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Monica Billio

SSRN Author Rank: 2,191 by Downloads and 4,176 by Citations

 Professor of Econometrics
 

Ca Foscari University of Venice - Dipartimento di Economia


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


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. Monica Billio's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
12,005
Total
Citations
128
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 | Open PDF in Browser |
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 - Dipartimento di Economia
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
Pelizzon, Loriana
Goethe University Frankfurt - Research Center SAFE
Posted:
23 Nov 11
Last Revised:
25 Apr 12
4,100
(1,257)
35

2.   Incl. Electronic Paper
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Getmansky, Mila
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance
Pelizzon, Loriana
Goethe University Frankfurt - Research Center SAFE
Posted:
20 May 08
Last Revised:
25 Apr 12
2,969
(2,527)
20

3.  
A Generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation | Show Abstract | Download This Paper | Open PDF in Browser |
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 - Dipartimento di Economia
Caporin, Massimiliano
University of Padua - Department of Statistical Sciences
Posted:
30 Nov 06
398
(50,743)
12

4.  
The European Single Currency and the Volatility of European Stock Markets | Show Abstract | Download This Paper | Open PDF in Browser |
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 - Dipartimento di Economia
Pelizzon, Loriana
Goethe University Frankfurt - Research Center SAFE
Posted:
26 Feb 02
299
(72,869)
2

5.  
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Getmansky, Mila
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance
Pelizzon, Loriana
Goethe University Frankfurt - Research Center SAFE
Posted:
20 May 08
Last Revised:
25 Apr 12
291
(72,094)
1

6.  
Bianchi, Daniele
University of Warwick, Warwick Business School
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Guidolin, Massimo
Bocconi University - Department of Finance
Posted:
14 Dec 14
Last Revised:
11 Sep 15
289
(41,027)
 

7.  
Bayesian Graphical Models for Structural Vector Autoregressive Processes | Show Abstract | Download This Paper | Open PDF in Browser |
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
Boston University - Department of Mathematics and Statistics
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Posted:
11 Jan 13
Last Revised:
30 Sep 14
199
(94,900)
 

8.  
Granger-Causality in Markov Switching Models | Show Abstract | Download This Paper | Open PDF in Browser |
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 - Dipartimento di Economia
Di Sanzo, Silvio
Universidad de Alicante
Posted:
28 Nov 06
192
(106,243)
1

9.  
Market Linkages, Variance Spillovers and Correlation Stability: Empirical Evidences of Financial Contagion | Show Abstract | Download This Paper | Open PDF in Browser |
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 - Dipartimento di Economia
Caporin, Massimiliano
University of Padua - Department of Statistical Sciences
Posted:
09 Oct 07
170
(133,280)
1

10.  
CDS Industrial Sector Indices, Credit and Liquidity Risk | Show Abstract | Download This Paper | Open PDF in Browser |
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 - Dipartimento di Economia
Caporin, Massimiliano
University of Padua - Department of Statistical Sciences
Pelizzon, Loriana
Goethe University Frankfurt - Research Center SAFE
Sartore, Domenico
Ca Foscari University of Venice - Dipartimento di Economia
Posted:
10 Jul 12
123
(165,395)
1

11.   Incl. Electronic Paper
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Ravazzolo, Francesco
Free University of Bolzano
van Dijk, H. K.
Tinbergen Institute
Posted:
05 Sep 13
Last Revised:
07 Nov 14
117
(184,656)
 

12.  
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Ravazzolo, Francesco
Free University of Bolzano
van Dijk, H. K.
Tinbergen Institute
Posted:
08 Nov 12
108
(166,405)
2

13.  
Bayesian Inference on Dynamic Models with Latent Factors | Show Abstract | Download This Paper | Open PDF in Browser |
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 - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Sartore, Domenico
Ca Foscari University of Venice - Dipartimento di Economia
Posted:
28 Jan 08
105
(191,918)
2

14.  
Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI | Show Abstract | Download This Paper | Open PDF in Browser |
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 - Dipartimento di Economia
Caporin, Massimiliano
University of Padua - Department of Statistical Sciences
Cazzavillan, Guido
Ca Foscari University of Venice - Dipartimento di Economia
Posted:
09 Oct 07
105
(195,813)
 

