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Publications

by alumni of

Centre de Recherches en Mathématiques de la Décision (CEREMADE)
Université Paris-Dauphine (Paris IX)
Paris, France

(Research Center in Decision Mathematics, University of Paris 9)

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Chapters |

Working papers

2025

  1. Monica Billio & Roberto Casarin & Fausto Corradin & Antonio Peruzzi, 2025. "Bayesian Outlier Detection for Matrix-variate Models," Papers 2503.19515, arXiv.org.
  2. Ivric Valaire Yatat–djeumen & Luc Doyen & Jean Jules Tewa & Bapan Ghosh, 2025. "Bioeconomic Viability and Resilience of Savanna," Post-Print hal-04691675, HAL.

2024

  1. Monica Billio & Massimo Guidolin & Francesco Rocciolo, 2024. "Responsible Investing under Climate Change Uncertainty," Working Papers 2024: 15, Department of Economics, University of Venice "Ca' Foscari".
  2. Billio, Monica & Fitzpatrick, Aoife Claire & Latino, Carmelo & Pelizzon, Loriana, 2024. "Unpacking the ESG ratings: Does one size fit all?," SAFE Working Paper Series 415, Leibniz Institute for Financial Research SAFE.
  3. Roberto Casarin & Antonio Peruzzi, 2024. "Comment on 'Sparse Bayesian Factor Analysis when the Number of Factors is Unknown' by S. Fr\"uhwirth-Schnatter, D. Hosszejni, and H. Freitas Lopes," Papers 2411.02531, arXiv.org, revised Nov 2024.
  4. Bassetti, Federico & Casarin, Roberto & Del Negro, Marco, 2024. "A Bayesian Approach for Inference on Probabilistic Surveys," CEPR Discussion Papers 19426, C.E.P.R. Discussion Papers.
  5. Roberto Casarin & Bertrand Maillet & Anthony Osuntuyi, 2024. "Monte carlo within simulated annealing for integral constrained optimizations," Post-Print hal-04514344, HAL.
  6. Bernur Acikgoz & Dimitri Dubois & Sébastien Duchêne & Adrien Nguyen-Huu & Marc Willinger, 2024. "Depth of reasoning in the 11-20 game differs between financial professionals and students. A lab-in-the-field experiment," Post-Print hal-04578910, HAL.
  7. Coralie Kersulec & Hélène Gomes & Luc Doyen & Fabian Blanchard, 2024. "The role of illegal fishing on the sustainability of the coastal fishery in French Guiana," Post-Print hal-04438982, HAL.
  8. Coralie Kersulec & Luc Doyen & Abdoul Ahad Cissé, 2024. "From fork to fish: The role of demand on the sustainability of multi-species fishery," Post-Print hal-04692202, HAL.
  9. I V Yatat-Djeumen & Luc Doyen & J J Tewa & B Ghosh, 2024. "Bioeconomic Sustainability and Resilience of Savanna," Working Papers hal-04391328, HAL.
  10. Mathieu Cuilleret & Luc Doyen & Fabian Blanchard, 2024. "Reducing IUU for Bioeconomic Resilience of Fisheries: Necessary but Not Sufficient," Working Papers hal-04439210, HAL.
  11. L Doyen & M D Smith & U R Sumaila & G Zaccour & I Ekeland & Philippe Cury & Christophe Lett & O Thebaud & J.-C Poggiale & A Moussaoui & Jean-Marc Fromentin & S Gourguet & P Guillotreau & H Gomes & Pie, 2024. "Mathematical Bio-Economics 2.0 for Sustainable Fisheries," Working Papers hal-04446752, HAL.
  12. Magali Duchel Mandio Abomo & Eric Xaverie Possi Tebeng & Luc Doyen & Jean-Marie Gankou Fowagap, 2024. "Trade openness and vulnerability to climate change: empirical evidence from 156 countries," Working Papers hal-04609243, HAL.

2023

  1. Billio, Monica & Casarin, Roberto & Costola, Michele & Veggente, Veronica, 2023. "Learning from experts: Energy efficiency in residential buildings," SAFE Working Paper Series 403, Leibniz Institute for Financial Research SAFE.
  2. Jamie L. Cross & Aubrey Poon & Dan Zhu, 2023. "Uncertainty and the Term Structure of Interest Rates," Working Papers No 12/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  3. Hilde C. Bjørnland & Roberto Casarin & Marco Lorusso & Francesco Ravazzolo, 2023. "Fiscal Policy Regimes in Resource-Rich Economies," Working Papers No 13/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  4. Luc Doyen, 2023. "Viability analysis," Post-Print hal-04055833, HAL.
  5. Luc Doyen, 2023. "Marine ecosystems," Post-Print hal-04055842, HAL.
  6. Celine Huber & Luc Doyen & Sylvie Ferrari, 2023. "When profitability meets conservation objectives through biodiversity offsets," Post-Print hal-04312260, HAL.

2022

  1. Monica Billio & Lorenzo Frattarolo & Dominique Guégan, 2022. "High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-04085236, HAL.
  2. Billio, Monica & Costola, Michele & Hristova, Iva & Latino, Carmelo & Pelizzon, Loriana, 2022. "Sustainable finance: A journey toward ESG and climate risk," SAFE Working Paper Series 349, Leibniz Institute for Financial Research SAFE.
  3. Billio, Monica & Costola, Michele & Pelizzon, Loriana & Riedel, Max, 2022. "Creditworthiness and buildings' energy efficiency in the Italian mortgage market," SAFE Working Paper Series 352, Leibniz Institute for Financial Research SAFE.
  4. Ovielt Baltodano Lopez & Federico Bassetti & Giulia Carallo & Roberto Casarin, 2022. "First-order integer-valued autoregressive processes with Generalized Katz innovations," Papers 2202.02029, arXiv.org, revised Dec 2024.
  5. Ovielt Baltodano L'opez & Roberto Casarin, 2022. "A Dynamic Stochastic Block Model for Multi-Layer Networks," Papers 2209.09354, arXiv.org.
  6. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman van Dijk, 2022. "A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods," Tinbergen Institute Discussion Papers 22-013/III, Tinbergen Institute.
  7. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2022. "A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods," Tinbergen Institute Discussion Papers 22-053/III, Tinbergen Institute.
  8. Giulio Galdi & Roberto Casarin & Davide Ferrari & Carlo Fezzi & Francesco Ravazzolo, 2022. "Nowcasting industrial production using linear and non-linear models of electricity demand," DEM Working Papers 2022/2, Department of Economics and Management.
  9. Sébastien Duchêne & Adrien Nguyen-Huu & Dimitri Dubois & Marc Willinger, 2022. "Risk-return trade-offs in the context of environmental impact: a lab-in-the-field experiment with finance professionals," Working Papers hal-03883121, HAL.
  10. Coralie KERSULEC & Luc DOYEN, 2022. "From fork to fish: The role of consumer preferences on the sustainability of fisheries," Bordeaux Economics Working Papers 2022-10, Bordeaux School of Economics (BSE).
  11. Ny Andraina Andriamanantena & Charly Gaufreteau & Jean-Sauveur Ay & Luc Doyen, 2022. "Climate-dependent scenarios of land use for biodiversity and ecosystem services in the New Aquitaine region," Post-Print halshs-03913031, HAL.
  12. Mathieu Cuilleret & Luc Doyen & Hélène Gomes & Fabian Blanchard, 2022. "Resilience management for coastal fisheries facing with global changes and uncertainties," Post-Print halshs-03913033, HAL.

2021

  1. Billio Monica & Casarin Roberto & Costola Michele & Iacopini Matteo, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Papers 2101.00422, arXiv.org.
  2. Komla M. Agudze & Monica Billio & Roberto Casarin & Francesco Ravazzolo, 2021. "Markov Switching Panel with Endogenous Synchronization Effects," BEMPS - Bozen Economics & Management Paper Series BEMPS82, Faculty of Economics and Management at the Free University of Bozen.
  3. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2021. "A meta-measure of performance related to both investors and investments characteristics," Post-Print hal-02933252, HAL.
  4. Billio, Monica & Lo, Andrew W. & Pelizzon, Loriana & Getmansky, Mila & Zareei, Abalfazl, 2021. "Global realignment in financial market dynamics: Evidence from ETF networks," SAFE Working Paper Series 304, Leibniz Institute for Financial Research SAFE.
  5. Giacomo Bulfone & Roberto Casarin & Francesco Ravazzolo, 2021. "Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model," Working Paper series 21-09, Rimini Centre for Economic Analysis.
  6. Sébastien Duchêne & Adrien Nguyen-Huu & Dimitri Dubois & Marc Willinger, 2021. "Why finance professionals hold green and brown assets? A lab-in-the-field experiment [Pourquoi investir dans le vert et le brun ? Une expérience sur des professionnels de la finance]," Working Papers hal-03285376, HAL.
  7. Coralie Kersulec & Luc Doyen & Hélène Gomes & Fabian Blanchard, 2021. "The effect of illegal fishing on the sustainability of small scale fisheries," Bordeaux Economics Working Papers 2021-17, Bordeaux School of Economics (BSE).
  8. Ny Andraina Andriamanantena & Charly Gaufreteau & Jean-Sauveur Ay & Luc Doyen, 2021. "Ecological-economic scenarios of land-use for biodiversity and ecosystem services in the New Aquitaine region," Bordeaux Economics Working Papers 2021-18, Bordeaux School of Economics (BSE).
  9. Céline Huber & Luc Doyen & Sylvie Ferrari, 2021. "Profitability and conservation goals reconciled through biodiversity offsets," Bordeaux Economics Working Papers 2021-19, Bordeaux School of Economics (BSE).
  10. Mathieu Cuilleret & Luc Doyen & Hélène Gomes & Fabian Blanchard, 2021. "Resilience-based management for small-scale fisheries in the face of global changes and uncertainties," Bordeaux Economics Working Papers 2021-20, Bordeaux School of Economics (BSE).
  11. Helene Gomes & Luc Doyen & Fabian Blanchard & Adrien Lagarde, 2021. "Viable and ecosystem-based management for tropical small-scale fisheries facing climate change," Bordeaux Economics Working Papers 2021-24, Bordeaux School of Economics (BSE).
  12. Coralie Kersulec & Luc Doyen & H. Gomes & Fabian Blanchard & A.A. Cisse & N. Sanz, 2021. "The Major Roles of Climate Warming and Ecological Competition in the Small-scale Coastal Fishery in French Guiana," Post-Print hal-03432904, HAL.
  13. Eric Tromeur & Luc Doyen & Violaine Tarizzo & L. Richard Little & Sarah Jennings & Olivier Thébaud, 2021. "Risk averse policies foster bio-economic sustainability in mixed fisheries," Post-Print halshs-03913035, HAL.

