Access Statistics for Christian T. Brownlees

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Back to the Future: Backtesting Systemic Risk Measures during Historical Bank Runs and the Great Depression 0 2 4 89 0 3 13 90
Backtesting Systemic Risk Measures During Historical Bank Runs 0 0 3 62 0 1 11 75
Comparison of Volatility Measures: a Risk Management Perspective 0 0 1 359 0 0 10 993
Comparison of Volatility Measures: a Risk Management Perspective 0 0 0 0 0 1 4 10
Credit risk interconnectedness: What does the market really know? 0 0 2 84 1 2 16 242
Detecting Granular Time Series in Large Panels 0 2 4 83 0 3 14 80
Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures 0 0 0 71 2 3 7 126
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets 0 0 1 55 1 3 6 161
Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns 0 1 3 530 1 3 11 1,110
Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria 0 0 0 124 0 0 4 362
Impulse Response Estimation By Smooth Local Projections 0 0 6 110 1 5 21 204
Intra-daily Volume Modeling and Prediction for Algorithmic Trading 1 1 1 173 1 2 5 390
Multiplicative Error Models 1 6 23 715 4 14 67 2,278
Nets: Network Estimation for Time Series 0 2 32 550 11 28 127 1,189
Nets: Network estimation for time series 0 0 1 76 2 5 21 182
Nets: network estimation for time series 1 2 5 25 1 3 16 55
Performance of Empirical Risk Minimization for Linear Regression with Dependent Data 0 0 16 16 0 3 13 13
SRISK: a conditional capital shortfall measure of systemic risk 0 3 20 387 5 23 109 1,240
Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria 0 0 2 199 1 1 7 384
Total Working Papers 3 19 124 3,708 31 103 482 9,184


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series 0 0 1 7 0 0 2 37
Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression 0 2 8 16 4 18 67 101
Backtesting global Growth-at-Risk 6 11 21 21 12 30 54 54
Bank credit risk networks: Evidence from the Eurozone 2 2 6 6 4 8 26 26
Comparison of Volatility Measures: a Risk Management Perspective 0 3 9 105 2 8 21 347
Credit risk interconnectedness: What does the market really know? 0 0 4 24 1 3 19 108
Detecting granular time series in large panels 1 1 3 3 1 2 11 11
Detecting groups in large vector autoregressions 1 5 5 5 3 9 9 9
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures 0 0 2 18 1 1 12 116
EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT 0 1 4 20 1 3 9 69
Financial econometric analysis at ultra-high frequency: Data handling concerns 3 7 18 293 6 11 54 690
Hierarchical GARCH 0 0 1 7 1 2 8 36
Impulse Response Estimation by Smooth Local Projections 3 12 64 115 14 41 203 436
Intra-daily Volume Modeling and Prediction for Algorithmic Trading 1 1 6 125 3 3 17 330
NETS: Network estimation for time series 2 4 12 27 4 10 42 115
On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria 0 0 0 35 0 0 1 91
On the estimation of integrated volatility in the presence of jumps and microstructure noise 0 0 1 1 2 3 8 8
Realized networks 0 1 3 11 3 6 15 47
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk 5 13 53 230 25 89 356 975
Shrinkage estimation of semiparametric multiplicative error models 0 0 0 23 0 0 2 123
Shrinkage estimation of semiparametric multiplicative error models 0 0 0 9 0 1 2 48
Total Journal Articles 24 63 221 1,101 87 248 938 3,777


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
MEASURING SYSTEMIC RISK 2 5 15 68 5 14 65 194
Total Chapters 2 5 15 68 5 14 65 194


Statistics updated 2021-12-05