Monica Billio
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Monica |
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Billio |
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Contact
Affiliations
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Università Ca' Foscari Venezia
/ Dipartimento di Economia
Research profile
author of:
- Opinion Dynamics and Disagreements on Financial Networks (RePEc:aag:wpaper:v:23:y:2019:i:4:p:24-51)
by Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo - Sparse Graphical Vector Autoregression: A Bayesian Approach (RePEc:adr:anecst:y:2016:i:123-124:p:333-361)
by Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin - Bayesian nonparametric sparse VAR models (RePEc:arx:papers:1608.02740)
by Monica Billio & Roberto Casarin & Luca Rossini - The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach (RePEc:arx:papers:2012.14693)
by Monica Billio & Roberto Casarin & Enrica De Cian & Malcolm Mistry & Anthony Osuntuyi - COVID-19 spreading in financial networks: A semiparametric matrix regression model (RePEc:arx:papers:2101.00422)
by Billio Monica & Casarin Roberto & Costola Michele & Iacopini Matteo - Interconnectedness and systemic risk: hedge funds, banks, insurance companies (RePEc:ban:bancar:v:06:y:2014:m:june:p:81-91)
by Monica Billio & Loriana Pelizzon - A System For Dating And Detecting Turning Points In The Euro Area (RePEc:bla:manchs:v:76:y:2008:i:5:p:549-577)
by Jacques Anas & Monica Billio & Laurent Ferrara & Gian Luigi Mazzi - Combining predictive densities using Bayesian filtering with applications to US economics data (RePEc:bno:worpap:2010_29)
by Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk - Combination schemes for turning point predictions (RePEc:bno:worpap:2012_04)
by Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk - Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model (RePEc:bno:worpap:2013_20)
by Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk - Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model (RePEc:bny:wpaper:0026)
by Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk - Markov Switching Panel with Network Interaction Effects (RePEc:bny:wpaper:0059)
by Komla Mawulom Agudze & Monica Billio & Roberto Casarin & Francesco Ravazzolo - Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis (RePEc:bpj:sndecm:v:15:y:2011:i:4:n:2)
by Billio Monica & Casarin Roberto - Markov Switching Panel with Endogenous Synchronization Effects (RePEc:bzn:wpaper:bemps82)
by Komla M. Agudze & Monica Billio & Roberto Casarin & Francesco Ravazzolo - The Simulated Likelihood Ratio (SLR) Method (RePEc:crs:wpaper:98-21)
by Monica Billio & Alain Monfort & Christian P, Robert - Functional Indirect Inference (RePEc:crs:wpaper:99-01)
by Monica Billio & Alain Monfort - Efficient Gibbs sampling for Markov switching GARCH models (RePEc:eee:csdana:v:100:y:2016:i:c:p:37-57)
by Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony - Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion (RePEc:eee:csdana:v:54:y:2010:i:11:p:2443-2458)
by Billio, Monica & Caporin, Massimiliano - Dynamic risk exposures in hedge funds (RePEc:eee:csdana:v:56:y:2012:i:11:p:3517-3532)
by Billio, Monica & Getmansky, Mila & Pelizzon, Loriana - The univariate MT-STAR model and a new linearity and unit root test procedure (RePEc:eee:csdana:v:76:y:2014:i:c:p:4-19)
by Addo, Peter Martey & Billio, Monica & Guégan, Dominique - Nonlinear dynamics and recurrence plots for detecting financial crisis (RePEc:eee:ecofin:v:26:y:2013:i:c:p:416-435)
by Addo, Peter Martey & Billio, Monica & Guégan, Dominique - Backward/forward optimal combination of performance measures for equity screening (RePEc:eee:ecofin:v:34:y:2015:i:c:p:63-83)
by Billio, Monica & Caporin, Massimiliano & Costola, Michele - Time-varying combinations of predictive densities using nonlinear filtering (RePEc:eee:econom:v:177:y:2013:i:2:p:213-232)
by Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K. - Modeling systemic risk with Markov Switching Graphical SUR models (RePEc:eee:econom:v:210:y:2019:i:1:p:58-74)
by Bianchi, Daniele & Billio, Monica & Casarin, Roberto & Guidolin, Massimo - Bayesian nonparametric sparse VAR models (RePEc:eee:econom:v:212:y:2019:i:1:p:97-115)
by Billio, Monica & Casarin, Roberto & Rossini, Luca - Markov switching panel with endogenous synchronization effects (RePEc:eee:econom:v:230:y:2022:i:2:p:281-298)
by Agudze, Komla M. & Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco - Bayesian estimation of switching ARMA models (RePEc:eee:econom:v:93:y:1999:i:2:p:229-255)
by Billio, M. & Monfort, A. & Robert, C. P. - Networks in risk spillovers: A multivariate GARCH perspective (RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29)
by Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana - COVID-19 spreading in financial networks: A semiparametric matrix regression model (RePEc:eee:ecosta:v:29:y:2024:i:c:p:113-131)
by Billio, Monica & Casarin, Roberto & Costola, Michele & Iacopini, Matteo - Modeling Turning Points in the Global Equity Market (RePEc:eee:ecosta:v:30:y:2024:i:c:p:60-75)
by Ahelegbey, Daniel Felix & Billio, Monica & Casarin, Roberto - Portfolio symmetry and momentum (RePEc:eee:ejores:v:214:y:2011:i:3:p:759-767)
by Billio, Monica & Calès, Ludovic & Guégan, Dominique - Value-at-Risk: a multivariate switching regime approach (RePEc:eee:empfin:v:7:y:2000:i:5:p:531-554)
by Billio, Monica & Pelizzon, Loriana - Learning from experts: Energy efficiency in residential buildings (RePEc:eee:eneeco:v:136:y:2024:i:c:s014098832400358x)
by Billio, Monica & Casarin, Roberto & Costola, Michele & Veggente, Veronica - Markov switching GARCH models for Bayesian hedging on energy futures markets (RePEc:eee:eneeco:v:70:y:2018:i:c:p:545-562)
by Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony - An entropy-based early warning indicator for systemic risk (RePEc:eee:intfin:v:45:y:2016:i:c:p:42-59)
by Billio, Monica & Casarin, Roberto & Costola, Michele & Pasqualini, Andrea - Complexity and the default risk of mortgage-backed securities (RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001917)
by Billio, Monica & Dufour, Alfonso & Segato, Samuele & Varotto, Simone - Corrigendum to “Complexity and the default risk of mortgage-backed securities” [Journal of Banking and Finance 155 (2023) 106993] (RePEc:eee:jbfina:v:166:y:2024:i:c:s0378426624001535)
by Billio, Monica & Dufour, Alfonso & Segato, Samuele & Varotto, Simone - Which market integration measure? (RePEc:eee:jbfina:v:76:y:2017:i:c:p:150-174)
by Billio, M. & Donadelli, M. & Paradiso, A. & Riedel, M. - Contagion and interdependence in stock markets: Have they been misdiagnosed? (RePEc:eee:jebusi:v:55:y:2003:i:5-6:p:405-426)
by Billio, Monica & Pelizzon, Loriana - Econometric measures of connectedness and systemic risk in the finance and insurance sectors (RePEc:eee:jfinec:v:104:y:2012:i:3:p:535-559)
by Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana - Bond supply expectations and the term structure of interest rates (RePEc:eee:jimfin:v:150:y:2025:i:c:s0261560624002043)
by Billio, M. & Busetto, F. & Dufour, A. & Varotto, S. - A generalized Dynamic Conditional Correlation model for portfolio risk evaluation (RePEc:eee:matcom:v:79:y:2009:i:8:p:2566-2578)
by Billio, Monica & Caporin, Massimiliano - Volatility and shocks spillover before and after EMU in European stock markets (RePEc:eee:mulfin:v:13:y:2003:i:4-5:p:323-340)
by Billio, Monica & Pelizzon, Loriana - Combination schemes for turning point predictions (RePEc:eee:quaeco:v:52:y:2012:i:4:p:402-412)
by Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K. - The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification (RePEc:eee:reveco:v:84:y:2023:i:c:p:196-223)
by Billio, Monica & Caporin, Massimiliano & Panzica, Roberto & Pelizzon, Loriana - Unknown item RePEc:eme:cea111:s0573-855520220000296003 (chapter)
