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Billio, Monica


 SSRN Author Rank: 2,240 by Downloads
 Professor of Econometrics
 

Ca Foscari University of Venice - Department of Economics


 Cannaregio 873
 Venice, 30121
 Italy
 HOME PAGE: http://venus.unive.it/billio
 email address

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. Billio, Monica's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
9,815
Total
Citations
143
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors | Show Abstract | Download This Paper |
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 21, MIT Sloan Research Paper No. 4774-10, AFA 2011 Denver Meetings Paper, CAREFIN Research Paper No. 12/2010
Number of Pages in PDF File: 57
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Lo, Andrew W.
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Sherman, Mila Getmansky
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance
Pelizzon, Loriana
Ca Foscari University of Venice - Department of Economics
Posted:
23 Nov 11
Last Revised:
25 Apr 12
3,952
(1,152)
41

2.   Incl. Electronic Paper
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Sherman, Mila Getmansky
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance
Pelizzon, Loriana
Ca Foscari University of Venice - Department of Economics
Posted:
20 May 08
Last Revised:
25 Apr 12
2,777
(2,171)
23

3.  
A Generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation | Show Abstract | Download This Paper |
University Ca' Foscari of Venice Economics Research Paper No. 53/06
Number of Pages in PDF File: 21
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Caporin, Massimiliano
University of Padova - Department of Economics and Management "Marco Fanno"
Posted:
30 Nov 06
389
(45,584)
12

4.  
The European Single Currency and the Volatility of European Stock Markets | Show Abstract | Download This Paper |
EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper; GRETA Associati Venezia Working Paper No. 0102
Number of Pages in PDF File: 39
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Pelizzon, Loriana
Ca Foscari University of Venice - Department of Economics
Posted:
26 Feb 02
298
(62,567)
2

5.  
Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data | Show Abstract | Download This Paper |
Journal of Alternative Investments (forthcoming)
Number of Pages in PDF File: 39
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Sherman, Mila Getmansky
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance
Pelizzon, Loriana
Ca Foscari University of Venice - Department of Economics
Posted:
20 May 08
Last Revised:
25 Apr 12
285
(65,771)
1

6.  
Granger-Causality in Markov Switching Models | Show Abstract | Download This Paper |
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 20/WP/2006
Number of Pages in PDF File: 20
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Di Sanzo, Silvio
Universidad de Alicante
Posted:
28 Nov 06
185
(102,675)
1

7.  
Bayesian Graphical Models for Structural Vector Autoregressive Processes | Show Abstract | Download This Paper |
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 36/WP/2012
Number of Pages in PDF File: 41
Ahelegbey, Daniel Felix
Ca Foscari University of Venice - Department of Economics
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Posted:
11 Jan 13
Last Revised:
30 Sep 14
171
(110,419)
 

8.  
Market Linkages, Variance Spillovers and Correlation Stability: Empirical Evidences of Financial Contagion | Show Abstract | Download This Paper |
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 18-07
Number of Pages in PDF File: 103
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Caporin, Massimiliano
University of Padova - Department of Economics and Management "Marco Fanno"
Posted:
09 Oct 07
169
(111,585)
1

9.  
CDS Industrial Sector Indices, Credit and Liquidity Risk | Show Abstract | Download This Paper |
Ca’ Foscari University of Venice Working Paper No. 09/WP/2012
Number of Pages in PDF File: 26
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Caporin, Massimiliano
University of Padova - Department of Economics and Management "Marco Fanno"
Pelizzon, Loriana
Ca Foscari University of Venice - Department of Economics
Sartore, Domenico
Ca Foscari University of Venice - Department of Economics
Posted:
10 Jul 12
114
(154,456)
1

10.  
Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI | Show Abstract | Download This Paper |
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 19-07
Number of Pages in PDF File: 32
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Caporin, Massimiliano
University of Padova - Department of Economics and Management "Marco Fanno"
Cazzavillan, Guido
Ca Foscari University of Venice - Department of Economics
Posted:
09 Oct 07
105
(164,041)
 

