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
2024
- 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.
2023
- 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.
2022
- 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.
- Monica Billio & Lorenzo Frattarolo & Dominique Guégan, 2022. "High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization," Post-Print hal-04085236, HAL.
- 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.
- 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.
- 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.
- 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," CEE-M Working Papers hal-03883121, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
2021
- 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.
- 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.
- Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers 2021:05, Department of Economics, University of Venice "Ca' Foscari".
- 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.
- 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.
- Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2021.
"A meta-measure of performance related to both investors and investments characteristics,"
Post-Print
hal-02933252, HAL.
- 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.
- Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2021. "A meta-measure of performance related to both investors and investments characteristics," Post-Print hal-03543398, HAL.
- 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.
- 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.
2020
- 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.
- Monica Billio & Roberto Casarin & Enrica De Cian & Malcolm Mistry & Anthony Osuntuyi, 2021. "The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach," Working Papers 2021:03, Department of Economics, University of Venice "Ca' Foscari".
- 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.
- 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".
- 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.
- Billio, Monica & Costola, Michele & Pelizzon, Loriana & Riedel, Max, 2019. "Buildings' energy efficiency and the probability of mortgage default: The Dutch case," SAFE Working Paper Series 261, Leibniz Institute for Financial Research SAFE.
- 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".
- 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".
- 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.
- Billio, Monica & Costola, Michele & Hristova, Iva & Latino, Carmelo & Pelizzon, Loriana, 2020. "Inside the ESG ratings: (Dis)agreement and performance," SAFE Working Paper Series 284, Leibniz Institute for Financial Research SAFE.
- Adrien Nguyen-Huu & Antonin Pottier, 2020.
"Hicksian Traverse Revisited: Conditions for the Energy Transition,"
Post-Print
hal-03026476, HAL.
- 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.
- Adrien Nguyen-Huu & Antonin Pottier, 2019. "Hicksian Traverse Revisited: Conditions for the Energy Transition," CEE-M Working Papers hal-01966173, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
- Adrien Nguyen-Huu & Antonin Pottier, 2019. "Hicksian Traverse Revisited: Conditions for the Energy Transition," Working Papers hal-01966173, HAL.
- Antonin Pottier & Adrien Nguyen-Huu, 2020. "No-regret Pollution Abatement Options: A Correction of Bréchet and Jouvet (2009)," Post-Print halshs-02615284, HAL.
2019
- 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.
- 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.
2018
- 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.
- 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.
- 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.
- 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".
- 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.
- 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".
- Yu-Jui Huang & Adrien Nguyen-Huu, 2018.
"Time-consistent stopping under decreasing impatience,"
Post-Print
hal-01950058, HAL.
- Yu-Jui Huang & Adrien Nguyen-Huu, 2018. "Time-consistent stopping under decreasing impatience," Finance and Stochastics, Springer, vol. 22(1), pages 69-95, January.
- Yu-Jui Huang & Adrien Nguyen-Huu, 2017. "Time-consistent stopping under decreasing impatience [Arrêt temporellement cohérent sous impatience décroissante]," Working Papers hal-01116414, HAL.
2017
- Monica Billio & Anna Petronevich, 2017.
"Dynamical Interaction between Financial and Business Cycles,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
hal-01692239, HAL.
- Monica Billio & Anna Petronevich, 2017. "Dynamical Interaction between Financial and Business Cycles," Post-Print hal-01692239, HAL.
- Monica Billio & Anna Petronevich, 2017. "Dynamical Interaction Between Financial and Business Cycles," Working Papers 2017:24, Department of Economics, University of Venice "Ca' Foscari".
- 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.
- Monica Billio & Lorenzo Frattarolo & Dominique Guegan, 2017. "Multivariate Reflection Symmetry of Copula Functions," Documents de travail du Centre d'Economie de la Sorbonne 17033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Monica Billio & Lorenzo Frattarolo & Dominique Guegan, 2017. "Multivariate Reflection Symmetry of Copula Functions," Post-Print halshs-01592147, HAL.
- 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.
- 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.
- 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.
- 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.