2020

  1. Monica Billio & Roberto Casarin & Enrica De Cian & Malcolm Mistry & Anthony Osuntuyi, 2020. "The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach," Papers 2012.14693, arXiv.org.
  2. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2020. "Modeling Turning Points In Global Equity Market," DEM Working Papers Series 195, University of Pavia, Department of Economics and Management.
  3. Monica Billio & Michele Costola & Loriana Pelizzon & Max Riedel, 2020. "Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case," Working Papers 2020:06, Department of Economics, University of Venice "Ca' Foscari".
  4. Irene Monasterolo & Monica Billio & Stefano Battiston, 2020. "The importance of compound risk in the nexus of COVID-19, climate change and finance," Working Papers 2020:15, Department of Economics, University of Venice "Ca' Foscari".
  5. Monica Billio & Michele Costola & Iva Histova & Carmelo Latino & Loriana Pelizzon, 2020. "Inside the ESG Ratings: (Dis)agreement and performance," Working Papers 2020:17, Department of Economics, University of Venice "Ca' Foscari".
  6. Giulia Carallo & Roberto Casarin & Christian P. Robert, 2020. "Generalized Poisson Difference Autoregressive Processes," Papers 2002.04470, arXiv.org.
  7. Hilde Christiane Bjørnland & Roberto Casarin & Marco Lorusso & Francesco Ravazzolo, 2020. "Oil and Fiscal Policy Regimes," Working Papers No 11/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    • Hilde C. Bjørnland & Roberto Casarin & Marco Lorusso & Francesco Ravazzolo, 2021. "Oil and fiscal policy regimes," CAMA Working Papers 2021-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  8. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2020. "A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance," Working Paper series 20-27, Rimini Centre for Economic Analysis.
  9. Tullio Buccellato & Riccardo Busin & Roberto Casarin & Giancarlo Corò, 2020. "Endogeneity in Interlocks and Performance Analysis: A Firm Size Perspective," Working Papers 2020:25, Department of Economics, University of Venice "Ca' Foscari".
  10. Adrien Nguyen-Huu & Antonin Pottier, 2020. "Hicksian Traverse Revisited: Conditions for the Energy Transition," Post-Print hal-03026476, HAL.
  11. Antonin Pottier & Adrien Nguyen-Huu, 2020. "No-regret Pollution Abatement Options: A Correction of Bréchet and Jouvet (2009)," Post-Print halshs-02615284, HAL.
  12. Adrien LAGARDE & Luc DOYEN & Joachim CLAUDET & Olivier THEBAUD, 2020. "Ecological-economic resilience of a fished coral reef through stochastic multi-species MSY," Bordeaux Economics Working Papers 2020-11, Bordeaux School of Economics (BSE).
  13. Helene Gomes & Coralie Kersulec & Luc Doyen & Fabian Blanchard & Abdoul Cisse & Nicolas Sanz, 2020. "Climate warming vs ecological competition for marine tropical biodiversity and fisheries," Bordeaux Economics Working Papers 2020-13, Bordeaux School of Economics (BSE).

2019

  1. Bedin, Andrea & Billio, Monica & Costola, Michele & Pelizzon, Loriana, 2019. "Credit scoring in SME asset-backed securities: An Italian case study," SAFE Working Paper Series 262, Leibniz Institute for Financial Research SAFE.
  2. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2019. "Forecast density combinations with dynamic learning for large data sets in economics and finance," Working Paper 2019/7, Norges Bank.
  3. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019. "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series BEMPS59, Faculty of Economics and Management at the Free University of Bozen.
  4. L. Mouysset & C. Rais Assa & Jean-Sauveur Ay & F. Jiguet & R. Lorrilière & L. Doyen, 2019. "Bioeconomic impacts of agroforestry policies in France," Post-Print hal-02101572, HAL.
  5. Luc Doyen, 2019. "Opérationnaliser la durabilité pour la gestion des écosystèmes tropicaux," Post-Print hal-02196622, HAL.
  6. Luc Doyen, 2019. "From Resistance to Transformation: A Generic Metric of Resilience Through Viability," Post-Print hal-02274034, HAL.
  7. Luc Doyen, 2019. "How fire risk aversion enhance landscape fragmentation," Post-Print hal-02274043, HAL.
  8. R. Quentin Grafton & Luc Doyen & Christophe Béné & Edoardo Borgomeo & Kate Brooks & Long Chu & Graeme S. Cumming & John Dixon & Stephen Dovers & Dustin Garrick & Ariella Helfgott & Qiang Jiang & Pamel, 2019. "Realizing resilience for decision-making," Post-Print hal-02733372, HAL.
    • R. Quentin Grafton & Luc Doyen & Christophe Béné & Edoardo Borgomeo & Kate Brooks & Long Chu & Graeme S. Cumming & John Dixon & Stephen Dovers & Dustin Garrick & Ariella Helfgott & Qiang Jiang & Pamel, 2019. "Realizing resilience for decision-making," Nature Sustainability, Nature, vol. 2(10), pages 907-913, October.
  9. Luc Doyen & Anne-Sophie Masure & Sébastien Lavaud, 2019. "RMA Newsletter - Spring 2019," Post-Print hal-02883851, HAL.
  10. Lauriane Mouysset & Rodolphe Sabatier & Félix Teillard & Luc Doyen & Frédéric Jiguet & Francois Leger & Muriel Tichit, 2019. "Solutions for a Win-Win Partnership between Agriculture and Biodiversity [Solutions pour un partenariat gagnant entre l'agriculture et la biodiversité]," Post-Print hal-02900435, HAL.
  11. Yanis Elalamy & Luc Doyen & Lauriane Mouysset, 2019. "Contribution of the land use allocation model for agroecosystems: The case of Torrecchia Vecchia," Post-Print hal-03143304, HAL.
  12. Luc Doyen & Pedro Gajardo, 2019. "Sustainability standards, multicriteria maximin, and viability," Post-Print hal-03143840, HAL.

