Modeling Euro STOXX 50 Volatility with Common and Market–specific Components. (2018). Gallo, Giampiero ; Cipollini, Fabrizio. In: Working Paper series. RePEc:rim:rimwps:18-26.

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2018The Changing Network of Financial Market Linkages: The Asian Experience. (2018). Dungey, Mardi ; Volkov, Vladimir ; Sayeed, Mohammad Abu ; Kangogo, Moses ; Chowdhury, Biplob. In: ADB Economics Working Paper Series. RePEc:ris:adbewp:0558.

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2018Breaking Par: Short-Term Determinants of Yen-Dollar Swap Deviations. (2018). Angrick, Stefan ; Nemoto, Naoko. In: ADBI Working Papers. RePEc:ris:adbiwp:0859.

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2018About Local Projection Impulse Response Function Reliability. (2018). Brugnolini, Luca. In: CEIS Research Paper. RePEc:rtv:ceisrp:440.

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2018Bayesian Dynamic Modeling of High-Frequency Integer Price Changes. (2018). Koopman, Siem Jan ; Barra, Istvan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160028.

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2019Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2019). Blasques, Francisco ; Tomanova, Petra ; Holy, Vladimir. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190004.

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2019Time-varying tail behavior for realized kernels. (2019). Lucas, Andre ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190051.

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2019Observation-driven Models for Realized Variances and Overnight Returns. (2019). Lucas, Andre ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190052.

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2018Bank Regulation and Financial Stability. (2018). Bui, Christina. In: PhD Thesis. RePEc:uts:finphd:5-2018.

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2019Assessing the FSAP: Quality, Relevance, and Value Added. (2019). Caprio, Gerard. In: Department of Economics Working Papers. RePEc:wil:wileco:2019-12.

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2018The Benefits and Costs of the TARP Bailouts: A Critical Assessment. (2018). Berger, Allen N. In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:08:y:2018:i:02:n:s2010139218500118.

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2019Connectedness between G10 currencies: Searching for the causal structure. (2019). Bettendorf, Timo ; Heinlein, Reinhold. In: Discussion Papers. RePEc:zbw:bubdps:062019.

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

Works by Christian T. Brownlees:


YearTitleTypeCited
2013Nets: Network Estimation for Time Series In: Working Papers.
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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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This paper has another version. Agregated cites: 22
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2013A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series In: Studies in Nonlinear Dynamics & Econometrics.
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2016Impulse Response Estimation By Smooth Local Projections In: CEPR Discussion Papers.
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2017Back to the Future: Backtesting Systemic Risk Measures during Historical Bank Runs and the Great Depression In: CEPR Discussion Papers.
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2006Financial econometric analysis at ultra-high frequency: Data handling concerns In: Computational Statistics & Data Analysis.
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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: 95
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2014Disentangling systematic and idiosyncratic dynamics in panels of volatility measures In: Journal of Econometrics.
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article17
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: 17
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2019Hierarchical GARCH In: Journal of Empirical Finance.
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2017Credit risk interconnectedness: What does the market really know? In: Journal of Financial Stability.
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article5
2016Credit risk interconnectedness: What does the market really know?.(2016) In: Discussion Papers.
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This paper has another version. Agregated cites: 5
paper
2011Shrinkage estimation of semiparametric multiplicative error models In: International Journal of Forecasting.
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article5
2011Shrinkage estimation of semiparametric multiplicative error models.(2011) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 5
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2015Backtesting Systemic Risk Measures During Historical Bank Runs In: Working Paper Series.
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paper5
2007Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria In: Econometrics Working Papers Archive.
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2007Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria In: Econometrics Working Papers Archive.
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2008Comparison of Volatility Measures: a Risk Management Perspective In: Econometrics Working Papers Archive.
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paper72
2010Comparison of Volatility Measures: a Risk Management Perspective.(2010) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 72
article
2009Intra-daily Volume Modeling and Prediction for Algorithmic Trading In: Econometrics Working Papers Archive.
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paper26
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: 26
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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paper28
2008On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria In: Journal of Financial Econometrics.
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article7
2017SRISK: A Conditional Capital Shortfall Measure of Systemic Risk In: Review of Financial Studies.
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article58
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: 58
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2018Realized networks In: Journal of Applied Econometrics.
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article4
2018EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT In: Annals of Financial Economics (AFE).
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2013MEASURING SYSTEMIC RISK In: World Scientific Book Chapters.
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