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Details about Monica Billio

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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 2022-05-28. Update your information in the RePEc Author Service.

Short-id: pbi55


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Working Papers

2022

  1. Sustainable finance: A journey toward ESG and climate risk
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads

2021

  1. A meta-measure of performance related to both investors and investments characteristics
    Post-Print, HAL
  2. COVID-19 spreading in financial networks: A semiparametric matrix regression model
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
    Also in Papers, arXiv.org (2021) Downloads
  3. Global realignment in financial market dynamics: Evidence from ETF networks
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads
  4. Markov Switching Panel with Endogenous Synchronization Effects
    BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen Downloads
  5. The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
    Also in Papers, arXiv.org (2020) Downloads

2020

  1. A Meta-Measure of Performance related to Charactersitics of both Investors and Investments
    Post-Print, HAL
  2. Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2019) Downloads
  3. Inside the ESG Ratings: (Dis)agreement and performance
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (4)
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2020) Downloads View citations (4)

    See also Journal Article in Corporate Social Responsibility and Environmental Management (2021)
  4. Modeling Turning Points In Global Equity Market
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads
  5. Networks in risk spillovers: A multivariate GARCH perspective
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2018) Downloads View citations (3)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2016) Downloads View citations (7)
  6. 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" Downloads View citations (1)

2019

  1. Credit scoring in SME asset-backed securities: An Italian case study
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads View citations (4)
    See also Journal Article in JRFM (2019)

2018

  1. Bayesian Dynamic Tensor Regression
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (2)
  2. Bayesian Markov Switching Tensor Regression for Time-varying Networks
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (2)
  3. Bayesian nonparametric sparse VAR models
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2019)
  4. Markov Switching Panel with Network Interaction Effects
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads View citations (2)
  5. Modeling Systemic Risk with Markov Switching Graphical SUR Models
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2019)

2017

  1. Dynamical Interaction Between Financial and Business Cycles
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2017) View citations (1)
    Post-Print, HAL (2017) View citations (1)
  2. 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 Downloads
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2017) Downloads
    Post-Print, HAL (2017) Downloads
  3. The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads View citations (6)

2016

  1. Bayesian nonparametric sparse seemingly unrelated regression model (SUR)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
  2. 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 Downloads View citations (3)
    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 (3)
    Post-Print, HAL (2016) Downloads View citations (3)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2016) Downloads View citations (3)
  3. Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  4. Which market integration measure?
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2017)

2015

  1. A Rank-based Approach to Cross-Sectional Analysis
    Post-Print, HAL
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2015)
  2. An entropy-based early warning indicator for systemic risk
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2016)
  3. Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Applied Econometrics (2016)
  4. Measuring Financial Integration: Lessons from the Correlation
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (3)

2014

  1. Growth-cycle phases in China�s provinces: A panel Markov-switching approach
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
  2. Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in Working Paper, Norges Bank (2013) Downloads View citations (8)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2014) Downloads View citations (4)
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2014) Downloads View citations (5)
  3. Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads
    See also Journal Article in Energy Economics (2018)
  4. Nonlinear Dynamics and Wavelets for Business Cycle Analysis
    PSE-Ecole d'économie de Paris (Postprint), HAL View citations (4)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014)
    Post-Print, HAL (2014)

    See also Chapter (2014)
  5. Sparse Graphical Vector Autoregression: A Bayesian Approach
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (17)
    See also Journal Article in Annals of Economics and Statistics (2016)
  6. The univariate MT-STAR model and a new linearity and unit root test procedure
    PSE-Ecole d'économie de Paris (Postprint), HAL View citations (4)
    Also in Post-Print, HAL (2014)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014)

    See also Journal Article in Computational Statistics & Data Analysis (2014)
  7. 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 in OECD Journal: Journal of Business Cycle Measurement and Analysis (2014)

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. Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (6)
    Also in Post-Print, HAL (2013)

    See also Journal Article in Journal of Forecasting (2013)
  3. Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (25)
    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 (28)
    Post-Print, HAL (2013) View citations (3)
    Post-Print, HAL (2013) Downloads View citations (12)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) View citations (23)
    PSE-Ecole d'économie de Paris (Postprint), HAL (2013) View citations (24)

