| SRISK: A conditional capital shortfall measure of systemic risk C Brownlees, RF Engle The Review of Financial Studies 30 (1), 48-79, 2016 | 2285* | 2016 |
| Financial econometric analysis at ultra-high frequency: Data handling concerns CT Brownlees, GM Gallo Computational statistics & data analysis 51 (4), 2232-2245, 2006 | 405 | 2006 |
| Nets: Network estimation for time series M Barigozzi, C Brownlees Journal of Applied Econometrics, 2013 | 283 | 2013 |
| Impulse response estimation by smooth local projections R Barnichon, C Brownlees Review of Economics and Statistics 101 (3), 522-530, 2019 | 262 | 2019 |
| Comparison of volatility measures: a risk management perspective CT Brownlees, GM Gallo Journal of Financial Econometrics 8 (1), 29-56, 2010 | 260 | 2010 |
| A practical guide to volatility forecasting through calm and storm C Brownlees, R Engle, B Kelly Journal of Risk 14 (2), 3, 2012 | 241 | 2012 |
| Volatility, correlation and tails for systemic risk measurement CT Brownlees, R Engle | 179 | 2010 |
| Empirical risk minimization for heavy-tailed losses C Brownlees, E Joly, G Lugosi | 161 | 2015 |
| Intra-daily volume modeling and prediction for algorithmic trading CT Brownlees, F Cipollini, GM Gallo Journal of Financial Econometrics 9 (3), 489-518, 2011 | 134 | 2011 |
| Backtesting global growth-at-risk C Brownlees, ABM Souza Journal of Monetary Economics 118, 312-330, 2021 | 113 | 2021 |
| Multiplicative error models CT Brownlees, F Cipollini, GM Gallo Handbook of Volatility Models and Their Applications. New Jersey: Wiley, 2012 | 97 | 2012 |
| Nonstandard errors AJ Menkveld, A Dreber, F Holzmeister, J Huber, M Johannesson, ... The Journal of Finance 79 (3), 2339-2390, 2024 | 86 | 2024 |
| Volatility CT Brownlees, RF Engle Correlation and Tails for Systemic Risk Measurement, 2012 | 68 | 2012 |
| Disentangling systematic and idiosyncratic dynamics in panels of volatility measures M Barigozzi, C Brownlees, GM Gallo, D Veredas Journal of econometrics 182 (2), 364-384, 2014 | 67* | 2014 |
| Credit risk interconnectedness: What does the market really know? P Abbassi, C Brownlees, C Hans, N Podlich Journal of Financial Stability 29, 1-12, 2017 | 57 | 2017 |
| Back to the future: backtesting systemic risk measures during historical bank runs and the Great Depression CT Brownlees, BR Chabot, E Ghysels, CJ Kurz CEPR Discussion Paper No. DP12178, 2017 | 55 | 2017 |
| Realized networks C Brownlees, E Nualart, Y Sun Journal of Applied Econometrics 33 (7), 986-1006, 2018 | 50 | 2018 |
| Bank credit risk networks: Evidence from the Eurozone C Brownlees, C Hans, E Nualart Journal of Monetary Economics 117, 585-599, 2021 | 46 | 2021 |
| Shrinkage estimation of semiparametric multiplicative error models CT Brownlees, GM Gallo International Journal of Forecasting 27 (2), 365-378, 2011 | 29 | 2011 |
| On variable selection for volatility forecasting: The role of focused selection criteria CT Brownlees, GM Gallo Journal of Financial Econometrics 6 (4), 513-539, 2008 | 28 | 2008 |
Robert EngleNew York UniversityVerified email at stern.nyu.edu
