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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/10012872682
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Non-standard errors
Menkveld, Albert J.; Dreber, Anna; Holzmeister, Felix; … - 2021
Persistent link: https://www.econbiz.de/10012796334
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Detecting granular time series in large panels
Brownlees, Christian; Mesters, Geert - In: Journal of econometrics 220 (2021) 2, pp. 544-561
Persistent link: https://www.econbiz.de/10012618565
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Corporate hedging and the variance of stock returns
Biguri, Kizkitza; Brownlees, Christian; Ippolito, Filippo - In: The journal of corporate finance : contracting, … 72 (2022), pp. 1-32
Persistent link: https://www.econbiz.de/10013209814
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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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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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Projected Dynamic Conditional Correlations
Llorens-Terrazas, Jordi; Brownlees, Christian - In: International journal of forecasting 39 (2023) 4, pp. 1761-1776
Persistent link: https://www.econbiz.de/10014465352