Christian T. Brownlees

Most-cited papers

1. SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

   Christian T. Brownlees, Robert F. Engle

   2017Social Science Research Network1,264 citations Open access

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

   Christian T. Brownlees, G. Gallo

   2006Computational Statistics & Data Analysis317 citations Open access

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3. NETS: Network estimation for time series

   M. Barigozzi, Christian T. Brownlees

   2019Journal of applied econometrics199 citations Open access

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4. Comparison of Volatility Measures: A Risk Management Perspective

   Christian T. Brownlees, G. Gallo

   2010187 citations Open access

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5. SRISK: A Conditional Capital Shortfall Index for Systemic Risk Measurement

   Christian T. Brownlees, Robert F. Engle

   2012183 citations Open access

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6. A Practical Guide to Volatility Forecasting through Calm and Storm

   Christian T. Brownlees, Robert F. Engle, Bryan T. Kelly

   2011156 citations Open access

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7. Handbook on Systemic Risk: Measuring Systemic Risk

   V. Acharya, Christian T. Brownlees, Robert F. Engle, Farhang Farazmand +1 more

   2013151 citations

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8. Intra-daily Volume Modeling and Prediction for

   Christian T. Brownlees, F. Cipollini, G. Gallo

   2011110 citations Open access

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9. Backtesting global Growth-at-Risk

   Christian T. Brownlees, André B.M. Souza

   2020Journal of Monetary Economics85 citations Open access

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10. Credit Risk Interconnectedness: What Does the Market Really Know?

    Puriya Abbassi, Christian T. Brownlees, C. Hans, Natalia Podlich

    2017Social Science Research Network44 citations Open access

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11. Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets

    M. Barigozzi, Christian T. Brownlees, G. Gallo, D. Veredas

    201043 citations Open access

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12. Bank credit risk networks: Evidence from the Eurozone

    Christian T. Brownlees, C. Hans, Eulalia Nualart

    202036 citations

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13. Back to the Future: Backtesting Systemic Risk Measures During Historical Bank Runs and the Great Depression

    Christian T. Brownlees, B. Chabot, E. Ghysels, C. Kurz

    2017Journal of Banking & Finance31 citations

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14. Realized Networks

    Christian T. Brownlees, Eulalia Nualart, Yucheng Sun

    201531 citations Open access

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15. On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria

    Christian T. Brownlees, G. Gallo

    200827 citations Open access

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16. Community Detection in Partial Correlation Network Models

    Christian T. Brownlees, G. Guðmundsson, G. Lugosi

    2020Journal of business & economic statistics22 citations Open access

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17. Detecting groups in large vector autoregressions

    G. Guðmundsson, Christian T. Brownlees

    2021Journal of Econometrics18 citations Open access

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18. Shrinkage estimation of semiparametric multiplicative error models

    Christian T. Brownlees, G. Gallo

    201116 citations Open access

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

    Christian T. Brownlees, Eulalia Nualart, Yucheng Sun

    2020Econometric Reviews15 citations Open access

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20. Power-law partial correlation network models

    M. Barigozzi, Christian T. Brownlees, G. Lugosi

    201810 citations Open access

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

    Christian T. Brownlees, M. Vannucci

    201310 citations Open access

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22. Projected Dynamic Conditional Correlations

    Christian T. Brownlees, Jordi Llorens-Terrazas

    2022Social Science Research Network9 citations Open access

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23. Backtesting Systemic Risk Measures During Historical Bank Runs

    Christian T. Brownlees, B. Chabot, E. Ghysels, C. Kurz

    20158 citations

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24. Performance of Empirical Risk Minimization for Linear Regression with Dependent Data

    Christian T. Brownlees, G. Gudmundsson

    2021Social Science Research Network6 citations Open access

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25. Hierarchical GARCH

    Christian T. Brownlees

    2019Journal of Empirical Finance5 citations

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26. On the Relation between Firm Characteristics and Volatility Dynamics with an Application to the 2007-2009 Financial Crisis

    Christian T. Brownlees

    20105 citations

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27. Empirical Risk Minimization for Time Series: Nonparametric Performance Bounds for Prediction

    Christian T. Brownlees, Jordi Llorens-Terrazas

    2021Social Science Research Network4 citations Open access

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28. Realized networks

    Christian T. Brownlees, Eulalia Nualart, Yucheng Sun

    2018Journal of applied econometrics3 citations Open access

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29. EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT

    Christian T. Brownlees, Giuseppe Cavaliere, Alice Monti

    2018Annals of Financial Economics3 citations Open access

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30. Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria

    Christian T. Brownlees, G. Gallo

    20073 citations

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31. Financial Risk Management Via Multi Model Inference GRID Applications

    Christian T. Brownlees, S. Contini, Riccardo di Meo, Valerio Sullo

    20073 citations Open access

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32. Performance of Empirical Risk Minimization For Principal Component Regression

    Christian T. Brownlees, Gudhmundur Stef'an Gudhmundsson, Yaping Wang

    20241 citations

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33. A truncated two – scales realized volatility estimator

    Christian T. Brownlees, Eulalia Nualart, Yucheng Sun

    20161 citations

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34. Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria

    Christian T. Brownlees, G. Gallo

    20071 citations

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35. ULTRA HIGH-FREQUENCYDATA MANAGEMENT

    Christian T. Brownlees, G. Gallo

    20051 citations

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36. Corporate hedging and the variance of stock returns

    Kizkitza Biguri, Christian T. Brownlees, F. Ippolito

    2021Journal of Corporate Finance0 citations Open access

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

    Christian T. Brownlees, Eulalia Nualart, Yucheng Sun

    20200 citations

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38. Network estimation in econometrics

    M. Barigozzi, Christian T. Brownlees

    20130 citations

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39. Spatial Clustering Methods and Small Area Estimation ( ? ) Metodi di classificazione spaziale e stima per piccole aree

    A. Petrucci, Christian T. Brownlees

    20080 citations

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40. Predicting Binary Outcomes Using Flexible and Parsee's Methods

    Eleonora Brichieri Colombi, Dipartimento di Statistica di Firenze, Christian T. Brownlees, G. Gallo

    20070 citations

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