Monica Billio

Ca Foscari University of Venice - Dipartimento di Economia

Professor of Econometrics

Cannaregio 873

Venice, 30121

Italy

http://www.unive.it/persone/billio

University of Venice - Department of Economics

Professor

Fondamenta San Giobbe 873

Venezia 30121

Italy

  • Ca Foscari University of Venice - Dipartimento di Economia

  • University of Venice - Department of Economics

    • Email
    • Tel: +39 041 234 9170
    • Fax: +39 041 234 9176
SCHOLARLY PAPERS

62

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293

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119

Scholarly Papers (62)

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1.

Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

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: 57 Posted: 23 Nov 2011 Last Revised: 28 Feb 2021
Monica Billio, Monica Billio, Andrew W. Lo, Mila Getmansky Sherman and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 5,513 (2,095)
Citation 155

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Systemic Risk, Financial Institutions, Liquidity, Financial Crises

2.

Crises and Hedge Fund Risk

Downloads 3,363 ( 4,971)
Citation 18

Crises and Hedge Fund Risk

UMASS-Amherst Working Paper, Yale ICF Working Paper No. 07-14, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10-08
Number of pages: 61 Posted: 20 May 2008 Last Revised: 25 Apr 2012
Monica Billio, Monica Billio, Mila Getmansky Sherman and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 3,363 (4,874)
Citation 23

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Hedge Fund, Risk Management, Financial Crisis

3.

A New World Post COVID-19: Lessons for Business, the Finance Industry and Policy Makers

Venezia Edizioni Ca’ Foscari - Digital Publishing, 2020
Number of pages: 375 Posted: 05 Aug 2020
Monica Billio, Monica Billio and Simone Varotto
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and ICMA Centre - Henley Business School, University of Reading
Downloads 2,978 (6,106)

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Unemployment, Travel, Debt, Real Estate, Fiscal Policy, COVID-19, Bank Default, Pandemic, Sports Economics, Mergers, Equity Market, Pension Contributions, Gender, Future of Work, Soccer, Tourism, Green Deal, Measurement, Oil Markets, Labour Market

4.

Inside the ESG Ratings: (Dis)Agreement and Performance

Downloads 2,107 ( 10,584)
Citation 6

Inside the ESG Ratings: (Dis)Agreement and Performance

SAFE Working Paper No. 284
Number of pages: 42 Posted: 31 Jul 2020 Last Revised: 08 Sep 2020
Monica Billio, Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice, Université Paris Dauphine, Leibniz Institute for Financial Research SAFE and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 1,611 (15,911)
Citation 1

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Corporate Social Responsibility, ESG Rating Agencies, Sustainable Investments

Inside the ESG Ratings: (Dis)agreement and Performance

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 17/WP/2020
Number of pages: 42 Posted: 12 Jan 2021
Monica Billio, Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice, Ca' Foscari University of Venice, Leibniz Institute for Financial Research SAFE and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 496 (81,554)

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Corporate Social Responsibility, ESG Rating Agencies, Sustainable Investments

5.

Modeling Systemic Risk with Markov Switching Graphical SUR Models

WBS Finance Group Research Paper No. 227
Number of pages: 49 Posted: 14 Dec 2014 Last Revised: 26 Dec 2019
Daniele Bianchi, Monica Billio, Monica Billio, Roberto Casarin and Massimo Guidolin
School of Economics and Finance, Queen Mary University of London, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and University of Liverpool Management School
Downloads 914 (37,204)
Citation 19

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Markov Regime-Switching, Weighted Eigenvector Centrality, Graphical Models, MCMC, Systemic Risk, Network Connectivity

6.

A Generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation

University Ca' Foscari of Venice Economics Research Paper No. 53/06
Number of pages: 21 Posted: 30 Nov 2006
Monica Billio, Monica Billio and Massimiliano Caporin
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University of Padua - Department of Statistical Sciences
Downloads 489 (83,729)
Citation 11

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Dynamic correlations, Block-structures, Flexible correlation models

7.

Global Realignment in Financial Market Dynamics

SAFE Working Paper No. 304
Number of pages: 61 Posted: 04 Feb 2021 Last Revised: 27 Sep 2022
Monica Billio, Monica Billio, Andrew W. Lo, Loriana Pelizzon, Mila Getmansky Sherman and Abalfazl Zareei
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Stockholm University
Downloads 421 (99,834)
Citation 1

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Network theory; Centrality; High Frequency Data; ETFs; Financial Crises; Covid-19; International Finance

8.

