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Christian T. Brownlees · Study
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Author
Christian T. Brownlees
18 works
· latest 2024
· 4 institutions
cluster: provisional
ORCID 0000-0003-4276-1468
Works
18 shown
Nonstandard Errors
The Journal of Finance
·
2024
·
94 authors
·
Open access
111
citations
Backtesting global Growth-at-Risk
Journal of Monetary Economics
·
2020
·
2 authors
·
Open access
91
citations
Bank credit risk networks: Evidence from the Eurozone
Journal of Monetary Economics
·
2020
·
3 authors
35
citations
Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression
Journal of Banking & Finance
·
2020
·
4 authors
42
citations
Impulse response estimation by smooth local projections
Repositori digital de la UPF (Universitat Pompeu Fabra)
·
2019
·
2 authors
208
citations
Credit risk interconnectedness: What does the market really know?
Journal of Financial Stability
·
2017
·
4 authors
41
citations
SRISK: A conditional capital shortfall measure of systemic risk
IRIS - Institutional Research Information System (Libera Università Internazionale degli Studi Sociali Guido Carli)
·
2017
·
2 authors
1,318
citations
Impulse Response Estimation by Smooth Local Projections
SSRN Electronic Journal
·
2017
·
2 authors
·
preprint
·
Open access
78
citations
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
Review of Financial Studies
·
2016
·
2 authors
·
Open access
260
citations
SRISK: A Conditional Capital Shortfall Index for Systemic Risk Measurement
CiteSeer X (The Pennsylvania State University)
·
2015
·
2 authors
·
Open access
59
citations
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
Journal of Econometrics
·
2014
·
4 authors
·
Open access
49
citations
Multiplicative Error Models
·
2012
·
3 authors
·
other
53
citations
A practical guide to volatility forecasting through calm and storm
The Journal of Risk
·
2011
·
3 authors
·
Open access
164
citations
Intra-daily volume modeling and prediction for algorithmic trading
IRIS - Institutional Research Information System (Libera Università Internazionale degli Studi Sociali Guido Carli)
·
2011
·
3 authors
88
citations
Measuring Systemic Risk
·
2010
·
5 authors
·
other
56
citations
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
SSRN Electronic Journal
·
2010
·
2 authors
·
preprint
·
Open access
662
citations
Comparison of Volatility Measures: a Risk Management Perspective
Journal of Financial Econometrics
·
2009
·
2 authors
195
citations
Financial econometric analysis at ultra-high frequency: Data handling concerns
Computational Statistics & Data Analysis
·
2006
·
2 authors
291
citations