Details about Monica Billio

Homepage:	http://www.unive.it/persone/billio
Workplace:	Dipartimento di Economia (Department of Economics), Università Ca' Foscari Venezia (University Ca' Foscari Venice), (more information at EDIRC)

Access statistics for papers by Monica Billio.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: pbi55

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Working Papers

2024

1. Responsible Investing under Climate Change Uncertainty
   Working Papers, Department of Economics, University of Venice "Ca' Foscari"
2. Unpacking the ESG ratings: Does one size fit all?
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE

2023

3. Learning from experts: Energy efficiency in residential buildings
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
   See also Journal Article Learning from experts: Energy efficiency in residential buildings, Energy Economics, Elsevier (2024) (2024)

2022

4. Creditworthiness and buildings' energy efficiency in the Italian mortgage market
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (2)
5. High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)
   Also in Post-Print, HAL (2022) View citations (1)
6. Sustainable finance: A journey toward ESG and climate risk
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (3)

2021

7. A meta-measure of performance related to both investors and investments characteristics
   Post-Print, HAL
   Also in Post-Print, HAL (2021)
   See also Journal Article A meta-measure of performance related to both investors and investments characteristics, Annals of Operations Research, Springer (2022) (2022)
8. COVID-19 spreading in financial networks: A semiparametric matrix regression model
   Papers, arXiv.org View citations (5)
   Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2021) View citations (4)
   See also Journal Article COVID-19 spreading in financial networks: A semiparametric matrix regression model, Econometrics and Statistics, Elsevier (2024) (2024)
9. Global realignment in financial market dynamics: Evidence from ETF networks
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (1)
10. Markov Switching Panel with Endogenous Synchronization Effects
    BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen View citations (4)
    See also Journal Article Markov switching panel with endogenous synchronization effects, Journal of Econometrics, Elsevier (2022) (2022)
11. The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (2)
    Also in Papers, arXiv.org (2020) View citations (4)

2020

12. Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2019)
    See also Journal Article Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case, The Journal of Real Estate Finance and Economics, Springer (2022) View citations (4) (2022)
13. Inside the ESG Ratings: (Dis)agreement and performance
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (10)
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2020) View citations (10)
    See also Journal Article Inside the ESG ratings: (Dis)agreement and performance, Corporate Social Responsibility and Environmental Management, John Wiley & Sons (2021) View citations (70) (2021)
14. Modeling Turning Points In Global Equity Market
    DEM Working Papers Series, University of Pavia, Department of Economics and Management
    See also Journal Article Modeling Turning Points in the Global Equity Market, Econometrics and Statistics, Elsevier (2024) (2024)
15. Networks in risk spillovers: A multivariate GARCH perspective
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2016) View citations (7)
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2018) View citations (4)
    See also Journal Article Networks in risk spillovers: A multivariate GARCH perspective, Econometrics and Statistics, Elsevier (2023) View citations (2) (2023)
16. The importance of compound risk in the nexus of COVID-19, climate change and finance
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (4)

2019

17. Credit scoring in SME asset-backed securities: An Italian case study
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (7)
    See also Journal Article Credit Scoring in SME Asset-Backed Securities: An Italian Case Study, JRFM, MDPI (2019) View citations (7) (2019)

2018

18. Bayesian Dynamic Tensor Regression
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (3)
    See also Journal Article Bayesian Dynamic Tensor Regression, Journal of Business & Economic Statistics, Taylor & Francis Journals (2023) View citations (2) (2023)
19. Bayesian Markov Switching Tensor Regression for Time-varying Networks
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (3)
    See also Journal Article Bayesian Markov-Switching Tensor Regression for Time-Varying Networks, Journal of the American Statistical Association, Taylor & Francis Journals (2024) (2024)
20. Bayesian nonparametric sparse VAR models
    Papers, arXiv.org View citations (1)
    See also Journal Article Bayesian nonparametric sparse VAR models, Journal of Econometrics, Elsevier (2019) View citations (26) (2019)
21. Markov Switching Panel with Network Interaction Effects
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (2)
22. Modeling Systemic Risk with Markov Switching Graphical SUR Models
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (4)
    See also Journal Article Modeling systemic risk with Markov Switching Graphical SUR models, Journal of Econometrics, Elsevier (2019) View citations (31) (2019)

