Christian T. Brownlees : Citation Profile


Are you Christian T. Brownlees?

Barcelona Graduate School of Economics (Barcelona GSE)

9

H index

9

i10 index

955

Citations

RESEARCH PRODUCTION:

14

Articles

16

Papers

1

Chapters

RESEARCH ACTIVITY:

   13 years (2006 - 2019). See details.
   Cites by year: 73
   Journals where Christian T. Brownlees has often published
   Relations with other researchers
   Recent citing documents: 223.    Total self citations: 14 (1.44 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbr121
   Updated: 2020-11-21    RAS profile: 2019-06-03    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Engle, Robert (2)

Abbassi, Puriya (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 (44)

Barigozzi, Matteo (18)

Hallin, Marc (16)

Diebold, Francis (14)

Lucas, Andre (13)

Hautsch, Nikolaus (13)

Teräsvirta, Timo (13)

Acharya, Viral (12)

Shephard, Neil (12)

Engle, Robert (11)

Andersen, Torben (11)

Cites to:

Engle, Robert (51)

Gallo, Giampiero (41)

Shephard, Neil (25)

Diebold, Francis (23)

Bollerslev, Tim (19)

Hautsch, Nikolaus (15)

Andersen, Torben (15)

Hansen, Peter (12)

Cipollini, Fabrizio (12)

Reichlin, Lucrezia (12)

Sheppard, Kevin (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
Working Papers / Barcelona Graduate School of Economics2

Recent works citing Christian T. Brownlees (2020 and 2019)


YearTitle of citing document
2020Systemic Risk: a Network Approach. (2020). Hasse, Jean-Baptiste. In: AMSE Working Papers. RePEc:aim:wpaimx:2025.

Full description at Econpapers || Download paper

2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; von Sachs, R ; Barigozzi, M. In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences). RePEc:aiz:louvad:2019024.

Full description at Econpapers || Download paper

2020Bank capital and the European recovery from the COVID-19 crisis. (2020). Tröger, Tobias ; Schularick, Moritz ; Troger, Tobias H ; Steffen, Sascha. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:017.

Full description at Econpapers || Download paper

2019Dynamic Quantile Function Models. (2017). Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Papers. RePEc:arx:papers:1707.02587.

Full description at Econpapers || Download paper

2020Asymmetric Connectedness of Fears in the U.S. Financial Sector. (2018). Baruník, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:1810.12022.

Full description at Econpapers || Download paper

2020Zero-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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Systemic Risk: Conditional Distortion Risk Measures. (2019). Laeven, Roger ; Dhaene, Jan ; Zhang, Yiying. In: Papers. RePEc:arx:papers:1901.04689.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Bayesian nonparametric graphical models for time-varying parameters VAR. (2019). Rossini, Luca ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:1906.02140.

Full description at Econpapers || Download paper

2020Unveiling 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.

Full description at Econpapers || Download paper

2020Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794.

Full description at Econpapers || Download paper

2019Partial Uncertainty and Applications to Risk-Averse Valuation. (2019). Kratsios, Anastasis. In: Papers. RePEc:arx:papers:1909.13610.

Full description at Econpapers || Download paper

2020Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960.

Full description at Econpapers || Download paper

2020Predicting tail events in a RIA-EVT-Copula framework. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Papers. RePEc:arx:papers:2004.03190.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

Full description at Econpapers || Download paper

2020Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Regularization Approach for Network Modeling of German Power Derivative Market. (2020). L'Opez, Brenda ; Hardle, Wolfgang Karl ; Chen, Shi. In: Papers. RePEc:arx:papers:2009.09739.

Full description at Econpapers || Download paper

2020Copula-Based Factor Model for Credit Risk Analysis. (2020). Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan ; Lu, Meng-Jou. In: Papers. RePEc:arx:papers:2009.12092.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Systemic Risk in Vietnam Stock Market. (2019). van Vu, Thi Thuy ; Tran, Dang Kham. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:339-352.

Full description at Econpapers || Download paper

2019Systemic Risk in the Chinese Stock Market Under Different Regimes: A Sector-Level Perspective. (2019). Wang, Qiao ; Huang, Qiubin ; Cheng, Xiangjuan ; Yang, Haizhen. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:665-679.

Full description at Econpapers || Download paper

2019Systemic Risk and Collateral Adequacy. (2019). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:19-23.

