Details about Monica Billio

Access statistics for papers by Monica Billio.

Last updated 2013-03-29. Update your information in the RePEc Author Service.

Short-id: pbi55

Working Papers

2013

1. Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
   Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2013) View citations (2)
2. Turning point chronology for the Euro-Zone: A Distance Plot Approach
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
   Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2013)
3. Understanding Exchange Rates Dynamics
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
   Also in 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)

2012

4. 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 (1)
   Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012)
5. Backward/forward optimal combination of performance measures for equity screening
   Working Papers, Department of Economics, University of Venice "Ca' Foscari"
6. Bayesian Graphical Models for Structural Vector Autoregressive Processes
   Working Papers, Department of Economics, University of Venice "Ca' Foscari"
7. CDS Industrial Sector Indices, credit and liquidity risk
   Working Papers, Department of Economics, University of Venice "Ca' Foscari"
8. Combination schemes for turning point predictions
   Working Papers, Department of Economics, University of Venice "Ca' Foscari"
   Also in Working Paper, Norges Bank (2012)
   See also Journal Article in The Quarterly Review of Economics and Finance (2012)
9. Combining predictive densities using Bayesian filtering with applications to US economic data
   Working Papers, Department of Economics, University of Venice "Ca' Foscari"
   Also in Working Paper, Norges Bank (2010) View citations (4)
10. 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
11. Cross-Sectional Analysis through Rank-based Dynamic Portfolios
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
12. Efficient Gibbs Sampling for Markov Switching GARCH Models
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"

2011

13. 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
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011)
14. 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 (1)
    See also Journal Article in Journal of Financial Economics (2012)
15. Portfolio Symmetry and Momentum
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (4)
    Also in 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)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2009) View citations (3)
    See also Journal Article in European Journal of Operational Research (2011)

2010

16. A Cross-Sectional Performance Measure for Portfolio Management
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010)
17. A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010)
18. Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis
    Working Papers, University of Brescia, Department of Economics View citations (3)
19. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)

2009

20. Crises and Hedge Fund Risk
    Yale School of Management Working Papers, Yale School of Management View citations (4)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2008)
21. 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
22. Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL

2008

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

2007

25. A turning point chronology for the Euro-zone
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (21)
26. Bayesian Inference on Dynamic Models with Latent Factors
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (2)
27. Business Cycle Analysis with Multivariate Markov Switching Models
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (3)
28. Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
    See also Journal Article in Journal of Business Cycle Measurement and Analysis (2007)
29. Dynamic Risk Exposure in Hedge Funds
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (6)
    See also Journal Article in Computational Statistics & Data Analysis (2012)
30. 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 in Computational Statistics & Data Analysis (2010)

2006

31. A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (6)
32. Granger-causality in Markov Switching Models
    Working Papers, Department of Economics, University of Venice "Ca' Foscari"
33. Phase-Locking and Switching Volatility in Hedge Funds
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
34. Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints
    Working Papers, University of Brescia, Department of Economics View citations (12)

1999

35. Functional Indirect Inference
    Working Papers, Centre de Recherche en Economie et Statistique

1998

36. The Simulated Likelihood Ratio (SLR) Method
    Working Papers, Centre de Recherche en Economie et Statistique View citations (4)

Journal Articles

2012

1. Combination schemes for turning point predictions
   The Quarterly Review of Economics and Finance, 2012, 52, (4), 402-412
   See also Working Paper (2012)
2. Dynamic risk exposures in hedge funds
   Computational Statistics & Data Analysis, 2012, 56, (11), 3517-3532
   See also Working Paper (2007)
3. Econometric measures of connectedness and systemic risk in the finance and insurance sectors
   Journal of Financial Economics, 2012, 104, (3), 535-559 View citations (2)
   See also Working Paper (2011)

2011

4. Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis
   Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (4), 2 View citations (2)
5. Portfolio symmetry and momentum
   European Journal of Operational Research, 2011, 214, (3), 759-767 View citations (4)
   See also Working Paper (2011)

2010

6. 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 (5)
7. Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion
   Computational Statistics & Data Analysis, 2010, 54, (11), 2443-2458 View citations (1)
   See also Working Paper (2007)

2008

8. A SYSTEM FOR DATING AND DETECTING TURNING POINTS IN THE EURO AREA
   Manchester School, 2008, 76, (5), 549-577 View citations (8)

2007

9. Dating EU15 monthly business cycle jointly using GDP and IPI
   Journal of Business Cycle Measurement and Analysis, 2007, 2007, (3), 333-366
   See also Working Paper (2007)

2006

10. Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation
    Applied Financial Economics Letters, 2006, 2, (2), 123-130 View citations (28)

2003

11. Contagion and interdependence in stock markets: Have they been misdiagnosed?
    Journal of Economics and Business, 2003, 55, (5-6), 405-426 View citations (30)
12. Kernel-Based Indirect Inference
    Journal of Financial Econometrics, 2003, 1, (3), 297-326 View citations (3)
13. 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 (17)

2000

14. Combining forecasts: some results on exchange and interest rates
    European Journal of Finance, 2000, 6, (2), 126-145 View citations (1)
15. Value-at-Risk: a multivariate switching regime approach
    Journal of Empirical Finance, 2000, 7, (5), 531-554 View citations (24)

1999

16. Bayesian estimation of switching ARMA models
    Journal of Econometrics, 1999, 93, (2), 229-255 View citations (11)