Brownlees, Christian-Timothy
A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series
2013 Brownlees, Christian-Timothy; Vannucci, M.
A practical guide to volatility forecasting through calm and storm
2011 Brownlees, Christian-Timothy; Engle, R.; Kelly, B.
Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression
2020 Brownlees, Christian-Timothy; Chabot, B.; Ghysels, E.; Kurz, C.
Backtesting global Growth-at-Risk
2021 Brownlees, Christian-Timothy; Souza, A. B. M.
Bank credit risk networks: Evidence from the Eurozone
2021 Brownlees, Christian-Timothy; Hans, C.; Nualart, E.
Community Detection in Partial Correlation Network Models
2022 Brownlees, Christian-Timothy; Gudmundsson, G. S.; Lugosi, G.
Comparison of volatility measures: A risk management perspective
2010 Brownlees, Christian-Timothy; Gallo, G. M.
Corporate hedging and the variance of stock returns
2022 Biguri, K.; Brownlees, Christian-Timothy; Ippolito, F.
Credit risk interconnectedness: What does the market really know?
2017 Abbassi, P.; Brownlees, Christian-Timothy; Hans, C.; Podlich, N.
Detecting granular time series in large panels
2021 Brownlees, Christian-Timothy; Mesters, G.
Detecting groups in large vector autoregressions
2021 Gudmundsson, G. S.; Brownlees, Christian-Timothy
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
2014 Barigozzi, M.; Brownlees, Christian-Timothy; Gallo, G. M.; Veredas, D.
Empirical risk minimization for heavy-tailed losses
2015 Brownlees, Christian-Timothy; Joly, E.; Lugosi, G.
Empirical risk minimization for time series: Nonparametric performance bounds for prediction
2024 Brownlees, Christian-Timothy; Llorens-Terrazas, J.
Evaluating the accuracy of tail risk forecasts for systemic risk measurement
2018 Brownlees, Christian-Timothy; Cavaliere, G.; Monti, A.
Financial econometric analysis at ultra-high frequency: Data handling concerns
2006 Brownlees, Christian-Timothy; Gallo, G. M.
Financial risk management via multi model inference grid applications
2006 Brownlees, Christian-Timothy; Contini, S.; Meo, R. D.; Sullo, V.
Hierarchical GARCH
2019 Brownlees, Christian-Timothy
Impulse response estimation by smooth local projections
2019 Barnichon, R.; Brownlees, Christian-Timothy
Intra-daily volume modeling and prediction for algorithmic trading
2011 Brownlees, Christian-Timothy; Cipollini, F.; Gallo, G. M.