Christian T. Brownlees : Citation Profile

Are you Christian T. Brownlees?

Barcelona School of Economics (BSE)

14

H index

14

i10 index

1899

Citations

RESEARCH PRODUCTION:

23

Articles

24

Papers

1

Chapters

RESEARCH ACTIVITY:

   17 years (2006 - 2023). See details.
   Cites by year: 111
   Journals where Christian T. Brownlees has often published
   Relations with other researchers
   Recent citing documents: 329.    Total self citations: 21 (1.09 %)

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   Permalink: http://citec.repec.org/pbr121
   Updated: 2023-11-04    RAS profile: 2022-05-23    
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Relations with other researchers

Works with:

Holzmeister, Felix (5)

Menkveld, Albert (5)

Dreber, Anna (5)

Johannesson, Magnus (5)

Gehrig, Thomas (5)

Colliard, Jean-Edouard (4)

FERROUHI, EL MEHDI (4)

Caporin, Massimiliano (4)

Ferrara, Gerardo (4)

Deev, Oleg (4)

Dimpfl, Thomas (4)

Dumitrescu, Ariadna (4)

Chernov, Mikhail (4)

Ait-Sahalia, Yacine (4)

Adrian, Tobias (4)

Bohorquez Correa, Santiago (4)

Gerritsen, Dirk (4)

Abudy, Menachem (4)

Chow, Nikolai Sheung-Chi (4)

Frömmel, Michael (4)

CAPELLE-BLANCARD, Gunther (4)

Alexeev, Vitali (4)

Deku, Solomon (4)

Füllbrunn, Sascha (3)

Gil-Bazo, Javier (3)

Schwarz, Marco (3)

Putnins, Talis (2)

Nielsson, Ulf (2)

Vilkov, Grigory (2)

Hautsch, Nikolaus (2)

He, Xuezhong (Tony) (2)

Bos, Charles (2)

Foucault, Thierry (2)

Xiu, Dacheng (2)

Renault, Thomas (2)

Hurlin, Christophe (2)

PASCUAL, ROBERTO (2)

Pastor, Lubos (2)

van Kervel, Vincent (2)

Reitz, Stefan (2)

Wolff, Christian (2)

Sarno, Lucio (2)

Lof, Matthijs (2)

Lajaunie, Quentin (2)

Ranaldo, Angelo (2)

Liew, Chee (2)

Sojli, Elvira (2)

Verousis, Thanos (2)

Park, Andreas (2)

Taylor, Nick (2)

Pelizzon, Loriana (2)

Rinne, Kalle (2)

Xia, Shuo (2)

Rakowski, David (2)

Zhou, Chen (2)

Jurkatis, Simon (2)

Frijns, Bart (2)

LINTON, OLIVER (2)

Palan, Stefan (2)

Kassner, Bernhard (2)

Tonks, Ian (2)

Mihet, Roxana (2)

Bouri, Elie (2)

Guðmundsson, Guðmundur (2)

Schuerhoff, Norman (2)

Scaillet, Olivier (2)

Hjalmarsson, Erik (2)

Regis, Luca (2)

Patel, Vinay (2)

Walther, Thomas (2)

Harris, Jeffrey (2)

Theissen, Erik (2)

Moinas, Sophie (2)

Ødegaard, Bernt (2)

Patton, Andrew (2)

Smales, Lee (2)

Horenstein, Alex (2)

Gorbenko, Arseny (2)

Prokopczuk, Marcel (2)

Wong, Wing-Keung (2)

Heath, Davidson (2)

Lopez-Lira, Alejandro (2)

Wilhelmsson, Anders (2)

Kearney, Fearghal (2)

Roy, Saurabh (2)

Stefanova, Denitsa (2)

Korajczyk, Robert (2)

Davies, Ryan (2)

Jalkh, Naji (2)

Talavera, Oleksandr (2)

Pasquariello, Paolo (2)

Barigozzi, Matteo (2)

Vogel, Sebastian (2)

Schenk-Hoppé, Klaus (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)

Barigozzi, Matteo (20)

Hallin, Marc (20)

Acharya, Viral (19)

Engle, Robert (19)

Lucas, Andre (18)

Diebold, Francis (17)

Yilmaz, Kamil (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)

Lo, Andrew (12)

Main data

Where Christian T. Brownlees has published?