2018

  1. Komla Mawulom Agudze & Monica Billio & Roberto Casarin & Francesco Ravazzolo, 2018. "Markov Switching Panel with Network Interaction Effects," Working Papers No 1/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  2. Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin, 2018. "Modeling Systemic Risk with Markov Switching Graphical SUR Models," Working Papers 626, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  3. Monica Billio & Roberto Casarin & Sylvia Kaufmann & Matteo Iacopini, 2018. "Bayesian Dynamic Tensor Regression," Working Papers 2018:13, Department of Economics, University of Venice "Ca' Foscari".
  4. Monica Billio & Roberto Casarin & Matteo Iacopini, 2018. "Bayesian Markov Switching Tensor Regression for Time-varying Networks," Working Papers 2018:14, Department of Economics, University of Venice "Ca' Foscari".
  5. Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Domenico Sartore, 2018. "A scoring rule for factor and autoregressive models under misspecification," Working Papers 2018:18, Department of Economics, University of Venice "Ca' Foscari".
  6. Casarin, Roberto & Costola, Michele & Yenerdag, Erdem, 2018. "Financial bridges and network communities," SAFE Working Paper Series 208, Leibniz Institute for Financial Research SAFE, revised 2018.
  7. Yu-Jui Huang & Adrien Nguyen-Huu, 2018. "Time-consistent stopping under decreasing impatience," Post-Print hal-01950058, HAL.
  8. Luc Doyen & Christophe Béné, 2018. "A generic metric of resilience from resistance to transformation," Cahiers du GREThA (2007-2019) 2018-03, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
  9. Pedro Gajardo & Luc Doyen, 2018. "Viability standards and multi-criteria maximin," Cahiers du GREThA (2007-2019) 2018-04, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
  10. Violaine Tarizzo & Eric Tromeur & Olivier Thébaud & Richard Little & Sarah Jennings & Luc Doyen, 2018. "Risk averse policies foster bio-economic sustainability in mixed fisheries," Cahiers du GREThA (2007-2019) 2018-07, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
  11. Bassirou Diop & Nicolas Sanz & Yves Jamont Junior Duplan & El Hadji Mama Guene & Fabian Blanchard & Jean-Christophe Pereau & Luc Doyen, 2018. "Maximum Economic Yield Fishery Management in the Face of Global Warming," Post-Print hal-01856160, HAL.
  12. Laurianne Mouysset & Luc Doyen & Francois Leger & Frédéric Jiguet & Tim G Benton, 2018. "Operationalizing Sustainability as a Safe Policy Space," Post-Print hal-01965779, HAL.
  13. Luc Doyen, 2018. "Tragedy of open ecosystems," Post-Print hal-02160806, HAL.
  14. Luc Doyen & Sébastien Lavaud & Anne-Sophie Masure, 2018. "RMA newsletter Spring 2018," Post-Print hal-02196599, HAL.
  15. Luc Doyen, 2018. "Plaine céréalière," Post-Print hal-02196614, HAL.
  16. Luc Doyen, 2018. "Ecological economic modeling and scenarios for biodiversity and ecosystems," Post-Print hal-02274069, HAL.
  17. Luc Doyen, 2018. "Bio-economic scenarios for biodiversity and land-uses," Post-Print hal-02274136, HAL.
  18. Luc Doyen, 2018. "Bio-economic scenarios for biodiversity," Post-Print hal-02274140, HAL.
  19. Luc Doyen, 2018. "The Right Job and the Job Right: Novelty, Impact and Journal Stratification in Science," Post-Print hal-02274528, HAL.
  20. Luc Doyen & Anne-Sophie Masure & Sébastien Lavaud, 2018. "RMA Newsletter - Fall 2018," Post-Print hal-02883861, HAL.
  21. Luc Doyen & Helene Gomes & Coralie Kersulec, 2018. "Développement de modèle pêcheries Guyane Française," Post-Print hal-02883910, HAL.
  22. Luc Doyen & Lauriane Mouysset, 2018. "Biodiversité en territoires de plaine et grandes cultures," Post-Print hal-02885374, HAL.
  23. Luc Doyen, 2018. "Mathematics for Scenarios of Biodiversity and Ecosystem Services," Post-Print hal-03118045, HAL.
  24. Eric Tromeur & Luc Doyen, 2018. "Optimal Harvesting Policies Threaten Biodiversity in Mixed Fisheries," Post-Print hal-03118051, HAL.

2017

  1. Monica Billio & Anna Petronevich, 2017. "Dynamical Interaction between Financial and Business Cycles," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01692239, HAL.
  2. Monica Billio & Lorenzo Frattarolo & Dominique Guegan, 2017. "Multivariate Reflection Symmetry of Copula Functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01592147, HAL.
  3. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017. "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series 166, Leibniz Institute for Financial Research SAFE.
  4. Marcellino, Massimiliano & Foroni, Claudia & Casarin, Roberto & Ravazzolo, Francesco, 2017. "Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model," CEPR Discussion Papers 12339, C.E.P.R. Discussion Papers.
  5. Yu-Jui Huang & Adrien Nguyen-Huu & Xun Yu Zhou, 2017. "General Stopping Behaviors of Naive and Non-Committed Sophisticated Agents, with Application to Probability Distortion," Papers 1709.03535, arXiv.org, revised Mar 2019.
  6. Yu-Jui Huang & Adrien Nguyen-Huu & Xun Yu Zhou, 2017. "Stopping Behaviors of Naïve and Non-Committed Sophisticated Agents when They Distort Probability [Comportement d'arrêt des agents naïfs et sophistiqués sous distorsion des probabilités perçues]," Working Papers hal-01586655, HAL.
  7. Lauriane MOUYSSET & Claire RAIS ASSA & Jean-Sauveur AY & Frédéric JIGUET & Romain LORRILIERE & Luc DOYEN, 2017. "A bio-economic analysis for land-uses and biodiversity in metropolitan France," Cahiers du GREThA (2007-2019) 2017-05, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
  8. Luc DOYEN & Claire ARMSTRONG & Stefan BAUMGARTNER & Christophe BÉNÉ & Fabian BLANCHARD & Abdoul Ahad CISSÉ & Rachel COOPER & Léo DUTA & Debora FREITAS & Sophie GOURGUET & Felipe GUSMAO & Astrid JARRE , 2017. "From no whinge policy to viability tree," Cahiers du GREThA (2007-2019) 2017-12, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
  9. Adrien Lagarde & Abdoul Ahad-Cissé & Sophie Gourguet & Olivier Le Pape & Olivier Thébaud & Nathalie Caill-Milly & Gilles Morandeau & Claire Macher & Luc Doyen, 2017. "How MMEY mitigates bio-economic impacts of climate change on mixed fisheries," Cahiers du GREThA (2007-2019) 2017-22, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
  10. Luc Doyen & Sébastien Lavaud & Anne-Sophie Masure, 2017. "RMA newsletter Spring 2017," Post-Print hal-02196591, HAL.
  11. Luc Doyen & Sébastien Lavaud & Anne-Sophie Masure, 2017. "RMA newsletter Fall 2017," Post-Print hal-02196595, HAL.
  12. Luc Doyen, 2017. "Ecological Economic Viability," Post-Print hal-02274258, HAL.
  13. Luc Doyen, 2017. "Ecological Economic Viability for fisheries," Post-Print hal-02274269, HAL.
  14. Luc Doyen, 2017. "Introduction to Special Issue on Modeling and sustainability of biodiversity and ecosystem services: Natural Resource Modeling," Post-Print hal-02879146, HAL.
  15. P.-Y. Hardy & C. Béné & L. Doyen & D. Mills, 2017. "Strengthening the resilience of small-scale fisheries: A modeling approach to explore the use of in-shore pelagic resources in Melanesia," Post-Print hal-02882464, HAL.
  16. Luc Doyen, 2017. "Introduction to Special Issue on Modeling and sustainability of biodiversity and ecosystem services," Post-Print hal-03118047, HAL.

2016

  1. Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse VAR models," Papers 1608.02740, arXiv.org, revised Oct 2018.
  2. Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016. "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01339826, HAL.
  3. Monica Billio & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix," Working Papers 2016:01, Department of Economics, University of Venice "Ca' Foscari".
  4. Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Networks in risk spillovers: a multivariate GARCH perspective," Working Papers 2016:03, Department of Economics, University of Venice "Ca' Foscari".
  5. Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse seemingly unrelated regression model (SUR)," Working Papers 2016:20, Department of Economics, University of Venice "Ca' Foscari".
  6. Billio, Monica & Donadelli, Michael & Paradiso, Antonio & Riedel, Max, 2016. "Which market integration measure?," SAFE Working Paper Series 159, Leibniz Institute for Financial Research SAFE.
  7. Matheus Grasselli & Adrien Nguyen-Huu, 2016. "Inventory growth cycles with debt-financed investment," Papers 1610.00955, arXiv.org.
  8. Adrien Nguyen-Huu & Antonin Pottier, 2016. "Debt and Investment in the Keen Model: a Reappraisal of Modeling Minsky [Dette et Investissement dans le modèle de Keen : quelle modélisation de Minsky ?]," Working Papers hal-01376552, HAL.
  9. Adrien Nguyen Huu & Antonin Pottier, 2016. "Credit and investment in the Goodwin-Keen model: a reappraisal," Working Papers hal-01448545, HAL.
  10. Jean-christophe PEREAU & Lauriane MOUYSSET & Luc DOYEN, 2016. "Groundwater management in food security context," Cahiers du GREThA (2007-2019) 2016-14, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
  11. Eric TROMEUR & Luc DOYEN, 2016. "Optimal biodiversity erosion in multispecies fisheries," Cahiers du GREThA (2007-2019) 2016-20, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
  12. Luc Doyen & P. Roche & Muriel Tichit, 2016. "Concepts et formalismes de la durabilité pour la biodiversité et les services écosystémiques," Post-Print hal-02160804, HAL.
  13. Laurianne Mouysset & M Miglianico & D Makowski & F Jiguet & L Doyen, 2016. "Dynamic models for bird community in farming landscapes," Post-Print hal-02234407, HAL.
  14. Luc Doyen, 2016. "Ecological economic for tropical ecosystems," Post-Print hal-02274318, HAL.
  15. Luc Doyen, 2016. "Challenges for Mathematics of Planet Earth," Post-Print hal-02274335, HAL.
  16. Sébastien Lavaud & Luc Doyen, 2016. "Réseau SEAVIEW," Post-Print hal-02883940, HAL.