2017

23. Dynamical Interaction Between Financial and Business Cycles
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (2)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2017) View citations (1)
    Post-Print, HAL (2017) View citations (1)
24. Multivariate Reflection Symmetry of Copula Functions
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2017)
    Post-Print, HAL (2017)
25. The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (7)
    See also Journal Article The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification, International Review of Economics & Finance, Elsevier (2023) View citations (2) (2023)

2016

26. Bayesian nonparametric sparse seemingly unrelated regression model (SUR)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
27. Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (7)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2016) View citations (7)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2016) View citations (5)
    Post-Print, HAL (2016) View citations (5)
28. Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
29. Which market integration measure?
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (1)
    See also Journal Article Which market integration measure?, Journal of Banking & Finance, Elsevier (2017) View citations (49) (2017)

2015

30. A Rank-based Approach to Cross-Sectional Analysis
    Post-Print, HAL
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2015)
31. An entropy-based early warning indicator for systemic risk
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
    See also Journal Article An entropy-based early warning indicator for systemic risk, Journal of International Financial Markets, Institutions and Money, Elsevier (2016) View citations (25) (2016)
32. Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (34) (2016)
33. Measuring Financial Integration: Lessons from the Correlation
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (4)

2014

34. Growth-cycle phases in China�s provinces: A panel Markov-switching approach
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
35. Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2014) View citations (5)
    Working Paper, Norges Bank (2013) View citations (9)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2014) View citations (4)
36. Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (3)
    See also Journal Article Markov switching GARCH models for Bayesian hedging on energy futures markets, Energy Economics, Elsevier (2018) View citations (27) (2018)
37. Nonlinear Dynamics and Wavelets for Business Cycle Analysis
    Post-Print, HAL
    Also in PSE-Ecole d'économie de Paris (Postprint), HAL (2014) View citations (4)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014)
    See also Chapter Nonlinear Dynamics and Wavelets for Business Cycle Analysis, Dynamic Modeling and Econometrics in Economics and Finance, Springer (2014) View citations (5) (2014)
38. Sparse Graphical Vector Autoregression: A Bayesian Approach
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (17)
    See also Journal Article Sparse Graphical Vector Autoregression: A Bayesian Approach, Annals of Economics and Statistics, GENES (2016) View citations (5) (2016)
39. The univariate MT-STAR model and a new linearity and unit root test procedure
    Post-Print, HAL
    Also in PSE-Ecole d'économie de Paris (Postprint), HAL (2014) View citations (4)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014)
    See also Journal Article The univariate MT-STAR model and a new linearity and unit root test procedure, Computational Statistics & Data Analysis, Elsevier (2014) View citations (4) (2014)
40. Turning point chronology for the euro area: A distance plot approach
    PSE-Ecole d'économie de Paris (Postprint), HAL
    Also in Post-Print, HAL (2014)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014)
    See also Journal Article Turning point chronology for the euro area: A distance plot approach, OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys (2014) View citations (4) (2014)

2013

41. A New Modelling Test: The Univariate MT-STAR Model
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (1)
42. Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area
    Post-Print, HAL View citations (5)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) View citations (6)
    See also Journal Article Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area, Journal of Forecasting, John Wiley & Sons, Ltd. (2013) View citations (4) (2013)
43. Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (33)
    Also in Post-Print, HAL (2013) View citations (11)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) View citations (28)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) View citations (28)
    Post-Print, HAL (2013) View citations (15)
    PSE-Ecole d'économie de Paris (Postprint), HAL (2013) View citations (26)
    See also Journal Article Nonlinear dynamics and recurrence plots for detecting financial crisis, The North American Journal of Economics and Finance, Elsevier (2013) View citations (30) (2013)
44. Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (5)
45. Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (1)
46. Turning point chronology for the Euro-Zone: A Distance Plot Approach
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (1)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) View citations (1)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2013) View citations (1)
    Post-Print, HAL (2013)
47. Understanding Exchange Rates Dynamics
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (13)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) View citations (1)
    Post-Print, HAL (2013) View citations (1)
48. �Markov Switching Models for Volatility: Filtering, Approximation and Duality�
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"