15.  
Portfolio Symmetry and Momentum | Show Abstract | Download This Paper | Open PDF in Browser |
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 - Dipartimento di Economia
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
100
(194,517)
1

16.  
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Getmansky, Mila
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
Goethe University Frankfurt - Research Center SAFE
Posted:
26 Jul 10
95
(189,383)
42

17.  
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Ravazzolo, Francesco
Free University of Bolzano
van Dijk, H. K.
Tinbergen Institute
Posted:
24 May 11
87
(205,417)
 

18.   Incl. Electronic Paper
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Ravazzolo, Francesco
Free University of Bolzano
van Dijk, H. K.
Tinbergen Institute
Posted:
22 Aug 11
Last Revised:
07 May 13
83
(233,100)
 

19.  
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Cales, Ludovic
Paris School of Economics - Université Paris-1 Panthéon-La Sorbonne
Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne
Posted:
09 May 12
69
(240,078)
 

20.  
Ahelegbey, Daniel Felix
Boston University - Department of Mathematics and Statistics
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Posted:
23 Dec 14
Last Revised:
10 Sep 16
68
(261,583)
 

21.  
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Ravazzolo, Francesco
Free University of Bolzano
van Dijk, H. K.
Tinbergen Institute
Posted:
09 Jan 11
67
(261,583)
1

22.  
Combining Predictive Densities Using Bayesian Filtering with Applications to US Economic Data | Show Abstract | Download This Paper | Open PDF in Browser |
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 - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Ravazzolo, Francesco
Free University of Bolzano
van Dijk, H. K.
Tinbergen Institute
Posted:
28 Jul 12
Last Revised:
03 Oct 12
62
(265,894)
 

23.  
Portfolio Performance Measure and a New Generalized Utility-Based N-Moment Measure | Show Abstract | Download This Paper | Open PDF in Browser |
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 - Dipartimento di Economia
Jannin, Gregory Mathieu
University Paris-1 Panthéon-Sorbonne
Maillet, Bertrand B.
University of Orléans
Pelizzon, Loriana
Goethe University Frankfurt - Research Center SAFE
Posted:
11 Nov 13
61
(251,423)
 

24.  
Measuring Financial Integration: Lessons from the Correlation | Show Abstract | Download This Paper | Open PDF in Browser |
University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 23/WP/2015
Number of Pages in PDF File: 41
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Paradiso, Antonio
Ca Foscari University of Venice - Dipartimento di Economia
Donadelli, Michael
Goethe University Frankfurt - Research Center SAFE
Riedel, Max
Goethe University Frankfurt - Research Center SAFE
Posted:
13 Jul 15
53
(189,383)
 

25.  
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Cales, Ludovic
Paris School of Economics - Université Paris-1 Panthéon-La Sorbonne
Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne
Posted:
04 Jun 12
53
(261,583)
 

26.  
Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets | Show Abstract | Download This Paper | Open PDF in Browser |
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 - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Osuntuyi, Ayokunle Anthony
Ca Foscari University of Venice
Posted:
10 Jun 14
51
(218,559)
 

27.  
Backward/Forward Optimal Combination of Performance Measures for Equity Screening | Show Abstract | Download This Paper | Open PDF in Browser |
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 - Dipartimento di Economia
Caporin, Massimiliano
University of Padua - Department of Statistical Sciences
Costola, Michele
Goethe University Frankfurt - Research Center SAFE
Posted:
29 Jul 12
50
(286,327)
 

28.  
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Osuntuyi, Ayokunle Anthony
Ca Foscari University of Venice
Posted:
11 Jan 13
47
(298,941)
 

29.  
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Caporin, Massimiliano
University of Padua - Department of Statistical Sciences
Costola, Michele
Goethe University Frankfurt - Research Center SAFE
Posted:
12 Jul 12
47
(301,623)
 