2015

  1. Dominique Guegan & Monica Billio & Ludovic Calès, 2015. "A Rank-based Approach to Cross-Sectional Analysis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00646073, HAL.
  2. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2015. "Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode," Tinbergen Institute Discussion Papers 15-111/III, Tinbergen Institute.
  3. Monica Billio & Roberto Casarin & Michele Costola & Andrea Pasqualini, 2015. "An entropy-based early warning indicator for systemic risk," Working Papers 2015:09, Department of Economics, University of Venice "Ca' Foscari".
  4. Monica Billio & Michael Donadelli & Antonio Paradiso & Max Riedel, 2015. "Measuring Financial Integration: Lessons from the Correlation," Working Papers 2015:23, Department of Economics, University of Venice "Ca' Foscari".
  5. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2015. "Bayesian nonparametric calibration and combination of predictive distributions," Working Paper 2015/03, Norges Bank.
  6. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2015. "Dynamic predictive density combinations for large data sets in economics and finance," Working Paper 2015/12, Norges Bank.
  7. CISSE Abdoul & SANZ Nicolas & BLANCHARD Fabien & DOYEN Luc & PEREAU Jean-Christophe, 2015. "The tragedy of ecosystems in open-access," Cahiers du GREThA (2007-2019) 2015-02, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
  8. Michel de Lara & Vincent Martinet & Luc Doyen, 2015. "Satisficing versus optimality: criteria for sustainability," Post-Print hal-01123050, HAL.
  9. Lauriane Mouysset & Luc Doyen & Jean-Christophe Pereau & Frédéric Jiguet, 2015. "Benefits and costs of biodiversity in agricultural public policies," Post-Print hal-01565811, HAL.
  10. Luc Doyen, 2015. "Viability for ecosystem based fisheries management," Post-Print hal-02274354, HAL.
  11. Luc Doyen, 2015. "EcoViability for ecosystem based fisheries management," Post-Print hal-02274415, HAL.
  12. Luc Doyen, 2015. "Introduction," Post-Print hal-02274419, HAL.
  13. Luc Doyen, 2015. "EcoViability for fisheries management in French Guiana," Post-Print hal-02274430, HAL.
  14. Luc Doyen, 2015. "Bio-economic scenarios for marine biodiversity and fisheries," Post-Print hal-02274518, HAL.
  15. Abdoul Ahad Cisse & L. Doyen & Fabian Blanchard & C. Béné & Jean-Christophe Pereau, 2015. "Ecoviability for small-scale fisheries in the context of food security constraints," Post-Print hal-02485117, HAL.
  16. Luc Doyen & Adrien Lagarde & Abdoul Ahad Cisse & Sophie Gourguet, 2015. "Développement de modèle pêcheries Golfe de Gascogne," Post-Print hal-02883919, HAL.
  17. Luc Doyen & Adrien Lagarde, 2015. "Développement de modèle pêcheries Polynésie Française," Post-Print hal-02883934, HAL.
  18. Bassirou Diop & Nicolas Sanz & Yves Jamont Junior Duplan & Elhadji Mama Guene & Fabian Blanchard & Luc Doyen & Jean-Christophe Pereau, 2015. "Global warming and the collapse of the French Guiana shrimp fishery," Working Papers hal-01243305, HAL.

2014

  1. Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01310513, HAL.
  2. Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "The univariate MT-STAR model and a new linearity and unit root test procedure," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01310518, HAL.
  3. Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "Turning point chronology for the euro area: A distance plot approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01310533, HAL.
  4. Roberto Casarin & Monica Billio & Anthony Osuntuyi, 2014. "Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets," Working Papers 2014:07, Department of Economics, University of Venice "Ca' Foscari".
  5. Roberto Casarin & Komla Mawulom Agudze & Monica Billio & Eric Girardin, 2014. "Growth-cycle phases in China�s provinces: A panel Markov-switching approach," Working Papers 2014:19, Department of Economics, University of Venice "Ca' Foscari".
  6. Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio, 2014. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Working Papers 2014:29, Department of Economics, University of Venice "Ca' Foscari".
  7. Roberto Casarin & Fabrizio Leisen & German Molina & Enrique ter Horst, 2014. "A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities," Papers 1409.1956, arXiv.org.
  8. Roberto Casarin, 2014. "A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices," Working Papers 2014:23, Department of Economics, University of Venice "Ca' Foscari".
  9. Adrien Nguyen Huu & Nadia Oudjane, 2014. "Hedging Expected Losses on Derivatives in Electricity Futures Markets," Papers 1401.8271, arXiv.org.
  10. Adrien Nguyen Huu & Oumar Mbodji & A Nguyen-Huu & Traian A. Pirvu, 2014. "Optimal Sharing Rule for a Household with a Portfolio Management Problem," Papers 1402.1052, arXiv.org, revised Jan 2019.
  11. Matheus Grasselli & Adrien Nguyen Huu, 2014. "Inflation and speculation in a dynamic macroeconomic model," Papers 1412.7500, arXiv.org.
  12. Luc Doyen & R. A Deng & C. M. Dichmont & Sophie Gourguet & S. Jennings & L. Richard Little & S. Pascoe & Olivier Thébaud, 2014. "Risk versus Economic Performance in a Mixed Fishery," Post-Print hal-01134866, HAL.
  13. Jean-Sauveur Ay & Raja Chakir & Luc Doyen & Frédéric Jiguet & Paul Leadley, 2014. "Integrated models, scenarios and dynamics of climate, land use and common birds," Post-Print hal-01173053, HAL.
  14. Olivier Thébaud & Nick Ellis & L. Richard Little & Luc Doyen & Ross J. Marriott, 2014. "Viability trade-offs in the evaluation of strategies to manage recreational fishing in a marine park," Post-Print hal-01725535, HAL.
  15. Luc Doyen, 2014. "Scénarios et modélisation écologico-économiques," Post-Print hal-02274524, HAL.
  16. Luc Doyen, 2014. "Co-Viability modelling for the resilience of socio-ecosystems," Post-Print hal-02274525, HAL.
  17. Laurianne Mouysset & Luc Doyen & Frederic Jiguet, 2014. "Sustainable agriculture with profitable farming and biodiversity conservation," Working Papers hal-02160800, HAL.
  18. Luc Doyen, 2014. "Pêches maritimes : comment concilier exploitation et préservation des ressources halieutiques ?," Working Papers hal-02160803, HAL.

2013

  1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Paper 2013/20, Norges Bank.
  2. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear dynamics and recurrence plots for detecting financial crisis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00964975, HAL.
  3. Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2013. "Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00965005, HAL.
  4. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Understanding Exchange Rates Dynamics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00803447, HAL.
  5. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00803457, HAL.
  6. Monica Billio & Gregory Jannin & Bertrand Maillet & Loriana Pelizzon, 2013. "Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure," Working Papers 2013:22, Department of Economics, University of Venice "Ca' Foscari".
  7. Monica Billio & Maddalena Cavicchioli, 2013. "�Markov Switching Models for Volatility: Filtering, Approximation and Duality�," Working Papers 2013:24, Department of Economics, University of Venice "Ca' Foscari".
  8. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox," CREATES Research Papers 2013-09, Department of Economics and Business Economics, Aarhus University.
  9. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
  10. Federico Bassetti & Roberto Casarin & Fabrizio Leisen, 2013. "Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference," Working Papers 2013:13, Department of Economics, University of Venice "Ca' Foscari".
  11. Fabrizio Leisen & Roberto Casarin & David Luengo & Luca Martino, 2013. "Adaptive Sticky Generalized Metropolis," Working Papers 2013:19, Department of Economics, University of Venice "Ca' Foscari".
  12. Adrien Nguyen Huu, 2013. "Investment under uncertainty, competition and regulation," Papers 1309.1844, arXiv.org, revised Feb 2014.
  13. Bruno Bouchard & Adrien Nguyen Huu, 2013. "No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs," Post-Print hal-00487030, HAL.
  14. A.A. Cisse & L. Doyen & F. Blanchard & J.C. Pereau, 2013. "Stochastic viability of the coastal fishery in French Guiana," Documents de Travail 2013-07, CEREGMIA, Université des Antilles et de la Guyane.
  15. Lauriane MOUYSSET & Luc DOYEN & Jean-Christophe PEREAU & Fréderic JIGUET, 2013. "A double benefit of biodiversity in agriculture," Cahiers du GREThA (2007-2019) 2013-04, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
  16. P. Y. Hardy & C. Bene & L. Doyen & J. C. Pereau & D. Miles, 2013. "Viability and resilience of small-scale fisheries through cooperative arrangements," Cahiers du GREThA (2007-2019) 2013-18, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
  17. Marc Leandri & Jean-Christophe Pereau & Luc Doyen & Patrick Point, 2013. "L'apport des sciences humaines pour l'aide à la décision," Post-Print hal-00798293, HAL.
  18. Sophie Gourguet & Claire Macher & Luc Doyen & Olivier Thébaud & M. Bertignac & Olivier Guyader, 2013. "Managing mixed fisheries for bio-economic viability," Post-Print hal-00835634, HAL.
  19. Lauriane Mouysset & Luc Doyen & Frédéric Jiguet, 2013. "Risk-averse behaviour may improve farmland biodiversity," Working Papers hal-01590490, HAL.