The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification

SAFE Working Paper No. 166
Number of pages: 63 Posted: 13 Feb 2017
Monica Billio, Monica Billio, Massimiliano Caporin, Roberto Panzica and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Joint Research Center of the European Commission and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 398 (106,563)
Citation 11

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CAPM, volatility, network, interconnections, systematic risk

9.

Sustainable Finance: A Journey Toward ESG and Climate Risk

SAFE Working Paper No. 349
Number of pages: 61 Posted: 27 Apr 2022
Monica Billio, Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice, Ca' Foscari University of Venice, Leibniz Institute for Financial Research SAFE and Leibniz Institute for Financial Research SAFE
Downloads 391 (108,773)

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Environmental, social, and governance factors (ESG); credit risk; debt cost; equity cost; sovereign bonds; portfolio management

10.

Bayesian Graphical Models for Structural Vector Autoregressive Processes

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 36/WP/2012
Number of pages: 41 Posted: 11 Jan 2013 Last Revised: 30 Sep 2014
Daniel Felix Ahelegbey, Monica Billio, Monica Billio and Roberto Casarin
University of Pavia, Department of Economics and Management, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 351 (122,687)
Citation 18

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Bayesian Graphical Models, Granger Causality, Markov Chain Monte Carlo, Structural VAR, Vector Autoregression

11.

The European Single Currency and the Volatility of European Stock Markets

EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper; GRETA Associati Venezia Working Paper No. 0102
Number of pages: 39 Posted: 26 Feb 2002
Monica Billio, Monica Billio and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 341 (126,660)
Citation 2

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Stock market volatility, Euro, Switching Regime Models.

12.

Networks in Risk Spillovers: A Multivariate GARCH Perspective

Downloads 330 (131,137)
Citation 3

Networks in Risk Spillovers: A Multivariate GARCH Perspective

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. No. 03/WP/ 2016
Number of pages: 52 Posted: 04 Mar 2016
Monica Billio, Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, European Commission-Joint Research Centre and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 177 (239,327)
Citation 4

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spatial GARCH, network, risk spillover, financial spillover

Networks in Risk Spillovers: A Multivariate GARCH Perspective

SAFE Working Paper No. 225
Number of pages: 86 Posted: 27 Aug 2018 Last Revised: 28 Aug 2018
Monica Billio, Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, European Commission-Joint Research Centre and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 153 (270,650)
Citation 4

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spatial GARCH; network; risk spillover; financial spillover

13.

Hedge Fund Tail Risk: An Investigation in Stressed Markets, Extended Version with Appendix

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 01/WP/2016
Number of pages: 39 Posted: 22 Jan 2016 Last Revised: 14 Nov 2016
Monica Billio, Monica Billio, Lorenzo Frattarolo and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, European Commission-Joint Research Centre and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 284 (153,364)
Citation 1

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Hedge funds, Tail risk, Diversification, Marginal risk contribution

14.

Granger-Causality in Markov Switching Models

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 20/WP/2006
Number of pages: 20 Posted: 28 Nov 2006
Monica Billio, Monica Billio and Silvio Di Sanzo
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and Universidad de Alicante
Downloads 275 (158,409)
Citation 4

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Granger Causality, Markov Chains, Switching Models

15.

An Entropy-Based Early Warning Indicator for Systemic Risk

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 09/WP/2015
Number of pages: 35 Posted: 11 May 2015
Monica Billio, Monica Billio, Roberto Casarin, Michele Costola and Andrea Pasqualini
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Ca' Foscari University of Venice and Independent
Downloads 232 (187,180)

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Entropy, systemic risk measures, early warning indicators, aggregation

16.

Which Market Integration Measure?

SAFE Working Paper No. 159, Forthcoming, Journal of Banking and Finance
Number of pages: 62 Posted: 13 Dec 2016
Monica Billio, Monica Billio, Michael Donadelli, Antonio Paradiso and Max Riedel
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Brescia, Ca Foscari University of Venice - Dipartimento di Economia and Leibniz Institute for Financial Research SAFE
Downloads 211 (204,678)

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Equity market integration, dynamic correlation, principal components, international diversification benefits

17.