    See also Journal Article in The North American Journal of Economics and Finance (2013)
  4. Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (4)
  5. 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 View citations (1)
  6. 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 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)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) Downloads View citations (1)
    Post-Print, HAL (2013) Downloads
  7. 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 Downloads View citations (13)
    Also in Post-Print, HAL (2013) Downloads View citations (1)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) Downloads View citations (1)
  8. �Markov Switching Models for Volatility: Filtering, Approximation and Duality�
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads

2012

  1. Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (2)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2012) View citations (6)
    Post-Print, HAL (2012) Downloads View citations (2)
  2. Backward/forward optimal combination of performance measures for equity screening
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (5)
    See also Journal Article in The North American Journal of Economics and Finance (2015)
  3. Bayesian Graphical Models for Structural Vector Autoregressive Processes
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (25)
    See also Journal Article in Journal of Applied Econometrics (2016)
  4. CDS Industrial Sector Indices, credit and liquidity risk
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
  5. Combination schemes for turning point predictions
    Working Paper, Norges Bank Downloads View citations (32)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2012) Downloads View citations (33)

    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 (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads View citations (5)
    Working Paper, Norges Bank (2010) Downloads View citations (4)
  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
    Post-Print, HAL Downloads
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012) Downloads
  9. Efficient Gibbs Sampling for Markov Switching GARCH Models
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (11)
    See also Journal Article in Computational Statistics & Data Analysis (2016)
  10. Time-varying Combinations of Predictive Densities using Nonlinear Filtering
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (10)
    See also Journal Article in Journal of Econometrics (2013)

2011

  1. A Cross-Sectional Score for the Relative Performance of an Allocation
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (8)
    Also in PSE-Ecole d'économie de Paris (Postprint), HAL (2011) View citations (8)
    Post-Print, HAL (2011) View citations (8)
  2. 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 Post-Print, HAL (2011) Downloads View citations (2)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) Downloads View citations (2)
  3. Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  4. Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (6)
  5. 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 (11)
    See also Journal Article in Journal of Financial Economics (2012)
    Chapter (2010)
  6. Portfolio Symmetry and Momentum
    PSE-Ecole d'économie de Paris (Postprint), HAL Downloads View citations (6)
    Also in 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)
    Post-Print, HAL (2011) Downloads View citations (6)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) Downloads View citations (7)
    Post-Print, HAL (2009) Downloads
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009) Downloads

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

2010

  1. 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 Downloads
    Also in Post-Print, HAL (2010) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) Downloads
  2. A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios
    Post-Print, HAL Downloads
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) Downloads
    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 (78)

2009

  1. Crises and Hedge Fund Risk
    Yale School of Management Working Papers, Yale School of Management Downloads
    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)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) Downloads
  3. Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area
    Post-Print, 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 (31)
  2. Bayesian Inference on Dynamic Models with Latent Factors
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (5)
  3. Business Cycle Analysis with Multivariate Markov Switching Models
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (13)
  4. Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
    See also Journal Article in Journal of Business Cycle Measurement and Analysis (2008)
  5. Dynamic Risk Exposure in Hedge Funds
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (6)
    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 (14)
    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 (5)
    See also Journal Article in Journal of Applied Statistics (2015)
  3. Phase-Locking and Switching Volatility in Hedge Funds
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (2)
  4. Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints
    Working Papers, University of Brescia, Department of Economics Downloads View citations (13)
    See also Journal Article in Applied Stochastic Models in Business and Industry (2007)

1999

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

1998

  1. The Simulated Likelihood Ratio (SLR) Method
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (5)

Journal Articles

2021

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

2020

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

2019

  1. Bayesian nonparametric sparse VAR models
    Journal of Econometrics, 2019, 212, (1), 97-115 Downloads View citations (13)
    See also Working Paper (2018)
  2. Credit Scoring in SME Asset-Backed Securities: An Italian Case Study
    JRFM, 2019, 12, (2), 1-28 Downloads View citations (4)
    See also Working Paper (2019)
  3. Modeling systemic risk with Markov Switching Graphical SUR models
    Journal of Econometrics, 2019, 210, (1), 58-74 Downloads View citations (18)
    See also Working Paper (2018)
  4. Opinion Dynamics and Disagreements on Financial Networks
    Advances in Decision Sciences, 2019, 23, (4), 24-51 Downloads