- Yu-Jui Huang & Adrien Nguyen-Huu & Xun Yu Zhou, 2018. "General stopping behaviors of naïve and non-committed sophisticated agents, with application to probability distortion," CEE-M Working Papers hal-01954926, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
- Yu-Jui Huang & Adrien Nguyen-Huu & Xun Yu Zhou, 2019. "General stopping behaviors of naive and non-committed sophisticated agents, with application to probability distortion," Post-Print halshs-02110872, HAL.
- Yu-Jui Huang & Adrien Nguyen-Huu & Xun Yu Zhou, 2018. "General stopping behaviors of naïve and non-committed sophisticated agents, with application to probability distortion," Working Papers hal-01954926, HAL.
- 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.
2016
- Monica Billio & Roberto Casarin & Luca Rossini, 2016.
"Bayesian nonparametric sparse VAR models,"
Papers
1608.02740, arXiv.org, revised Oct 2018.
- Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019. "Bayesian nonparametric sparse VAR models," Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
- 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.
- 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," Post-Print halshs-01339826, HAL.
- 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," Documents de travail du Centre d'Economie de la Sorbonne 16046, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- 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," Documents de travail du Centre d'Economie de la Sorbonne 16046r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Sep 2016.
- 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".
- 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".
- 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.
- Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2018. "Networks in risk spillovers: A multivariate GARCH perspective," SAFE Working Paper Series 225, Leibniz Institute for Financial Research SAFE.
- Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2020. "Networks in risk spillovers: A multivariate GARCH perspective," Working Papers 2020:16, Department of Economics, University of Venice "Ca' Foscari".
- 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".
- Billio, Monica & Donadelli, Michael & Paradiso, Antonio & Riedel, Max, 2016.
"Which market integration measure?,"
SAFE Working Paper Series
159, Leibniz Institute for Financial Research SAFE.
- Billio, M. & Donadelli, M. & Paradiso, A. & Riedel, M., 2017. "Which market integration measure?," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 150-174.
- Matheus Grasselli & Adrien Nguyen-Huu, 2016.
"Inventory growth cycles with debt-financed investment,"
Papers
1610.00955, arXiv.org.
- 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.
- Matheus R. Grasselli & Adrien Nguyen-Huu, 2018. "Inventory growth cycles with debt-financed investment," Post-Print hal-01950059, HAL.
- Matheus R Grasselli & Adrien Nguyen-Huu, 2016. "Inventory growth cycles with debt-financed investment [Cycles de croissance et des stocks dans une économie financée par la dette]," Working Papers hal-01376201, HAL.
- 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.
- 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.
- Adrien Nguyen Huu & Antonin Pottier, 2016. "Credit and investment in the Goodwin-Keen model: a reappraisal," Working Papers hal-01448545, HAL.
2015
- 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.
- Dominique Guegan & Monica Billio & Ludovic Calès, 2015. "A Rank-based Approach to Cross-Sectional Analysis," Post-Print halshs-00646073, HAL.
- 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.
- 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.
- 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".
- 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.
- 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".
2014
- 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.
- 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.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "Nonlinear Dynamics and Wavelets for Business Cycle Analysis," PSE-Ecole d'économie de Paris (Postprint) hal-01310513, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Post-Print hal-01310513, HAL.
- 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.
- 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.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "The univariate MT-STAR model and a new linearity and unit root test procedure," PSE-Ecole d'économie de Paris (Postprint) hal-01310518, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "The univariate MT-STAR model and a new linearity and unit root test procedure," Post-Print hal-01310518, HAL.
- 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.
- 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.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "Turning point chronology for the euro area: A distance plot approach," PSE-Ecole d'économie de Paris (Postprint) hal-01310533, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "Turning point chronology for the euro area: A distance plot approach," Post-Print hal-01310533, HAL.
- 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".
- 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.
- 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".
- 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".
- 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.
- Adrien Nguyen Huu & Nadia Oudjane, 2014. "Hedging Expected Losses on Derivatives in Electricity Futures Markets," Papers 1401.8271, arXiv.org.
- 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.
- 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.
- Oumar Mbodji & Adrien Nguyen Huu & Traian A. A Pirvu, 2019. "Optimal Sharing Rule for a Household with a Portfolio Management Problem," Working Papers hal-00940233, HAL.
