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 0 2 91 0 0 5 96
Backtesting Systemic Risk Measures During Historical Bank Runs 0 0 1 63 0 0 5 80
Comparison of Volatility Measures: a Risk Management Perspective 0 0 1 360 0 0 4 998
Comparison of Volatility Measures: a Risk Management Perspective 0 0 0 0 0 0 2 12
Credit risk interconnectedness: What does the market really know? 1 1 1 85 4 4 6 249
Detecting Granular Time Series in Large Panels 0 0 1 84 0 0 8 90
Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures 0 0 0 71 0 0 1 129
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets 0 2 3 58 0 3 4 166
Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns 0 1 5 537 0 5 13 1,127
Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria 0 0 0 124 0 0 0 362
Impulse Response Estimation By Smooth Local Projections 0 2 8 120 0 2 21 234
Intra-daily Volume Modeling and Prediction for Algorithmic Trading 0 1 9 182 1 4 23 416
Multiplicative Error Models 0 1 7 723 0 5 31 2,317
Nets: Network Estimation for Time Series 1 3 10 569 1 7 37 1,255
Nets: Network estimation for time series 0 0 2 79 1 2 9 196
Nets: network estimation for time series 0 0 5 32 1 2 13 74
Non-Standard Errors 1 1 4 7 3 3 15 24
Non-Standard Errors 0 3 16 40 11 22 175 274
Non-Standard Errors 0 0 14 18 1 1 8 18
Non-Standard Errors 0 3 12 28 20 39 115 208
Non-standard errors 0 0 3 32 0 1 16 45
Performance of Empirical Risk Minimization for Linear Regression with Dependent Data 1 1 1 18 1 2 2 17
SRISK: a conditional capital shortfall measure of systemic risk 0 1 11 401 1 10 53 1,306
Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria 0 0 0 200 0 0 3 388
Total Working Papers 4 20 116 3,922 45 112 569 10,081

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 8 0 0 1 39
Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression 0 0 7 23 1 2 22 128
Backtesting global Growth-at-Risk 1 8 26 54 4 16 60 134
Bank credit risk networks: Evidence from the Eurozone 0 3 14 20 0 6 27 57
Community Detection in Partial Correlation Network Models 0 0 1 2 1 2 9 10
Comparison of Volatility Measures: a Risk Management Perspective 0 1 6 113 0 2 11 360
Corporate hedging and the variance of stock returns 0 2 4 4 0 3 12 12
Credit risk interconnectedness: What does the market really know? 1 1 2 28 2 4 12 123
Detecting granular time series in large panels 0 1 4 8 0 2 9 22
Detecting groups in large vector autoregressions 0 0 4 10 1 2 16 29
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures 0 0 0 18 0 0 2 118
EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT 0 1 3 23 1 3 8 78
Financial econometric analysis at ultra-high frequency: Data handling concerns 0 0 14 310 1 3 31 729
Hierarchical GARCH 0 0 1 9 0 1 13 53
Impulse Response Estimation by Smooth Local Projections 2 6 56 179 8 23 147 605
Intra-daily Volume Modeling and Prediction for Algorithmic Trading 2 4 12 137 3 6 20 353
NETS: Network estimation for time series 1 5 12 43 2 12 31 159
On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria 0 0 0 35 0 0 0 91
On the estimation of integrated volatility in the presence of jumps and microstructure noise 0 0 0 1 0 0 1 9
Realized networks 1 1 2 13 1 4 16 66
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk 0 6 28 274 5 25 127 1,157
Shrinkage estimation of semiparametric multiplicative error models 0 0 0 9 0 0 1 49
Shrinkage estimation of semiparametric multiplicative error models 0 0 0 23 0 0 1 124
Total Journal Articles 8 39 197 1,344 30 116 577 4,505

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
MEASURING SYSTEMIC RISK 0 0 4 74 2 4 24 227
Total Chapters 0 0 4 74 2 4 24 227

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Statistics updated 2023-03-10