2012

49. Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (6)
    Also in Post-Print, HAL (2012) View citations (2)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012) View citations (2)
50. Backward/forward optimal combination of performance measures for equity screening
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (5)
    See also Journal Article Backward/forward optimal combination of performance measures for equity screening, The North American Journal of Economics and Finance, Elsevier (2015) View citations (6) (2015)
51. Bayesian Graphical Models for Structural Vector Autoregressive Processes
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (24)
    See also Journal Article Bayesian Graphical Models for STructural Vector Autoregressive Processes, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (98) (2016)
52. CDS Industrial Sector Indices, credit and liquidity risk
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
53. Combination schemes for turning point predictions
    Working Paper, Norges Bank View citations (34)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2012) View citations (34)
    See also Journal Article Combination schemes for turning point predictions, The Quarterly Review of Economics and Finance, Elsevier (2012) View citations (34) (2012)
54. Combining predictive densities using Bayesian filtering with applications to US economic data
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (2)
    Also in Working Paper, Norges Bank (2010) View citations (4)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) View citations (6)
55. Cross-Sectional Analysis through Rank-based Dynamic
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
56. Cross-Sectional Analysis through Rank-based Dynamic Portfolios
    Post-Print, HAL
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012)
57. Efficient Gibbs Sampling for Markov Switching GARCH Models
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (11)
    See also Journal Article Efficient Gibbs sampling for Markov switching GARCH models, Computational Statistics & Data Analysis, Elsevier (2016) View citations (6) (2016)
58. Time-varying Combinations of Predictive Densities using Nonlinear Filtering
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
    See also Journal Article Time-varying combinations of predictive densities using nonlinear filtering, Journal of Econometrics, Elsevier (2013) View citations (109) (2013)

2011

59. A Cross-Sectional Score for the Relative Performance of an Allocation
    Post-Print, HAL View citations (9)
    Also in PSE-Ecole d'économie de Paris (Postprint), HAL (2011) View citations (9)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) View citations (9)
60. A test for a new modelling: The Univariate MT-STAR Model
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (2)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) View citations (2)
    Post-Print, HAL (2011) View citations (2)
61. Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
62. Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
63. Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (18)
    See also Chapter Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, NBER Chapters, National Bureau of Economic Research, Inc (2010) View citations (53) (2010)
    Journal Article Econometric measures of connectedness and systemic risk in the finance and insurance sectors, Journal of Financial Economics, Elsevier (2012) View citations (1183) (2012)
64. Portfolio Symmetry and Momentum
    Post-Print, HAL View citations (7)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2009) View citations (4)
    Post-Print, HAL (2009)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) View citations (8)
    PSE-Ecole d'économie de Paris (Postprint), HAL (2011) View citations (7)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009)
    See also Journal Article Portfolio symmetry and momentum, European Journal of Operational Research, Elsevier (2011) View citations (8) (2011)

2010

65. A Cross-Sectional Performance Measure for Portfolio Management
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
    Also in Post-Print, HAL (2010)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010)
66. A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios
    Post-Print, HAL
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010)
67. Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis
    Working Papers, University of Brescia, Department of Economics View citations (3)
68. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (83)

2009

69. Crises and Hedge Fund Risk
    Yale School of Management Working Papers, Yale School of Management
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2008) View citations (1)
70. Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (2)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009)
71. Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area
    Post-Print, HAL

2008

72. Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods
    Working Papers, University of Brescia, Department of Economics View citations (9)
73. Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"

2007

74. A turning point chronology for the Euro-zone
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (34)
75. Bayesian Inference on Dynamic Models with Latent Factors
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (5)
76. Business Cycle Analysis with Multivariate Markov Switching Models
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (13)
77. Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
    See also Journal Article Dating EU15 monthly business cycle jointly using GDP and IPI, Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys (2008) (2008)
78. Dynamic Risk Exposure in Hedge Funds
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (6)
    See also Journal Article Dynamic risk exposures in hedge funds, Computational Statistics & Data Analysis, Elsevier (2012) View citations (32) (2012)
79. Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
    See also Journal Article Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion, Computational Statistics & Data Analysis, Elsevier (2010) View citations (67) (2010)

2006

80. A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (14)
    See also Journal Article A generalized Dynamic Conditional Correlation model for portfolio risk evaluation, Mathematics and Computers in Simulation (MATCOM), Elsevier (2009) View citations (35) (2009)
81. Granger-causality in Markov Switching Models
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (5)
    See also Journal Article Granger-causality in Markov switching models, Journal of Applied Statistics, Taylor & Francis Journals (2015) View citations (7) (2015)
82. Phase-Locking and Switching Volatility in Hedge Funds
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (2)
83. Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints
    Working Papers, University of Brescia, Department of Economics View citations (13)
    See also Journal Article Stochastic optimization for allocation problems with shortfall risk constraints, Applied Stochastic Models in Business and Industry, John Wiley & Sons (2007) View citations (3) (2007)

