Personal information

Econometrics, Statistics, Time Series, Network Analysis
Spain

Activities

Employment (1)

Universitat Pompeu Fabra: Barcelona, Catalunya, ES

Assistant Professor (Department of Economics and Business)
Employment
Source: Self-asserted source
Christian Brownlees

Education and qualifications (1)

Universita degli Studi di Firenze: Firenze, Toscana, IT

(Department of Statistics)
Education
Source: Self-asserted source
Christian Brownlees

Works (30)

PERFORMANCE OF EMPIRICAL RISK MINIMIZATION FOR LINEAR REGRESSION WITH DEPENDENT DATA

Econometric Theory
2023-11-10 | Journal article
Contributors: Christian Brownlees; Guđmundur Stefán Guđmundsson
Source: check_circle
Crossref

Community Detection in Partial Correlation Network Models

Journal of Business & Economic Statistics
2022-01-02 | Journal article
Contributors: Christian Brownlees; Guðmundur Stefán Guðmundsson; Gábor Lugosi
Source: check_circle
Crossref

Backtesting global Growth-at-Risk

Journal of Monetary Economics
2021 | Journal article
Contributors: Brownlees, Christian; Souza, Andre B. M.
Source: check_circle
Web of Science Researcher Profile Sync

Detecting granular time series in large panels

Journal of Econometrics
2021 | Journal article
Contributors: Brownlees, Christian; Mesters, Geert
Source: check_circle
Web of Science Researcher Profile Sync

Detecting groups in large vector autoregressions

Journal of Econometrics
2021 | Journal article
Contributors: Guomundsson, Guomundur Stefan; Brownlees, Christian
Source: check_circle
Web of Science Researcher Profile Sync

Bank credit risk networks: Evidence from the Eurozone

Journal of Monetary Economics
2021-01 | Journal article
Contributors: Christian Brownlees; Christina Hans; Eulalia Nualart
Source: check_circle
Crossref

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

Econometric Reviews
2020 | Journal article
Contributors: Brownlees, Christian; Nualart, Eulalia; Sun, Yucheng
Source: check_circle
Web of Science Researcher Profile Sync

Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression

Journal of Banking & Finance
2020-04 | Journal article
Contributors: Christian Brownlees; Ben Chabot; Eric Ghysels; Christopher Kurz
Source: check_circle
Crossref

Hierarchical GARCH

Journal of Empirical Finance
2019 | Journal article
Contributors: Brownlees, Christian T.
Source: check_circle
Web of Science Researcher Profile Sync

Impulse Response Estimation by Smooth Local Projections

Review of Economics and Statistics
2019 | Journal article
Contributors: Barnichon, Regis; Brownlees, Christian
Source: check_circle
Web of Science Researcher Profile Sync

NETS: Network estimation for time series

Journal of Applied Econometrics
2019 | Journal article
EID:

2-s2.0-85059862578

Contributors: Barigozzi, M.; Brownlees, C.
Source: Self-asserted source
Christian Brownlees via Scopus - Elsevier

EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT

Annals of Financial Economics
2018 | Journal article
Contributors: Brownlees, Christian; Cavaliere, Giuseppe; Monti, Alice
Source: check_circle
Web of Science Researcher Profile Sync

Power-law partial correlation network models

Electronic Journal of Statistics
2018 | Journal article
EID:

2-s2.0-85053730102

Contributors: Barigozzi, M.; Brownlees, C.; Lugosi, G.
Source: Self-asserted source
Christian Brownlees via Scopus - Elsevier

Realized networks

Journal of Applied Econometrics
2018 | Journal article
EID:

2-s2.0-85050906049

Contributors: Brownlees, C.; Nualart, E.; Sun, Y.
Source: Self-asserted source
Christian Brownlees via Scopus - Elsevier

Credit risk interconnectedness: What does the market really know?