Measuring Financial Integration: Lessons from the Correlation

University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 23/WP/2015
Number of pages: 41 Posted: 13 Jul 2015
Monica Billio, Monica Billio, Antonio Paradiso, Michael Donadelli and Max Riedel
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia, University of Brescia and Leibniz Institute for Financial Research SAFE
Downloads 204 (211,168)

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Equity market integration, dynamic correlation, principal components, RER volatility

18.

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

Downloads 201 (214,005)
Citation 6

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

Tinbergen Institute Discussion Paper 13-142/III
Number of pages: 61 Posted: 16 Sep 2013 Last Revised: 07 Nov 2014
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 113 (341,235)
Citation 5

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Bayesian Modelling, Panel VAR, Markov-switching, International Business Cycles, Interaction Mechanism

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

Norges Bank Working Paper 20
Number of pages: 49 Posted: 12 Nov 2013
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 46 (562,530)
Citation 4

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Bayesian Model, Panel VAR, Markov-switching, International Business Cycles, Interaction mechanisms

Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 17/WP/2013
Number of pages: 50 Posted: 05 Sep 2013
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 42 (583,754)
Citation 3

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Bayesian Model, Panel VAR, Markov-switching, International Business Cycles, Interaction mechanisms

19.

Market Linkages, Variance Spillovers and Correlation Stability: Empirical Evidences of Financial Contagion

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 18-07
Number of pages: 103 Posted: 09 Oct 2007
Monica Billio, Monica Billio and Massimiliano Caporin
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University of Padua - Department of Statistical Sciences
Downloads 190 (224,915)
Citation 1

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Financial market contagion, Market linkages, Variance spillovers, Dynamic correlations, Rolling correlations, Transformed correlations

20.

Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case

SAFE Working Paper No. 261, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 06/WP/2020
Number of pages: 43 Posted: 18 May 2020
Monica Billio, Monica Billio, Michele Costola, Loriana Pelizzon and Max Riedel
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice, Goethe University Frankfurt - Faculty of Economics and Business Administration and Leibniz Institute for Financial Research SAFE
Downloads 183 (232,409)

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Mortgages, Energy Efficiency, Credit Risk

21.

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

NBER Working Paper No. w16223
Number of pages: 58 Posted: 26 Jul 2010 Last Revised: 01 May 2022
Monica Billio, Monica Billio, Mila Getmansky Sherman, Andrew W. Lo and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 178 (238,044)
Citation 2

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22.

CDS Industrial Sector Indices, Credit and Liquidity Risk

Ca’ Foscari University of Venice Working Paper No. 09/WP/2012
Number of pages: 26 Posted: 10 Jul 2012
Monica Billio, Monica Billio, Massimiliano Caporin, Loriana Pelizzon and Domenico Sartore
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 176 (240,314)
Citation 2

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credit risk, common factors, liquidity risk

23.

Time-Varying Combinations of Predictive Densities Using Nonlinear Filtering

Tinbergen Institute Discussion Paper 12-118/III
Number of pages: 54 Posted: 08 Nov 2012
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 174 (242,635)
Citation 32

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Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo

24.

Bayesian Dynamic Tensor Regression

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 13/WP/2018
Number of pages: 64 Posted: 08 Jun 2018
Monica Billio, Monica Billio, Roberto Casarin, Sylvia Kaufmann and Matteo Iacopini
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Independent and VU University Amsterdam - Department of Econometrics
Downloads 160 (260,370)
Citation 4

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Tensor calculus, tensor decomposition, Bayesian statistics, hierarchical prior, networks, autoregessive model, time series, international trade

25.