1999

84. Functional Indirect Inference
    Working Papers, Center for Research in Economics and Statistics

1998

85. The Simulated Likelihood Ratio (SLR) Method
    Working Papers, Center for Research in Economics and Statistics View citations (6)

Journal Articles

2025

1. Bond supply expectations and the term structure of interest rates
   Journal of International Money and Finance, 2025, 150, (C)
2. Rising tides, rising funds: Floods and climate mitigation campaigns in equity crowdfunding
   Finance Research Letters, 2025, 74, (C)
3. The systemic risk of leveraged and covenant-lite loan syndications
   International Review of Financial Analysis, 2025, 97, (C)

2024

4. Bayesian Markov-Switching Tensor Regression for Time-Varying Networks
   Journal of the American Statistical Association, 2024, 119, (545), 109-121
   See also Working Paper Bayesian Markov Switching Tensor Regression for Time-varying Networks, Working Papers (2018) View citations (3) (2018)
5. COVID-19 spreading in financial networks: A semiparametric matrix regression model
   Econometrics and Statistics, 2024, 29, (C), 113-131
   See also Working Paper COVID-19 spreading in financial networks: A semiparametric matrix regression model, Papers (2021) View citations (5) (2021)
6. Correction to: A meta-measure of performance related to both investors and investments characteristics
   Annals of Operations Research, 2024, 332, (1), 1271-1271
7. Corrigendum to “Complexity and the default risk of mortgage-backed securities” [Journal of Banking and Finance 155 (2023) 106993]
   Journal of Banking & Finance, 2024, 166, (C)
8. Learning from experts: Energy efficiency in residential buildings
   Energy Economics, 2024, 136, (C)
   See also Working Paper Learning from experts: Energy efficiency in residential buildings, SAFE Working Paper Series (2023) (2023)
9. Modeling Turning Points in the Global Equity Market
   Econometrics and Statistics, 2024, 30, (C), 60-75
   See also Working Paper Modeling Turning Points In Global Equity Market, DEM Working Papers Series (2020) (2020)

2023

10. Bayesian Dynamic Tensor Regression
    Journal of Business & Economic Statistics, 2023, 41, (2), 429-439 View citations (2)
    See also Working Paper Bayesian Dynamic Tensor Regression, Working Papers (2018) View citations (3) (2018)
11. Complexity and the default risk of mortgage-backed securities
    Journal of Banking & Finance, 2023, 155, (C)
12. Networks in risk spillovers: A multivariate GARCH perspective
    Econometrics and Statistics, 2023, 28, (C), 1-29 View citations (2)
    See also Working Paper Networks in risk spillovers: A multivariate GARCH perspective, Working Papers (2020) (2020)
13. The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification
    International Review of Economics & Finance, 2023, 84, (C), 196-223 View citations (2)
    See also Working Paper The impact of network connectivity on factor exposures, asset pricing and portfolio diversification, SAFE Working Paper Series (2017) View citations (7) (2017)

2022

14. A meta-measure of performance related to both investors and investments characteristics
    Annals of Operations Research, 2022, 313, (2), 1405-1447
    See also Working Paper A meta-measure of performance related to both investors and investments characteristics, Post-Print (2021) (2021)
15. Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case
    The Journal of Real Estate Finance and Economics, 2022, 65, (3), 419-450 View citations (4)
    See also Working Paper Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case, Working Papers (2020) View citations (1) (2020)
16. Markov switching panel with endogenous synchronization effects
    Journal of Econometrics, 2022, 230, (2), 281-298
    See also Working Paper Markov Switching Panel with Endogenous Synchronization Effects, BEMPS - Bozen Economics & Management Paper Series (2021) View citations (4) (2021)

2021

17. Inside the ESG ratings: (Dis)agreement and performance
    Corporate Social Responsibility and Environmental Management, 2021, 28, (5), 1426-1445 View citations (70)
    See also Working Paper Inside the ESG Ratings: (Dis)agreement and performance, Working Papers (2020) View citations (10) (2020)
18. Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case
    Dependence Modeling, 2021, 9, (1), 43-61 View citations (1)

2020

19. On the role of domestic and international financial cyclical factors in driving economic growth
    Applied Economics, 2020, 52, (11), 1272-1297 View citations (2)

