Christian T. Brownlees

4.4k total citations · 2 hit papers
50 papers, 2.6k citations indexed

About

Christian T. Brownlees is a scholar working on Finance, Economics and Econometrics and General Economics, Econometrics and Finance. According to data from OpenAlex, Christian T. Brownlees has authored 50 papers receiving a total of 2.6k indexed citations (citations by other indexed papers that have themselves been cited), including 38 papers in Finance, 36 papers in Economics and Econometrics and 19 papers in General Economics, Econometrics and Finance. Recurrent topics in Christian T. Brownlees's work include Financial Risk and Volatility Modeling (27 papers), Monetary Policy and Economic Impact (18 papers) and Market Dynamics and Volatility (17 papers). Christian T. Brownlees is often cited by papers focused on Financial Risk and Volatility Modeling (27 papers), Monetary Policy and Economic Impact (18 papers) and Market Dynamics and Volatility (17 papers). Christian T. Brownlees collaborates with scholars based in Spain, United States and Italy. Christian T. Brownlees's co-authors include Robert F. Engle, Giampiero M. Gallo, Matteo Barigozzi, Régis Barnichon, Fabrizio Cipollini, Bryan Kelly, Eulàlia Nualart, Bryan T. Kelly, Puriya Abbassi and Yucheng Sun and has published in prestigious journals such as Review of Financial Studies, Journal of Econometrics and Journal of Banking & Finance.

In The Last Decade

Christian T. Brownlees

49 papers receiving 2.4k citations

Hit Papers

SRISK: A conditional capital shortfall measure of sy... 2011 2026 2016 2021 2017 2011 250 500 750
What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

  1. SRISK: A conditional capital shortfall measure of systemic risk
    2017 815 citations Christian T. Brownlees, Robert F. Engle IRIS - Institutional Research Information System (Libera Università Internazionale degli Studi Sociali Guido Carli) profile →
  2. Volatility, Correlation and Tails for Systemic Risk Measurement
    2011 468 citations Christian T. Brownlees, Robert F. Engle SSRN Electronic Journal profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Christian T. Brownlees Spain 19 2.0k 1.8k 594 306 197 50 2.6k
Nikolaus Hautsch Austria 22 1.5k 0.7× 1.1k 0.6× 371 0.6× 181 0.6× 274 1.4× 100 1.8k
Michael Johannes United States 21 3.2k 1.6× 1.6k 0.9× 583 1.0× 213 0.7× 216 1.1× 43 3.5k
Viktor Todorov United States 28 3.1k 1.6× 1.7k 1.0× 476 0.8× 180 0.6× 174 0.9× 96 3.4k
Simone Manganelli Germany 23 2.3k 1.1× 2.0k 1.1× 1.1k 1.9× 243 0.8× 228 1.2× 65 3.1k
François Longin France 13 3.4k 1.7× 3.0k 1.7× 1.0k 1.7× 203 0.7× 171 0.9× 25 3.8k
Ray Yeutien Chou Taiwan 16 3.6k 1.8× 3.2k 1.8× 1.4k 2.3× 281 0.9× 398 2.0× 34 4.3k
Jón Danı́elsson United Kingdom 28 2.3k 1.1× 1.7k 1.0× 745 1.3× 214 0.7× 359 1.8× 97 2.8k
Jeffrey R. Russell United States 19 2.6k 1.3× 2.0k 1.1× 792 1.3× 178 0.6× 333 1.7× 34 3.1k
Jonathan D. Jones United States 13 1.1k 0.5× 1.6k 0.9× 610 1.0× 414 1.4× 181 0.9× 33 2.1k
Raúl Susmel United States 15 2.4k 1.2× 2.3k 1.3× 1.1k 1.9× 149 0.5× 135 0.7× 25 2.9k

Countries citing papers authored by Christian T. Brownlees

Since Specialization
Citations

This map shows the geographic impact of Christian T. Brownlees's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Christian T. Brownlees with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Christian T. Brownlees more than expected).

Fields of papers citing papers by Christian T. Brownlees

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Christian T. Brownlees. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Christian T. Brownlees. The network helps show where Christian T. Brownlees may publish in the future.