2012

  1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper 2012/04, Norges Bank.
  2. Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00694420, HAL.
  3. Monica Billio & Ludovic Calès & Dominique Guegan, 2012. "Cross-Sectional Analysis through Rank-based Dynamic Portfolios," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00707430, HAL.
  4. Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Documents de travail du Centre d'Economie de la Sorbonne 12023r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2013.
  5. Monica Billio & Ludovic Calès & Dominique Guegan, 2012. "Cross-Sectional Analysis through Rank-based Dynamic," Documents de travail du Centre d'Economie de la Sorbonne 12036, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  6. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Time-varying Combinations of Predictive Densities using Nonlinear Filtering," Tinbergen Institute Discussion Papers 12-118/III, Tinbergen Institute.
  7. Monica Billio & Massimiliano Caporin & Loriana Pelizzon & Domenico Sartore, 2012. "CDS Industrial Sector Indices, credit and liquidity risk," Working Papers 2012_09, Department of Economics, University of Venice "Ca' Foscari".
  8. Monica Billio & Massimiliano Caporin & Michele Costola, 2012. "Backward/forward optimal combination of performance measures for equity screening," Working Papers 2012_13, Department of Economics, University of Venice "Ca' Foscari".
  9. Monica Billio & Roberto Casarin & Anthony Osuntuyi, 2012. "Efficient Gibbs Sampling for Markov Switching GARCH Models," Working Papers 2012:35, Department of Economics, University of Venice "Ca' Foscari".
  10. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2012. "Bayesian Graphical Models for Structural Vector Autoregressive Processes," Working Papers 2012:36, Department of Economics, University of Venice "Ca' Foscari".
  11. Roberto Casarin & Flaminio Squazzoni, 2012. "Financial press and stock markets in times of crisis," Working Papers 2012_04, Department of Economics, University of Venice "Ca' Foscari".
  12. Lauriane MOUYSSET & Luc DOYEN & Fréderic JIGUET, 2012. "How does the economic risk aversion affect biodiversity?," Cahiers du GREThA (2007-2019) 2012-03, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).

2011

  1. Dominique Guegan & Ludovic Calès & Monica Billio, 2011. "A Cross-Sectional Score for the Relative Performance of an Allocation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00646070, HAL.
  2. Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A test for a new modelling : The Univariate MT-STAR Model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00659158, HAL.
  3. Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A New Modelling Test: The Univariate MT-STAR Model," Documents de travail du Centre d'Economie de la Sorbonne 11083r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Aug 2013.
  4. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index," Tinbergen Institute Discussion Papers 11-082/4, Tinbergen Institute.
  5. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-172/4, Tinbergen Institute.
  6. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2011. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," Working Papers 2011_21, Department of Economics, University of Venice "Ca' Foscari".
  7. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
  8. Bassetti, Federico & Casarin, Roberto & Leisen, Fabrizio, 2011. "Beta-product Poisson-Dirichlet Processes," DES - Working Papers. Statistics and Econometrics. WS 12160, Universidad Carlos III de Madrid. Departamento de Estadística.
  9. Casarin, Roberto & Craiu, Radu & Leisen, Fabrizio, 2011. "Interacting multiple -- Try algorithms with different proposal distributions," DES - Working Papers. Statistics and Econometrics. WS ws110402, Universidad Carlos III de Madrid. Departamento de Estadística.
  10. Adrien Nguyen Huu, 2011. "A note on super-hedging for investor-producers," Papers 1112.4740, arXiv.org, revised Mar 2012.
  11. Jean-Christophe PEREAU & Luc DOYEN & Rich LITTLE & Olivier THEBAUD, 2011. "The triple bottom line: Meeting ecological, economic and social goals with Individual Transferable Quotas," Cahiers du GREThA (2007-2019) 2011-01, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
  12. Abdoul CISSE & Sophie GOURGUET & Luc DOYEN & Fabian BLANCHARD & Jean-Christophe PEREAU, 2011. "A bio-economic model for the ecosystem-based management of the coastal fishery in French Guiana," Cahiers du GREThA (2007-2019) 2011-38, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
  13. Lauriane Mouysset & Luc Doyen & Frédéric Jiguet & Gilles Allaire & Francois Leger, 2011. "Bio economic modeling for a sustainable management of biodiversity in agricultural lands," Post-Print hal-01019733, HAL.

2010

  1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2010. "Combining predictive densities using Bayesian filtering with applications to US economics data," Working Paper 2010/29, Norges Bank.
  2. Monica Billio & Ludovic Calès & Dominique Guegan, 2010. "A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00476038, HAL.
  3. Monica Billio & Ludovic Calès & Dominique Guegan, 2010. "A Cross-Sectional Performance Measure for Portfolio Management," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00523466, HAL.
  4. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.
  5. Monica Billio & Roberto Casarin, 2010. "Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis," Working Papers 1002, University of Brescia, Department of Economics.
  6. Michel De Lara & Vincent Martinet & Luc Doyen, 2010. "Risk and Sustainability: Is Viability that far from Optimality?," Working Papers 2010/02, INRA, Economie Publique.
  7. Vincent Martinet & Luc Doyen, 2010. "Maximin, Viability and Sustainability," EconomiX Working Papers 2010-19, University of Paris Nanterre, EconomiX.

2009

  1. Monica Billio & Ludovic Calès & Dominique Guegan, 2009. "Portfolio Symmetry and Momentum," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00363383, HAL.
  2. Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009. "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00423890, HAL.
  3. René Aïd & Luciano Campi & Adrien Nguyen Huu & Nizar Touzi, 2009. "A structural risk-neutral model of electricity prices," Post-Print hal-00390690, HAL.
  4. Luc DOYEN & Jean-Christophe PEREAU, 2009. "Sustainable coalitions in the commons," Cahiers du GREThA (2007-2019) 2009-15, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
  5. J.C.J. Groot & W.H.A. Rossing & M. Tichit & N. Turpin & A. Jellema & J. Baudry & P.H. Verburg & L. Doyen & G.W.J. van de Ven, 2009. "On the contribution of modelling to multifunctional agriculture: Learning from comparisons," Post-Print hal-00455433, HAL.

2008

  1. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics.
  2. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, Department of Economics, University of Venice "Ca' Foscari".
  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, Department of Economics, University of Venice "Ca' Foscari".
  4. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers 0814, University of Brescia, Department of Economics.
  5. Roberto Casarin & Domenico sartore, 2008. "Matrix-State Particle Filter for Wishart Stochastic Volatility Processes," Working Papers 0816, University of Brescia, Department of Economics.
  6. Roberto Casarin & Loriana Pelizzon & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 0817, University of Brescia, Department of Economics.
  7. Luc Doyen & Christophe Béné & Olivier Thébaud & Fabian Blanchard & Vincent Martinet, 2008. "Co-viability modelling and the ecosystem approach to fisheries management," Post-Print hal-00368412, HAL.
  8. Vincent Martinet & Olivier Thébaud & Luc Doyen, 2008. "Selecting viable recovery paths towards sustainable fisheries," Post-Print hal-00368624, HAL.
  9. L. Doyen & Patrice Dumas & P. Ambrosi, 2008. "Optimal timing of CO2 mitigation policies for a cost-effectiveness model," Post-Print hal-00716356, HAL.

2007

  1. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2007. "Dynamic Risk Exposure in Hedge Funds," Working Papers 2007_17, Department of Economics, University of Venice "Ca' Foscari".
  2. Monica Billio & Massimiliano Caporin, 2007. "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers 2007_18, Department of Economics, University of Venice "Ca' Foscari".
  3. Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007. "Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI," Working Papers 2007_19, Department of Economics, University of Venice "Ca' Foscari".
  4. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "Business Cycle Analysis with Multivariate Markov Switching Models," Working Papers 2007_32, Department of Economics, University of Venice "Ca' Foscari".
  5. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "A turning point chronology for the Euro-zone," Working Papers 2007_33, Department of Economics, University of Venice "Ca' Foscari".
  6. Monica Billio & Roberto Casarin & Domenico Sartore, 2007. "Bayesian Inference on Dynamic Models with Latent Factors," Working Papers 2007_34, Department of Economics, University of Venice "Ca' Foscari".
  7. Roberto Casarin & Jean-Michel Marin, 2007. "Online data processing: comparison of Bayesian regularized particle filters," Working Papers 0703, University of Brescia, Department of Economics.
  8. Vincent Martinet & Olivier Thébaud & Luc Doyen, 2007. "Defining viable recovery path toward sustainable fisheries," Post-Print hal-01186921, HAL.
  9. Vincent Martinet & Luc Doyen, 2007. "Sustainability of an economy with an exhaustible resource: A viable control approach," Post-Print hal-01186925, HAL.

2006

  1. Roberto Casarin & Monica Billio, 2006. "Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints," Working Papers ubs0618, University of Brescia, Department of Economics.
  2. Monica Billio & Silvestro Di Sanzo, 2006. "Granger-causality in Markov Switching Models," Working Papers 2006_20, Department of Economics, University of Venice "Ca' Foscari".
  3. Monica Billio & Massimiliano Caporin, 2006. "A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation," Working Papers 2006_53, Department of Economics, University of Venice "Ca' Foscari".
  4. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2006. "Phase-Locking and Switching Volatility in Hedge Funds," Working Papers 2006_54, Department of Economics, University of Venice "Ca' Foscari".
  5. Roberto Casarin & Carmine Trecroci, 2006. "Business Cycle and Stock Market Volatility: A Particle Filter Approach," Working Papers ubs0603, University of Brescia, Department of Economics.
  6. Luc Doyen & Vincent Martinet & Olivier Thebaud, 2006. "Recovering viable fisheries," EconomiX Working Papers 2006-5, University of Paris Nanterre, EconomiX.
  7. L. Doyen & J.C. Pereau, 2006. "A sustainable management of renewable resource with a quota market," Computing in Economics and Finance 2006 10, Society for Computational Economics.
  8. Michel De Lara & Luc Doyen & Therese Guilbaud & Marie-Joelle Rochet, 2006. "Sustainable management of fisheries: an illustration of viability concepts and methods," Computing in Economics and Finance 2006 91, Society for Computational Economics.

