Details about Monica Billio

Access statistics for papers by Monica Billio.

Last updated 2008-04-02. Update your information in the RePEc Author Service.

Short-id: pbi55

Working Papers

2007

1. A turning point chronology for the Euro-zone
   Working Papers, University of Venice "Ca' Foscari", Department of Economics
2. Bayesian Inference on Dynamic Models with Latent Factors
   Working Papers, University of Venice "Ca' Foscari", Department of Economics
3. Business Cycle Analysis with Multivariate Markov Switching Models
   Working Papers, University of Venice "Ca' Foscari", Department of Economics
4. Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI
   Working Papers, University of Venice "Ca' Foscari", Department of Economics
5. Dynamic Risk Exposure in Hedge Funds
   Working Papers, University of Venice "Ca' Foscari", Department of Economics 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

2006

7. A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation
   Working Papers, University of Venice "Ca' Foscari", Department of Economics
8. Granger-causality in Markov Switching Models
   Working Papers, University of Venice "Ca' Foscari", Department of Economics
9. Phase-Locking and Switching Volatility in Hedge Funds
   Working Papers, University of Venice "Ca' Foscari", Department of Economics

1999

10. Functional Indirect Inference
    Working Papers, Institut National de la Statistique et des Etudes Economiques- View citations

1998

11. The Simulated Likelihood Ratio (SLR) Method
    Working Papers, Institut National de la Statistique et des Etudes Economiques- View citations

1996

12. Bayesian Estimation of Switching ARMA Models
    Working Papers, Institut National de la Statistique et des Etudes Economiques- View citations
    See Also Journal Article in Journal of Econometrics (1999)

1995

13. Switching State Space Models Likelihood Function, Filtering and Smoothing
    Working Papers, Institut National de la Statistique et des Etudes Economiques- View citations

Undated

14. Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints
    Working Papers, University of Brescia, Department of Economics

Journal Articles

2006

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

2003

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

2000

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

1999

7. Bayesian estimation of switching ARMA models
   Journal of Econometrics, 1999, 93, (2), 229-255 View citations
   See Also Working Paper (1996)