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Details about Monica Billio

E-mail:
Homepage:http://venus.unive.it/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 2014-08-25. Update your information in the RePEc Author Service.

Short-id: pbi55


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Working Papers

2014

  1. Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads

2013

  1. 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 Downloads View citations (1)
  2. Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model
    Working Paper, Norges Bank Downloads View citations (1)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2013) Downloads View citations (1)
  3. Markov Switching Models for Volatility: Filtering, Approximation and Duality
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  4. Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2013) Downloads View citations (5)

    See also Journal Article in The North American Journal of Economics and Finance (2013)
  5. Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  6. 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 Downloads
  7. Turning point chronology for the Euro-Zone: A Distance Plot Approach
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (1)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2013) Downloads 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) Downloads View citations (1)
  8. Understanding Exchange Rates Dynamics
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2013) Downloads View citations (5)

2012

  1. 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 Downloads View citations (4)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012) Downloads
  2. Backward/forward optimal combination of performance measures for equity screening
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
  3. Bayesian Graphical Models for Structural Vector Autoregressive Processes
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
  4. CDS Industrial Sector Indices, credit and liquidity risk
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  5. Combination schemes for turning point predictions
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (9)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads
    Working Paper, Norges Bank (2012) Downloads View citations (6)

    See also Journal Article in The Quarterly Review of Economics and Finance (2012)
  6. Combining predictive densities using Bayesian filtering with applications to US economic data
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
    Also in Working Paper, Norges Bank (2010) Downloads View citations (5)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads View citations (1)
  7. 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 Downloads
  8. Cross-Sectional Analysis through Rank-based Dynamic Portfolios
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
  9. Efficient Gibbs Sampling for Markov Switching GARCH Models
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  10. Time-varying Combinations of Predictive Densities using Nonlinear Filtering
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (9)
    See also Journal Article in Journal of Econometrics (2013)

2011

  1. 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 Downloads
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) Downloads View citations (2)
  2. Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
  4. Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
    See also Journal Article in Journal of Financial Economics (2012)
  5. Portfolio Symmetry and Momentum
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (5)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) Downloads
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2009) Downloads View citations (4)

    See also Journal Article in European Journal of Operational Research (2011)

2010

  1. A Cross-Sectional Performance Measure for Portfolio Management
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads
  2. A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads
  3. Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis
    Working Papers, University of Brescia, Department of Economics Downloads View citations (3)
  4. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (23)
    See also Chapter (2010)

2009

  1. Crises and Hedge Fund Risk
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (5)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2008) Downloads View citations (1)
  2. 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 Downloads View citations (2)
  3. 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 Downloads

2008

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

2007

  1. A turning point chronology for the Euro-zone
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (18)
  2. Bayesian Inference on Dynamic Models with Latent Factors
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
  3. Business Cycle Analysis with Multivariate Markov Switching Models
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (7)
  4. Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
    See also Journal Article in Journal of Business Cycle Measurement and Analysis (2007)
  5. Dynamic Risk Exposure in Hedge Funds
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (4)
    See also Journal Article in Computational Statistics & Data Analysis (2012)
  6. Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2010)

2006

  1. A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (9)
    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2009)
  2. Granger-causality in Markov Switching Models
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
  3. Phase-Locking and Switching Volatility in Hedge Funds
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
  4. Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints
    Working Papers, University of Brescia, Department of Economics Downloads View citations (13)

1999

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

1998

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

Journal Articles

2014

  1. Business Cycle and Markov Switching Models with Distributed Lags: A Comparison between US and Euro Area
    Rivista italiana degli economisti, 2014, (2), 253-276 Downloads
  2. The univariate MT-STAR model and a new linearity and unit root test procedure
    Computational Statistics & Data Analysis, 2014, 76, (C), 4-19 Downloads View citations (1)

2013

  1. Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area
    Journal of Forecasting, 2013, 32, (7), 577-586 Downloads View citations (1)
  2. Nonlinear dynamics and recurrence plots for detecting financial crisis
    The North American Journal of Economics and Finance, 2013, 26, (C), 416-435 Downloads View citations (3)
    See also Working Paper (2013)
  3. Time-varying combinations of predictive densities using nonlinear filtering
    Journal of Econometrics, 2013, 177, (2), 213-232 Downloads View citations (5)
    See also Working Paper (2012)

2012

  1. Combination schemes for turning point predictions
    The Quarterly Review of Economics and Finance, 2012, 52, (4), 402-412 Downloads View citations (8)
    See also Working Paper (2012)
  2. Dynamic risk exposures in hedge funds
    Computational Statistics & Data Analysis, 2012, 56, (11), 3517-3532 Downloads
    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 Downloads View citations (40)
    See also Working Paper (2011)

2011

  1. Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (4), 1-32 Downloads View citations (8)
  2. Portfolio symmetry and momentum
    European Journal of Operational Research, 2011, 214, (3), 759-767 Downloads View citations (5)
    See also Working Paper (2011)

2010

  1. 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 Downloads View citations (16)
  2. Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion
    Computational Statistics & Data Analysis, 2010, 54, (11), 2443-2458 Downloads View citations (16)
    See also Working Paper (2007)

2009

  1. A generalized Dynamic Conditional Correlation model for portfolio risk evaluation
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2566-2578 Downloads View citations (17)
    See also Working Paper (2006)

2008

  1. A SYSTEM FOR DATING AND DETECTING TURNING POINTS IN THE EURO AREA
    Manchester School, 2008, 76, (5), 549-577 Downloads View citations (17)

2007

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

2006

  1. Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation
    Applied Financial Economics Letters, 2006, 2, (2), 123-130 Downloads View citations (64)

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 (39)
  2. Kernel-Based Indirect Inference
    Journal of Financial Econometrics, 2003, 1, (3), 297-326 View citations (5)
  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 (29)

2000

  1. Combining forecasts: some results on exchange and interest rates
    The European Journal of Finance, 2000, 6, (2), 126-145 Downloads View citations (2)
  2. Value-at-Risk: a multivariate switching regime approach
    Journal of Empirical Finance, 2000, 7, (5), 531-554 Downloads View citations (33)

1999

  1. Bayesian estimation of switching ARMA models
    Journal of Econometrics, 1999, 93, (2), 229-255 Downloads View citations (18)

Chapters

2010

  1. Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
    A chapter in Market Institutions and Financial Market Risk, 2010 View citations (5)
    See also Working Paper (2010)
 
Page updated 2014-10-21