2019

20. Bayesian nonparametric sparse VAR models
    Journal of Econometrics, 2019, 212, (1), 97-115 View citations (26)
    See also Working Paper Bayesian nonparametric sparse VAR models, Papers (2018) View citations (1) (2018)
21. Credit Scoring in SME Asset-Backed Securities: An Italian Case Study
    JRFM, 2019, 12, (2), 1-28 View citations (7)
    See also Working Paper Credit scoring in SME asset-backed securities: An Italian case study, SAFE Working Paper Series (2019) View citations (7) (2019)
22. Modeling systemic risk with Markov Switching Graphical SUR models
    Journal of Econometrics, 2019, 210, (1), 58-74 View citations (31)
    See also Working Paper Modeling Systemic Risk with Markov Switching Graphical SUR Models, Working Papers (2018) View citations (4) (2018)
23. Opinion Dynamics and Disagreements on Financial Networks
    Advances in Decision Sciences, 2019, 23, (4), 24-51 View citations (1)

2018

24. Markov switching GARCH models for Bayesian hedging on energy futures markets
    Energy Economics, 2018, 70, (C), 545-562 View citations (27)
    See also Working Paper Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets, Working Papers (2014) View citations (3) (2014)

2017

25. Which market integration measure?
    Journal of Banking & Finance, 2017, 76, (C), 150-174 View citations (49)
    See also Working Paper Which market integration measure?, SAFE Working Paper Series (2016) View citations (1) (2016)

2016

26. An entropy-based early warning indicator for systemic risk
    Journal of International Financial Markets, Institutions and Money, 2016, 45, (C), 42-59 View citations (25)
    See also Working Paper An entropy-based early warning indicator for systemic risk, Working Papers (2015) (2015)
27. Bayesian Graphical Models for STructural Vector Autoregressive Processes
    Journal of Applied Econometrics, 2016, 31, (2), 357-386 View citations (98)
    See also Working Paper Bayesian Graphical Models for Structural Vector Autoregressive Processes, Working Papers (2012) View citations (24) (2012)
28. Efficient Gibbs sampling for Markov switching GARCH models
    Computational Statistics & Data Analysis, 2016, 100, (C), 37-57 View citations (6)
    See also Working Paper Efficient Gibbs Sampling for Markov Switching GARCH Models, Working Papers (2012) View citations (11) (2012)
29. Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model
    Journal of Applied Econometrics, 2016, 31, (7), 1352-1370 View citations (34)
    See also Working Paper Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode, Tinbergen Institute Discussion Papers (2015) (2015)
30. Sparse Graphical Vector Autoregression: A Bayesian Approach
    Annals of Economics and Statistics, 2016, (123-124), 333-361 View citations (5)
    See also Working Paper Sparse Graphical Vector Autoregression: A Bayesian Approach, Working Papers (2014) View citations (17) (2014)

2015

31. Backward/forward optimal combination of performance measures for equity screening
    The North American Journal of Economics and Finance, 2015, 34, (C), 63-83 View citations (6)
    See also Working Paper Backward/forward optimal combination of performance measures for equity screening, Working Papers (2012) View citations (5) (2012)
32. Granger-causality in Markov switching models
    Journal of Applied Statistics, 2015, 42, (5), 956-966 View citations (7)
    See also Working Paper Granger-causality in Markov Switching Models, Working Papers (2006) View citations (5) (2006)

2014

33. A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation
    Bankers, Markets & Investors, 2014, (129), 40-58 View citations (2)
34. Business Cycle and Markov Switching Models with Distributed Lags: A Comparison between US and Euro Area
    Rivista italiana degli economisti, 2014, (2), 253-276
35. Interconnectedness and systemic risk: hedge funds, banks, insurance companies
    BANCARIA, 2014, 6, 81-91 View citations (1)
36. The univariate MT-STAR model and a new linearity and unit root test procedure
    Computational Statistics & Data Analysis, 2014, 76, (C), 4-19 View citations (4)
    See also Working Paper The univariate MT-STAR model and a new linearity and unit root test procedure, Post-Print (2014) (2014)
37. Turning point chronology for the euro area: A distance plot approach
    OECD Journal: Journal of Business Cycle Measurement and Analysis, 2014, 2014, (1), 1-14 View citations (4)
    See also Working Paper Turning point chronology for the euro area: A distance plot approach, PSE-Ecole d'économie de Paris (Postprint) (2014) (2014)

