This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Information about:
Monica Billio

Personal Details | Affiliation | Works
This is information that was supplied by Monica Billio in registering through RePEc. If you are Monica Billio , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Monica
Middle Name:
Last Name: Billio
Suffix:

RePEc Short-ID: pbi55

Email:
Homepage: http://venus.unive.it/billio
Postal Address:
Phone:

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Monica Billio & Ludovic Calès & Dominique Guegan, 2009. "Portfolio Symmetry and Momentum," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00363383_v1, HAL. [Downloadable!]
    Other versions:

  2. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]

  3. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data," Working Papers 2008_11, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]

  4. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics. [Downloadable!]

  5. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "Business Cycle Analysis with Multivariate Markov Switching Models," Working Papers 2007_32, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]

  6. Monica Billio & Roberto Casarin & Domenico Sartore, 2007. "Bayesian Inference on Dynamic Models with Latent Factors," Working Papers 2007_34, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]

  7. Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007. "Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI," Working Papers 2007_19, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]

  8. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2007. "Dynamic Risk Exposure in Hedge Funds," Working Papers 2007_17, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]

  9. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "A turning point chronology for the Euro-zone," Working Papers 2007_33, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]

  10. Monica Billio & Massimiliano Caporin, 2007. "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers 2007_18, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]

  11. Roberto Casarin & Monica Billio, 2006. "Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints," Working Papers ubs0618, University of Brescia, Department of Economics. [Downloadable!]

  12. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2006. "Phase-Locking and Switching Volatility in Hedge Funds," Working Papers 2006_54, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]

  13. Monica Billio & Silvestro Di Sanzo, 2006. "Granger-causality in Markov Switching Models," Working Papers 2006_20, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]

  14. Monica Billio & Massimiliano Caporin, 2006. "A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation," Working Papers 2006_53, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]

  15. Monica Billio ; Alain Monfort, . "Functional Indirect Inference," Working Papers 99-01, Centre de Recherche en Economie et Statistique. [Downloadable!]

  16. Monica Billio ; Alain Monfort ; Christian P, Robert, . "The Simulated Likelihood Ratio (SLR) Method," Working Papers 98-21, Centre de Recherche en Economie et Statistique. [Downloadable!]

Articles

  1. Jacques Anas & Monica Billio & Laurent Ferrara & Gian Luigi Mazzi, 2008. "A System For Dating And Detecting Turning Points In The Euro Area," Manchester School, University of Manchester, vol. 76(5), pages 549-577, 09. [Downloadable!] (restricted)

  2. Monica Billio & Massimiliano Caporin & Michele Gobbo, 2006. "Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 123-130, March. [Downloadable!] (restricted)

  3. Monica Billio & Alain Monfort, 2003. "Kernel-Based Indirect Inference," Journal of Financial Econometrics, Oxford University Press, vol. 1(3), pages 297-326.

  4. Billio, Monica & Pelizzon, Loriana, 2003. "Contagion and interdependence in stock markets: Have they been misdiagnosed?," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 405-426. [Downloadable!] (restricted)

  5. Billio, Monica & Pelizzon, Loriana, 2003. "Volatility and shocks spillover before and after EMU in European stock markets," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 323-340, December. [Downloadable!] (restricted)

  6. Billio, Monica & Pelizzon, Loriana, 2000. "Value-at-Risk: a multivariate switching regime approach," Journal of Empirical Finance, Elsevier, vol. 7(5), pages 531-554, December. [Downloadable!] (restricted)

  7. Monica Billio, Domenico Sartore, Carlo Toffano, 2000. "Combining forecasts: some results on exchange and interest rates," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 126-145, June. [Downloadable!] (restricted)

  8. Billio, M. & Monfort, A. & Robert, C. P., 1999. "Bayesian estimation of switching ARMA models," Journal of Econometrics, Elsevier, vol. 93(2), pages 229-255, December. [Downloadable!] (restricted)

NEP Fields

12 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2008-02-09
  2. NEP-CFN: Corporate Finance (1) 2008-05-24
  3. NEP-ECM: Econometrics (4) 2008-02-09 2008-02-09 2008-02-09 2008-10-13 Author is listed
  4. NEP-EFF: Efficiency & Productivity (1) 2008-05-24
  5. NEP-ETS: Econometric Time Series (2) 2008-02-09 2008-10-13
  6. NEP-FMK: Financial Markets (3) 2008-02-09 2008-05-24 2008-05-24 Author is listed
  7. NEP-FOR: Forecasting (1) 2008-10-13
  8. NEP-MAC: Macroeconomics (4) 2008-02-09 2008-02-09 2008-02-09 2008-10-13 Author is listed
  9. NEP-MST: Market Microstructure (2) 2008-05-24 2008-05-24
  10. NEP-ORE: Operations Research (1) 2008-10-13
  11. NEP-RMG: Risk Management (3) 2008-02-09 2008-05-24 2008-05-24 Author is listed
  12. NEP-SEA: South East Asia (1) 2008-02-09
Did you know? IDEAS was sponsored from 1997 to 2002 by the Université du Québec à Montréal.

This page was last updated on 2009-6-20.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.