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Backtesting global growth-at-Risk
Brownlees, Christian; Souza, André B. M. - In: Journal of monetary economics 118 (2021), pp. 312-330
Persistent link: https://www.econbiz.de/10012603779
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SRISK : a conditional capital shortfall measure of systemic risk
Brownlees, Christian; Engle, Robert F. - 2017
We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top US financial institutions in the recent...
Persistent link: https://www.econbiz.de/10011975954
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Back to the future : backtesting systemic risk measures during historical bank runs and the great depression
Brownlees, Christian; Chabot, Ben; Ghysels, Eric; Kurz, … - In: Journal of banking & finance 113 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012226121
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Comparison of volatility measures : a risk management perspective
Brownlees, Christian; Gallo, Giampiero M. - In: Journal of financial econometrics : official journal of … 8 (2010) 1, pp. 29-56
Persistent link: https://www.econbiz.de/10003997328
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Impulse response estimation by smooth local projections
Barnichon, Regis; Brownlees, Christian - In: The review of economics and statistics 101 (2019) 3, pp. 522-530
Persistent link: https://www.econbiz.de/10012039436
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Impulse response estimation by smooth local projections
Barnichon, Régis; Brownlees, Christian - 2016
Persistent link: https://www.econbiz.de/10011606743
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Hierarchical GARCH
Brownlees, Christian - In: Journal of empirical finance 51 (2019), pp. 17-27
Persistent link: https://www.econbiz.de/10012169952
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Four essays on the econometric analysis of high-frequency order data
Huang, Ruihong - 2012
Persistent link: https://www.econbiz.de/10009670513
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A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series
Brownlees, Christian; Vannucci, Marina - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 1, pp. 21-46
Persistent link: https://www.econbiz.de/10009717739
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Non-standard errors
Menkveld, Albert J.; Dreber, Anna; Holzmeister, Felix; … - 2021
Persistent link: https://www.econbiz.de/10012796334