- Understanding Economic Instability during the Pandemic: A Factor Model Approach (RePEc:eme:ceazzz:s0573-855520220000296003)
by Monica Billio & Roberto Casarin & Fausto Corradin - Credit Scoring in SME Asset-Backed Securities: An Italian Case Study (RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:89-:d:232160)
by Andrea Bedin & Monica Billio & Michele Costola & Loriana Pelizzon - Nonlinear dynamics and recurrence plots for detecting financial crisis (RePEc:hal:cesptp:hal-00964975)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area (RePEc:hal:cesptp:hal-00965005)
by Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi - Nonlinear Dynamics and Wavelets for Business Cycle Analysis (RePEc:hal:cesptp:hal-01310513)
by Peter Martey Addo & Monica Billio & Dominique Guegan - The univariate MT-STAR model and a new linearity and unit root test procedure (RePEc:hal:cesptp:hal-01310518)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Turning point chronology for the euro area: A distance plot approach (RePEc:hal:cesptp:hal-01310533)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Dynamical Interaction between Financial and Business Cycles (RePEc:hal:cesptp:hal-01692239)
by Monica Billio & Anna Petronevich - High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization (RePEc:hal:cesptp:hal-04085236)
by Monica Billio & Lorenzo Frattarolo & Dominique Guégan - Portfolio Symmetry and Momentum (RePEc:hal:cesptp:halshs-00363383)
by Monica Billio & Ludovic Calès & Dominique Guegan - Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area (RePEc:hal:cesptp:halshs-00423890)
by Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi - A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios (RePEc:hal:cesptp:halshs-00476038)
by Monica Billio & Ludovic Calès & Dominique Guegan - A Cross-Sectional Performance Measure for Portfolio Management (RePEc:hal:cesptp:halshs-00523466)
by Monica Billio & Ludovic Calès & Dominique Guegan - Portfolio Symmetry and Momentum (RePEc:hal:cesptp:halshs-00645814)
by Monica Billio & Ludovic Calès & Dominique Guegan - A Cross-Sectional Score for the Relative Performance of an Allocation (RePEc:hal:cesptp:halshs-00646070)
by Dominique Guegan & Ludovic Calès & Monica Billio - A Rank-based Approach to Cross-Sectional Analysis (RePEc:hal:cesptp:halshs-00646073)
by Dominique Guegan & Monica Billio & Ludovic Calès - A test for a new modelling : The Univariate MT-STAR Model (RePEc:hal:cesptp:halshs-00659158)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach (RePEc:hal:cesptp:halshs-00694420)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Cross-Sectional Analysis through Rank-based Dynamic Portfolios (RePEc:hal:cesptp:halshs-00707430)
by Monica Billio & Ludovic Calès & Dominique Guegan - Understanding Exchange Rates Dynamics (RePEc:hal:cesptp:halshs-00803447)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis (RePEc:hal:cesptp:halshs-00803450)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Turning point chronology for the Euro-Zone: A Distance Plot Approach (RePEc:hal:cesptp:halshs-00803457)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone (RePEc:hal:cesptp:halshs-01339826)
by Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti - Multivariate Reflection Symmetry of Copula Functions (RePEc:hal:cesptp:halshs-01592147)
by Monica Billio & Lorenzo Frattarolo & Dominique Guegan - Nonlinear dynamics and recurrence plots for detecting financial crisis (RePEc:hal:journl:hal-00964975)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area (RePEc:hal:journl:hal-00965005)
by Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi - Nonlinear Dynamics and Wavelets for Business Cycle Analysis (RePEc:hal:journl:hal-01310513)
