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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 2024-04-05. Update your information in the RePEc Author Service.

Short-id: pbi55


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Working Papers

2024

  1. Unpacking the ESG ratings: Does one size fit all?
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads

2023

  1. Learning from experts: Energy efficiency in residential buildings
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads

2022

  1. Creditworthiness and buildings' energy efficiency in the Italian mortgage market
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads View citations (1)
  2. High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Post-Print, HAL (2022) Downloads
  3. 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
    Also in Post-Print, HAL (2021) Downloads

    See also Journal Article A meta-measure of performance related to both investors and investments characteristics, Annals of Operations Research, Springer (2022) Downloads (2022)
  2. COVID-19 spreading in financial networks: A semiparametric matrix regression model
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (3)
    Also in Papers, arXiv.org (2021) Downloads View citations (4)

    See also Journal Article COVID-19 spreading in financial networks: A semiparametric matrix regression model, Econometrics and Statistics, Elsevier (2024) Downloads (2024)
  3. Global realignment in financial market dynamics: Evidence from ETF networks
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE Downloads View citations (1)
  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 View citations (3)
    See also Journal Article Markov switching panel with endogenous synchronization effects, Journal of Econometrics, Elsevier (2022) Downloads (2022)
  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 View citations (2)
    Also in Papers, arXiv.org (2020) Downloads View citations (2)

2020

  1. 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

    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) Downloads View citations (1) (2022)
  2. Inside the ESG Ratings: (Dis)agreement and performance
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (7)
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2020) Downloads View citations (7)

    See also Journal Article Inside the ESG ratings: (Dis)agreement and performance, Corporate Social Responsibility and Environmental Management, John Wiley & Sons (2021) Downloads View citations (29) (2021)
  3. Modeling Turning Points In Global Equity Market
    DEM Working Papers Series, University of Pavia, Department of Economics and Management Downloads
  4. 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 (4)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2016) Downloads View citations (7)

    See also Journal Article Networks in risk spillovers: A multivariate GARCH perspective, Econometrics and Statistics, Elsevier (2023) Downloads (2023)
  5. 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 (4)

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 (6)
    See also Journal Article Credit Scoring in SME Asset-Backed Securities: An Italian Case Study, JRFM, MDPI (2019) Downloads View citations (6) (2019)

2018

  1. Bayesian Dynamic Tensor Regression
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (2)
    See also Journal Article Bayesian Dynamic Tensor Regression, Journal of Business & Economic Statistics, Taylor & Francis Journals (2023) Downloads (2023)
  2. Bayesian Markov Switching Tensor Regression for Time-varying Networks
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (2)
    See also Journal Article Bayesian Markov-Switching Tensor Regression for Time-Varying Networks, Journal of the American Statistical Association, Taylor & Francis Journals (2024) Downloads (2024)
  3. Bayesian nonparametric sparse VAR models
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article Bayesian nonparametric sparse VAR models, Journal of Econometrics, Elsevier (2019) Downloads View citations (23) (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 Modeling systemic risk with Markov Switching Graphical SUR models, Journal of Econometrics, Elsevier (2019) Downloads View citations (26) (2019)

2017

  1. Dynamical Interaction Between Financial and Business Cycles
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (2)
    Also in Post-Print, HAL (2017) View citations (1)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2017) View citations (1)
  2. Multivariate Reflection Symmetry of Copula Functions
    Post-Print, 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 (2017) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), 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 (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) Downloads View citations (2) (2023)

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
    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 (2016) View citations (5)
    Post-Print, HAL (2016) Downloads View citations (5)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2016) Downloads View citations (5)
  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 Which market integration measure?, Journal of Banking & Finance, Elsevier (2017) Downloads View citations (37) (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 An entropy-based early warning indicator for systemic risk, Journal of International Financial Markets, Institutions and Money, Elsevier (2016) Downloads View citations (22) (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 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) Downloads View citations (33) (2016)
  4. Measuring Financial Integration: Lessons from the Correlation
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (4)

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 (9)
    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 View citations (3)
    See also Journal Article Markov switching GARCH models for Bayesian hedging on energy futures markets, Energy Economics, Elsevier (2018) Downloads View citations (23) (2018)
  4. Nonlinear Dynamics and Wavelets for Business Cycle Analysis
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in PSE-Ecole d'économie de Paris (Postprint), HAL (2014) View citations (4)
    Post-Print, 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 (4) (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 Sparse Graphical Vector Autoregression: A Bayesian Approach, Annals of Economics and Statistics, GENES (2016) Downloads View citations (5) (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 Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014)
    Post-Print, 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) Downloads View citations (4) (2014)
  7. Turning point chronology for the euro area: A distance plot approach
    Post-Print, HAL
    Also in PSE-Ecole d'économie de Paris (Postprint), 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) Downloads View citations (4) (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
    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) Downloads View citations (4) (2013)
  3. 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 Downloads View citations (33)
    Also in PSE-Ecole d'économie de Paris (Postprint), HAL (2013) View citations (26)
    Post-Print, HAL (2013) Downloads View citations (15)
    Post-Print, HAL (2013) View citations (11)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) Downloads View citations (28)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) View citations (28)

