Christian T. Brownlees
Professor
Department of Economics
University Pompeu Fabra
Spain
Biography
Born in 1979 in Florence (Italy). British and Italian Citizen, Affiliations Affiliated Professor 2011– Barcelona Graduate School of Economics Barcelona, Spain Affiliated Researcher 2011– Volatility Institute, Stern School of Business, NYU New York, USA . Education Doctorate in Applied Statistics 2007 Department of Statistics, University of Florence Florence, Italy Thesis: “Essays in Parameter Reduction Techniques for Nonlinear Time Series Models” B.S. in Economics and Quantitative Methods 2003 Department of Statistics, University of Florence Florence, Italy Thesis: “The impact of overnight innovation on intra-daily volatility: a high frequency approach”summa cum laud
Research Interest
Nonlinear Time Series, Forecasting, Statistical Computing, Quantitative Finance, Financial Econometrics, Financial High Frequency Data, Statistics and Econometrics, Empirical Finance, Statistical Computing, Quantitative Finance, Network Analysis, Systemic Risk.
Publications
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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
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“Empirical Risk Minimization for Heavy–Tailed Losses†with Emilien Joly and Gabor Lugosi, Annals of Statistics, 2015, 43(6), 2507–2536, doi:10.1214/15-AOS1350
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“SRISK: A Conditional Capital Shortfall Measure of Systemic Risk†with Robert Engle, The Review of Financial Studies, 2016, doi:10.1093/rfs/hhw060
