← All authors Christian T. Brownlees Universitat Pompeu Fabra (per OpenAlex) · ORCID · OpenAlex
31 papers in scope · 29 published · 3 on the econ.EM arXiv · 2,912 citations · h-index 16 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Guðmundur Guðmundsson Ankita Ghosh Chiara Amorino Ya Ping Wang Sidonia McKenzie Jonathan Auerbach Jushan Bai Jonas Striaukas Éric Ghysels Jianqing Fan Andrii Babii Serena Ng Marcelo C. Medeiros Ricardo Masini Kengo Kato Denis Chetverikov Eric Auerbach Alexandre Belloni Victor Chernozhukov Ryan T. Ball Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (4 of 31)
published 2025 · Journal of Business and Economic Statistics · 1 citations · first circulated 2022
working paper 2025 · arXiv
working paper 2024 · arXiv
Empirical risk minimization for time series: Nonparametric performance bounds for prediction
published 2024 · Journal of Econometrics · 5 citations · first circulated 2021
Nonstandard Errors
published 2024 · The Journal of Finance · 96 citations
Projected Dynamic Conditional Correlations
published 2022 · International Journal of Forecasting · 8 citations · first circulated 2020
Corporate hedging and the variance of stock returns
published 2021 · Journal of Corporate Finance · 7 citations · first circulated 2018
with Kizkitza Biguri, Filippo Ippolito
Detecting groups in large vector autoregressions
published 2021 · Journal of Econometrics · 14 citations
published 2021 · Econometric Theory · 1 citations
Backtesting global Growth-at-Risk
published 2020 · Journal of Monetary Economics · 84 citations · first circulated 2019
with André B.M. Souza
Community Detection in Partial Correlation Network Models
published 2020 · Journal of Business and Economic Statistics · 20 citations · first circulated 2016
Detecting granular time series in large panels
published 2020 · Journal of Econometrics · 12 citations · first circulated 2017
with Geert Mesters
Bank credit risk networks: Evidence from the Eurozone
published 2020 · Journal of Monetary Economics · 37 citations · first circulated 2014
with Christina Hans, Eulàlia Nualart
On the estimation of integrated volatility in the presence of jumps and microstructure noise
published 2020 · Econometric Reviews · 12 citations
with Eulàlia Nualart, Yucheng Sun
Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression
published 2020 · Journal of Banking & Finance · 42 citations · first circulated 2017
Hierarchical GARCH
published 2019 · Journal of Empirical Finance · 5 citations
NETS: Network estimation for time series
published 2018 · Journal of Applied Econometrics · 165 citations · first circulated 2013
Impulse Response Estimation by Smooth Local Projections
published 2018 · The Review of Economics and Statistics · 200 citations · first circulated 2017
with Régis Barnichon
Realized networks
published 2018 · Journal of Applied Econometrics · 26 citations · first circulated 2014
with Eulàlia Nualart, Yucheng Sun
EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT
published 2018 · Annals of Financial Economics · 9 citations
Power-law partial correlation network models
published 2018 · Electronic Journal of Statistics · 8 citations · first circulated 2017
Credit risk interconnectedness: What does the market really know?
published 2017 · Journal of Financial Stability · 45 citations · first circulated 2015
with Puriya Abbassi, Christina Hans, Natalia Podlich
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
published 2016 · Review of Financial Studies · 1304 citations
with Robert F. Engle
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
published 2014 · Journal of Econometrics · 51 citations
A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series
published 2013 · Studies in Nonlinear Dynamics and Econometrics · 8 citations · first circulated 2010
with Marina Vannucci
A practical guide to volatility forecasting through calm and storm
published 2011 · The Journal of Risk · 117 citations
with Robert F. Engle, Bryan Kelly, Bryan T. Kelly
Shrinkage estimation of semiparametric multiplicative error models
published 2010 · International Journal of Forecasting · 16 citations · first circulated 2008
Intra-daily Volume Modeling and Prediction for Algorithmic Trading
published 2010 · Journal of Financial Econometrics · 94 citations
Comparison of Volatility Measures: a Risk Management Perspective
published 2009 · Journal of Financial Econometrics · 194 citations · first circulated 2008
On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria
published 2008 · Journal of Financial Econometrics · 23 citations
Financial econometric analysis at ultra-high frequency: Data handling concerns
published 2006 · Computational Statistics & Data Analysis · 308 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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