30.  
An Entropy-Based Early Warning Indicator for Systemic Risk | Show Abstract | Download This Paper | Open PDF in Browser |
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 09/WP/2015
Number of Pages in PDF File: 35
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Costola, Michele
Goethe University Frankfurt - Research Center SAFE
Pasqualini, Andrea
Ca Foscari University of Venice - Dipartimento di Economia
Posted:
11 May 15
43
(181,185)
 

31.  
Markov Switching Models for Volatility: Filtering, Approximation and Duality | Show Abstract | Download This Paper | Open PDF in Browser |
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 - Dipartimento di Economia
Cavicchioli, Maddalena
Advanced School of Economics in Venice
Posted:
11 Nov 13
35
(306,936)
 

32.  
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Ravazzolo, Francesco
Free University of Bolzano
van Dijk, H. K.
Tinbergen Institute
Posted:
05 Dec 11
35
(346,311)
 

33.  
Growth-Cycle Phases in China's Provinces: A Panel Markov-Switching Approach | Show Abstract | Download This Paper | Open PDF in Browser |
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 - Dipartimento di Economia
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Girardin, Eric
University Aix-Marseille 2 - GREQAM
Posted:
09 Dec 14
31
(293,863)
 

34.  
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 - Dipartimento di Economia
Ferrara, Laurent
Banque de France
Mazzi, Gian Luigi
Eurostat
Posted:
18 Aug 08
2
(504,041)
4

35.  
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Ravazzolo, Francesco
Free University of Bolzano
van Dijk, H. K.
Tinbergen Institute
Posted:
15 Sep 15
Last Revised:
23 Sep 15
1
(389,510)
 

36.  
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Frattarolo, Lorenzo
Ca Foscari University of Venice - Dipartimento di Economia
Gatfaoui, Hayette
IESEG School of Management (Paris campus)
de Peretti, Philippe
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Posted:
31 Oct 16
Last Revised:
28 Nov 16
0
(342,927)
 

37.  
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Rossini, Luca
Ca Foscari University of Venice - Dipartimento di Economia
Posted:
01 Sep 16
0
(449,059)
 

38.  
Networks in Risk Spillovers: A Multivariate GARCH Perspective | Show Abstract | Download This Paper | Open PDF in Browser |
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. No. 03/WP/ 2016
Number of Pages in PDF File: 52
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Caporin, Massimiliano
University of Padua - Department of Statistical Sciences
Frattarolo, Lorenzo
Ca Foscari University of Venice - Dipartimento di Economia
Pelizzon, Loriana
Goethe University Frankfurt - Research Center SAFE
Posted:
04 Mar 16
0
(261,583)
 

39.  
Hedge Fund Tail Risk: An Investigation in Stressed Markets, Extended Version with Appendix | Show Abstract | Download This Paper | Open PDF in Browser |
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 01/WP/2016
Number of Pages in PDF File: 39
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Frattarolo, Lorenzo
Ca Foscari University of Venice - Dipartimento di Economia
Pelizzon, Loriana
Goethe University Frankfurt - Research Center SAFE
Posted:
22 Jan 16
Last Revised:
14 Nov 16
0
(122,893)
 

40.  
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Cavicchioli, Maddalena
Advanced School of Economics in Venice
Posted:
31 Jul 14
 

41.  
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 - Dipartimento di Economia
Monfort, Alain
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Posted:
29 Feb 08
 

42.  
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 - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Mehu, Claire
CDC
Sartore, Domenico
Ca Foscari University of Venice - Dipartimento di Economia
Posted:
21 Jan 05
 

43.  
Billio, Monica
Ca Foscari University of Venice - Dipartimento di Economia
Casarin, Roberto
University Ca' Foscari of Venice - Department of Economics
Sartore, Domenico
Ca Foscari University of Venice - Dipartimento di Economia
Posted:
21 Jan 05
 


Records 1 - 43 of 43 matches
[ 1 ]
. Monica Billio'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
142
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 - Dipartimento di Economia
Lo Duca, Marco
European Central Bank (ECB)
Pelizzon, Loriana
Goethe University Frankfurt - Research Center SAFE
Posted:
05 Mar 05
128
6


Records 1 - 1 of 1 matches
[ 1 ]