    See also Journal Article Nonlinear dynamics and recurrence plots for detecting financial crisis, The North American Journal of Economics and Finance, Elsevier (2013) Downloads View citations (30) (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 (5)
  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
    Post-Print, 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 (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)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) Downloads View citations (1)
  7. Understanding Exchange Rates Dynamics
    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 (13)
    Post-Print, 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
    Post-Print, 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)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), 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 Backward/forward optimal combination of performance measures for equity screening, The North American Journal of Economics and Finance, Elsevier (2015) Downloads View citations (6) (2015)
  3. Bayesian Graphical Models for Structural Vector Autoregressive Processes
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (24)
    See also Journal Article Bayesian Graphical Models for STructural Vector Autoregressive Processes, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) Downloads View citations (88) (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 Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (34)
    Also in Working Paper, Norges Bank (2012) Downloads View citations (34)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads

    See also Journal Article Combination schemes for turning point predictions, The Quarterly Review of Economics and Finance, Elsevier (2012) Downloads View citations (34) (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 (6)
    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
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Post-Print, 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 Efficient Gibbs sampling for Markov switching GARCH models, Computational Statistics & Data Analysis, Elsevier (2016) Downloads View citations (6) (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 Time-varying combinations of predictive densities using nonlinear filtering, Journal of Econometrics, Elsevier (2013) Downloads View citations (104) (2013)

2011

  1. A Cross-Sectional Score for the Relative Performance of an Allocation
    PSE-Ecole d'économie de Paris (Postprint), HAL View citations (9)
    Also in Post-Print, HAL (2011) View citations (9)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) View citations (9)
  2. A test for a new modelling: The Univariate MT-STAR Model
    Post-Print, HAL Downloads View citations (2)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) Downloads View citations (2)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2011) 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 (16)
    See also Journal Article Econometric measures of connectedness and systemic risk in the finance and insurance sectors, Journal of Financial Economics, Elsevier (2012) Downloads View citations (1100) (2012)
    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 (52) (2010)
  6. Portfolio Symmetry and Momentum
    PSE-Ecole d'économie de Paris (Postprint), HAL Downloads View citations (6)
    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
    Post-Print, HAL (2009) Downloads
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2009) Downloads View citations (4)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) Downloads View citations (7)
    Post-Print, HAL (2011) Downloads View citations (6)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) Downloads

    See also Journal Article Portfolio symmetry and momentum, European Journal of Operational Research, Elsevier (2011) Downloads View citations (7) (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
    Post-Print, HAL (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
    Post-Print, HAL (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 (81)

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 (33)
  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 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) Downloads (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 Dynamic risk exposures in hedge funds, Computational Statistics & Data Analysis, Elsevier (2012) Downloads View citations (31) (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 Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion, Computational Statistics & Data Analysis, Elsevier (2010) Downloads View citations (64) (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 A generalized Dynamic Conditional Correlation model for portfolio risk evaluation, Mathematics and Computers in Simulation (MATCOM), Elsevier (2009) Downloads View citations (35) (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 Granger-causality in Markov switching models, Journal of Applied Statistics, Taylor & Francis Journals (2015) Downloads View citations (7) (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 Stochastic optimization for allocation problems with shortfall risk constraints, Applied Stochastic Models in Business and Industry, John Wiley & Sons (2007) Downloads View citations (3) (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 (6)

Journal Articles

2024

  1. Bayesian Markov-Switching Tensor Regression for Time-Varying Networks
    Journal of the American Statistical Association, 2024, 119, (545), 109-121 Downloads
    See also Working Paper Bayesian Markov Switching Tensor Regression for Time-varying Networks, Working Papers (2018) Downloads View citations (2) (2018)
  2. COVID-19 spreading in financial networks: A semiparametric matrix regression model
    Econometrics and Statistics, 2024, 29, (C), 113-131 Downloads
    See also Working Paper COVID-19 spreading in financial networks: A semiparametric matrix regression model, Working Papers (2021) Downloads View citations (3) (2021)
  3. Correction to: A meta-measure of performance related to both investors and investments characteristics
    Annals of Operations Research, 2024, 332, (1), 1271-1271 Downloads

2023

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

2022

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

2021

  1. Inside the ESG ratings: (Dis)agreement and performance
    Corporate Social Responsibility and Environmental Management, 2021, 28, (5), 1426-1445 Downloads View citations (29)
    See also Working Paper Inside the ESG Ratings: (Dis)agreement and performance, Working Papers (2020) Downloads View citations (7) (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 (23)
    See also Working Paper Bayesian nonparametric sparse VAR models, Papers (2018) Downloads View citations (1) (2018)
  2. Credit Scoring in SME Asset-Backed Securities: An Italian Case Study
    JRFM, 2019, 12, (2), 1-28 Downloads View citations (6)
    See also Working Paper Credit scoring in SME asset-backed securities: An Italian case study, SAFE Working Paper Series (2019) Downloads View citations (6) (2019)
  3. Modeling systemic risk with Markov Switching Graphical SUR models
    Journal of Econometrics, 2019, 210, (1), 58-74 Downloads View citations (26)
    See also Working Paper Modeling Systemic Risk with Markov Switching Graphical SUR Models, Working Papers (2018) Downloads View citations (4) (2018)
  4. Opinion Dynamics and Disagreements on Financial Networks
    Advances in Decision Sciences, 2019, 23, (4), 24-51 Downloads View citations (1)

