ResearcherID Thomson Reuters  

Brownlees, Christian T
Create a ResearcherID badge for this researcher View publications analytics for this researcher
Close
ResearcherID: D-9811-2014
URL: http://www.researcherid.com/rid/D-9811-2014
Keywords: statistics, econometrics, time series, network analysis
ORCID: http://orcid.org/0000-0003-4276-1468
My Institutions (more details)
Primary Institution:
Sub-org/Dept: Economics and Business
Role:
Joint Affiliation:
 
 

This list contains papers that I have authored.

publication(s)  
First Page Previous Page Page   of  2  Go Next Page Last Page
  Sort by:    Results per page: 
1.  Title: {SRISK}: A Conditional Capital Shortfall Measure of Systemic Risk
 Author(s): Christian Brownlees; Robert F. Engle
 Source: Review of Financial Studies Volume: 30 Issue: 1 Pages: 48--79 Published: 2016
 DOI: 10.1093/rfs/hhw060
added
31-Dec-16
2.  Title: Empirical risk minimization for heavy-tailed losses
 Author(s): Christian Brownlees; Emilien Joly; G{\'{a}}bor Lugosi
 Source: Ann. Statist. Volume: 43 Issue: 6 Pages: 2507--2536 Published: 2015
 Times Cited: 2
 DOI: 10.1214/15-AOS1350
added
11-Nov-16
3.  Title: Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
 Author(s): Barigozzi, Matteo; Brownlees, Christian; Gallo, Giampiero M.; et al.
 Source: Journal of Econometrics Volume: 182 Issue: 2 Pages: 364-384 Published: 2014
 Times Cited: 6
 DOI: 10.1016/j.jeconom.2014.05.017 /  Author-provided URL : http://ideas.repec.org/a/eee/econom/v182y2014i2p364-384.html
added
14-Jan-15
4.  Title: A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series
 Author(s): Brownlees, C.T.; Vannucci, M.
 Source: Studies in Nonlinear Dynamics and Econometrics Volume: 17 Issue: 1 Pages: 21-46 Published: 2013
 Times Cited: 5
 DOI: 10.1515/snde-2012-0043 /  Author-provided URL : http://www.scopus.com/inward/record.url?eid=2-s2.0-84888227155&partnerID=MN8TOAR ...
added
14-Jan-15
5.  Title: Multiplicative Error Models
 Author(s): Brownlees, C.T.; Cipollini, F.; Gallo, G.M.
 Source: Handbook of Volatility Models and Their Applications Pages: 223-247 Published: 2012
 DOI: 10.1002/9781118272039.ch9 /  Author-provided URL : http://www.scopus.com/inward/record.url?eid=2-s2.0-84886332449&partnerID=MN8TOAR ...
added
14-Jan-15
6.  Title: Intra-daily volume modeling and prediction for algorithmic trading
 Author(s): Brownlees, C.T.; Cipollini, F.; Gallo, G.M.
 Source: Journal of Financial Econometrics Volume: 9 Issue: 3 Pages: 489-518 Published: 2011
 Times Cited: 25
 DOI: 10.1093/jjfinec/nbq024 /  Author-provided URL : http://www.scopus.com/inward/record.url?eid=2-s2.0-79960182469&partnerID=MN8TOAR ...
added
14-Jan-15
7.  Title: Measuring Systemic Risk
 Author(s): Acharya, V.V.; Brownlees, C.; Engle, R.; et al.
 Source: Regulating Wall Street: The Dodd-Frank Act and the New Architecture of Global Finance Pages: 85-119 Published: 2011
 DOI: 10.1002/9781118258231.ch4 /  Author-provided URL : http://www.scopus.com/inward/record.url?eid=2-s2.0-84886188711&partnerID=MN8TOAR ...
added
14-Jan-15
8.  Title: Shrinkage estimation of semiparametric multiplicative error models
 Author(s): Brownlees, Christian T.; Gallo, Giampiero M.
 Source: International Journal of Forecasting Volume: 27 Issue: 2 Pages: 365-378 Published: 2011
 Times Cited: 5
 DOI: 10.1016/j.ijforecast.2010.04.005 /  Author-provided URL : http://ideas.repec.org/a/eee/intfor/v27yi2p365-378.html
added
14-Jan-15
9.  Title: Comparison of volatility measures: A risk management perspective
 Author(s): Brownlees, C.T.; Gallo, G.M.
 Source: Journal of Financial Econometrics Volume: 8 Issue: 1 Pages: 29-56 Published: 2009
 Times Cited: 52
 DOI: 10.1093/jjfinec/nbp009 /  Author-provided URL : http://www.scopus.com/inward/record.url?eid=2-s2.0-75849119043&partnerID=MN8TOAR ...
added
14-Jan-15
10.  Title: On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria
 Author(s): Christian, T. Brownlees; Giampiero, M. Gallo
 Source: Journal of Financial Econometrics Volume: 6 Issue: 4 Pages: 513-539 Published: 2008
 Author-provided URL : http://ideas.repec.org/a/oup/jfinec/v6y2008i4p513-539.html
added
14-Jan-15
publication(s)  
First Page Previous Page Page   of  2  Go Next Page Last Page
  Sort by:    Results per page: