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Details about Monica Billio

E-mail:
Homepage:http://venus.unive.it/billio
Workplace:Dipartimento di Scienze Economiche (Department of Economics), Facoltà di Economia (Faculty of Economics), Università degli Studi di Venezia "Ca' Foscari", (more information at EDIRC)
Economics and Organization, School for Advanced Studies in Venice, (more information at EDIRC)
Facoltà di Economia (Faculty of Economics), Università degli Studi di Venezia "Ca' Foscari", (more information at EDIRC)

Access statistics for papers by Monica Billio.

Last updated 2009-08-24. Update your information in the RePEc Author Service.

Short-id: pbi55


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Working Papers

2009

  1. Portfolio Symmetry and Momentum
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) Downloads
    Working Papers, University of Venice "Ca' Foscari", Department of Economics (2009) Downloads

2008

  1. Crisis and Hedge Fund Risk
    Working Papers, University of Venice "Ca' Foscari", Department of Economics Downloads
  2. Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods
    Working Papers, University of Brescia, Department of Economics Downloads
  3. Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data
    Working Papers, University of Venice "Ca' Foscari", Department of Economics Downloads

2007

  1. A turning point chronology for the Euro-zone
    Working Papers, University of Venice "Ca' Foscari", Department of Economics Downloads View citations
  2. Bayesian Inference on Dynamic Models with Latent Factors
    Working Papers, University of Venice "Ca' Foscari", Department of Economics Downloads View citations
  3. Business Cycle Analysis with Multivariate Markov Switching Models
    Working Papers, University of Venice "Ca' Foscari", Department of Economics Downloads View citations
  4. Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI
    Working Papers, University of Venice "Ca' Foscari", Department of Economics Downloads
  5. Dynamic Risk Exposure in Hedge Funds
    Working Papers, University of Venice "Ca' Foscari", Department of Economics Downloads View citations
  6. Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion
    Working Papers, University of Venice "Ca' Foscari", Department of Economics Downloads

2006

  1. A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation
    Working Papers, University of Venice "Ca' Foscari", Department of Economics Downloads View citations
  2. Granger-causality in Markov Switching Models
    Working Papers, University of Venice "Ca' Foscari", Department of Economics Downloads
  3. Phase-Locking and Switching Volatility in Hedge Funds
    Working Papers, University of Venice "Ca' Foscari", Department of Economics Downloads View citations
  4. Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints
    Working Papers, University of Brescia, Department of Economics Downloads View citations

Undated

  1. Functional Indirect Inference
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  2. The Simulated Likelihood Ratio (SLR) Method
    Working Papers, Centre de Recherche en Economie et Statistique Downloads

Journal Articles

2008

  1. A SYSTEM FOR DATING AND DETECTING TURNING POINTS IN THE EURO AREA
    Manchester School, 2008, 76, (5), 549-577 Downloads View citations

2006

  1. Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation
    Applied Financial Economics Letters, 2006, 2, (2), 123-130 Downloads View citations

2003

  1. Contagion and interdependence in stock markets: Have they been misdiagnosed?
    Journal of Economics and Business, 2003, 55, (5-6), 405-426 Downloads View citations
  2. Kernel-Based Indirect Inference
    Journal of Financial Econometrics, 2003, 1, (3), 297-326 View citations
  3. Volatility and shocks spillover before and after EMU in European stock markets
    Journal of Multinational Financial Management, 2003, 13, (4-5), 323-340 Downloads View citations

2000

  1. Combining forecasts: some results on exchange and interest rates
    European Journal of Finance, 2000, 6, (2), 126-145 Downloads View citations
  2. Value-at-Risk: a multivariate switching regime approach
    Journal of Empirical Finance, 2000, 7, (5), 531-554 Downloads View citations

1999

  1. Bayesian estimation of switching ARMA models
    Journal of Econometrics, 1999, 93, (2), 229-255 Downloads View citations
 
 
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