Journals with more than one article published# docs
The Journal of Financial Econometrics3
Journal of Econometrics3
International Journal of Forecasting2
Journal of Applied Econometrics2
Journal of Monetary Economics2

Working Papers Series with more than one paper published# docs
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"9
Working Papers / Barcelona School of Economics2
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

Recent works citing Christian T. Brownlees (2023 and 2022)

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

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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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2022News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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

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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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2022Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

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

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

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

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

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2022Derivatives Holdings and Systemic Risk in the U.S. Banking Sector. (2022). Mayordomo, Sergio ; Pena, Juan Ignacio ; Rodriguez-Moreno, Maria. In: Papers. RePEc:arx:papers:2202.02254.

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

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

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

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

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

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2022Efficiency of the Moscow Stock Exchange before 2022. (2022). Marmi, Stefano ; Mazzarisi, Piero ; Shternshis, Andrey. In: Papers. RePEc:arx:papers:2207.10476.

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2022Distributional Correlation--Aware Knowledge Distillation for Stock Trading Volume Prediction. (2022). Sun, XU ; Harimoto, Keiko ; Bao, Ruihan ; Zhang, Zhiyuan ; Li, Lei. In: Papers. RePEc:arx:papers:2208.07232.

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2022Systemic Risk of Optioned Portfolios: Controllability and Optimization. (2022). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Papers. RePEc:arx:papers:2209.04685.

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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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2022Identifying the regional drivers of influenza-like illness in Nova Scotia with dominance analysis. (2022). Ditzen, Jan ; Aydede, Yigit . In: Papers. RePEc:arx:papers:2212.06684.

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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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2022Deep Growth-at-Risk Model: Nowcasting the 2020 Pandemic Lockdown Recession in Small Open Economies. (2022). Yanchev, Mihail. In: Economic Studies journal. RePEc:bas:econst:y:2022:i:7:p:20-41.

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

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

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2022SRISK: una medida de riesgo sistémico para la banca colombiana 2005-2021. (2022). Sanchez-Quinto, Camilo Eduardo. In: Borradores de Economia. RePEc:bdr:borrec:1207.

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

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

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2022Can “Concerted” Macroprudential Policies Mitigate Cross?border Contagion of Financial Risks? Evidence from China and Its Financially Connected Economies. (2021). Chen, Xiaoli ; Liu, Xiaoyu. In: China & World Economy. RePEc:bla:chinae:v:29:y:2021:i:3:p:26-54.

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

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

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2022Bank–client cross?ownership of bank stocks: A network analysis. (2022). Lee, Kangbok ; Joo, Sunghoon ; Barth, James R. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:2:p:280-312.

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2022The rising interconnectedness of the insurance sector. (2022). Jourde, Tristan. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:2:p:397-425.

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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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2022A Guide to Autoregressive Distributed Lag Models for Impulse Response Estimations. (2022). Lee, Byoungchan ; Baek, Chaewon. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:5:p:1101-1122.

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2022.

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

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2022.

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2022Measuring Capital at Risk in the UK banking sector: a microstructural network approach. (2022). Brookes, James ; Covi, Giovanni ; Raja, Charumathi. In: Bank of England working papers. RePEc:boe:boeewp:0983.

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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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2022Fire Sales and Ex Ante Valuation of Systemic Risk: A Financial Equilibrium Networks Approach. (2022). Bougheas, Spiros ; Spencer, Adam Hal. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10111.

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

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

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

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2022Latent fragility: conditioning banks joint probability of default on the financial cycle. (2022). Segoviano, Miguel ; Schuler, Yves S ; Hiebert, Paul ; Bochmann, Paul. In: Working Paper Series. RePEc:ecb:ecbwps:20222698.

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2022A sensitivities based CoVaR approach to assets commonality and its application to SSM banks. (2022). Cappelletti, Giuseppe ; Spano, Guido ; Shaw, Frances ; Giglio, Carla ; del Vecchio, Leonardo. In: Working Paper Series. RePEc:ecb:ecbwps:20222725.

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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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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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2022A closer look at Chinese housing market: Measuring intra-city submarket connectedness in Shanghai and Guangzhou. (2022). Nong, Huifu ; Li, Qiang. In: China Economic Review. RePEc:eee:chieco:v:74:y:2022:i:c:s1043951x2200061x.

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2022A multilayer approach for systemic risk in the insurance sector. (2022). Cornaro, Alessandra ; Clemente, Gian Paolo. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:162:y:2022:i:c:s0960077922006087.

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2022Measuring market efficiency: The Shannon entropy of high-frequency financial time series. (2022). Marmi, Stefano ; Mazzarisi, Piero ; Shternshis, Andrey. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:162:y:2022:i:c:s0960077922006130.

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

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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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2022Time series graphical lasso and sparse VAR estimation. (2022). Pourahmadi, Mohsen ; Kim, Rakheon ; Dallakyan, Aramayis. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:176:y:2022:i:c:s0167947322001372.

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

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2022Are government spending shocks inflationary at the zero lower bound? New evidence from daily data. (2022). Choi, Sangyup ; Yoo, Seung Yong ; Shin, Junhyeok. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001294.

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2022Statistical arbitrage and risk contagion. (2022). Ladley, Daniel ; Gao, Xing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002329.

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

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

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2022Exchange rates and the global transmission of equity market shocks. (2022). Reboredo, Juan C ; Ojea-Ferreiro, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:114:y:2022:i:c:s0264999322001602.

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

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

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

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2022Determining hedges and safe havens for stocks using interval analysis. (2022). Hsueh, Shao-Chieh ; Liu, Yilei ; Ju, Peijie ; Chang, Meng-Shiuh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000274.

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2022Does diversification promote systemic risk?. (2022). He, Jianmin ; Liu, Xiaoxing ; Wang, Chao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000353.

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2022Instability spillovers in the banking sector: A spatial econometrics approach. (2022). Karkowska, Renata ; Acedaski, Jan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000493.

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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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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.
[Full Text][Citation analysis]		paper1
2013Nets: Network Estimation for Time Series In: Working Papers.
[Full Text][Citation analysis]		paper80
2018Nets: network estimation for time series.(2018) In: LSE Research Online Documents on Economics.
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2013Nets: Network estimation for time series.(2013) In: Economics Working Papers.
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This paper has another version. Agregated cites: 80		paper
2019NETS: Network estimation for time series.(2019) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 80		article
2017Detecting Granular Time Series in Large Panels In: Working Papers.
[Full Text][Citation analysis]		paper7
2021Detecting granular time series in large panels.(2021) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 7		article
2013A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article4
2016Impulse Response Estimation By Smooth Local Projections In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper82
2019Impulse Response Estimation by Smooth Local Projections.(2019) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 82		article
2017Back to the Future: Backtesting Systemic Risk Measures during Historical Bank Runs and the Great Depression In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper20
2020Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression.(2020) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		article
2022Corporate hedging and the variance of stock returns In: Journal of Corporate Finance.
[Full Text][Citation analysis]		article1
2006Financial econometric analysis at ultra-high frequency: Data handling concerns In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article146
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: 146		paper
2014Disentangling systematic and idiosyncratic dynamics in panels of volatility measures In: Journal of Econometrics.
[Full Text][Citation analysis]		article29
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: 29		paper
2021Detecting groups in large vector autoregressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
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]		article16
2016Credit risk interconnectedness: What does the market really know?.(2016) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2011Shrinkage estimation of semiparametric multiplicative error models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article7
2011Shrinkage estimation of semiparametric multiplicative error models.(2011) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		article
2021Bank credit risk networks: Evidence from the Eurozone In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article7
2021Backtesting global Growth-at-Risk In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article19
2015Backtesting Systemic Risk Measures During Historical Bank Runs In: Working Paper Series.
[Full Text][Citation analysis]		paper14
2007Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper0
2007Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper0
2007Comparison of Volatility Measures: a Risk Management Perspective In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper97
2008Comparison of Volatility Measures: a Risk Management Perspective.(2008) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another 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 another version. Agregated cites: 97		article
2009Intra-daily Volume Modeling and Prediction for Algorithmic Trading In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper39
2011Intra-daily Volume Modeling and Prediction for Algorithmic Trading.(2011) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		article
2010Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper7
2011Multiplicative Error Models In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]		paper30
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper2
2021Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2021Non-Standard Errors.(2021) In: Post-Print.
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This paper has another version. Agregated cites: 2		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2021Non-standard errors.(2021) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2008On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria In: The 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]		article332
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: 332		paper
2020On the estimation of integrated volatility in the presence of jumps and microstructure noise In: Econometric Reviews.
[Full Text][Citation analysis]		article5
2022Community Detection in Partial Correlation Network Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article1
2018Realized networks In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article15
2018EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT In: Annals of Financial Economics (AFE).
[Full Text][Citation analysis]		article2
2013MEASURING SYSTEMIC RISK In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter925

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