Publications

All Publications authored by Christian Brownlees

Recognition Program
Matteo Barigozzi and Christian Brownlees
NETS: Network estimation for time series
Journal of Applied Econometrics, Vol.34, No 3, 347-364, May 2019, 10.1002/jae.2676
Christian Brownlees
Hierarchical GARCH
Journal of Empirical Finance, Vol.51, 17-27, March 2019, 10.1016/j.jempfin.2019.01.009
Recognition Program
Christian Brownlees, Eulàlia Nualart and
Realized networks
Journal of Applied Econometrics, Vol.33, No 7, 986-1006, December 2018, 10.1002/jae.2642
Matteo Barigozzi, Christian Brownlees and Gábor Lugosi
Power-law partial correlation network models
Electronic Journal of Statistics, Vol.12, No 2, 2905-2929, September 2018, 10.1214/18-EJS1478
Puriya Abbassi, Christian Brownlees, Christina Hans and Natalia Podlich
Credit risk interconnectedness: What does the market really know?
Journal of Financial Stability, Vol.29, 1-12, April 2017, 10.1016/j.jfs.2017.01.002
Recognition Program
Christian Brownlees and Robert F. Engle
SRISK: A conditional capital shortfall measure of systemic risk
Review of Financial Studies, Vol.30, No 1, 48-79, March 2017, 10.1093/rfs/hhw060
Recognition Program
Matteo Barigozzi, Christian Brownlees, Giampiero M. Gallo and David Veredas
Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures
Journal of Econometrics, Vol.182, No 2, 364--384, January 2014, 10.1016/j.jeconom.2014.05.017
Christian Brownlees and Marina Vannucci
A Bayesian Approach for Capturing Daily Heterogeneity in Intra-Daily Durations Time Series
Studies in Nonlinear Dynamics and Econometrics, Vol.17, No 1, 21--46, January 2013, 10.1515/snde-2012-0043
Christian Brownlees, Fabrizio Cipollini and G.M. Gallo
Intra-Daily Volume Modeling and Prediction for Algorithmic Trading
Journal of Financial Econometrics, Vol.9, No 3, 489--518, January 2011, 10.1093/jjfinec/nbq024
Christian Brownlees and Giampiero M. Gallo
Shrinkage Estimation of Semiparametric Multiplicative Error Models
International Journal of Forecasting, Vol.27, No 2, 365--378, January 2011, 10.1016/j.ijforecast.2010.04.005

Behavioral and Experimental Economics
Business Economics
Competition
Development Economics
Econometrics and Quantitative Methods
Economic History
Environmental and Development economics
Environmental Economics
Financial Economics
Game Theory
Growth and Development
Health Economics
Industrial Organization
International Economics
Labor Economics
Macroeconomics
Microeconomics
Monetary and Fiscal Policy
Political Economy
Public Economics
Social Choice and Mechanism Design
Spatial economics
Statistics

Publications

All Publications authored by Christian Brownlees

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