2013

38. Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area
    Journal of Forecasting, 2013, 32, (7), 577-586 View citations (4)
    See also Working Paper Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area, Post-Print (2013) View citations (5) (2013)
39. Nonlinear dynamics and recurrence plots for detecting financial crisis
    The North American Journal of Economics and Finance, 2013, 26, (C), 416-435 View citations (30)
    See also Working Paper Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis, Documents de travail du Centre d'Economie de la Sorbonne (2013) View citations (33) (2013)
40. On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected)
    Financial Analysts Journal, 2013, 69, (2), 22-33 View citations (1)
41. Time-varying combinations of predictive densities using nonlinear filtering
    Journal of Econometrics, 2013, 177, (2), 213-232 View citations (109)
    See also Working Paper Time-varying Combinations of Predictive Densities using Nonlinear Filtering, Tinbergen Institute Discussion Papers (2012) View citations (10) (2012)

2012

42. Combination schemes for turning point predictions
    The Quarterly Review of Economics and Finance, 2012, 52, (4), 402-412 View citations (34)
    See also Working Paper Combination schemes for turning point predictions, Working Paper (2012) View citations (34) (2012)
43. Dynamic risk exposures in hedge funds
    Computational Statistics & Data Analysis, 2012, 56, (11), 3517-3532 View citations (32)
    See also Working Paper Dynamic Risk Exposure in Hedge Funds, Working Papers (2007) View citations (6) (2007)
44. Econometric measures of connectedness and systemic risk in the finance and insurance sectors
    Journal of Financial Economics, 2012, 104, (3), 535-559 View citations (1183)
    See also Working Paper Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, Working Papers (2011) View citations (18) (2011)
    Chapter Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, NBER Chapters, 2010 (2010) View citations (53) (2010)

2011

45. Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (4), 32 View citations (18)
46. Portfolio symmetry and momentum
    European Journal of Operational Research, 2011, 214, (3), 759-767 View citations (8)
    See also Working Paper Portfolio Symmetry and Momentum, Post-Print (2011) View citations (7) (2011)

2010

47. Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area
    Journal of Forecasting, 2010, 29, (1-2), 145-167 View citations (20)
48. Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion
    Computational Statistics & Data Analysis, 2010, 54, (11), 2443-2458 View citations (67)
    See also Working Paper Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion, Working Papers (2007) View citations (1) (2007)

2009

49. A generalized Dynamic Conditional Correlation model for portfolio risk evaluation
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2566-2578 View citations (35)
    See also Working Paper A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation, Working Papers (2006) View citations (14) (2006)

2008

50. A SYSTEM FOR DATING AND DETECTING TURNING POINTS IN THE EURO AREA
    Manchester School, 2008, 76, (5), 549-577 View citations (53)
51. Dating EU15 monthly business cycle jointly using GDP and IPI
    Journal of Business Cycle Measurement and Analysis, 2008, 2007, (3), 333-366
    See also Working Paper Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI, Working Papers (2007) View citations (1) (2007)

2007

52. Stochastic optimization for allocation problems with shortfall risk constraints
    Applied Stochastic Models in Business and Industry, 2007, 23, (3), 247-271 View citations (3)
    See also Working Paper Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints, Working Papers (2006) View citations (13) (2006)

2005

53. Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
    Statistical Methods & Applications, 2005, 14, (2), 145-161 View citations (67)

2003

54. Contagion and interdependence in stock markets: Have they been misdiagnosed?
    Journal of Economics and Business, 2003, 55, (5-6), 405-426 View citations (73)
55. Kernel-Based Indirect Inference
    Journal of Financial Econometrics, 2003, 1, (3), 297-326 View citations (10)
56. 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 (59)

2000

57. Combining forecasts: some results on exchange and interest rates
    The European Journal of Finance, 2000, 6, (2), 126-145 View citations (4)
58. Value-at-Risk: a multivariate switching regime approach
    Journal of Empirical Finance, 2000, 7, (5), 531-554 View citations (72)

1999

59. Bayesian estimation of switching ARMA models
    Journal of Econometrics, 1999, 93, (2), 229-255 View citations (26)

Chapters

2022

1. Understanding Economic Instability during the Pandemic: A Factor Model Approach
   A chapter in The Economics of COVID-19, 2022, vol. 296, pp 1-55

2014

2. Nonlinear Dynamics and Wavelets for Business Cycle Analysis
   Springer View citations (5)
   See also Working Paper Nonlinear Dynamics and Wavelets for Business Cycle Analysis, HAL (2014) (2014)

2010

3. Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors
   A chapter in Market Institutions and Financial Market Risk, 2010 View citations (53)
   See also Journal Article Econometric measures of connectedness and systemic risk in the finance and insurance sectors, Elsevier (2012) View citations (1183) (2012)
   Working Paper Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, Department of Economics, University of Venice "Ca' Foscari" (2011) View citations (18) (2011)