2005

  1. Roberto Casarin, 2005. "Stochastic Processes in Credit Risk Modelling," Working Papers ubs0505, University of Brescia, Department of Economics.

2003

  1. V.Martinet & L. Doyen, 2003. "Sustainable management of an exhaustible resource:a viable control model," THEMA Working Papers 2003-36, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  2. L. Doyen & C Bene, 2003. "Sustainability of fisheries through marine reserves: a robust modeling analysis," Post-Print hal-00716683, HAL.

1999

  1. Monica Billio & Alain Monfort, 1999. "Functional Indirect Inference," Working Papers 99-01, Center for Research in Economics and Statistics.

1998

  1. Monica Billio & Alain Monfort & Christian P, Robert, 1998. "The Simulated Likelihood Ratio (SLR) Method," Working Papers 98-21, Center for Research in Economics and Statistics.

Journal articles

2025

  1. Sina, A. & Billio, M. & Dufour, A. & Rocciolo, F. & Varotto, S., 2025. "The systemic risk of leveraged and covenant-lite loan syndications," International Review of Financial Analysis, Elsevier, vol. 97(C).
  2. Billio, Monica & Butticè, Vincenzo & Pietro, Francesca Di & Tenca, Francesca & Vismara, Silvio, 2025. "Rising tides, rising funds: Floods and climate mitigation campaigns in equity crowdfunding," Finance Research Letters, Elsevier, vol. 74(C).
  3. Billio, M. & Busetto, F. & Dufour, A. & Varotto, S., 2025. "Bond supply expectations and the term structure of interest rates," Journal of International Money and Finance, Elsevier, vol. 150(C).

2024

  1. Billio, Monica & Casarin, Roberto & Costola, Michele & Iacopini, Matteo, 2024. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Econometrics and Statistics, Elsevier, vol. 29(C), pages 113-131.
  2. Ahelegbey, Daniel Felix & Billio, Monica & Casarin, Roberto, 2024. "Modeling Turning Points in the Global Equity Market," Econometrics and Statistics, Elsevier, vol. 30(C), pages 60-75.
  3. Billio, Monica & Casarin, Roberto & Costola, Michele & Veggente, Veronica, 2024. "Learning from experts: Energy efficiency in residential buildings," Energy Economics, Elsevier, vol. 136(C).
  4. Billio, Monica & Dufour, Alfonso & Segato, Samuele & Varotto, Simone, 2024. "Corrigendum to “Complexity and the default risk of mortgage-backed securities” [Journal of Banking and Finance 155 (2023) 106993]," Journal of Banking & Finance, Elsevier, vol. 166(C).
  5. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2024. "Correction to: A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 332(1), pages 1271-1271, January.
  6. Monica Billio & Roberto Casarin & Matteo Iacopini, 2024. "Bayesian Markov-Switching Tensor Regression for Time-Varying Networks," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(545), pages 109-121, January.
  7. Baltodano López Ovielt & Bulfone Giacomo & Casarin Roberto & Ravazzolo Francesco, 2024. "Modeling Corporate CDS Spreads Using Markov Switching Regressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 271-292, April.
  8. Casarin Roberto & Peruzzi Antonio, 2024. "A Dynamic Latent-Space Model for Asset Clustering," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 379-402, April.
  9. Carallo, Giulia & Casarin, Roberto & Robert, Christian P., 2024. "Generalized Poisson difference autoregressive processes," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1359-1390.
  10. Roberto Casarin & Bertrand B. Maillet & Anthony Osuntuyi, 2024. "Monte carlo within simulated annealing for integral constrained optimizations," Annals of Operations Research, Springer, vol. 334(1), pages 205-240, March.
  11. Roberto Casarin & Mauro Costantini & Anthony Osuntuyi, 2024. "Bayesian Nonparametric Panel Markov-Switching GARCH Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(1), pages 135-146, January.
  12. Açıkgöz, Bernur & Dubois, Dimitri & Nguyen-Huu, Adrien & Duchêne, Sébastien & Willinger, Marc, 2024. "Depth of reasoning in the 11–20 game differs between financial professionals and students. A lab-in-the-field experiment," Economics Letters, Elsevier, vol. 239(C).
  13. Kersulec, Coralie & Doyen, Luc & Cissé, Abdoul Ahad, 2024. "From fork to fish: The role of demand on the sustainability of multi-species fishery," Ecological Economics, Elsevier, vol. 225(C).

2023

  1. Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2023. "Networks in risk spillovers: A multivariate GARCH perspective," Econometrics and Statistics, Elsevier, vol. 28(C), pages 1-29.
  2. Billio, Monica & Dufour, Alfonso & Segato, Samuele & Varotto, Simone, 2023. "Complexity and the default risk of mortgage-backed securities," Journal of Banking & Finance, Elsevier, vol. 155(C).
  3. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto & Pelizzon, Loriana, 2023. "The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 196-223.
  4. Monica Billio & Roberto Casarin & Matteo Iacopini & Sylvia Kaufmann, 2023. "Bayesian Dynamic Tensor Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 429-439, April.
  5. Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2023. "A flexible predictive density combination for large financial data sets in regular and crisis periods," Journal of Econometrics, Elsevier, vol. 237(2).
  6. Galdi, Giulio & Casarin, Roberto & Ferrari, Davide & Fezzi, Carlo & Ravazzolo, Francesco, 2023. "Nowcasting industrial production using linear and non-linear models of electricity demand," Energy Economics, Elsevier, vol. 126(C).

2022

  1. Agudze, Komla M. & Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco, 2022. "Markov switching panel with endogenous synchronization effects," Journal of Econometrics, Elsevier, vol. 230(2), pages 281-298.
  2. Monica Billio & Michele Costola & Loriana Pelizzon & Max Riedel, 2022. "Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case," The Journal of Real Estate Finance and Economics, Springer, vol. 65(3), pages 419-450, October.
  3. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
  4. Roberto Casarin & Jorge E. Camargo & German Molina & Enrique ter Horst, 2022. "A framework for information synthesis into sentiment indicators using text mining methods," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(15), pages 5265-5283, June.
  5. Cuilleret, Mathieu & Doyen, Luc & Gomes, Hélène & Blanchard, Fabian, 2022. "Resilience management for coastal fisheries facing with global changes and uncertainties," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 634-656.

2021

  1. Billio Monica & Frattarolo Lorenzo & Guégan Dominique, 2021. "Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case," Dependence Modeling, De Gruyter, vol. 9(1), pages 43-61, January.
  2. Monica Billio & Michele Costola & Iva Hristova & Carmelo Latino & Loriana Pelizzon, 2021. "Inside the ESG ratings: (Dis)agreement and performance," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 28(5), pages 1426-1445, September.
  3. Casarin, Roberto & Costantini, Mauro & Paradiso, Antonio, 2021. "On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting," Economic Modelling, Elsevier, vol. 105(C).
  4. Tromeur, Eric & Doyen, Luc & Tarizzo, Violaine & Little, L. Richard & Jennings, Sarah & Thébaud, Olivier, 2021. "Risk averse policies foster bio-economic sustainability in mixed fisheries," Ecological Economics, Elsevier, vol. 190(C).

2020

  1. M. Billio & M. Donadelli & G. Livieri & A. Paradiso, 2020. "On the role of domestic and international financial cyclical factors in driving economic growth," Applied Economics, Taylor & Francis Journals, vol. 52(11), pages 1272-1297, March.
  2. Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore, 2020. "A Scoring Rule for Factor and Autoregressive Models Under Misspecification," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
  3. Roberto Casarin & Matteo Iacopini & German Molina & Enrique ter Horst & Ramon Espinasa & Carlos Sucre & Roberto Rigobon, 2020. "Multilayer network analysis of oil linkages," The Econometrics Journal, Royal Economic Society, vol. 23(2), pages 269-296.
  4. Giacomo Bormetti & Roberto Casarin & Fulvio Corsi & Giulia Livieri, 2020. "A Stochastic Volatility Model With Realized Measures for Option Pricing," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(4), pages 856-871, October.
  5. Yu‐Jui Huang & Adrien Nguyen‐Huu & Xun Yu Zhou, 2020. "General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion," Mathematical Finance, Wiley Blackwell, vol. 30(1), pages 310-340, January.
  6. Nguyen-Huu, Adrien & Pottier, Antonin, 2020. "Hicksian traverse revisited: Conditions for the energy transition," Structural Change and Economic Dynamics, Elsevier, vol. 54(C), pages 102-111.