2018

  1. Markov switching GARCH models for Bayesian hedging on energy futures markets
    Energy Economics, 2018, 70, (C), 545-562 Downloads View citations (15)
    See also Working Paper (2014)

2017

  1. Which market integration measure?
    Journal of Banking & Finance, 2017, 76, (C), 150-174 Downloads View citations (20)
    See also Working Paper (2016)

2016

  1. An entropy-based early warning indicator for systemic risk
    Journal of International Financial Markets, Institutions and Money, 2016, 45, (C), 42-59 Downloads View citations (17)
    See also Working Paper (2015)
  2. Bayesian Graphical Models for STructural Vector Autoregressive Processes
    Journal of Applied Econometrics, 2016, 31, (2), 357-386 Downloads View citations (63)
    See also Working Paper (2012)
  3. Efficient Gibbs sampling for Markov switching GARCH models
    Computational Statistics & Data Analysis, 2016, 100, (C), 37-57 Downloads View citations (4)
    See also Working Paper (2012)
  4. 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 Downloads View citations (24)
    See also Working Paper (2015)
  5. Sparse Graphical Vector Autoregression: A Bayesian Approach
    Annals of Economics and Statistics, 2016, (123-124), 333-361 Downloads View citations (5)
    See also Working Paper (2014)

2015

  1. Backward/forward optimal combination of performance measures for equity screening
    The North American Journal of Economics and Finance, 2015, 34, (C), 63-83 Downloads View citations (4)
    See also Working Paper (2012)
  2. Granger-causality in Markov switching models
    Journal of Applied Statistics, 2015, 42, (5), 956-966 Downloads View citations (7)
    See also Working Paper (2006)

2014

  1. A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation
    Bankers, Markets & Investors, 2014, (129), 40-58 Downloads
  2. 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
  3. Interconnectedness and systemic risk: hedge funds, banks, insurance companies
    BANCARIA, 2014, 6, 81-91 Downloads
  4. 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 (4)
    See also Working Paper (2014)
  5. 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 Downloads View citations (4)
    See also Working Paper (2014)

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 (4)
    See also Working Paper (2013)
  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 (25)
    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 (90)
    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 (33)
    See also Working Paper (2012)
  2. Dynamic risk exposures in hedge funds
    Computational Statistics & Data Analysis, 2012, 56, (11), 3517-3532 Downloads View citations (29)
    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 (846)
    See also Working Paper (2011)
    Chapter (2010)

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 (17)
  2. Portfolio symmetry and momentum
    European Journal of Operational Research, 2011, 214, (3), 759-767 Downloads View citations (7)
    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 (20)
  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 (56)
    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 (32)
    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 (52)
  2. Dating EU15 monthly business cycle jointly using GDP and IPI
    Journal of Business Cycle Measurement and Analysis, 2008, 2007, (3), 333-366 Downloads
    See also Working Paper (2007)

2007

  1. Stochastic optimization for allocation problems with shortfall risk constraints
    Applied Stochastic Models in Business and Industry, 2007, 23, (3), 247-271 Downloads View citations (1)
    See also Working Paper (2006)

2006

  1. Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation
    Applied Financial Economics Letters, 2006, 2, (2), 123-130 Downloads View citations (101)

2005

  1. Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
    Statistical Methods & Applications, 2005, 14, (2), 145-161 Downloads View citations (56)

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 (64)
  2. Kernel-Based Indirect Inference
    Journal of Financial Econometrics, 2003, 1, (3), 297-326 View citations (10)
  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 (54)

2000

  1. Combining forecasts: some results on exchange and interest rates
    The European Journal of Finance, 2000, 6, (2), 126-145 Downloads View citations (4)
  2. Value-at-Risk: a multivariate switching regime approach
    Journal of Empirical Finance, 2000, 7, (5), 531-554 Downloads View citations (69)

1999

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

Chapters

2014

  1. Nonlinear Dynamics and Wavelets for Business Cycle Analysis
    Springer View citations (4)
    See also Working Paper (2014)

2010

  1. 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 (49)
    See also Journal Article in Journal of Financial Economics (2012)
    Working Paper (2011)
 
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