by Peter Martey Addo & Monica Billio & Dominique Guegan - The univariate MT-STAR model and a new linearity and unit root test procedure (RePEc:hal:journl:hal-01310518)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Turning point chronology for the euro area: A distance plot approach (RePEc:hal:journl:hal-01310533)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Dynamical Interaction between Financial and Business Cycles (RePEc:hal:journl:hal-01692239)
by Monica Billio & Anna Petronevich - A meta-measure of performance related to both investors and investments characteristics (RePEc:hal:journl:hal-02933252)
by Monica Billio & Bertrand Maillet & Loriana Pelizzon - A meta-measure of performance related to both investors and investments characteristics (RePEc:hal:journl:hal-03543398)
by Monica Billio & Bertrand Maillet & Loriana Pelizzon - High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization (RePEc:hal:journl:hal-04085236)
by Monica Billio & Lorenzo Frattarolo & Dominique Guégan - Portfolio Symmetry and Momentum (RePEc:hal:journl:halshs-00363383)
by Monica Billio & Ludovic Calès & Dominique Guegan - Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area (RePEc:hal:journl:halshs-00423890)
by Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi - A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios (RePEc:hal:journl:halshs-00476038)
by Monica Billio & Ludovic Calès & Dominique Guegan - A Cross-Sectional Performance Measure for Portfolio Management (RePEc:hal:journl:halshs-00523466)
by Monica Billio & Ludovic Calès & Dominique Guegan - Portfolio Symmetry and Momentum (RePEc:hal:journl:halshs-00645814)
by Monica Billio & Ludovic Calès & Dominique Guegan - A Cross-Sectional Score for the Relative Performance of an Allocation (RePEc:hal:journl:halshs-00646070)
by Dominique Guegan & Ludovic Calès & Monica Billio - A Rank-based Approach to Cross-Sectional Analysis (RePEc:hal:journl:halshs-00646073)
by Dominique Guegan & Monica Billio & Ludovic Calès - A test for a new modelling : The Univariate MT-STAR Model (RePEc:hal:journl:halshs-00659158)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach (RePEc:hal:journl:halshs-00694420)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Cross-Sectional Analysis through Rank-based Dynamic Portfolios (RePEc:hal:journl:halshs-00707430)
by Monica Billio & Ludovic Calès & Dominique Guegan - Understanding Exchange Rates Dynamics (RePEc:hal:journl:halshs-00803447)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis (RePEc:hal:journl:halshs-00803450)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Turning point chronology for the Euro-Zone: A Distance Plot Approach (RePEc:hal:journl:halshs-00803457)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone (RePEc:hal:journl:halshs-01339826)
by Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti - Multivariate Reflection Symmetry of Copula Functions (RePEc:hal:journl:halshs-01592147)
by Monica Billio & Lorenzo Frattarolo & Dominique Guegan - Nonlinear dynamics and recurrence plots for detecting financial crisis (RePEc:hal:pseptp:hal-00964975)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Nonlinear Dynamics and Wavelets for Business Cycle Analysis (RePEc:hal:pseptp:hal-01310513)
by Peter Martey Addo & Monica Billio & Dominique Guegan - The univariate MT-STAR model and a new linearity and unit root test procedure (RePEc:hal:pseptp:hal-01310518)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Turning point chronology for the euro area: A distance plot approach (RePEc:hal:pseptp:hal-01310533)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Portfolio Symmetry and Momentum (RePEc:hal:pseptp:halshs-00645814)
by Monica Billio & Ludovic Calès & Dominique Guegan - A Cross-Sectional Score for the Relative Performance of an Allocation (RePEc:hal:pseptp:halshs-00646070)
by Dominique Guegan & Ludovic Calès & Monica Billio - Modeling Systemic Risk with Markov Switching Graphical SUR Models (RePEc:igi:igierp:626)
by Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin - Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area (RePEc:jof:jforec:v:29:y:2010:i:1-2:p:145-167)
by Monica Billio & Roberto Casarin - Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case (RePEc:kap:jrefec:v:65:y:2022:i:3:d:10.1007_s11146-021-09838-0)
by Monica Billio & Michele Costola & Loriana Pelizzon & Max Riedel - Portfolio Symmetry and Momentum (RePEc:mse:cesdoc:09003)
by Monica Billio & Ludovic Calès & Dominique Guegan - Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro (RePEc:mse:cesdoc:09053)
by Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi - A performance measure of Zero-dollar Long/Short equally weighted portfolios (RePEc:mse:cesdoc:10030)
by Monica Billio & Ludovic Calès & Dominique Guegan - A Cross-Sectional Performance Measure for Portfolio Management (RePEc:mse:cesdoc:10070)
by Monica Billio & Ludovic Calès & Dominique Guegan - A test for a new modelling: The Univariate MT-STAR Model (RePEc:mse:cesdoc:11083)
by Peter Martey Addo & Monica Billio & Dominique Guegan - A New Modelling Test: The Univariate MT-STAR Model (RePEc:mse:cesdoc:11083r)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach (RePEc:mse:cesdoc:12023)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis (RePEc:mse:cesdoc:12023r)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Cross-Sectional Analysis through Rank-based Dynamic (RePEc:mse:cesdoc:12036)
by Monica Billio & Ludovic Calès & Dominique Guegan - Understanding Exchange Rates Dynamics (RePEc:mse:cesdoc:13023)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis (RePEc:mse:cesdoc:13024)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Turning point chronology for the Euro-Zone: A Distance Plot Approach (RePEc:mse:cesdoc:13025)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Turning point chronology for the Euro-Zone: A Distance Plot Approach (RePEc:mse:cesdoc:13025r)
by Peter Martey Addo & Monica Billio & Dominique Guegan - Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone (RePEc:mse:cesdoc:16046)
by Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti - Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone (RePEc:mse:cesdoc:16046r)
by Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti - Multivariate Reflection Symmetry of Copula Functions (RePEc:mse:cesdoc:17033)
by Monica Billio & Lorenzo Frattarolo & Dominique Guegan - Business Cycle and Markov Switching Models with Distributed Lags: A Comparison between US and Euro Area (RePEc:mul:jqat1f:doi:10.1427/77084:y:2014:i:2:p:253-276)
by Monica Billio & Maddalena Cavicchioli - Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors (RePEc:nbr:nberch:13174)
by Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon - Econometric Measures of Systemic Risk in the Finance and Insurance Sectors (RePEc:nbr:nberwo:16223)
by Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon - Dating EU15 monthly business cycle jointly using GDP and IPI (RePEc:oec:stdkaa:5kzdnhznwpjf)
by Monica Billio & Massimiliano Caporin & Guido Cazzavillan - Turning point chronology for the euro area: A distance plot approach (RePEc:oec:stdkab:5jxwz80d73q8)
by Peter Martey Addo & Monica Billio & Dominique Guégan - Kernel-Based Indirect Inference (RePEc:oup:jfinec:v:1:y:2003:i:3:p:297-326)
by Monica Billio & Alain Monfort - Modeling Turning Points In Global Equity Market (RePEc:pav:demwpp:demwp0195)
by Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin - A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation (RePEc:rbq:journl:i:129:p:40-58)
by Monica Billio & Lorenzon Frattarolo & Lauriana Pelizzon - A meta-measure of performance related to both investors and investments characteristics (RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03771-w)
by Monica Billio & Bertrand Maillet & Loriana Pelizzon - Correction to: A meta-measure of performance related to both investors and investments characteristics (RePEc:spr:annopr:v:332:y:2024:i:1:d:10.1007_s10479-021-04246-2)