11.  
Time-Varying Combinations of Predictive Densities Using Nonlinear Filtering | Show Abstract | Download This Paper |
Tinbergen Institute Discussion Paper 12-118/III
Number of Pages in PDF File: 54
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Ravazzolo, Francesco
Norges Bank
van Dijk, H. K.
Tinbergen Institute
Posted:
08 Nov 12
103
(166,306)
2

12.  
Bayesian Inference on Dynamic Models with Latent Factors | Show Abstract | Download This Paper |
University Ca' Foscari of Venice, Department of Economics Research Paper No. 34/07
Number of Pages in PDF File: 22
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Sartore, Domenico
Ca Foscari University of Venice - Department of Economics
Posted:
28 Jan 08
103
(166,306)
2

13.  
Portfolio Symmetry and Momentum | Show Abstract | Download This Paper |
University Ca' Foscari of Venice, Dept. of Economics Research Paper No. 05/WP/2009
Number of Pages in PDF File: 23
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Cales, Ludovic
Paris School of Economics - Université Paris-1 Panthéon-La Sorbonne
Guegan, Dominique
Ecole Normale Superieure de Cachan
Posted:
01 Mar 09
Last Revised:
25 Apr 12
99
(170,928)
1

14.  
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Sherman, Mila Getmansky
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance
Lo, Andrew W.
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Pelizzon, Loriana
Ca Foscari University of Venice - Department of Economics
Posted:
26 Jul 10
87
(186,074)
49

15.  
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Ravazzolo, Francesco
Norges Bank
van Dijk, H. K.
Tinbergen Institute
Posted:
24 May 11
86
(187,416)
 

16.  
A Cross-Sectional Performance Measure for Portfolio Management | Show Abstract | Download This Paper |
CES Working Paper No. 2010-70
Number of Pages in PDF File: 32
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Cales, Ludovic
Paris School of Economics - Université Paris-1 Panthéon-La Sorbonne
Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne
Posted:
09 May 12
69
(213,518)
 

17.   Incl. Electronic Paper
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Ravazzolo, Francesco
Norges Bank
van Dijk, H. K.
Tinbergen Institute
Posted:
22 Aug 11
Last Revised:
07 May 13
68
(215,272)
 

18.  
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Ravazzolo, Francesco
Norges Bank
van Dijk, H. K.
Tinbergen Institute
Posted:
09 Jan 11
67
(216,969)
2

19.  
Combining Predictive Densities Using Bayesian Filtering with Applications to US Economic Data | Show Abstract | Download This Paper |
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 16/WP/2012
Number of Pages in PDF File: 40
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Ravazzolo, Francesco
Norges Bank
van Dijk, H. K.
Tinbergen Institute
Posted:
28 Jul 12
Last Revised:
03 Oct 12
59
(231,961)
 

20.  
Portfolio Performance Measure and a New Generalized Utility-Based N-Moment Measure | Show Abstract | Download This Paper |
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 22
Number of Pages in PDF File: 34
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Jannin, Gregory Mathieu
University Paris-1 Panthéon-Sorbonne
Maillet, Bertrand B.
University of Orléans
Pelizzon, Loriana
Ca Foscari University of Venice - Department of Economics
Posted:
11 Nov 13
56
(237,947)
 

21.   Incl. Electronic Paper
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Ravazzolo, Francesco
Norges Bank
van Dijk, H. K.
Tinbergen Institute
Posted:
05 Sep 13
Last Revised:
07 Nov 14
55
(239,954)
 

22.  
Cross-Sectional Analysis Through Rank-Based Dynamic Portfolios | Show Abstract | Download This Paper |
CES Working Paper No. 2012-36
Number of Pages in PDF File: 28
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Cales, Ludovic
Paris School of Economics - Université Paris-1 Panthéon-La Sorbonne
Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne
Posted:
04 Jun 12
50
(250,759)
 

