.
Billio, Monica's
Scholarly Papers
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column.
Aggregate Statistics
Total 8,048
Total Citations 105
1.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Lo, Andrew W. Massachusetts Institute of Technology (MIT) - Sloan School of Management
Getmansky, Mila University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance & Operations Management
Pelizzon, Loriana Ca Foscari University of Venice - Department of Economics
Posted:
23 Nov 11
Last Revised:
25 Apr 12
3,243(1,182)
23
Systemic Risk, Financial Institutions, Liquidity, Financial Crises
2.
Crises and Hedge Fund Risk
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Billio, Monica Ca Foscari University of Venice - Department of Economics
Getmansky, Mila University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance & Operations Management
Pelizzon, Loriana Ca Foscari University of Venice - Department of Economics
Posted:
20 May 08
Last Revised:
25 Apr 12
2,593(1,786)
22
Billio, Monica Ca Foscari University of Venice - Department of Economics
Getmansky, Mila University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance & Operations Management
Pelizzon, Loriana Ca Foscari University of Venice - Department of Economics
Posted:
20 May 08
Last Revised:
25 Apr 12
2,593
22
Hedge Fund, Risk Management, Financial Crisis
3.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
350(40,057)
13
Dynamic correlations, Block-structures, Flexible correlation models
4.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Pelizzon, Loriana Ca Foscari University of Venice - Department of Economics
294(49,241)
2
Stock market volatility, Euro, Switching Regime Models.
5.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Getmansky, Mila University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance & Operations Management
Pelizzon, Loriana Ca Foscari University of Venice - Department of Economics
Posted:
20 May 08
Last Revised:
25 Apr 12
267(54,933)
1
Hedge Funds, Risk Management, High frequency data
6.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
163(90,705)
1
Financial market contagion, Market linkages, Variance spillovers, Dynamic correlations, Rolling correlations, Transformed correlations
7.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Di Sanzo, Silvio University of Alicante
150(97,773)
1
Granger Causality, Markov Chains, Switching Models
8.
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
103(132,239)
Business cycle, Chronology, Historical reconstruction, Monthly GDP
9.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Sartore, Domenico Ca Foscari University of Venice - Department of Economics
96(138,767)
2
Bayesian Dynamic Models, Simulation Based Inference, Particle Filters, Latent Factors, Business Cycle
10.
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
92(142,813)
credit risk, common factors, liquidity risk
11.
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
84(151,441)
1
Graph Theory, Momentum, Dynamic Portfolio, Quantum Probability, Spectral Analysis
12.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
66(174,544)
Density forecast combination, stock data
13.
Ahelegbey, Daniel Felix Ca Foscari University of Venice - Department of Economics
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
62(181,960)
Bayesian Graphical Models, Markov Chain Monte Carlo, Structural Vector Autoregression, Directed Acyclic Graph, Bayesian Inference, Dynamic Bayesian Network
14.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
61(181,960)
2
Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo
15.
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
59(185,059)
Performance Measure, Portfolio Management, Relative-Value Strategy, Large Portfolios, Absolute Return Strategy, Multivariate Statistics, Generalized Hyperbolic Distribution
16.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
57(188,267)
Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo
17.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Getmansky, Mila University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance & Operations Management
Lo, Andrew W. Massachusetts Institute of Technology (MIT) - Sloan School of Management
Pelizzon, Loriana Ca Foscari University of Venice - Department of Economics
53(194,887)
32
18.
Combination Schemes for Turning Point Predictions
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Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
Posted:
22 Aug 11
Last Revised:
07 May 13
50(200,121)
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
4
Turning Points, Markov-switching, Forecast Combination, Bayesian Model Averaging
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
15
C11, C15, C53, E37
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
31
turning points, Markov-switching, forecast combination, Bayesian model averaging
19.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
Posted:
28 Jul 12
Last Revised:
03 Oct 12
42(215,429)
Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo
20.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Costola, Michele University of Padova - Department of Economics and Management "Marco Fanno"
39(221,542)
performance measures, combining performance measures, portfolio allocation, equity screening, differential evolution
21.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Caporin, Massimiliano University of Padova - Department of Economics and Management "Marco Fanno"
Costola, Michele University of Padova - Department of Economics and Management "Marco Fanno"
37(225,881)
performance measures, combining performance measures, portfolio
22.
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
33(235,167)
finance, continuous time random walk, cross-section analysis, rank-based models, momentum
23.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Osuntuyi, Ayokunle Anthony Ca Foscari University of Venice
27(251,488)
Bayesian inference, GARCH, Markov switching, Multiple-Try Metropolis
24.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
25(257,721)
1
density forecast combination, survey forecast, nonlinear filtering, sequential Monte Carlo
25.
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 European Union - European Commission
2(335,378)
4
26.
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)
binding functions, dynamic latent variable models, factor GARCH models, indirect inference, nonparametric kernel estimation
27.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Mehu, Claire CDC
Sartore, Domenico Ca Foscari University of Venice - Department of Economics
Investment style, style analysis, European equity market
28.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Sartore, Domenico Ca Foscari University of Venice - Department of Economics
Bayesian dynamic models, simulation based inference, particle filters, latent factors, business cycle