2019

  1. Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019. "Opinion Dynamics and Disagreements on Financial Networks," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 24-51, December.
  2. Bianchi, Daniele & Billio, Monica & Casarin, Roberto & Guidolin, Massimo, 2019. "Modeling systemic risk with Markov Switching Graphical SUR models," Journal of Econometrics, Elsevier, vol. 210(1), pages 58-74.
  3. Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019. "Bayesian nonparametric sparse VAR models," Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
  4. Andrea Bedin & Monica Billio & Michele Costola & Loriana Pelizzon, 2019. "Credit Scoring in SME Asset-Backed Securities: An Italian Case Study," JRFM, MDPI, vol. 12(2), pages 1-28, May.
  5. Roberto Casarin & German Molina & Enrique ter Horst, 2019. "A Bayesian time varying approach to risk neutral density estimation," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(1), pages 165-195, January.
  6. Casarin, Roberto & Costola, Michele, 2019. "Structural changes in large economic datasets: A nonparametric homogeneity test," Economics Letters, Elsevier, vol. 176(C), pages 55-59.
  7. Mbodji, O.S. & Nguyen-Huu, A. & Pirvu, T.A., 2019. "Optimal sharing rule for a household with a portfolio management problem," Mathematical Social Sciences, Elsevier, vol. 101(C), pages 88-98.
  8. Doyen, L. & Armstrong, C. & Baumgärtner, S. & Béné, C. & Blanchard, F. & Cissé, A.A. & Cooper, R. & Dutra, L.X.C. & Eide, A. & Freitas, D. & Gourguet, S. & Gusmao, F. & Hardy, P.-Y. & Jarre, A. & Litt, 2019. "From no whinge scenarios to viability tree," Ecological Economics, Elsevier, vol. 163(C), pages 183-188.
  9. Mouysset, L. & Rais Assa, C. & Ay, J-S. & Jiguet, F. & Lorrilière, R. & Doyen, L., 2019. "Bioeconomic impacts of agroforestry policies in France," Land Use Policy, Elsevier, vol. 85(C), pages 239-248.
  10. R. Quentin Grafton & Luc Doyen & Christophe Béné & Edoardo Borgomeo & Kate Brooks & Long Chu & Graeme S. Cumming & John Dixon & Stephen Dovers & Dustin Garrick & Ariella Helfgott & Qiang Jiang & Pamel, 2019. "Realizing resilience for decision-making," Nature Sustainability, Nature, vol. 2(10), pages 907-913, October.
    • R. Quentin Grafton & Luc Doyen & Christophe Béné & Edoardo Borgomeo & Kate Brooks & Long Chu & Graeme S. Cumming & John Dixon & Stephen Dovers & Dustin Garrick & Ariella Helfgott & Qiang Jiang & Pamel, 2019. "Realizing resilience for decision-making," Post-Print hal-02733372, HAL.

2018

  1. Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2018. "Markov switching GARCH models for Bayesian hedging on energy futures markets," Energy Economics, Elsevier, vol. 70(C), pages 545-562.
  2. Racca, P. & Casarin, R. & Dondio, P. & Squazzoni, F., 2018. "Relating group size and posting activity of an online community of financial investors: Regularities and seasonal patterns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 493(C), pages 458-466.
  3. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2018. "Bayesian Nonparametric Calibration and Combination of Predictive Distributions," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(522), pages 675-685, April.
  4. Roberto Casarin & Domenico Sartore & Marco Tronzano, 2018. "A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 101-114, January.
  5. Grasselli, Matheus R. & Nguyen-Huu, Adrien, 2018. "Inventory growth cycles with debt-financed investment," Structural Change and Economic Dynamics, Elsevier, vol. 44(C), pages 1-13.
  6. Yu-Jui Huang & Adrien Nguyen-Huu, 2018. "Time-consistent stopping under decreasing impatience," Finance and Stochastics, Springer, vol. 22(1), pages 69-95, January.
  7. Lagarde, A. & Doyen, L. & Ahad-Cissé, A. & Caill-Milly, N. & Gourguet, S. & Pape, O. Le & Macher, C. & Morandeau, G. & Thébaud, O., 2018. "How Does MMEY Mitigate the Bioeconomic Effects of Climate Change for Mixed Fisheries," Ecological Economics, Elsevier, vol. 154(C), pages 317-332.
  8. Diop, Bassirou & Sanz, Nicolas & Duplan, Yves Jamont Junior & Guene, El Hadji Mama & Blanchard, Fabian & Pereau, Jean-Christophe & Doyen, Luc, 2018. "Maximum Economic Yield Fishery Management in the Face of Global Warming," Ecological Economics, Elsevier, vol. 154(C), pages 52-61.
  9. Lauriane Mouysset & Luc Doyen & François Léger & Frédéric Jiguet & Tim G. Benton, 2018. "Operationalizing Sustainability as a Safe Policy Space," Sustainability, MDPI, vol. 10(10), pages 1-9, October.
  10. Jean-Christophe Pereau & Lauriane Mouysset & Luc Doyen, 2018. "Groundwater Management in a Food Security Context," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 71(2), pages 319-336, October.
  11. L. Doyen & A. A. Cissé & N. Sanz & F. Blanchard & J.-C. Pereau, 2018. "The Tragedy of Open Ecosystems," Dynamic Games and Applications, Springer, vol. 8(1), pages 117-140, March.

2017

  1. Billio, M. & Donadelli, M. & Paradiso, A. & Riedel, M., 2017. "Which market integration measure?," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 150-174.
  2. Antonin Pottier & Adrien Nguyen-Huu, 2017. "Debt and investment in the Keen model: a reappraisal of modelling Minsky," Review of Keynesian Economics, Edward Elgar Publishing, vol. 5(4), pages 631–647-6, October.

2016

  1. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Annals of Economics and Statistics, GENES, issue 123-124, pages 333-361.
  2. Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2016. "Efficient Gibbs sampling for Markov switching GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 37-57.
  3. Billio, Monica & Casarin, Roberto & Costola, Michele & Pasqualini, Andrea, 2016. "An entropy-based early warning indicator for systemic risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 42-59.
  4. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016. "Bayesian Graphical Models for STructural Vector Autoregressive Processes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(2), pages 357-386, March.
  5. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. Van Dijk, 2016. "Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1352-1370, November.
  6. Roberto Casarin & Giulia Mantoan & Francesco Ravazzolo, 2016. "Bayesian Calibration of Generalized Pools of Predictive Distributions," Econometrics, MDPI, vol. 4(1), pages 1-24, March.
  7. Nalan Baştürk & Roberto Casarin & Francesco Ravazzolo & Herman K. Van Dijk, 2016. "Computational Complexity and Parallelization in Bayesian Econometric Analysis," Econometrics, MDPI, vol. 4(1), pages 1-3, February.
  8. Hardy, P.-Y. & Béné, C. & Doyen, L. & Pereau, J.C. & Mills, D., 2016. "Viability and resilience of small-scale fisheries through cooperative arrangements," Environment and Development Economics, Cambridge University Press, vol. 21(6), pages 713-741, December.

2015

  1. Billio, Monica & Caporin, Massimiliano & Costola, Michele, 2015. "Backward/forward optimal combination of performance measures for equity screening," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 63-83.
  2. Monica Billio & Silvio Di Sanzo, 2015. "Granger-causality in Markov switching models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(5), pages 956-966, May.
  3. Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2015. "Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 68(i03).
  4. Roberto Casarin & Niccolò Casnici & Pierpaolo Dondio & Flaminio Squazzoni, 2015. "Back to Basics! The Educational Gap of Online Investors and the Conundrum of Virtual Communities," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 1, pages 51-69, June.
  5. Niccolò Casnici & Pierpaolo Dondio & Roberto Casarin & Flaminio Squazzoni, 2015. "Decrypting Financial Markets through E-Joint Attention Efforts: On-Line Adaptive Networks of Investors in Periods of Market Uncertainty," PLOS ONE, Public Library of Science, vol. 10(8), pages 1-15, August.
  6. Matheus R. Grasselli & Adrien Nguyen Huu, 2015. "Inflation and Speculation in a Dynamic Macroeconomic Model," JRFM, MDPI, vol. 8(3), pages 1-26, July.
  7. Cissé, A.A. & Doyen, L. & Blanchard, F. & Béné, C. & Péreau, J.-C., 2015. "Ecoviability for small-scale fisheries in the context of food security constraints," Ecological Economics, Elsevier, vol. 119(C), pages 39-52.
  8. Lauriane Mouysset & Luc Doyen & Jean-Christophe Pereau & Frédéric Jiguet, 2015. "Benefits and costs of biodiversity in agricultural public policies," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 42(1), pages 51-76.

