Christian T. Brownlees : Citation Profile

Are you Christian T. Brownlees?

Barcelona School of Economics (BSE)

14

H index

14

i10 index

2146

Citations

RESEARCH PRODUCTION:

24

Articles

27

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (2006 - 2024). See details.
   Cites by year: 119
   Journals where Christian T. Brownlees has often published
   Relations with other researchers
   Recent citing documents: 327.    Total self citations: 22 (1.01 %)

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   Permalink: http://citec.repec.org/pbr121
   Updated: 2024-11-04    RAS profile: 2024-04-05    
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Relations with other researchers

Works with:

Johannesson, Magnus (7)

Dreber, Anna (7)

Gehrig, Thomas (7)

Menkveld, Albert (7)

Holzmeister, Felix (7)

Degryse, Hans (5)

Frömmel, Michael (5)

Gil-Bazo, Javier (5)

Caporin, Massimiliano (5)

Frijns, Bart (5)

Ait-Sahalia, Yacine (5)

Füllbrunn, Sascha (5)

Colliard, Jean-Edouard (5)

Chernov, Mikhail (5)

FERROUHI, EL MEHDI (5)

Dimpfl, Thomas (5)

Bohorquez Correa, Santiago (5)

Alexeev, Vitali (5)

Davies, Ryan (5)

Deku, Solomon (5)

Deev, Oleg (5)

CAPELLE-BLANCARD, Gunther (5)

Schwarz, Marco (4)

Eugster, Nicolas (4)

Adrian, Tobias (4)

Abudy, Menachem (4)

Bjønnes, Geir (4)

Chow, Nikolai Sheung-Chi (4)

Ferrara, Gerardo (4)

Gerritsen, Dirk (4)

Aloosh, Arash (4)

Dumitrescu, Ariadna (4)

Schenk-Hoppé, Klaus (3)

Shachar, Or (3)

Ødegaard, Bernt (3)

Nielsson, Ulf (3)

Hautsch, Nikolaus (3)

Foucault, Thierry (3)

Roy, Saurabh (3)

Voigt, Stefan (3)

Sarno, Lucio (3)

Xiu, Dacheng (3)

Ranaldo, Angelo (3)

Reitz, Stefan (3)

Lof, Matthijs (3)

Walther, Thomas (3)

Taylor, Nick (3)

Smales, Lee (3)

Mihet, Roxana (3)

Hurlin, Christophe (3)

Huang, Wenqian (3)

Xia, Shuo (3)

Rinne, Kalle (3)

Pasquariello, Paolo (3)

Wolff, Christian (3)

Jalkh, Naji (3)

Liew, Chee (3)

Schuerhoff, Norman (3)

Zhang, S. Sarah (3)

Pastor, Lubos (3)

Vilkov, Grigory (3)

Korajczyk, Robert (3)

Wilhelmsson, Anders (3)

Talavera, Oleksandr (3)

Verousis, Thanos (3)

Renault, Thomas (3)

Palan, Stefan (3)

Guðmundsson, Guðmundur (3)

Stefanova, Denitsa (3)

Horenstein, Alex (3)

Harris, Jeffrey (3)

Hjalmarsson, Erik (2)

Neszveda, Gabor (2)

Lajaunie, Quentin (2)

Rakowski, David (2)

Lopez-Lira, Alejandro (2)

van Kervel, Vincent (2)

Bos, Charles (2)

Zhou, Chen (2)

Patton, Andrew (2)

Pelizzon, Loriana (2)

Scaillet, Olivier (2)

LINTON, OLIVER (2)

Kassner, Bernhard (2)

Jurkatis, Simon (2)

Koetter, Michael (2)

Prokopczuk, Marcel (2)

Gorbenko, Arseny (2)

Roy, Saurabh (2)

Moinas, Sophie (2)

Sojli, Elvira (2)

Tonks, Ian (2)

Park, Andreas (2)

