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Monica Billio

Ca Foscari University of Venice - Dipartimento di Economia

Professor of Econometrics

Cannaregio 873

Venice, 30121

Italy

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

  • Ca Foscari University of Venice - Dipartimento di Economia

SCHOLARLY PAPERS

45

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134

Scholarly Papers (45)

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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: 25 Apr 2012
Monica Billio, Andrew W. Lo, Mila Getmansky and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Sloan School of Management, 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 4,100 (1,318)
Citation 38

Abstract:

Systemic Risk, Financial Institutions, Liquidity, Financial Crises

2.

Crises and Hedge Fund Risk

Downloads 3,025 ( 2,730)
Citation 20

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, Mila Getmansky and Loriana Pelizzon
Ca 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 3,025 (2,661)
Citation 20

Abstract:

Hedge Fund, Risk Management, Financial Crisis

3.

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 and Massimiliano Caporin
Ca Foscari University of Venice - Dipartimento di Economia and University of Padua - Department of Statistical Sciences
Downloads 398 (52,359)
Citation 12

Abstract:

Dynamic correlations, Block-structures, Flexible correlation models

4.

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 and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 299 (76,831)
Citation 2

Abstract:

Stock market volatility, Euro, Switching Regime Models.

5.

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

Journal of Alternative Investments (forthcoming)
Number of pages: 39 Posted: 20 May 2008 Last Revised: 25 Apr 2012
Monica Billio, Mila Getmansky and Loriana Pelizzon
Ca 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 291 (75,771)
Citation 1

Abstract:

Hedge Funds, Risk Management, High frequency data

6.

Modeling Systemic Risk with Markov Switching Graphical SUR Models

Number of pages: 49 Posted: 14 Dec 2014 Last Revised: 18 May 2017
Daniele Bianchi, Monica Billio, Roberto Casarin and Massimo Guidolin
University of Warwick, Warwick Business School, Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Bocconi University - Department of Finance
Downloads 289 (35,840)

Abstract:

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

7.

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 and Roberto Casarin
Boston University - Department of Mathematics and Statistics, Ca Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 199 (94,336)

Abstract:

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

8.

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 and Silvio Di Sanzo
Ca Foscari University of Venice - Dipartimento di Economia and Universidad de Alicante
Downloads 192 (109,230)
Citation 1

Abstract:

Granger Causality, Markov Chains, Switching Models

9.

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 and Massimiliano Caporin
Ca Foscari University of Venice - Dipartimento di Economia and University of Padua - Department of Statistical Sciences
Downloads 170 (141,350)
Citation 1

Abstract:

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

10.

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

Downloads 138 (174,866)

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, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 75 (269,603)

Abstract:

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

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, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 34 (390,055)

Abstract:

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

Norges Bank Working Paper 20
Number of pages: 49 Posted: 12 Nov 2013
Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 29 (412,089)

Abstract:

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

11.

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, Massimiliano Caporin, Loriana Pelizzon and Domenico Sartore
Ca 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 123 (168,076)
Citation 1

Abstract:

credit risk, common factors, liquidity risk

12.

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, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 108 (174,866)
Citation 2

Abstract:

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

13.

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, Roberto Casarin and Domenico Sartore
Ca 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 105 (202,743)
Citation 2

Abstract:

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

14.

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, Massimiliano Caporin and Guido Cazzavillan
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 105 (202,743)

Abstract:

Business cycle, Chronology, Historical reconstruction, Monthly GDP

15.

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, Ludovic Cales and Dominique Guegan
Ca Foscari University of Venice - Dipartimento di Economia, Paris School of Economics - Université Paris-1 Panthéon-La Sorbonne and Ecole Normale Superieure de Cachan
Downloads 100 (205,421)
Citation 1

Abstract:

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

16.

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

NBER Working Paper No. w16223
Number of pages: 58 Posted: 26 Jul 2010
Monica Billio, Mila Getmansky, Andrew W. Lo and Loriana Pelizzon
Ca 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) - Sloan School of Management and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 95 (189,065)
Citation 45

Abstract:

17.

Combination Schemes for Turning Point Predictions

Downloads 91 (237,034)

Combination Schemes for Turning Point Predictions

Tinbergen Institute Discussion Paper No. 11-123/4
Number of pages: 23 Posted: 22 Aug 2011
Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 47 (343,085)

Abstract:

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

Combination Schemes for Turning Point Predictions

Norges Bank Working Paper 2012/04
Number of pages: 32 Posted: 07 May 2013
Monica Billio, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 23 (443,825)

Abstract:

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, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 21 (455,289)

Abstract:

C11, C15, C53, E37

18.

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, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 87 (218,156)

Abstract:

Density forecast combination, stock data

19.

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 and Roberto Casarin
Boston University - Department of Mathematics and Statistics, Ca Foscari University of Venice - Dipartimento di Economia and University Ca' Foscari of Venice - Department of Economics
Downloads 74 (269,099)

Abstract:

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

20.

A Cross-Sectional Performance Measure for Portfolio Management

CES Working Paper No. 2010-70
Number of pages: 32 Posted: 09 May 2012
Monica Billio, Ludovic Cales and Dominique Guegan
Ca Foscari University of Venice - Dipartimento di Economia, Paris School of Economics - Université Paris-1 Panthéon-La Sorbonne and Universite Paris 1 Pantheon-Sorbonne
Downloads 69 (245,706)

Abstract:

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

21.

