Details about Monica Billio

Access statistics for papers by Monica Billio.

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

Short-id: pbi55

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
   Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009)
   Working Papers, University of Venice "Ca' Foscari", Department of Economics (2009)

2008

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

2007

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

2006

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

Undated

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

Journal Articles

2008

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

2006

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

2003

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

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

1999

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