Heath, Davidson (2)

Patel, Vinay (2)

Söderlind, Paul (2)

Wong, Wing-Keung (2)

Theissen, Erik (2)

Güçbilmez, Ufuk (2)

Vogel, Sebastian (2)

Kearney, Fearghal (2)

He, Xuezhong (Tony) (2)

PASCUAL, ROBERTO (2)

Bouri, Elie (2)

Putnins, Talis (2)

Regis, Luca (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 (60)

Otranto, Edoardo (23)

Giudici, Paolo (21)

Hallin, Marc (20)

Engle, Robert (20)

Barigozzi, Matteo (20)

Acharya, Viral (19)

Lucas, Andre (19)

Wang, Gang-Jin (18)

Yilmaz, Kamil (17)

Diebold, Francis (17)

Cites to:

Engle, Robert (61)

Gallo, Giampiero (38)

Diebold, Francis (34)

Shephard, Neil (28)

Hautsch, Nikolaus (26)

Bauwens, Luc (26)

Bollerslev, Tim (21)

Reichlin, Lucrezia (17)

Andersen, Torben (16)

Forni, Mario (14)

Lo, Andrew (13)

Main data

Where Christian T. Brownlees has published?

Journals with more than one article published# docs
International Journal of Forecasting3
Journal of Financial Econometrics3
Journal of Econometrics3
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 Economics3
CEPR Discussion Papers / C.E.P.R. Discussion Papers2
Papers / arXiv.org2

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

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

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

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2024Zero-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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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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2024Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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

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

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

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

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

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

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2024Inference 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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2024Systemic risk in financial networks: the effects of asymptotic independence. (2023). Fasen-Hartmann, Vicky ; Das, Bikramjit. In: Papers. RePEc:arx:papers:2309.15511.

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

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2024Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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

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2024Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2404.18029.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

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2024On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549.

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2024Financial Interactions and Capital Accumulation. (2024). Lotz, Aileen ; Gosselin, Pierre. In: Papers. RePEc:arx:papers:2405.10338.

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2024Decomposing Large Banks’ Systemic Trading Losses. (2024). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:24-6.

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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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2023.

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2023Can “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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2024Growth at risk from climate change. (2024). Kiley, Michael. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:3:p:1134-1151.

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2023.

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

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2024Model?Free International Stochastic Discount Factors. (2021). Vedolin, Andrea ; Trojani, Fabio ; Sandulescu, Mirela. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:935-976.

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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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2024.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2024The nonlinear effects of banks’ vulnerability to capital depletion in euro area countries. (2024). Moccero, Diego Nicolas ; Davidson, Sharada Nia. In: Working Paper Series. RePEc:ecb:ecbwps:20242912.

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2024Stress testing with multiple scenarios: a tale on tails and reverse stress scenarios. (2024). Budnik, Katarzyna ; Angotti, Romain ; Aikman, David. In: Working Paper Series. RePEc:ecb:ecbwps:20242941.

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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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2024Does oil future increase the network systemic risk of financial institutions in China?. (2024). Sun, Chuanwang ; Zhou, Lichao ; Chen, Chuanglian ; Lin, Yuting. In: Applied Energy. RePEc:eee:appene:v:364:y:2024:i:c:s0306261924005592.

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

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

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

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2023How does fintech affect bank risk? A perspective based on financialized transfer of government implicit debt risk. (2023). Sun, Ruiyi ; Song, Zilong ; Gu, Qiankun ; Huang, Xiang ; Wang, Jiaxin. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003103.

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2024The determinants of systemic risk contagion. (2024). Erden, Lutfi ; Ozkan, Brahim ; Atasoy, Burak Sencer. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s026499932300408x.

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2024Pushing and pulling on a string? Inflationary effects of expansionary and contractionary monetary policies when rates are negative. (2024). Pihlajamaa, Matias ; Laine, Olli-Matti. In: Economic Modelling. RePEc:eee:ecmode:v:131:y:2024:i:c:s0264999323004327.