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, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 67 (275,394)
Citation 1

Abstract:

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

22.

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, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 62 (284,314)

Abstract:

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

23.

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, Gregory Mathieu Jannin, Bertrand B. Maillet and Loriana Pelizzon
Ca 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 61 (262,834)

Abstract:

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

24.

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, Antonio Paradiso, Michael Donadelli and Max Riedel
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Research Center SAFE
Downloads 53 (191,492)

Abstract:

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

25.

Cross-Sectional Analysis Through Rank-Based Dynamic Portfolios

CES Working Paper No. 2012-36
Number of pages: 28 Posted: 04 Jun 2012
Monica Billio, Ludovic Cales and Dominique Guegan
Ca Foscari University of Venice - Dipartimento di Economia, Paris School of Economics - Université Paris-1 Panthéon-La Sorbonne and Universite Paris 1 Pantheon-Sorbonne
Downloads 53 (277,601)

Abstract:

finance, continuous time random walk, cross-section analysis, rank-based models, momentum

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, Roberto Casarin and Ayokunle Anthony Osuntuyi
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Ca Foscari University of Venice
Downloads 51 (222,718)

Abstract:

Energy futures, GARCH, Hedge ratio, Markov-switching

27.

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, Massimiliano Caporin and Michele Costola
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Goethe University Frankfurt - Research Center SAFE
Downloads 50 (303,470)

Abstract:

performance measures, combining performance measures, portfolio

28.

Efficient Gibbs Sampling for Markov Switching GARCH Models

Number of pages: 40 Posted: 11 Jan 2013
Monica Billio, Roberto Casarin and Ayokunle Anthony Osuntuyi
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Ca Foscari University of Venice
Downloads 47 (303,470)

Abstract:

Bayesian inference, GARCH, Markov switching, Multiple-Try Metropolis

29.

Backard/Forward Optimal Combination of Performance Measures for Equity Screening

Number of pages: 31 Posted: 12 Jul 2012
Monica Billio, Massimiliano Caporin and Michele Costola
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Goethe University Frankfurt - Research Center SAFE
Downloads 47 (319,619)

Abstract:

performance measures, combining performance measures, portfolio allocation, equity screening, differential evolution

30.

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, Roberto Casarin, Michele Costola and Andrea Pasqualini
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Goethe University Frankfurt - Research Center SAFE and Independent
Downloads 43 (174,866)

Abstract:

Entropy, systemic risk measures, early warning indicators, aggregation

31.

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 and Maddalena Cavicchioli
Ca Foscari University of Venice - Dipartimento di Economia and Advanced School of Economics in Venice
Downloads 35 (316,874)

Abstract:

Markov Switching, MS-GARCH model, MS-SV model, estimation, auxiliary model, Kalman Filter

32.

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, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 35 (373,728)

Abstract:

density forecast combination, survey forecast, nonlinear filtering, sequential Monte Carlo

33.

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, Roberto Casarin and Eric Girardin
Independent, Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and University Aix-Marseille 2 - GREQAM
Downloads 31 (301,003)

Abstract:

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

34.

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, Laurent Ferrara and Gian Luigi Mazzi Sr.
affiliation not provided to SSRN, Ca Foscari University of Venice - Dipartimento di Economia, Banque de France and Eurostat
Downloads 2 (536,982)
Citation 4
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Abstract:

35.

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, Roberto Casarin, Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Free University of Bolzano and Tinbergen Institute
Downloads 1 (401,558)

Abstract:

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

36.

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, Massimiliano Caporin, Roberto Calogero Panzica and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 0 (175,889)

Abstract:

CAPM, volatility, network, interconnections, systematic risk

37.

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, Michael Donadelli, Antonio Paradiso and Max Riedel
Ca Foscari University of Venice - Dipartimento di Economia, Goethe University Frankfurt - Research Center SAFE, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Research Center SAFE
Downloads 0 (346,621)

Abstract:

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

38.

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, Lorenzo Frattarolo, Hayette Gatfaoui and Philippe de Peretti
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia, IESEG School of Management (Paris campus) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 0 (247,529)

Abstract:

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

39.

Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR)

Number of pages: 38 Posted: 01 Sep 2016 Last Revised: 31 Jul 2017
Monica Billio, Roberto Casarin and Luca Rossini
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Free University of Bozen-Bolzano
Downloads 0 (415,306)

Abstract:

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

40.

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, Massimiliano Caporin, Lorenzo Frattarolo and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 0 (215,265)

Abstract:

spatial GARCH, network, risk spillover, financial spillover

41.

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, Lorenzo Frattarolo and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 0 (110,619)

Abstract:

Hedge funds, Tail risk, Diversification, Marginal risk contribution

42.

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 and Maddalena Cavicchioli
Ca Foscari University of Venice - Dipartimento di Economia and Advanced School of Economics in Venice

Abstract:

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

43.

Kernel-Based Indirect Inference

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

Abstract:

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

44.

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, Roberto Casarin, Claire Mehu and Domenico Sartore
Ca 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

Abstract:

Investment style, style analysis, European equity market

45.

Bayesian Inference in Dynamic Models with Latent Factors

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

Abstract:

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

Other Papers (1)

Total Downloads: 146    Citations: 6
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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, Marco Lo Duca and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, European Central Bank (ECB) and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 128
Citation 6

Abstract:

Contagion, stock market crises, international financial markets, financial integration, Markov switching models, long run analysis

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