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 4 85 1 6 21 76
Backtesting Systemic Risk Measures During Historical Bank Runs 0 0 0 59 0 1 15 64
Comparison of Volatility Measures: a Risk Management Perspective 1 2 3 357 3 6 22 980
Credit risk interconnectedness: What does the market really know? 1 1 6 82 1 5 38 226
Detecting Granular Time Series in Large Panels 0 1 2 78 1 4 14 65
Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures 0 0 4 71 1 1 13 119
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets 0 1 1 54 1 2 6 154
Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns 1 1 13 526 4 7 32 1,095
Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria 0 0 0 124 0 1 7 358
Impulse Response Estimation By Smooth Local Projections 0 2 11 104 2 6 33 183
Intra-daily Volume Modeling and Prediction for Algorithmic Trading 0 0 6 171 3 5 16 383
Multiplicative Error Models 2 7 30 690 14 30 121 2,203
Nets: Network Estimation for Time Series 2 5 25 517 7 17 101 1,056
Nets: Network estimation for time series 0 1 3 75 0 2 16 160
SRISK: a conditional capital shortfall measure of systemic risk 2 8 55 366 13 36 256 1,122
Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria 1 1 2 196 4 4 9 376
Total Working Papers 10 30 165 3,555 55 133 720 8,620


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 0 6 0 0 5 35
Comparison of Volatility Measures: a Risk Management Perspective 1 1 5 96 1 5 18 326
Credit risk interconnectedness: What does the market really know? 0 0 7 19 0 3 27 85
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures 0 0 2 16 0 0 10 102
EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT 0 0 7 16 0 5 24 59
Financial econometric analysis at ultra-high frequency: Data handling concerns 6 11 27 272 11 19 64 627
Hierarchical GARCH 0 0 0 5 0 1 6 25
Intra-daily Volume Modeling and Prediction for Algorithmic Trading 0 2 8 119 0 5 26 308
NETS: Network estimation for time series 0 1 11 15 2 7 42 69
On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria 0 0 2 35 0 0 5 90
Realized networks 0 0 3 7 0 1 15 31
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk 6 17 63 175 24 59 261 586
Shrinkage estimation of semiparametric multiplicative error models 0 0 0 9 0 0 3 45
Shrinkage estimation of semiparametric multiplicative error models 0 0 0 23 0 2 11 121
Total Journal Articles 13 32 135 813 38 107 517 2,509


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
MEASURING SYSTEMIC RISK 0 0 1 52 1 5 14 126
Total Chapters 0 0 1 52 1 5 14 126


Statistics updated 2020-11-03