Co-authorship network of co-authors of Christian T. Brownlees

This figure shows the co-authorship network connecting the top 25 collaborators of Christian T. Brownlees. A scholar is included among the top collaborators of Christian T. Brownlees based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Christian T. Brownlees. Christian T. Brownlees is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Brownlees, Christian T., et al.. (2021). Empirical Risk Minimization for Time Series: Nonparametric Performance Bounds for Prediction. SSRN Electronic Journal. 1 indexed citations
2.
Guðmundsson, Guðmundur & Christian T. Brownlees. (2021). Detecting groups in large vector autoregressions. Journal of Econometrics. 225(1). 2–26. 5 indexed citations
3.
Brownlees, Christian T., et al.. (2020). Backtesting global Growth-at-Risk. Journal of Monetary Economics. 118. 312–330. 44 indexed citations
4.
Brownlees, Christian T., et al.. (2020). Detecting granular time series in large panels. Journal of Econometrics. 220(2). 544–561. 7 indexed citations
5.
Barigozzi, Matteo & Christian T. Brownlees. (2019). NETS: Network Estimation for Time Series. Archivio istituzionale della ricerca (Alma Mater Studiorum Università di Bologna). 99 indexed citations
6.
Barnichon, Régis & Christian T. Brownlees. (2019). Impulse response estimation by smooth local projections. IRIS - Institutional Research Information System (Libera Università Internazionale degli Studi Sociali Guido Carli). 107 indexed citations
7.
Brownlees, Christian T., et al.. (2019). Backtesting Global Growth-at-Risk. SSRN Electronic Journal. 6 indexed citations
8.
Brownlees, Christian T. & Robert F. Engle. (2017). SRISK: A conditional capital shortfall measure of systemic risk. IRIS - Institutional Research Information System (Libera Università Internazionale degli Studi Sociali Guido Carli). 815 indexed citations breakdown →
9.
Abbassi, Puriya, et al.. (2017). Credit risk interconnectedness: What does the market really know?. Journal of Financial Stability. 29. 1–12. 32 indexed citations
10.
Brownlees, Christian T., Benjamin Chabot, Éric Ghysels, & C Kurz. (2015). Backtesting Systemic Risk Measures During Historical Bank Runs. Econstor (Econstor). 5 indexed citations
11.
Brownlees, Christian T. & Robert F. Engle. (2015). SRISK: A Conditional Capital Shortfall Index for Systemic Risk Measurement. 48 indexed citations
12.
Abbassi, Puriya, et al.. (2015). Credit Risk Interconnectedness: What Does the Market Really Know?. SSRN Electronic Journal. 3 indexed citations
13.
Brownlees, Christian T. & Marina Vannucci. (2013). A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series. Studies in Nonlinear Dynamics and Econometrics. 17(1). 7 indexed citations
14.
Barigozzi, Matteo & Christian T. Brownlees. (2013). NETS: Network Estimation for Time Series. SSRN Electronic Journal. 43 indexed citations
15.
Brownlees, Christian T., Fabrizio Cipollini, & Giampiero M. Gallo. (2011). Multiplicative Error Models. SSRN Electronic Journal. 10 indexed citations
16.
Brownlees, Christian T., Robert F. Engle, & Bryan T. Kelly. (2011). A Practical Guide to Volatility Forecasting through Calm and Storm. SSRN Electronic Journal. 56 indexed citations
17.
Brownlees, Christian T. & Giampiero M. Gallo. (2009). Comparison of Volatility Measures: A Risk Management Perspective. SSRN Electronic Journal. 19 indexed citations
18.
Brownlees, Christian T. & Giampiero M. Gallo. (2008). On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria. SSRN Electronic Journal. 2 indexed citations
19.
Brownlees, Christian T. & Giampiero M. Gallo. (2008). Shrinkage Estimation of Semiparametric Multiplicative Error Models. SSRN Electronic Journal. 1 indexed citations
20.
Brownlees, Christian T. & Giampiero M. Gallo. (2008). On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria. Journal of Financial Econometrics. 6(4). 513–539. 18 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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