Full description at Econpapers || Download paper

2020Macroprudential stress testing: A proposal for the Luxembourg investment fund sector. (2020). Lee, Kang-Soek. In: BCL working papers. RePEc:bcl:bclwop:bclwp141.

Full description at Econpapers || Download paper

2020Tail Risk Networks of Insurers Around the Globe: An Empirical Examination of Systemic Risk for G‐SIIs vs Non‐G‐SIIs. (2020). Sun, Tao ; Chen, Hua. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:2:p:285-318.

Full description at Econpapers || Download paper

2019Money laundering and bank risk: evidence from US banks. (2019). Thornton, John ; Uymaz, Yurtsev ; Altunba, Yener. In: Working Papers. RePEc:bng:wpaper:19005.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Central bank independence and systemic risk. (2020). Andrieș, Alin Marius ; Sprincean, Nicu ; Podpiera, Anca Maria. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2020_013.

Full description at Econpapers || Download paper

2019Non-performing loans in the euro area: does market power matter?. (2019). Louri, Helen ; Karadima, Maria. In: Working Papers. RePEc:bog:wpaper:271.

Full description at Econpapers || Download paper

2019Systemic Risk of the Consumer Credit Network across Financial Institutions. (2019). Jung, Hosung ; Kim, Hyun Hak. In: Working Papers. RePEc:bok:wpaper:1923.

Full description at Econpapers || Download paper

2019Conditional excess risk measures and multivariate regular variation. (2019). Vicky, Fasen-Hartmann ; Bikramjit, Das. In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:36:y:2019:i:1-4:p:1-23:n:2.

Full description at Econpapers || Download paper

2020Systemic Risk-Shifting in Financial Networks. (2020). Hazell, J ; Georg, C-P., ; Elliott, M. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2068.

Full description at Econpapers || Download paper

2019Liquidity and tail-risk interdependencies in the euro area sovereign bond market. (2019). Clancy, Daragh ; Filiani, Pasquale ; Dunne, Peter G. In: Research Technical Papers. RePEc:cbi:wpaper:11/rt/19.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Measuring the Effects of Unconventional Policies on Stock Market Volatility. (2020). Gallo, Giampiero ; Otranto, E ; Lacava, D. In: Working Paper CRENoS. RePEc:cns:cnscwp:202006.

Full description at Econpapers || Download paper

2020La interconexión en las instituciones de inversión colectiva no alternativas y el riesgo sistémico. (2020). Laborda, Ricardo ; Losada, Ramiro. In: CNMV Documentos de Trabajo. RePEc:cnv:docutr:dt_71es.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Score-driven time series models with dynamic shape : an application to the Standard & Poors 500 index. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28133.

Full description at Econpapers || Download paper

2020Estimation of Impulse response functions with term structure local projections. (2020). McNeil, James. In: Working Papers. RePEc:dal:wpaper:daleconwp2020-05.

Full description at Econpapers || Download paper

2020Macroeconomic reversal rate: evidence from a nonlinear IS-curve. (2020). Samarina, Anna ; End, Jan Willem ; Stanga, Irina ; Konietschke, Paul ; van den End, Jan Willem. In: DNB Working Papers. RePEc:dnb:dnbwpp:684.

Full description at Econpapers || Download paper

2020The effect of the trading activities of banks on systemic risk: does banking industry concentration matter?. (2020). Kamani, Eric Fina. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00798.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Firm-specific shocks and contagion: are banks special?. (2020). Stracca, Livio ; Engljahringer, Hannah Katharina. In: Working Paper Series. RePEc:ecb:ecbwps:20202481.

Full description at Econpapers || Download paper

2020Blockchain Technology and Systemic Risk. (2020). Mselmi, Aymen. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-02-7.

Full description at Econpapers || Download paper

2020Banks and the real economy: An assessment of the research. (2020). Wilson, John ; Molyneux, Philip ; John , ; Berger, Allen N. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119919307813.

Full description at Econpapers || Download paper

2019Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach. (2019). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:200-229.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020What is the minimal systemic risk in financial exposure networks?. (2020). Pichler, Anton ; Diem, Christian ; Thurner, Stefan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300683.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Tail risk under price limits. (2019). Park, Kinam ; Kee, Hyukdo ; Oh, Sekyung. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:113-123.

