Welcome to my Home Page
About me
I am an Assistant Professor in the Department of Economics and Business at the Universitat Pompeu Fabra.
I received my (B.S.) degree in Economics and Quantitative Methods in 2003 and Ph.D. degree in Statistics in 2007 from Università di Firenze. I was a Post-Doc Research Fellow at NYU Stern until 2011.
Over the years I studied, visited and researched at the University of Reading, Monash University and UCSD.
Research Interests
Network Analysis, Nonlinear Time Series, Forecasting, Statistical Computing, Empirical Finance, Financial High Frequency Data.
Info
Curriculum Vitae ·
SSRN Author Page ·
RePEc Author Page ·
Citations (Google Scholar) ·
ORCID
Stats Seminar Series
seminar web page
Favorite Quotes
'Prediction is very difficult, especially if it's about the future.'
Niels Bohr
Contact
Department of Economics and Business, Pompeu Fabra University, Ramon Trias Fargas 25-27, Office 2-E10, 08005, Barcelona, Spain
e-mail: christian (dot) brownlees (at) upf (dot) edu
Articles
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A Bayesian Approach for Capturing Daily Heterogeneity in Intra-Daily Durations Time Series: the Mixed Autoregressive Conditional Duration Model
with Marina Vannucci
Studies in Nonlinear Dynamics & Econometrics 2013, 17(1), 21-46
doi:10.1515/snde-2012-0043
(SSRN working paper version)
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A Practical Guide to Volatility Forecasting Through Calm and Storm
with Robert Engle and Bryan Kelly
Journal of Risk 2011, 14(2), 1-20
(SSRN working paper version)
(appendix)
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Intra-daily Volume Modeling and Prediction for Algorithmic Trading
with Giampiero M. Gallo and Fabrizio Cipollini
Journal of Financial Econometrics 2011 9(3): 489-518,
doi:10.1093/jjfinec/nbq024
(SSRN working paper version)
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Shrinkage Estimation of Semi-Parametric Multiplicative Error Models
with Giampiero M. Gallo
International Journal of Forecasting 2011 27(1): 365-378
doi:10.1016/j.ijforecast.2010.04.005
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Comparison of Volatility Measures: A Risk Management Perspective
with Giampiero M. Gallo
Journal of Financial Econometrics 2010 8(1): 29-56,
doi:10.1093/jjfinec/nbp009
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On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria
with Giampiero M. Gallo
Journal of Financial Econometrics 2008 6(4): 513-539,
doi:10.1093/jjfinec/nbn012
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Financial Econometric Analysis at Ultra-High Frequency: Data Handling Concerns
with Giampiero M. Gallo
Computational Statistics & Data Analysis, 2006 51(4): 2232-2245,
doi:10.1016/j.csda.2006.09.030
Book Chapters
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Measuring Systemic Risk
with Viral Acharya, Robert Engle, Farhang Farazmand and Matthew Richardson
in Regulating Wall Street: The Dodd-Frank Act and the New Architecture of Global Finance
Viral A. Acharya, Thomas F. Cooley, Matthew P. Richardson and Ingo Walter, editors (Wiley)
-
Multiplicative Error Models
with Fabrizio Cipollini and Giampiero M. Gallo
for the
"Handbook in Financial Engineering and Econometrics: Volatility Models and Their Applications"
L. Bauwens, C. Hafner and S. Laurent, editors (Wiley)
Working Papers
-
NETS: Network Estimation for Time Series
(download)
with Matteo Barigozzi
-
Cross Sectional Heterogeneity in GARCH Panels and Firm Characteristics: Evidence from the Financial Crisis
(download)
New Version January 2013
-
Volatility, Correlation and Tails for Systemic Risk Measurement
(download)
New Version October 2012
with Robert Engle
-
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets
(download)
with Matteo Barigozzi, Giampiero M. Gallo and David Veredas
Work in Progress
-
Smooth Filtering and Estimation of Dynamic Latent Variable Models
with Dennis Kristensen and Yongseok Shin
Scientific Software Projects
Past Projects
- Vlab On-line real time measurement and forecasting of financial volatility and correlations
Teaching
Courses
- Probability & Statistics
- Master in Finance - Financial Econometrics