by Monica Billio & Bertrand Maillet & Loriana Pelizzon - Nonlinear Dynamics and Wavelets for Business Cycle Analysis (RePEc:spr:dymchp:978-3-319-07061-2_4)
by Peter Martey Addo & Monica Billio & Dominique Guégan - Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis (RePEc:spr:stmapp:v:14:y:2005:i:2:d:10.1007_s10260-005-0108-8)
by Monica Billio & Massimiliano Caporin - Unknown item RePEc:taf:apfelt:v:2:y:2006:i:2:p:123-130 (article)
- On the role of domestic and international financial cyclical factors in driving economic growth (RePEc:taf:applec:v:52:y:2020:i:11:p:1272-1297)
by M. Billio & M. Donadelli & G. Livieri & A. Paradiso - Combining forecasts: some results on exchange and interest rates (RePEc:taf:eurjfi:v:6:y:2000:i:2:p:126-145)
by Monica Billio & Domenico Sartore & Carlo Toffano - Granger-causality in Markov switching models (RePEc:taf:japsta:v:42:y:2015:i:5:p:956-966)
by Monica Billio & Silvio Di Sanzo - Bayesian Markov-Switching Tensor Regression for Time-Varying Networks (RePEc:taf:jnlasa:v:119:y:2024:i:545:p:109-121)
by Monica Billio & Roberto Casarin & Matteo Iacopini - Bayesian Dynamic Tensor Regression (RePEc:taf:jnlbes:v:41:y:2023:i:2:p:429-439)
by Monica Billio & Roberto Casarin & Matteo Iacopini & Sylvia Kaufmann - On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected) (RePEc:taf:ufajxx:v:69:y:2013:i:2:p:22-33)
by Robert C. Merton & Monica Billio & Mila Getmansky & Dale Gray & Andrew W. Lo & Loriana Pelizzon - Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data (RePEc:tin:wpaper:20110003)
by Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk - Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index (RePEc:tin:wpaper:20110082)
by Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk - Combination Schemes for Turning Point Predictions (RePEc:tin:wpaper:20110123)
by Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk - Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data (RePEc:tin:wpaper:20110172)
by Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk - Time-varying Combinations of Predictive Densities using Nonlinear Filtering (RePEc:tin:wpaper:20120118)
by Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk - Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model (RePEc:tin:wpaper:20130142)
by Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk - Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode (RePEc:tin:wpaper:20150111)
by Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk - Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods (RePEc:ubs:wpaper:0815)
by Monica Billio & Roberto Casarin - Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis (RePEc:ubs:wpaper:1002)
by Monica Billio & Roberto Casarin - Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints (RePEc:ubs:wpaper:ubs0618)
by Roberto Casarin & Monica Billio - Granger-causality in Markov Switching Models (RePEc:ven:wpaper:2006_20)
by Monica Billio & Silvestro Di Sanzo - A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation (RePEc:ven:wpaper:2006_53)
by Monica Billio & Massimiliano Caporin - Phase-Locking and Switching Volatility in Hedge Funds (RePEc:ven:wpaper:2006_54)
by Monica Billio & Mila Getmansky & Loriana Pelizzon - Dynamic Risk Exposure in Hedge Funds (RePEc:ven:wpaper:2007_17)
by Monica Billio & Mila Getmansky & Loriana Pelizzon - Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion (RePEc:ven:wpaper:2007_18)
by Monica Billio & Massimiliano Caporin - Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI (RePEc:ven:wpaper:2007_19)
by Monica Billio & Massimiliano Caporin & Guido Cazzavillan - Business Cycle Analysis with Multivariate Markov Switching Models (RePEc:ven:wpaper:2007_32)
by Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca - A turning point chronology for the Euro-zone (RePEc:ven:wpaper:2007_33)
by Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca - Bayesian Inference on Dynamic Models with Latent Factors (RePEc:ven:wpaper:2007_34)
by Monica Billio & Roberto Casarin & Domenico Sartore - Crisis and Hedge Fund Risk (RePEc:ven:wpaper:2008_10)
by Loriana Pelizzon & Monica Billio & Mila Getmansky - Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data (RePEc:ven:wpaper:2008_11)
by Loriana Pelizzon & Monica Billio & Mila Getmansky - Portfolio Symmetry and Momentum (RePEc:ven:wpaper:2009_05)
by Monica Billio & Ludovic Cal�s & Dominique Gu�gan - Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors (RePEc:ven:wpaper:2011_21)
by Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon - CDS Industrial Sector Indices, credit and liquidity risk (RePEc:ven:wpaper:2012_09)
by Monica Billio & Massimiliano Caporin & Loriana Pelizzon & Domenico Sartore - Backward/forward optimal combination of performance measures for equity screening (RePEc:ven:wpaper:2012_13)
by Monica Billio & Massimiliano Caporin & Michele Costola - Combination schemes for turning point predictions (RePEc:ven:wpaper:2012_15)
by Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk - Combining predictive densities using Bayesian filtering with applications to US economic data (RePEc:ven:wpaper:2012_16)
by Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk - Efficient Gibbs Sampling for Markov Switching GARCH Models (RePEc:ven:wpaper:2012:35)
by Monica Billio & Roberto Casarin & Anthony Osuntuyi - Bayesian Graphical Models for Structural Vector Autoregressive Processes (RePEc:ven:wpaper:2012:36)
by Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin - Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model (RePEc:ven:wpaper:2013:17)
by Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk - Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure (RePEc:ven:wpaper:2013:22)
by Monica Billio & Gregory Jannin & Bertrand Maillet & Loriana Pelizzon - �Markov Switching Models for Volatility: Filtering, Approximation and Duality� (RePEc:ven:wpaper:2013:24)
by Monica Billio & Maddalena Cavicchioli - Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets (RePEc:ven:wpaper:2014:07)
by Roberto Casarin & Monica Billio & Anthony Osuntuyi - Growth-cycle phases in China�s provinces: A panel Markov-switching approach (RePEc:ven:wpaper:2014:19)
by Roberto Casarin & Komla Mawulom Agudze & Monica Billio & Eric Girardin - Sparse Graphical Vector Autoregression: A Bayesian Approach (RePEc:ven:wpaper:2014:29)
by Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio - An entropy-based early warning indicator for systemic risk (RePEc:ven:wpaper:2015:09)
by Monica Billio & Roberto Casarin & Michele Costola & Andrea Pasqualini - Measuring Financial Integration: Lessons from the Correlation (RePEc:ven:wpaper:2015:23)
by Monica Billio & Michael Donadelli & Antonio Paradiso & Max Riedel - Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix (RePEc:ven:wpaper:2016:01)
by Monica Billio & Lorenzo Frattarolo & Loriana Pelizzon - Networks in risk spillovers: a multivariate GARCH perspective (RePEc:ven:wpaper:2016:03)
by Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon - Bayesian nonparametric sparse seemingly unrelated regression model (SUR) (RePEc:ven:wpaper:2016:20)
by Monica Billio & Roberto Casarin & Luca Rossini - Dynamical Interaction Between Financial and Business Cycles (RePEc:ven:wpaper:2017:24)
by Monica Billio & Anna Petronevich - Bayesian Dynamic Tensor Regression (RePEc:ven:wpaper:2018:13)
by Monica Billio & Roberto Casarin & Sylvia Kaufmann & Matteo Iacopini - Bayesian Markov Switching Tensor Regression for Time-varying Networks (RePEc:ven:wpaper:2018:14)
by Monica Billio & Roberto Casarin & Matteo Iacopini - Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case (RePEc:ven:wpaper:2020:06)
by Monica Billio & Michele Costola & Loriana Pelizzon & Max Riedel - The importance of compound risk in the nexus of COVID-19, climate change and finance (RePEc:ven:wpaper:2020:15)