23.  
Backward/Forward Optimal Combination of Performance Measures for Equity Screening | Show Abstract | Download This Paper |
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 13
Number of Pages in PDF File: 31
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Caporin, Massimiliano
University of Padova - Department of Economics and Management "Marco Fanno"
Costola, Michele
Ca' Foscari University of Venice
Posted:
29 Jul 12
48
(255,275)
 

24.  
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Caporin, Massimiliano
University of Padova - Department of Economics and Management "Marco Fanno"
Costola, Michele
Ca' Foscari University of Venice
Posted:
12 Jul 12
47
(257,579)
 

25.  
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Osuntuyi, Ayokunle Anthony
Ca Foscari University of Venice
Posted:
11 Jan 13
45
(262,219)
 

26.  
Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets | Show Abstract | Download This Paper |
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 07/WP/2014
Number of Pages in PDF File: 31
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Osuntuyi, Ayokunle Anthony
Ca Foscari University of Venice
Posted:
10 Jun 14
44
(267,072)
 

27.   Incl. Electronic Paper
Ahelegbey, Daniel Felix
Ca Foscari University of Venice - Department of Economics
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Posted:
23 Dec 14
Last Revised:
27 Mar 15
42
(269,659)
 

28.  
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Ravazzolo, Francesco
Norges Bank
van Dijk, H. K.
Tinbergen Institute
Posted:
05 Dec 11
35
(288,600)
1

29.  
Markov Switching Models for Volatility: Filtering, Approximation and Duality | Show Abstract | Download This Paper |
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 24
Number of Pages in PDF File: 25
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Cavicchioli, Maddalena
Advanced School of Economics in Venice
Posted:
11 Nov 13
32
(297,688)
 

30.  
Growth-Cycle Phases in China's Provinces: A Panel Markov-Switching Approach | Show Abstract | Download This Paper |
University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 19/WP/2014
Number of Pages in PDF File: 47
Agudze, Komla Mawulom
Ca Foscari University of Venice - Department of Economics
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Girardin, Eric
University Aix-Marseille 2 - GREQAM
Posted:
09 Dec 14
18
(352,545)
 

31.  
A System for Dating and Detecting Turning Points in the Euro Area | Show Abstract | Add to Cart |
Manchester School, Vol. 76, Issue 5, pp. 549-577, September 2008
Number of Pages in PDF File: 29
Anas, Jacques
affiliation not provided to SSRN
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Ferrara, Laurent
Banque de France
Mazzi, Gian Luigi
Eurostat
Posted:
18 Aug 08
2
(424,342)
4

32.  
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Cavicchioli, Maddalena
Advanced School of Economics in Venice
Posted:
31 Jul 14
 

33.  
Kernel-Based Indirect Inference | Show Abstract |
Journal of Financial Econometrics, Vol. 1, No. 3, pp. 297-326, 2003
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Monfort, Alain
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Posted:
29 Feb 08
 

34.  
Investment Styles in the European Equity Market | Show Abstract |
ADVANCES IN QUANTITATIVE ASSET MANAGEMENT, C. Dunis, ed., Kluwer Academic Press, 2000
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Mehu, Claire
CDC
Sartore, Domenico
Ca Foscari University of Venice - Department of Economics
Posted:
21 Jan 05
 

35.  
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Sartore, Domenico
Ca Foscari University of Venice - Department of Economics
Posted:
21 Jan 05
 

36.  
Bianchi, Daniele
University of Warwick - Finance Group
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Guidolin, Massimo
Bocconi University - Department of Finance
Posted:
14 Dec 14
155
 


Records 1 - 36 of 36 matches
[ 1 ]
. Billio, Monica's Other Papers Note: the statistics on these "Other Papers" are not used in determining an Author's rank.
Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
126
Total
Citations
6
Authors Date Downloads
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts     Legend
1.  
Billio, Monica
Ca Foscari University of Venice - Department of Economics
Lo Duca, Marco
European Central Bank (ECB)
Pelizzon, Loriana
Ca Foscari University of Venice - Department of Economics
Posted:
05 Mar 05
126
6


Records 1 - 1 of 1 matches
[ 1 ]

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