Sparse Graphical Vector Autoregression: A Bayesian Approach

Downloads 157 (264,458)
Citation 11

Sparse Graphical Vector Autoregression: A Bayesian Approach

Number of pages: 27 Posted: 23 Dec 2014 Last Revised: 10 Sep 2016
Daniel Felix Ahelegbey, Monica Billio, Monica Billio and Roberto Casarin
University of Pavia, Department of Economics and Management, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 100 (371,179)
Citation 1

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Large VAR, Model Selection, Prior Distribution, Sparse Graphical Models

Sparse Graphical Vector Autoregression: A Bayesian Approach

Annals of Economics and Statistics, No. 123/124, December 2016, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 24/WP/2014
Number of pages: 30 Posted: 27 Mar 2015 Last Revised: 04 Mar 2022
Daniel Felix Ahelegbey, Monica Billio, Monica Billio and Roberto Casarin
University of Pavia, Department of Economics and Management, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 57 (510,988)
Citation 11

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High-dimensional Models, Large Vector Autoregression, Model Selection, Prior Distribution, Sparse Graphical Models

26.

Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 07/WP/2014
Number of pages: 31 Posted: 10 Jun 2014
Monica Billio, Monica Billio, Roberto Casarin and Ayokunle Anthony Osuntuyi
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Ca Foscari University of Venice
Downloads 144 (283,397)
Citation 1

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Energy futures, GARCH, Hedge ratio, Markov-switching

27.

Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone

CES Working Paper 2016.46
Number of pages: 30 Posted: 31 Oct 2016 Last Revised: 28 Nov 2016
Monica Billio, Monica Billio, Lorenzo Frattarolo, Hayette Gatfaoui, Hayette Gatfaoui and Philippe de Peretti
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, European Commission-Joint Research Centre, IESEG School of Management and LEM member - UMR 9221IESEG School of Management (Paris campus) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 133 (301,436)
Citation 3

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Causal Network, Topology, Custering, Flickering, Desynchronisation, Phase transitions

28.

Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 19-07
Number of pages: 32 Posted: 09 Oct 2007
Monica Billio, Monica Billio, Massimiliano Caporin and Guido Cazzavillan
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 131 (304,953)

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Business cycle, Chronology, Historical reconstruction, Monthly GDP

29.

Bayesian Inference on Dynamic Models with Latent Factors

University Ca' Foscari of Venice, Department of Economics Research Paper No. 34/07
Number of pages: 22 Posted: 28 Jan 2008
Monica Billio, Monica Billio, Roberto Casarin and Domenico Sartore
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 128 (310,296)
Citation 2

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Bayesian Dynamic Models, Simulation Based Inference, Particle Filters, Latent Factors, Business Cycle

30.

Portfolio Symmetry and Momentum

University Ca' Foscari of Venice, Dept. of Economics Research Paper No. 05/WP/2009
Number of pages: 23 Posted: 01 Mar 2009 Last Revised: 25 Apr 2012
Monica Billio, Monica Billio, Ludovic Calès and Dominique Guegan
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Joint Research Center of the European Commission and Ecole Normale Superieure de Cachan
Downloads 127 (312,144)
Citation 1

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Graph Theory, Momentum, Dynamic Portfolio, Quantum Probability, Spectral Analysis

31.

Combination Schemes for Turning Point Predictions

Downloads 121 (323,267)
Citation 7

Combination Schemes for Turning Point Predictions

Tinbergen Institute Discussion Paper No. 11-123/4
Number of pages: 23 Posted: 22 Aug 2011
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 61 (494,495)
Citation 1

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turning points, Markov-switching, forecast combination, Bayesian model averaging

Combination Schemes for Turning Point Predictions

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 15/WP/2012
Number of pages: 31 Posted: 28 Jul 2012
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 30 (657,822)

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C11, C15, C53, E37

Combination Schemes for Turning Point Predictions

Norges Bank Working Paper 2012/04
Number of pages: 32 Posted: 07 May 2013
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 30 (657,822)
Citation 6

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Turning Points, Markov-switching, Forecast Combination, Bayesian Model Averaging

32.

Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index

Tinbergen Institute Discussion Paper No. 2011-082/4
Number of pages: 18 Posted: 24 May 2011
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
Downloads 121 (323,267)
Citation 2

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Density forecast combination, stock data

33.