Full description at Econpapers || Download paper

2019International trade, foreign direct investments, and firms’ systemic risk : Evidence from the Netherlands. (2019). Braekers, Roel ; Vancauteren, Mark ; van Cauwenberge, Annelies ; Vandemaele, Sigrid . In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:361-386.

Full description at Econpapers || Download paper

2020Dynamic frequency connectedness between oil and natural gas volatilities. (2020). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:181-189.

Full description at Econpapers || Download paper

2020Tree networks to assess financial contagion. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Agosto, Arianna. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:349-366.

Full description at Econpapers || Download paper

2020Heterogeneity risks and negative externality. (2020). Yang, Chen ; Huang, Wenli ; Li, LU ; Ba, Shusong. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:401-415.

Full description at Econpapers || Download paper

2020Measuring systemic risk in the U.S. Banking system. (2020). Sanz, Ivan Pastor ; Lopez-Iturriaga, Felix J ; Kolari, James W. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:646-658.

Full description at Econpapers || Download paper

2020Monetary policy and systemic risk-taking in the euro area banking sector. (2020). Kabundi, Alain ; de Simone, Francisco Nadal . In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:736-758.

Full description at Econpapers || Download paper

2020Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach. (2020). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819301986.

Full description at Econpapers || Download paper

2020Does bank capitalization matter for bank stock returns?. (2020). Scholtens, Bert ; Huang, Qiubin ; de Haan, Jakob. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300681.

Full description at Econpapers || Download paper

2020Analysis of the impact of Sino-US trade friction on China’s stock market based on complex networks. (2020). Zhang, Weiping ; Wang, Jian ; Zhuang, Xintian ; Li, Yanshuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300826.

Full description at Econpapers || Download paper

2020Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates. (2020). Yi, Chae-Deug. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300814.

Full description at Econpapers || Download paper

2019Redenomination-risk spillovers in the Eurozone. (2019). Borri, Nicola. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:173-178.

Full description at Econpapers || Download paper

2019Analysing the systemic risk of Indian banks. (2019). Ahmad, Wasim ; Bekiros, Stelios ; Uddin, Gazi Salah ; Verma, Ramprasad. In: Economics Letters. RePEc:eee:ecolet:v:176:y:2019:i:c:p:103-108.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020On the impact of quantitative easing on credit standards and systemic risk: The Japanese experience. (2020). Vu, Anh Nguyet . In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519302459.

Full description at Econpapers || Download paper

2019Mark to market value at risk. (2019). Chen, YU ; Zhang, Zhengjun ; Wang, Zhicheng. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:299-321.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020The leverage effect puzzle revisited: Identification in discrete time. (2020). Khrapov, Stanislav ; Han, Hyojin ; Renault, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:230-258.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Connectedness and risk spillovers in China’s stock market: A sectoral analysis. (2019). Zhang, Dayong ; Wu, Fei. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:3:s0939362518302590.

Full description at Econpapers || Download paper

2020The transmission mechanism of credit support policies in the euro area. (2020). Peersman, Gert ; de Sola, Maite ; Boeckx, Jef. In: European Economic Review. RePEc:eee:eecrev:v:124:y:2020:i:c:s0014292120300350.

Full description at Econpapers || Download paper

2019Sharp asymptotics for large portfolio losses under extreme risks. (2019). Yang, Yang ; Tang, Zhaofeng. In: European Journal of Operational Research. RePEc:eee:ejores:v:276:y:2019:i:2:p:710-722.

Full description at Econpapers || Download paper

2019Conditional tail-risk in cryptocurrency markets. (2019). Borri, Nicola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:1-19.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Estimation and model-based combination of causality networks among large US banks and insurance companies. (2019). Caporin, Massimiliano ; Panzica, Roberto ; Bonaccolto, Giovanni. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:1-21.

Full description at Econpapers || Download paper

2020Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches. (2020). Tiwari, Aviral ; Raheem, Ibrahim ; Trabelsi, Nader ; Alqahtani, Faisal. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304438.

Full description at Econpapers || Download paper

2020Magnitude and persistence of extreme risk spillovers in the global energy market: A high-dimensional left-tail interdependence perspective. (2020). Liu, Jiahao ; Lin, Renda ; Zhu, BO. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301018.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Sectoral contributions to systemic risk in the Chinese stock market. (2019). Wu, Fei. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318306949.

Full description at Econpapers || Download paper

2020The effect of CEO power on bank risk: Do boards and institutional investors matter?✰. (2020). Altunbas, Yener ; Uymaz, Yurtsev ; Thornton, John. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319300674.

