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
Nonlinear Time Series, Forecasting, Statistical Computing, Quantitative Finance, Financial High Frequency Data.
Info
Curriculum Vitae ·
SSRN Author Page ·
RePEc Author Page
Favorite Quotes
'Every problem has a solution which is easy, elegant and wrong.'
Anonymous
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 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
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On the Relation between Firm Characteristics and Volatility Dynamics with an Application to the 2007-2009 Financial Crisis
(download)
New Version October 2011
-
Volatility, Correlation and Tails for Systemic Risk Measurement
(download)
New Version June 2011
with Robert Engle
-
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets
(download)
New Version August 2011
with Matteo Barigozzi, Giampiero M. Gallo and David Veredas
-
A Bayesian Approach for Capturing Daily Heterogeneity in Intra-Daily Durations Time Series: the Mixed Autoregressive Conditional Duration Model
(download)
with Marina Vannucci
Work in Progress
-
Smooth Filtering and Estimation of Dynamic Latent Variable Models
with Dennis Kristensen and Yongseok Shin
Scientific Software Projects
Current Projects
- demiourgos (only for co-authors and collaborators, sorry!)
Past Projects
- Vlab On-line real time measurement and forecasting of financial volatility and correlations