2014

  1. Monica Billio & Loriana Pelizzon, 2014. "Interconnectedness and systemic risk: hedge funds, banks, insurance companies," BANCARIA, Bancaria Editrice, vol. 6, pages 81-91, June.
  2. Addo, Peter Martey & Billio, Monica & Guégan, Dominique, 2014. "The univariate MT-STAR model and a new linearity and unit root test procedure," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 4-19.
  3. Monica Billio & Maddalena Cavicchioli, 2014. "Business Cycle and Markov Switching Models with Distributed Lags: A Comparison between US and Euro Area," Rivista italiana degli economisti, Società editrice il Mulino, issue 2, pages 253-276.
  4. Peter Martey Addo & Monica Billio & Dominique Guégan, 2014. "Turning point chronology for the euro area: A distance plot approach," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2014(1), pages 1-14.
  5. Monica Billio & Lorenzon Frattarolo & Lauriana Pelizzon, 2014. "A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation," Bankers, Markets & Investors, ESKA Publishing, issue 129, pages 40-58, March-Apr.
  6. Bassetti, Federico & Casarin, Roberto & Leisen, Fabrizio, 2014. "Beta-product dependent Pitman–Yor processes for Bayesian inference," Journal of Econometrics, Elsevier, vol. 180(1), pages 49-72.
  7. Sabatier, Rodolphe & Doyen, Luc & Tichit, Muriel, 2014. "Heterogeneity and the trade-off between ecological and productive functions of agro-landscapes: A model of cattle–bird interactions in a grassland agroecosystem," Agricultural Systems, Elsevier, vol. 126(C), pages 38-49.
  8. Doyen, L., 2014. "Semi-parametric estimation of Brown–Proschan preventive maintenance effects and intrinsic wear-out," Computational Statistics & Data Analysis, Elsevier, vol. 77(C), pages 206-222.
  9. Gourguet, S. & Thébaud, O. & Dichmont, C. & Jennings, S. & Little, L.R. & Pascoe, S. & Deng, R.A. & Doyen, L., 2014. "Risk versus economic performance in a mixed fishery," Ecological Economics, Elsevier, vol. 99(C), pages 110-120.
  10. Jean-Sauveur Ay & Raja Chakir & Luc Doyen & Frédéric Jiguet & Paul Leadley, 2014. "Integrated models, scenarios and dynamics of climate, land use and common birds," Climatic Change, Springer, vol. 126(1), pages 13-30, September.

2013

  1. Addo, Peter Martey & Billio, Monica & Guégan, Dominique, 2013. "Nonlinear dynamics and recurrence plots for detecting financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 416-435.
  2. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2013. "Time-varying combinations of predictive densities using nonlinear filtering," Journal of Econometrics, Elsevier, vol. 177(2), pages 213-232.
  3. Robert C. Merton & Monica Billio & Mila Getmansky & Dale Gray & Andrew W. Lo & Loriana Pelizzon, 2013. "On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected)," Financial Analysts Journal, Taylor & Francis Journals, vol. 69(2), pages 22-33, March.
  4. Monica Billio & Laurent Ferrara & Dominique Guégan & Gian Luigi Mazzi, 2013. "Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(7), pages 577-586, November.
  5. Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio, 2013. "Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 183-204.
  6. Roberto Casarin & Flaminio Squazzoni, 2013. "Being on the Field When the Game Is Still Under Way. The Financial Press and Stock Markets in Times of Crisis," PLOS ONE, Public Library of Science, vol. 8(7), pages 1-14, July.
  7. Cissé, A.A. & Gourguet, S. & Doyen, L. & Blanchard, F. & Péreau, J.-C., 2013. "A bio-economic model for the ecosystem-based management of the coastal fishery in French Guiana," Environment and Development Economics, Cambridge University Press, vol. 18(3), pages 245-269, June.
  8. L. Doyen & A. Cissé & S. Gourguet & L. Mouysset & P.-Y. Hardy & C. Béné & F. Blanchard & F. Jiguet & J.-C. Pereau & O. Thébaud, 2013. "Ecological-economic modelling for the sustainable management of biodiversity," Computational Management Science, Springer, vol. 10(4), pages 353-364, December.

2012

  1. Billio, Monica & Getmansky, Mila & Pelizzon, Loriana, 2012. "Dynamic risk exposures in hedge funds," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3517-3532.
  2. Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012. "Econometric measures of connectedness and systemic risk in the finance and insurance sectors," Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
  3. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012. "Combination schemes for turning point predictions," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 402-412.
  4. Doyen, L. & Martinet, V., 2012. "Maximin, viability and sustainability," Journal of Economic Dynamics and Control, Elsevier, vol. 36(9), pages 1414-1430.
  5. Doyen, L. & Thébaud, O. & Béné, C. & Martinet, V. & Gourguet, S. & Bertignac, M. & Fifas, S. & Blanchard, F., 2012. "A stochastic viability approach to ecosystem-based fisheries management," Ecological Economics, Elsevier, vol. 75(C), pages 32-42.
  6. Péreau, J.-C. & Doyen, L. & Little, L.R. & Thébaud, O., 2012. "The triple bottom line: Meeting ecological, economic and social goals with individual transferable quotas," Journal of Environmental Economics and Management, Elsevier, vol. 63(3), pages 419-434.
  7. Doyen, Luc & Péreau, Jean-Christophe, 2012. "Sustainable coalitions in the commons," Mathematical Social Sciences, Elsevier, vol. 63(1), pages 57-64.

2011

  1. Billio Monica & Casarin Roberto, 2011. "Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-32, September.
  2. Billio, Monica & Calès, Ludovic & Guégan, Dominique, 2011. "Portfolio symmetry and momentum," European Journal of Operational Research, Elsevier, vol. 214(3), pages 759-767, November.
  3. Mouysset, L. & Doyen, L. & Jiguet, F. & Allaire, G. & Leger, F., 2011. "Bio economic modeling for a sustainable management of biodiversity in agricultural lands," Ecological Economics, Elsevier, vol. 70(4), pages 617-626, February.

2010

  1. Billio, Monica & Caporin, Massimiliano, 2010. "Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2443-2458, November.
  2. Monica Billio & Roberto Casarin, 2010. "Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 145-167.
  3. Sabatier, R. & Doyen, L. & Tichit, M., 2010. "Modelling trade-offs between livestock grazing and wader conservation in a grassland agroecosystem," Ecological Modelling, Elsevier, vol. 221(9), pages 1292-1300.

2009

  1. Billio, Monica & Caporin, Massimiliano, 2009. "A generalized Dynamic Conditional Correlation model for portfolio risk evaluation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2566-2578.
  2. René Aïd & Luciano Campi & Adrien Nguyen Huu & Nizar Touzi, 2009. "A Structural Risk-Neutral Model Of Electricity Prices," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(07), pages 925-947.

2008

  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, September.
  2. Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2008. "Dating EU15 monthly business cycle jointly using GDP and IPI," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2007(3), pages 333-366.
  3. Béné, C. & Doyen, L., 2008. "Contribution values of biodiversity to ecosystem performances: A viability perspective," Ecological Economics, Elsevier, vol. 68(1-2), pages 14-23, December.

2007

  1. Roberto Casarin & Monica Billio, 2007. "Stochastic optimization for allocation problems with shortfall risk constraints," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 23(3), pages 247-271, May.
  2. Martinet, Vincent & Thebaud, Olivier & Doyen, Luc, 2007. "Defining viable recovery paths toward sustainable fisheries," Ecological Economics, Elsevier, vol. 64(2), pages 411-422, December.
  3. Tichit, M. & Doyen, L. & Lemel, J.Y. & Renault, O. & Durant, D., 2007. "A co-viability model of grazing and bird community management in farmland," Ecological Modelling, Elsevier, vol. 206(3), pages 277-293.
  4. Doyen, L. & De Lara, M. & Ferraris, J. & Pelletier, D., 2007. "Sustainability of exploited marine ecosystems through protected areas: A viability model and a coral reef case study," Ecological Modelling, Elsevier, vol. 208(2), pages 353-366.
  5. Martinet, V. & Doyen, L., 2007. "Sustainability of an economy with an exhaustible resource: A viable control approach," Resource and Energy Economics, Elsevier, vol. 29(1), pages 17-39, January.

2005

  1. Monica Billio & Massimiliano Caporin, 2005. "Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 14(2), pages 145-161, November.
  2. Roberto Casarin & Marco Lazzarin & Loriana Pelizzon & Domenico Sartore, 2005. "Relative benchmark rating and persistence analysis: Evidence from Italian equity funds," The European Journal of Finance, Taylor & Francis Journals, vol. 11(4), pages 297-308.

2003

  1. 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.
  2. 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.
  3. Monica Billio & Alain Monfort, 2003. "Kernel-Based Indirect Inference," Journal of Financial Econometrics, Oxford University Press, vol. 1(3), pages 297-326.

2001

  1. Bene, C. & Doyen, L. & Gabay, D., 2001. "A viability analysis for a bio-economic model," Ecological Economics, Elsevier, vol. 36(3), pages 385-396, March.

2000

  1. 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.
  2. Monica Billio & Domenico Sartore & Carlo Toffano, 2000. "Combining forecasts: some results on exchange and interest rates," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 126-145.
  3. Christophe Béné & Luc Doyen, 2000. "Storage and Viability of a Fishery with Resource and Market Dephased Seasonalities," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 15(1), pages 1-26, January.

1999

  1. 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.

1997

  1. L. Doyen & M. Quincampoix, 1997. "Multi-Target Control Problems," Journal of Optimization Theory and Applications, Springer, vol. 93(1), pages 121-139, April.

Chapters

2022

  1. Monica Billio & Roberto Casarin & Fausto Corradin, 2022. "Understanding Economic Instability during the Pandemic: A Factor Model Approach," Contributions to Economic Analysis, in: The Economics of COVID-19, volume 127, pages 1-55, Emerald Group Publishing Limited.

2021

  1. Giulia Carallo & Roberto Casarin & Christian P. Robert, 2021. "A Bayesian Generalized Poisson Model for Cyber Risk Analysis," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 123-128, Springer.

2014

  1. Peter Martey Addo & Monica Billio & Dominique Guégan, 2014. "Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Dynamic Modeling and Econometrics in Economics and Finance, in: Marco Gallegati & Willi Semmler (ed.), Wavelet Applications in Economics and Finance, edition 127, pages 73-100, Springer.

2010

  1. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.

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