The Importance of Compound Risk in the Nexus of Covid-19, Climate Change and Finance

Downloads 118 (329,069)

The Importance of Compound Risk in the Nexus of Covid-19, Climate Change and Finance

Number of pages: 8 Posted: 07 Jan 2021
Irene Monasterolo, Monica Billio, Monica Billio and Stefano Battiston
EDHEC Business School, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University of Zurich - Department of Banking and Finance
Downloads 118 (330,745)
Citation 3

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COVID-19, climate change, financial interconnectedness, compound risk, loss amplification, resilience policies

The Importance of Compound Risk in the Nexus of COVID-19, Climate Change and Finance

Posted: 08 Jun 2020 Last Revised: 25 Jun 2020
Irene Monasterolo, Monica Billio, Monica Billio and Stefano Battiston
EDHEC Business School, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University of Zurich - Department of Banking and Finance

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pandemic, climate change, climate finance, financial risk, compound risk

34.

Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR)

Number of pages: 38 Posted: 01 Sep 2016 Last Revised: 31 Jul 2017
Monica Billio, Monica Billio, Roberto Casarin and Luca Rossini
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and University of Milan
Downloads 110 (345,611)
Citation 1

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Bayesian nonparametrics; Bayesian model selection; Shrinkage; Large vector autoregression; Network representation; Connectedness

35.

A Cross-Sectional Performance Measure for Portfolio Management

CES Working Paper No. 2010-70
Number of pages: 32 Posted: 09 May 2012
Monica Billio, Monica Billio, Ludovic Calès and Dominique Guegan
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Joint Research Center of the European Commission and Université Paris I Panthéon-Sorbonne
Downloads 108 (350,018)

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Performance Measure, Portfolio Management, Relative-Value Strategy, Large Portfolios, Absolute Return Strategy, Multivariate Statistics, Generalized Hyperbolic Distribution

36.

Portfolio Performance Measure and a New Generalized Utility-Based N-Moment Measure

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 22
Number of pages: 34 Posted: 11 Nov 2013
Monica Billio, Monica Billio, Gregory Mathieu Jannin, Bertrand B. Maillet and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Paris-1 Panthéon-Sorbonne, EMLyon Business School (Paris Campus) and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 103 (361,314)

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Utility Function, Performance Measures, Agents’ Preferences, Portfolio Ranking

37.

Growth-Cycle Phases in China's Provinces: A Panel Markov-Switching Approach

University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 19/WP/2014
Number of pages: 47 Posted: 09 Dec 2014
Komla Mawulom Agudze, Monica Billio, Monica Billio, Roberto Casarin and Eric Girardin
Independent, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and University Aix-Marseille 2 - GREQAM
Downloads 102 (363,609)

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Bayesian inference, China’s provinces, growth-cycles, multivariate-synchronization, panel Markov-switching

38.

Deal Complexity, Default Risk and the Resilience of the Mortgage-Backed Securities Market

Number of pages: 53 Posted: 27 Apr 2021 Last Revised: 26 Jul 2021
Monica Billio, Monica Billio, Alfonso Dufour, Samuele Segato and Simone Varotto
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, ICMA Centre, Henley Business School, University of Reading, ICMA Centre, Henley Business School, University of Reading and ICMA Centre - Henley Business School, University of Reading
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Asset-Backed Securities, STS Securitisation, Residential Mortgage-Backed Securities, Default Risk, COVID-19 pandemic

39.

Bayesian Markov Switching Tensor Regression For Time-Varying Networks

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 14/WP/2018
Number of pages: 63 Posted: 08 Jun 2018
Monica Billio, Monica Billio, Roberto Casarin and Matteo Iacopini
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and VU University Amsterdam - Department of Econometrics
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Tensor calculus, tensor decomposition, latent variables, Bayesian statistics, hierarchical prior, networks, zero-inflated model, time series, financial networks

40.

Bond Supply Expectations and the Term Structure of Interest Rates

Number of pages: 62 Posted: 01 Jul 2020
Monica Billio, Monica Billio, Filippo Busetto, Alfonso Dufour and Simone Varotto
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, European Central Bank (ECB), ICMA Centre, Henley Business School, University of Reading and ICMA Centre - Henley Business School, University of Reading
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Expected Supply, Quantitative Easing, Term Structure, Interest Rates, Government Bonds

41.

Modeling Turning Points In The Global Equity Market

Econometrics and Statistics, Forthcoming
Number of pages: 16 Posted: 11 Nov 2020 Last Revised: 24 Nov 2021
Daniel Felix Ahelegbey, Monica Billio, Monica Billio and Roberto Casarin
University of Pavia, Department of Economics and Management, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
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Bayesian inference, Dynamic Programming, Financial Crisis, Turning points, Networks, VAR

42.

