Christian Brownlees

LUISS Guido Carli and UPF - on leave

PhD, University of Florence

Research interests

  • Time Series
  • Forecasting
  • Network Analysis
  • Statistical Computing
  • Empirical Finance
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Contact

Teaching at the Barcelona School of Economics

Christian Brownlees is an Associate Professor in the Department of Economics and Finance at LUISS Guido Carli, and an Associate Professor (currently on leave) in the Department of Economics and Business at Universitat Pompeu Fabra. He received a B.S. in Economics and Quantitative Methods in 2003 and a Ph.D. in Statistics in 2007 from the University of Florence (Università di Firenze). From 2007 to 2011, he was a Postdoctoral Research Fellow at the NYU Stern School of Business. From 2011 to 2017, he served as an Assistant Professor in the Department of Economics and Business at Universitat Pompeu Fabra, and has held a tenured position there since 2017.

His research has been published in leading academic journals, including The Review of Financial Studies, The Annals of Statistics, and the Journal of Econometrics.

Awards, Grants, and Honors

  • BSE Associate Research Professor appointment (2017-2022)

Working Papers

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Working Paper

Non-Standard Errors

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Utz Weitzel,Michael Razen,Sebastian Neussüs,Michael Kirchler, andMagnus Johannesson...
BSE Working Paper 1303
December 2021
Working Paper

Detecting Granular Time Series in Large Panels

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Geert MestersandChristian Brownlees
BSE Working Paper 991
September 2017
Working Paper

Nets: Network Estimation for Time Series

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Matteo BarigozziandChristian Brownlees
BSE Working Paper 723
September 2015

Publications

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Publication

Empirical risk minimization for time series: Nonparametric performance bounds for prediction

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Jordi Llorens-TerrazasandChristian Brownlees
September 2024
Publication

Nonstandard Errors

Open Access
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others,Javier Gil-Bazo, andChristian Brownlees
June 2024
Publication

Performance of Empirical Risk Minimization for Linear Regression with Dependent Data

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Guðmundur Stefán GuðmundssonandChristian Brownlees
December 2023
Publication

Projected Dynamic Conditional Correlations

Open Access
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Jordi Llorens-TerrazasandChristian Brownlees
January 2023
Publication

Corporate Hedging and the Variance of Stock Returns

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Kizkitza Biguri,Filippo Ippolito, andChristian Brownlees
January 2022
Publication

Detecting groups in large vector autoregressions

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Guðmundur Stefán GuðmundssonandChristian Brownlees
July 2021
Publication

Backtesting global Growth-at-Risk

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André B.M. SouzaandChristian Brownlees
January 2021
Publication

Community Detection in Partial Correlation Network Models

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Guðmundur Stefán Guðmundsson,Gábor Lugosi, andChristian Brownlees
August 2020
Publication

Detecting Granular Time Series in Large Panels

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Geert MestersandChristian Brownlees
June 2020
Publication

Bank credit risk networks: Evidence from the Eurozone

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Christina Hans,Eulàlia Nualart, andChristian Brownlees
May 2020
Publication

On the estimation of integrated volatility in the presence of jumps and microstructure noise

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Yucheng Sun,Eulàlia Nualart, andChristian Brownlees
March 2020
Publication

Back to the Future: Backtesting Systemic Risk Measures during Historical Bank Runs and the Great Depression

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Christopher Kurz,Eric Ghysels,Ben Chabot, andChristian Brownlees
February 2020
Publication

Impulse response estimation by smooth local projections

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Christian BrownleesandRégis Barnichon
July 2019
Publication

Hierarchical GARCH

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Christian Brownlees
February 2019
Publication

NETS: Network estimation for time series

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Matteo BarigozziandChristian Brownlees
January 2019
Publication

Power-law partial correlation network models

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Matteo Barigozzi,Gábor Lugosi, andChristian Brownlees
October 2018
Publication

Realized networks

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Yucheng Sun,Eulàlia Nualart, andChristian Brownlees
September 2018
Publication

SRISK: A conditional capital shortfall measure of systemic risk

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Robert F. EngleandChristian Brownlees
March 2017
Publication

Credit risk interconnectedness: What does the market really know?

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Natalia Podlich,Christina Hans,Puriya Abbassi, andChristian Brownlees
February 2017
Publication

Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures

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Matteo Barigozzi,Giampiero M. Gallo,David Veredas, andChristian Brownlees
December 2015
Publication

Intra-Daily Volume Modeling and Prediction for Algorithmic Trading

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Fabrizio Cipollini,G.M. Gallo, andChristian Brownlees
December 2015
Publication

Shrinkage Estimation of Semiparametric Multiplicative Error Models

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Giampiero M. GalloandChristian Brownlees
December 2015
Publication

A Bayesian Approach for Capturing Daily Heterogeneity in Intra-Daily Durations Time Series

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Marina VannucciandChristian Brownlees
January 2013
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