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

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

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

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

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

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

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

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2024Economic policy uncertainty, macroeconomic shocks, and systemic risk: Evidence from China. (2024). Liu, Haiyue ; Zhang, Qin ; Yang, Xite ; Huang, Linya ; Lai, Yongzeng ; Tao, Qiufan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001559.

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2024Constructing early warning indicators for banks using machine learning models. (2024). Tarkocin, Coskun ; Donduran, Murat. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001419.

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2024Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan. (2024). Ruan, Jia ; Ni, Jianhui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300178x.

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2023Time series cross validation: A theoretical result and finite sample performance. (2023). Deng, AI. In: Economics Letters. RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523003944.

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

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

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

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

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

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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
2024Unit Averaging for Heterogeneous Panels In: Papers.
[Full Text][Citation analysis]		paper0
2021Non-Standard Errors In: Working Papers.
[Full Text][Citation analysis]		paper9
2021Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2021Non-Standard Errors.(2021) In: Post-Print.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2013Nets: Network Estimation for Time Series In: Working Papers.
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2018Nets: network estimation for time series.(2018) In: LSE Research Online Documents on Economics.
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2013Nets: Network estimation for time series.(2013) In: Economics Working Papers.
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2019NETS: Network estimation for time series.(2019) In: Journal of Applied Econometrics.
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2017Detecting Granular Time Series in Large Panels In: Working Papers.
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2021Detecting granular time series in large panels.(2021) In: Journal of Econometrics.
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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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2019Impulse Response Estimation by Smooth Local Projections.(2019) In: The Review of Economics and Statistics.
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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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2020Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression.(2020) In: Journal of Banking & Finance.
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2022Corporate hedging and the variance of stock returns In: Journal of Corporate Finance.
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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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2014Disentangling systematic and idiosyncratic dynamics in panels of volatility measures In: Journal of Econometrics.
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2014Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures.(2014) In: Econometrics Working Papers Archive.
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2021Detecting groups in large vector autoregressions In: Journal of Econometrics.
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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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2016Credit risk interconnectedness: What does the market really know?.(2016) In: Discussion Papers.
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2011Shrinkage estimation of semiparametric multiplicative error models In: International Journal of Forecasting.
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2011Shrinkage estimation of semiparametric multiplicative error models.(2011) In: International Journal of Forecasting.
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2023Projected Dynamic Conditional Correlations In: International Journal of Forecasting.
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2021Bank credit risk networks: Evidence from the Eurozone In: Journal of Monetary Economics.
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2015Backtesting Systemic Risk Measures During Historical Bank Runs In: Working Paper Series.
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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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2007Comparison of Volatility Measures: a Risk Management Perspective In: Econometrics Working Papers Archive.
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2008Comparison of Volatility Measures: a Risk Management Perspective.(2008) In: Econometrics Working Papers Archive.
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2010Comparison of Volatility Measures: a Risk Management Perspective.(2010) In: Journal of Financial Econometrics.
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2009Intra-daily Volume Modeling and Prediction for Algorithmic Trading In: Econometrics Working Papers Archive.
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2011Intra-daily Volume Modeling and Prediction for Algorithmic Trading.(2011) In: Journal of Financial Econometrics.
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2010Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets In: Econometrics Working Papers Archive.
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2011Multiplicative Error Models In: Econometrics Working Papers Archive.
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2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
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2008On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria In: Journal of Financial Econometrics.
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2017SRISK: A Conditional Capital Shortfall Measure of Systemic Risk In: The Review of Financial Studies.
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2017SRISK: a conditional capital shortfall measure of systemic risk.(2017) In: ESRB Working Paper Series.
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2020On the estimation of integrated volatility in the presence of jumps and microstructure noise In: Econometric Reviews.
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2018Realized networks In: Journal of Applied Econometrics.
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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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