by Irene Monasterolo & Monica Billio & Stefano Battiston - Networks in risk spillovers: A multivariate GARCH perspective (RePEc:ven:wpaper:2020:16)
by Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon - Inside the ESG Ratings: (Dis)agreement and performance (RePEc:ven:wpaper:2020:17)
by Monica Billio & Michele Costola & Iva Histova & Carmelo Latino & Loriana Pelizzon - The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach (RePEc:ven:wpaper:2021:03)
by Monica Billio & Roberto Casarin & Enrica De Cian & Malcolm Mistry & Anthony Osuntuyi - COVID-19 spreading in financial networks: A semiparametric matrix regression model (RePEc:ven:wpaper:2021:05)
by Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini - Responsible Investing under Climate Change Uncertainty (RePEc:ven:wpaper:2024:15)
by Monica Billio & Massimo Guidolin & Francesco Rocciolo - Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case (RePEc:vrs:demode:v:9:y:2021:i:1:p:43-61:n:3)
by Billio Monica & Frattarolo Lorenzo & Guégan Dominique - Stochastic optimization for allocation problems with shortfall risk constraints (RePEc:wly:apsmbi:v:23:y:2007:i:3:p:247-271)
by Roberto Casarin & Monica Billio - Inside the ESG ratings: (Dis)agreement and performance (RePEc:wly:corsem:v:28:y:2021:i:5:p:1426-1445)
by Monica Billio & Michele Costola & Iva Hristova & Carmelo Latino & Loriana Pelizzon - Bayesian Graphical Models for STructural Vector Autoregressive Processes (RePEc:wly:japmet:v:31:y:2016:i:2:p:357-386)
by Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin - Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model (RePEc:wly:japmet:v:31:y:2016:i:7:p:1352-1370)
by Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. Van Dijk - Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area (RePEc:wly:jforec:v:32:y:2013:i:7:p:577-586)
by Monica Billio & Laurent Ferrara & Dominique Guégan & Gian Luigi Mazzi - Crises and Hedge Fund Risk (RePEc:ysm:wpaper:amz2561)
by Monica Billio & Mila Getmansky & Loriana Pelizzon - Which market integration measure? (RePEc:zbw:safewp:159)
by Billio, Monica & Donadelli, Michael & Paradiso, Antonio & Riedel, Max - The impact of network connectivity on factor exposures, asset pricing and portfolio diversification (RePEc:zbw:safewp:166)
by Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana - Networks in risk spillovers: A multivariate GARCH perspective (RePEc:zbw:safewp:225)
by Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana - Buildings' energy efficiency and the probability of mortgage default: The Dutch case (RePEc:zbw:safewp:261)
by Billio, Monica & Costola, Michele & Pelizzon, Loriana & Riedel, Max - Credit scoring in SME asset-backed securities: An Italian case study (RePEc:zbw:safewp:262)
by Bedin, Andrea & Billio, Monica & Costola, Michele & Pelizzon, Loriana - Inside the ESG ratings: (Dis)agreement and performance (RePEc:zbw:safewp:284)
by Billio, Monica & Costola, Michele & Hristova, Iva & Latino, Carmelo & Pelizzon, Loriana - Unpacking the ESG ratings: Does one size fit all? (RePEc:zbw:safewp:284398)
by Billio, Monica & Fitzpatrick, Aoife Claire & Latino, Carmelo & Pelizzon, Loriana - Global realignment in financial market dynamics: Evidence from ETF networks (RePEc:zbw:safewp:304)
by Billio, Monica & Lo, Andrew W. & Pelizzon, Loriana & Getmansky, Mila & Zareei, Abalfazl - Sustainable finance: A journey toward ESG and climate risk (RePEc:zbw:safewp:349)
by Billio, Monica & Costola, Michele & Hristova, Iva & Latino, Carmelo & Pelizzon, Loriana - Creditworthiness and buildings' energy efficiency in the Italian mortgage market (RePEc:zbw:safewp:352)
by Billio, Monica & Costola, Michele & Pelizzon, Loriana & Riedel, Max - Learning from experts: Energy efficiency in residential buildings (RePEc:zbw:safewp:403)
by Billio, Monica & Casarin, Roberto & Costola, Michele & Veggente, Veronica