2018

  1. Markov switching GARCH models for Bayesian hedging on energy futures markets
    Energy Economics, 2018, 70, (C), 545-562 Downloads View citations (23)
    See also Working Paper Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets, Working Papers (2014) Downloads View citations (3) (2014)

2017

  1. Which market integration measure?
    Journal of Banking & Finance, 2017, 76, (C), 150-174 Downloads View citations (37)
    See also Working Paper Which market integration measure?, SAFE Working Paper Series (2016) Downloads View citations (1) (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 (22)
    See also Working Paper An entropy-based early warning indicator for systemic risk, Working Papers (2015) Downloads (2015)
  2. Bayesian Graphical Models for STructural Vector Autoregressive Processes
    Journal of Applied Econometrics, 2016, 31, (2), 357-386 Downloads View citations (88)
    See also Working Paper Bayesian Graphical Models for Structural Vector Autoregressive Processes, Working Papers (2012) Downloads View citations (24) (2012)
  3. Efficient Gibbs sampling for Markov switching GARCH models
    Computational Statistics & Data Analysis, 2016, 100, (C), 37-57 Downloads View citations (6)
    See also Working Paper Efficient Gibbs Sampling for Markov Switching GARCH Models, Working Papers (2012) Downloads View citations (11) (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 (33)
    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) Downloads (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 Sparse Graphical Vector Autoregression: A Bayesian Approach, Working Papers (2014) Downloads View citations (17) (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 (6)
    See also Working Paper Backward/forward optimal combination of performance measures for equity screening, Working Papers (2012) Downloads View citations (5) (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 Granger-causality in Markov Switching Models, Working Papers (2006) Downloads View citations (5) (2006)

2014

  1. A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation
    Bankers, Markets & Investors, 2014, (129), 40-58 Downloads View citations (1)
  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 View citations (1)
  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 The univariate MT-STAR model and a new linearity and unit root test procedure, PSE-Ecole d'économie de Paris (Postprint) (2014) View citations (4) (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 Turning point chronology for the euro area: A distance plot approach, Post-Print (2014) (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 Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area, Post-Print (2013) View citations (5) (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 (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) Downloads View citations (33) (2013)
  3. Time-varying combinations of predictive densities using nonlinear filtering
    Journal of Econometrics, 2013, 177, (2), 213-232 Downloads View citations (104)
    See also Working Paper Time-varying Combinations of Predictive Densities using Nonlinear Filtering, Tinbergen Institute Discussion Papers (2012) Downloads View citations (10) (2012)

2012

  1. Combination schemes for turning point predictions
    The Quarterly Review of Economics and Finance, 2012, 52, (4), 402-412 Downloads View citations (34)
    See also Working Paper Combination schemes for turning point predictions, Working Papers (2012) Downloads View citations (34) (2012)
  2. Dynamic risk exposures in hedge funds
    Computational Statistics & Data Analysis, 2012, 56, (11), 3517-3532 Downloads View citations (31)
    See also Working Paper Dynamic Risk Exposure in Hedge Funds, Working Papers (2007) Downloads View citations (6) (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 (1100)
    See also Working Paper Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, Working Papers (2011) Downloads View citations (16) (2011)
    Chapter Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, NBER Chapters, 2010 (2010) View citations (52) (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 (18)
  2. Portfolio symmetry and momentum
    European Journal of Operational Research, 2011, 214, (3), 759-767 Downloads View citations (7)
    See also Working Paper Portfolio Symmetry and Momentum, PSE-Ecole d'économie de Paris (Postprint) (2011) Downloads View citations (6) (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 (64)
    See also Working Paper Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion, Working Papers (2007) Downloads View citations (1) (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 (35)
    See also Working Paper A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation, Working Papers (2006) Downloads View citations (14) (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 (53)
  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 Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI, Working Papers (2007) Downloads View citations (1) (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 (3)
    See also Working Paper Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints, Working Papers (2006) Downloads View citations (13) (2006)

2005

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

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 (71)
  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 (59)

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 (70)

1999

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

2014

  1. Nonlinear Dynamics and Wavelets for Business Cycle Analysis
    Springer View citations (4)
    See also Working Paper Nonlinear Dynamics and Wavelets for Business Cycle Analysis, HAL (2014) (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 (52)
    See also Journal Article Econometric measures of connectedness and systemic risk in the finance and insurance sectors, Elsevier (2012) Downloads View citations (1100) (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) Downloads View citations (16) (2011)
 
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