Journal of Financial Stability
2017 | Journal article
EID:

2-s2.0-85011879336

Contributors: Abbassi, P.; Brownlees, C.; Hans, C.; Podlich, N.
Source: Self-asserted source
Christian Brownlees via Scopus - Elsevier

SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

Review of Financial Studies
2016-08-06 | Journal article
Contributors: Christian Brownlees; Robert F. Engle
Source: Self-asserted source
Christian Brownlees via Crossref Metadata Search
grade
Preferred source (of 2)‎

Empirical risk minimization for heavy-tailed losses

Ann. Statist.
2015 | Journal article
Contributors: Christian Brownlees; Emilien Joly; Gábor Lugosi
Source: Self-asserted source
Christian Brownlees via Crossref Metadata Search
grade
Preferred source (of 2)‎

Disentangling systematic and idiosyncratic dynamics in panels of volatility measures

2014 | Journal article
DOI:

10.1016/j.jeconom.2014.05.017

EID:

2-s2.0-84905020370

Contributors: Barigozzi, M.; Brownlees, C.; Gallo, G.M.; Veredas, D.
Source: Self-asserted source
Christian Brownlees via Scopus - Elsevier

Measuring Systemic Risk

Handbook on Systemic Risk
2013 | Journal article
Contributors: Acharya, Viral V.; Brownlees, Christian; Engle, Robert; Farazmand, Farhang; Richardson, Matthew
Source: check_circle
Web of Science Researcher Profile Sync

A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series

2013-01-14 | Journal article
DOI:

10.1515/snde-2012-0043

Source: Self-asserted source
Christian Brownlees
grade
Preferred source (of 2)‎

Multiplicative Error Models

2012-03-27 | Book chapter
DOI:

10.1002/9781118272039.ch9

Source: Self-asserted source
Christian Brownlees
grade
Preferred source (of 2)‎

A practical guide to volatility forecasting through calm and storm

Journal of Risk
2011 | Journal article
EID:

2-s2.0-84973517692

Contributors: Brownlees, C.; Engle, R.; Kelly, B.
Source: Self-asserted source
Christian Brownlees via Scopus - Elsevier

Intra-daily volume modeling and prediction for algorithmic trading

2011 | Journal article
DOI:

10.1093/jjfinec/nbq024

EID:

2-s2.0-79960182469

Contributors: Brownlees, C.T.; Cipollini, F.; Gallo, G.M.
Source: Self-asserted source
Christian Brownlees via Scopus - Elsevier

Measuring Systemic Risk

Regulating Wall Street: the Dodd-frank Act and the New Architecture of Global Finance
2011 | Journal article
Contributors: Acharya, Viral V.; Brownlees, Christian; Engle, Robert; Farazmand, Farhang; Richardson, Matthew
Source: check_circle
Web of Science Researcher Profile Sync

Measuring Systemic Risk

2011-11-29 | Book chapter
DOI:

10.1002/9781118258231.ch4

Source: Self-asserted source
Christian Brownlees
grade
Preferred source (of 2)‎

Comparison of volatility measures: A risk management perspective

Journal of Financial Econometrics
2010 | Journal article
EID:

2-s2.0-75849119043

Contributors: Brownlees, C.T.; Gallo, G.M.
Source: Self-asserted source
Christian Brownlees via Scopus - Elsevier

On variable selection for volatility forecasting: The role of focused selection criteria

2008 | Journal article
DOI:

10.1093/jjfinec/nbn012

EID:

2-s2.0-53849111944

Contributors: Brownlees, C.T.; Gallo, G.M.
Source: Self-asserted source
Christian Brownlees via Scopus - Elsevier

Financial econometric analysis at ultra-high frequency: Data handling concerns

2006 | Journal article
DOI:

10.1016/j.csda.2006.09.030

EID:

2-s2.0-33750970824

Contributors: Brownlees, C.T.; Gallo, G.M.
Source: Self-asserted source
Christian Brownlees via Scopus - Elsevier

Financial risk management via multi model inference grid applications

Proceedings of Science
2006 | Conference paper
EID:

2-s2.0-84869473447

Contributors: Brownlees, C.T.; Contini, S.; Meo, R.D.; Sullo, V.
Source: Self-asserted source
Christian Brownlees via Scopus - Elsevier

Shrinkage estimation of semiparametric multiplicative error models

Journal article
DOI:

10.1016/j.ijforecast.2010.04.005

Source: Self-asserted source
Christian Brownlees
grade
Preferred source (of 2)‎

Peer review (40 reviews for 13 publications/grants)

Review activity for Econometrics. (1)
Review activity for International journal of forecasting. (2)
Review activity for Journal of banking & finance. (1)
Review activity for Journal of business & economic statistics. (25)
Review activity for Journal of international money and finance. (1)
Review activity for Journal of the American Statistical Association. (1)
Review activity for Journal of time series analysis (2)
Review activity for Management science. (2)
Review activity for Oxford bulletin of economics and statistics. (1)
Review activity for PloS one. (1)
Review activity for Statistical papers. (1)
Review activity for Statistical papers. (1)
Review activity for The Quarterly review of economics and finance (1)