Full description at Econpapers || Download paper

2020Can economic policy uncertainty predict exchange rate volatility? New evidence from the GARCH-MIDAS model. (2020). Zeng, Ximei ; Jiang, Yong ; Fu, Zhangyan ; Zhou, Zhongbao ; Lin, Ling. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319304982.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Do social networks encourage risk-taking? Evidence from bank CEOs. (2020). Wang, Haizhi ; Liu, Liuling ; Fang, Yiwei ; Dbouk, Wassim. In: Journal of Financial Stability. RePEc:eee:finsta:v:46:y:2020:i:c:s157230891930659x.

Full description at Econpapers || Download paper

2020Do short sellers exploit risky business models of banks? Evidence from two banking crises. (2020). Lin, Tse-Chun ; Bui, Dien Giau. In: Journal of Financial Stability. RePEc:eee:finsta:v:46:y:2020:i:c:s1572308919306709.

Full description at Econpapers || Download paper

2020Macroprudential policy and bank systemic risk. (2020). Vander Vennet, Rudi ; Meuleman, Elien. In: Journal of Financial Stability. RePEc:eee:finsta:v:47:y:2020:i:c:s1572308920300024.

Full description at Econpapers || Download paper

2020Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis. (2020). de Simone, Francisco Nadal ; Jin, Xisong. In: Journal of Financial Stability. RePEc:eee:finsta:v:49:y:2020:i:c:s1572308920300486.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Nonparametric inference for distortion risk measures on tail regions. (2019). Wang, Xing ; Hou, Yanxi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:89:y:2019:i:c:p:92-110.

Full description at Econpapers || Download paper

2020Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models. (2020). Yao, Jing ; Shushi, Tomer. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:178-186.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019A SHARP model of bid–ask spread forecasts. (2019). Pirino, Davide ; Cattivelli, Luca. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1211-1225.

Full description at Econpapers || Download paper

2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1332-1355.

Full description at Econpapers || Download paper

2020Forecast combinations for value at risk and expected shortfall. (2020). Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:428-441.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]
paper29
2013Nets: Network estimation for time series.(2013) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2019NETS: Network estimation for time series.(2019) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
article
2017Detecting Granular Time Series in Large Panels In: Working Papers.
[Full Text][Citation analysis]
paper2
2013A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article4
2016Impulse Response Estimation By Smooth Local Projections In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper17
2017Back to the Future: Backtesting Systemic Risk Measures during Historical Bank Runs and the Great Depression In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper6
2006Financial econometric analysis at ultra-high frequency: Data handling concerns In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article110
2006Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns.(2006) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 110
paper
2014Disentangling systematic and idiosyncratic dynamics in panels of volatility measures In: Journal of Econometrics.
[Full Text][Citation analysis]
article19
2014Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures.(2014) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
paper
2019Hierarchical GARCH In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article0
2017Credit risk interconnectedness: What does the market really know? In: Journal of Financial Stability.
[Full Text][Citation analysis]
article7
2016Credit risk interconnectedness: What does the market really know?.(2016) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2011Shrinkage estimation of semiparametric multiplicative error models In: International Journal of Forecasting.
[Full Text][Citation analysis]
article6
2011Shrinkage estimation of semiparametric multiplicative error models.(2011) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
2015Backtesting Systemic Risk Measures During Historical Bank Runs In: Working Paper Series.
[Full Text][Citation analysis]
paper9
2007Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
paper0
2007Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
paper0
2008Comparison of Volatility Measures: a Risk Management Perspective In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
paper84
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: 84
article
2009Intra-daily Volume Modeling and Prediction for Algorithmic Trading In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
paper34
2011Intra-daily Volume Modeling and Prediction for Algorithmic Trading.(2011) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34
article
2010Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
paper7
2011Multiplicative Error Models In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
paper29
2008On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article8
2017SRISK: A Conditional Capital Shortfall Measure of Systemic Risk In: Review of Financial Studies.
[Full Text][Citation analysis]
article103
2017SRISK: a conditional capital shortfall measure of systemic risk.(2017) In: ESRB Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 103
paper
2018Realized networks In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article6
2018EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT In: Annals of Financial Economics (AFE).
[Full Text][Citation analysis]
article1
2013MEASURING SYSTEMIC RISK In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter474

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2020. Contact: CitEc Team