Combining Predictive Densities Using Bayesian Filtering with Applications to US Economic Data

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 16/WP/2012
Number of pages: 40 Posted: 28 Jul 2012 Last Revised: 03 Oct 2012
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
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Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo

43.

Cross-Sectional Analysis Through Rank-Based Dynamic Portfolios

CES Working Paper No. 2012-36
Number of pages: 28 Posted: 04 Jun 2012
Monica Billio, Monica Billio, Ludovic Calès and Dominique Guegan
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Joint Research Center of the European Commission and Université Paris I Panthéon-Sorbonne
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finance, continuous time random walk, cross-section analysis, rank-based models, momentum

44.

Dynamical Interaction between Financial and Business Cycles

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 24/WP/2014
Number of pages: 49 Posted: 18 Oct 2017
Monica Billio, Monica Billio and Anna Petronevich
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice, Department of Economics, Students
Downloads 81 (419,190)
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Business Cycle, Financial Cycle, Granger causality, Regime-switching models, Dynamic Factor Models, Dynamical interaction

45.

Combining Predictive Densities Using Bayesian Filtering with Applications to US Economics Data

Norges Bank Working Paper No. 2010/29
Number of pages: 41 Posted: 09 Jan 2011
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
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Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo

46.

Backward/Forward Optimal Combination of Performance Measures for Equity Screening

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 13
Number of pages: 31 Posted: 29 Jul 2012
Monica Billio, Monica Billio, Massimiliano Caporin and Michele Costola
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Ca' Foscari University of Venice
Downloads 74 (441,047)
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performance measures, combining performance measures, portfolio

47.

Efficient Gibbs Sampling for Markov Switching GARCH Models

Number of pages: 40 Posted: 11 Jan 2013
Monica Billio, Monica Billio, Roberto Casarin and Ayokunle Anthony Osuntuyi
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Ca Foscari University of Venice
Downloads 73 (444,284)
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Bayesian inference, GARCH, Markov switching, Multiple-Try Metropolis

48.

COVID-19 Spreading in Financial Networks: A Semiparametric Matrix Regression Model

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 05/WP/2021
Number of pages: 33 Posted: 12 Jan 2021
Monica Billio, Monica Billio, Roberto Casarin, Michele Costola and Matteo Iacopini
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Ca' Foscari University of Venice and VU University Amsterdam - Department of Econometrics
Downloads 71 (451,011)
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Multilayer networks, financial markets, COVID-19

49.

Markov Switching Models for Volatility: Filtering, Approximation and Duality

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 24
Number of pages: 25 Posted: 11 Nov 2013
Monica Billio, Monica Billio and Maddalena Cavicchioli
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and Advanced School of Economics in Venice
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Markov Switching, MS-GARCH model, MS-SV model, estimation, auxiliary model, Kalman Filter

50.

Backard/Forward Optimal Combination of Performance Measures for Equity Screening

Number of pages: 31 Posted: 12 Jul 2012
Monica Billio, Monica Billio, Massimiliano Caporin and Michele Costola
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Ca' Foscari University of Venice
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performance measures, combining performance measures, portfolio allocation, equity screening, differential evolution

51.

Credit Scoring in SME Asset-Backed Securities: An Italian Case Study

SAFE Working Paper No. 262 (2019)
Number of pages: 38 Posted: 22 Oct 2019 Last Revised: 22 Jan 2021
Andrea Bedin, Monica Billio, Monica Billio, Michele Costola and Loriana Pelizzon
Goethe University Frankfurt, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice and Goethe University Frankfurt - Faculty of Economics and Business Administration
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credit scoring; probability of default; small and medium enterprises; assetbacked securities

52.

Interconnections between Eurozone and US Booms and Busts Using a Bayesian Panel Markov-Switching VAR Mode

Tinbergen Institute Discussion Paper 15-111/III
Number of pages: 63 Posted: 15 Sep 2015 Last Revised: 23 Sep 2015
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
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Bayesian Modelling, Panel VAR, Markov-switching, International Business Cycles, Interaction mechanisms

53.