- Oumar Mbodji & Adrien Nguyen Huu & Traian A. A Pirvu, 2019. "Optimal Sharing Rule for a Household with a Portfolio Management Problem," CEE-M Working Papers hal-00940233, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
- Oumar Mbodji & Adrien Nguyen-Huu & T.A. Pirvu, 2019. "Optimal sharing rule for a household with a portfolio management problem," Post-Print halshs-02315712, HAL.
- Matheus Grasselli & Adrien Nguyen Huu, 2014.
"Inflation and speculation in a dynamic macroeconomic model,"
Papers
1412.7500, arXiv.org.
- Matheus R. Grasselli & Adrien Nguyen Huu, 2015. "Inflation and Speculation in a Dynamic Macroeconomic Model," JRFM, MDPI, vol. 8(3), pages 1-26, July.
- Matheus R. Grasselli & Adrien Nguyen Huu, 2015. "Inflation and speculation in a dynamic macroeconomic model [Inflation et spéculation dans un modèle macroéconomique dynamique]," Post-Print hal-01097661, HAL.
2013
- 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.
- 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 Papers 2013:17, Department of Economics, University of Venice "Ca' Foscari", revised 2014.
- 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," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2014. "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Papers No 8/2014, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- 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.
- 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.
- 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) halshs-00803450, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear dynamics and recurrence plots for detecting financial crisis," Post-Print hal-00964975, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear dynamics and recurrence plots for detecting financial crisis," PSE-Ecole d'économie de Paris (Postprint) hal-00964975, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis," Documents de travail du Centre d'Economie de la Sorbonne 13024, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis," Post-Print halshs-00803450, HAL.
- 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.
- 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.
- 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," Post-Print hal-00965005, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013.
"Understanding Exchange Rates Dynamics,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-00803447, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Understanding Exchange Rates Dynamics," Post-Print halshs-00803447, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Understanding Exchange Rates Dynamics," Documents de travail du Centre d'Economie de la Sorbonne 13023, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- 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.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Post-Print halshs-00803457, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Documents de travail du Centre d'Economie de la Sorbonne 13025r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Oct 2013.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Documents de travail du Centre d'Economie de la Sorbonne 13025, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- 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".
- 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".
- Adrien Nguyen Huu, 2013.
"Investment under uncertainty, competition and regulation,"
Papers
1309.1844, arXiv.org, revised Feb 2014.
- Adrien Nguyen Huu, 2014. "Investment under uncertainty, competition and regulation," Post-Print hal-00831263, HAL.
- 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.
2012
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012.
"Combination schemes for turning point predictions,"
Working Paper
2012/04, Norges Bank.
- 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.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combination Schemes for Turning Point Predictions," Tinbergen Institute Discussion Papers 11-123/4, Tinbergen Institute.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Papers 2012_15, Department of Economics, University of Venice "Ca' Foscari".
- 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.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach," Documents de travail du Centre d'Economie de la Sorbonne 12023, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach," Post-Print halshs-00694420, HAL.
- 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.
- Monica Billio & Ludovic Calès & Dominique Guegan, 2012. "Cross-Sectional Analysis through Rank-based Dynamic Portfolios," Post-Print halshs-00707430, HAL.
- 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.
- 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.
- 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.
- 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.
- 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".
- 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".
- 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.
- 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".
- 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.
- 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".
- 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.
- Daniel Felix Ahelegbey & Paolo Giudici, 2014. "Hierarchical Graphical Models, With Application To Systemic Risk," DEM Working Papers Series 063, University of Pavia, Department of Economics and Management.
2011
- 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.
- Dominique Guegan & Ludovic Calès & Monica Billio, 2011. "A Cross-Sectional Score for the Relative Performance of an Allocation," PSE-Ecole d'économie de Paris (Postprint) halshs-00646070, HAL.
- Dominique Guegan & Ludovic Calès & Monica Billio, 2011. "A Cross-Sectional Score for the Relative Performance of an Allocation," Post-Print halshs-00646070, HAL.
- 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.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A test for a new modelling: The Univariate MT-STAR Model," Documents de travail du Centre d'Economie de la Sorbonne 11083, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A test for a new modelling : The Univariate MT-STAR Model," Post-Print halshs-00659158, HAL.
- 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.
- 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.
- 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.
- 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".
- 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.
- 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.
- Adrien Nguyen Huu, 2011.
"A note on super-hedging for investor-producers,"
Papers
1112.4740, arXiv.org, revised Mar 2012.