Combining Predictive Densities Using Nonlinear Filtering with Applications to US Economics Data

Tinbergen Institute Discussion Paper No. 11-172/4
Number of pages: 55 Posted: 05 Dec 2011
Monica Billio, Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bozen-Bolzano - Faculty of Economics and Management and Tinbergen Institute
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density forecast combination, survey forecast, nonlinear filtering, sequential Monte Carlo

54.

Creditworthiness and buildings’ energy efficiency in the Italian mortgage market

SAFE Working Paper No. 352
Number of pages: 26 Posted: 29 Jun 2022
Monica Billio, Monica Billio, Michele Costola, Loriana Pelizzon and Max Riedel
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice, Leibniz Institute for Financial Research SAFE and Leibniz Institute for Financial Research SAFE
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55.

The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 03/WP/2021
Number of pages: 64 Posted: 12 Jan 2021
Monica Billio, Monica Billio, Roberto Casarin, Enrica De Cian, Malcolm Mistry and Ayokunle Anthony Osuntuyi
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Fondazione Eni Enrico Mattei (FEEM), Fondazione Eni Enrico Mattei (FEEM) and Ca Foscari University of Venice
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Bayesian inference, climate shocks, financial cycle, business cycle, Markov-switching, Multi-country Panel

56.

Leveraged and Covenant-Lite Loans, Syndication Networks and Systemic Risk

Number of pages: 42 Posted: 28 Jul 2022
Monica Billio, Monica Billio, Alfonso Dufour, Ana Sina and Simone Varotto
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, ICMA Centre, Henley Business School, University of Reading, University of Reading - Henley Business School, and ICMA Centre - Henley Business School, University of Reading
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Leveraged loans, covenant-lite loans, systemic risk, financial networks.

57.

A System for Dating and Detecting Turning Points in the Euro Area

Manchester School, Vol. 76, Issue 5, pp. 549-577, September 2008
Number of pages: 29 Posted: 18 Aug 2008
Jacques Anas, Monica Billio, Monica Billio, Laurent Ferrara and Gian Luigi Mazzi
affiliation not provided to SSRN, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Banque de France and Eurostat
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58.

Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data

Journal of Alternative Investments (forthcoming), https://doi.org/10.3905/JAI.2009.12.1.021
Posted: 22 May 2019
Monica Billio, Monica Billio, Mila Getmansky Sherman and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration

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Hedge Funds, Risk Management, High frequency data

59.

Business Cycle and Markov Switching Models with Distributed Lags: A Comparison between US and Euro Area

Rivista Italiana degli Economisti, Vol. 2, August 2014
Posted: 31 Jul 2014
Monica Billio, Monica Billio and Maddalena Cavicchioli
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and Advanced School of Economics in Venice

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Time Series, VARMA Models, Markov Chains, Changes in Regime, Regime Number, Business Cycle Models

60.

Kernel-Based Indirect Inference

Journal of Financial Econometrics, Vol. 1, No. 3, pp. 297-326, 2003
Posted: 29 Feb 2008
Monica Billio, Monica Billio and Alain Monfort
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)

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binding functions, dynamic latent variable models, factor GARCH models, indirect inference, nonparametric kernel estimation

61.

Investment Styles in the European Equity Market

ADVANCES IN QUANTITATIVE ASSET MANAGEMENT, C. Dunis, ed., Kluwer Academic Press, 2000
Posted: 21 Jan 2005
Monica Billio, Monica Billio, Roberto Casarin, Claire Mehu and Domenico Sartore
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, CDC and Ca Foscari University of Venice - Dipartimento di Economia

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Investment style, style analysis, European equity market

62.

Bayesian Inference in Dynamic Models with Latent Factors

Monography of Official Statistics, Forthcoming
Posted: 21 Jan 2005
Monica Billio, Monica Billio, Roberto Casarin and Domenico Sartore
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Ca Foscari University of Venice - Dipartimento di Economia

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Bayesian dynamic models, simulation based inference, particle filters, latent factors, business cycle

Other Papers (1)

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1.

Contagion Detection with Switching Regime Models: A Short and Long Run Analysis

Number of pages: 26 Posted: 05 Mar 2005
Monica Billio, Monica Billio, Marco Lo Duca and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, European Central Bank (ECB) and Goethe University Frankfurt - Faculty of Economics and Business Administration
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Contagion, stock market crises, international financial markets, financial integration, Markov switching models, long run analysis