- Adrien Nguyen Huu, 2013. "A note on super-hedging for investor-producers," Post-Print hal-00653982, HAL.
2010
- 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.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-003/4, Tinbergen Institute.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combining predictive densities using Bayesian filtering with applications to US economic data," Working Papers 2012_16, Department of Economics, University of Venice "Ca' Foscari".
- 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.
- Monica Billio & Ludovic Calès & Dominique Guegan, 2010. "A performance measure of Zero-dollar Long/Short equally weighted portfolios," Documents de travail du Centre d'Economie de la Sorbonne 10030, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Monica Billio & Ludovic Calès & Dominique Guegan, 2010. "A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios," Post-Print halshs-00476038, HAL.
- 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.
- Monica Billio & Ludovic Calès & Dominique Guegan, 2010. "A Cross-Sectional Performance Measure for Portfolio Management," Post-Print halshs-00523466, HAL.
- Monica Billio & Ludovic Calès & Dominique Guegan, 2010. "A Cross-Sectional Performance Measure for Portfolio Management," Documents de travail du Centre d'Economie de la Sorbonne 10070, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- 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.
- 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.
2009
- Monica Billio & Ludovic Calès & Dominique Guegan, 2009.
"Portfolio Symmetry and Momentum,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-00363383, HAL.
- Billio, Monica & Calès, Ludovic & Guégan, Dominique, 2011. "Portfolio symmetry and momentum," European Journal of Operational Research, Elsevier, vol. 214(3), pages 759-767, November.
- Monica Billio & Ludovic Calès & Dominique Guegan, 2011. "Portfolio Symmetry and Momentum," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00645814, HAL.
- Monica Billio & Ludovic Cal�s & Dominique Gu�gan, 2009. "Portfolio Symmetry and Momentum," Working Papers 2009_05, Department of Economics, University of Venice "Ca' Foscari".
- Monica Billio & Ludovic Calès & Dominique Guegan, 2011. "Portfolio Symmetry and Momentum," PSE-Ecole d'économie de Paris (Postprint) halshs-00645814, HAL.
- Monica Billio & Ludovic Calès & Dominique Guegan, 2011. "Portfolio Symmetry and Momentum," Post-Print halshs-00645814, HAL.
- Monica Billio & Ludovic Calès & Dominique Guegan, 2009. "Portfolio Symmetry and Momentum," Documents de travail du Centre d'Economie de la Sorbonne 09003, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2009.
- Monica Billio & Ludovic Calès & Dominique Guegan, 2009. "Portfolio Symmetry and Momentum," Post-Print halshs-00363383, HAL.
- 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.
- 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," Post-Print halshs-00423890, HAL.
- 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," Documents de travail du Centre d'Economie de la Sorbonne 09053, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- René Aïd & Luciano Campi & Adrien Nguyen Huu & Nizar Touzi, 2009.
"A structural risk-neutral model of electricity prices,"
Post-Print
hal-00390690, HAL.
- 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
- Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics.
- Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008.
"Crisis and Hedge Fund Risk,"
Working Papers
2008_10, Department of Economics, University of Venice "Ca' Foscari".
- Monica Billio & Mila Getmansky & Loriana Pelizzon, 2008. "Crises and Hedge Fund Risk," Yale School of Management Working Papers amz2561, Yale School of Management, revised 01 Oct 2009.
- 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".
2007
- 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".
- Billio, Monica & Getmansky, Mila & Pelizzon, Loriana, 2012. "Dynamic risk exposures in hedge funds," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3517-3532.
- 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".
- 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.
- 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".
- 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.
- 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".
- 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".
- 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".
2006
- Roberto Casarin & Monica Billio, 2006.
"Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints,"
Working Papers
ubs0618, University of Brescia, Department of Economics.
- 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.
- Monica Billio & Silvestro Di Sanzo, 2006.
"Granger-causality in Markov Switching Models,"
Working Papers
2006_20, Department of Economics, University of Venice "Ca' Foscari".
- 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.
- 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".
- 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.
- 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".
1999
- Monica Billio & Alain Monfort, 1999. "Functional Indirect Inference," Working Papers 99-01, Center for Research in Economics and Statistics.
1998
- 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
2024
- 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.
- Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers 2021:05, Department of Economics, University of Venice "Ca' Foscari".
- 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.
- 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.
2023
- 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.
- 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".
- Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2018. "Networks in risk spillovers: A multivariate GARCH perspective," SAFE Working Paper Series 225, Leibniz Institute for Financial Research SAFE.
- Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2020. "Networks in risk spillovers: A multivariate GARCH perspective," Working Papers 2020:16, Department of Economics, University of Venice "Ca' Foscari".
- 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).
- 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.
- 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.
- 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.
- 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".
2022
- 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.
- 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.
- 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.
- Billio, Monica & Costola, Michele & Pelizzon, Loriana & Riedel, Max, 2019. "Buildings' energy efficiency and the probability of mortgage default: The Dutch case," SAFE Working Paper Series 261, Leibniz Institute for Financial Research SAFE.
- 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".
- 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.
- Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2021. "A meta-measure of performance related to both investors and investments characteristics," Post-Print hal-03543398, HAL.
- Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2021. "A meta-measure of performance related to both investors and investments characteristics," Post-Print hal-02933252, HAL.
2021
- 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.
- 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.
- Billio, Monica & Costola, Michele & Hristova, Iva & Latino, Carmelo & Pelizzon, Loriana, 2020. "Inside the ESG ratings: (Dis)agreement and performance," SAFE Working Paper Series 284, Leibniz Institute for Financial Research SAFE.
- 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".
2020
- 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.
- 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.
- 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.
- Yu-Jui Huang & Adrien Nguyen-Huu & Xun Yu Zhou, 2018. "General stopping behaviors of naïve and non-committed sophisticated agents, with application to probability distortion," CEE-M Working Papers hal-01954926, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
- Yu-Jui Huang & Adrien Nguyen-Huu & Xun Yu Zhou, 2019. "General stopping behaviors of naive and non-committed sophisticated agents, with application to probability distortion," Post-Print halshs-02110872, HAL.
- Yu-Jui Huang & Adrien Nguyen-Huu & Xun Yu Zhou, 2018. "General stopping behaviors of naïve and non-committed sophisticated agents, with application to probability distortion," Working Papers hal-01954926, HAL.
- 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.
- Adrien Nguyen-Huu & Antonin Pottier, 2019. "Hicksian Traverse Revisited: Conditions for the Energy Transition," CEE-M Working Papers hal-01966173, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
- Adrien Nguyen-Huu & Antonin Pottier, 2020. "Hicksian Traverse Revisited: Conditions for the Energy Transition," Post-Print hal-03026476, HAL.
- Adrien Nguyen-Huu & Antonin Pottier, 2019. "Hicksian Traverse Revisited: Conditions for the Energy Transition," Working Papers hal-01966173, HAL.
2019
- 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.
- 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.
- 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.
- Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019.
"Bayesian nonparametric sparse VAR models,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
- Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse VAR models," Papers 1608.02740, arXiv.org, revised Oct 2018.
- 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.
- 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.
- 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.
- 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.
- Oumar Mbodji & Adrien Nguyen Huu & Traian A. A Pirvu, 2019. "Optimal Sharing Rule for a Household with a Portfolio Management Problem," Working Papers hal-00940233, HAL.
- Oumar Mbodji & Adrien Nguyen Huu & Traian A. A Pirvu, 2019. "Optimal Sharing Rule for a Household with a Portfolio Management Problem," CEE-M Working Papers hal-00940233, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
- Oumar Mbodji & Adrien Nguyen-Huu & T.A. Pirvu, 2019. "Optimal sharing rule for a household with a portfolio management problem," Post-Print halshs-02315712, HAL.
2018
- 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.
- 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".
- 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.
- Matheus R. Grasselli & Adrien Nguyen-Huu, 2018. "Inventory growth cycles with debt-financed investment," Post-Print hal-01950059, HAL.
- Matheus Grasselli & Adrien Nguyen-Huu, 2016. "Inventory growth cycles with debt-financed investment," Papers 1610.00955, arXiv.org.
- Matheus R Grasselli & Adrien Nguyen-Huu, 2016. "Inventory growth cycles with debt-financed investment [Cycles de croissance et des stocks dans une économie financée par la dette]," Working Papers hal-01376201, HAL.
- Yu-Jui Huang & Adrien Nguyen-Huu, 2018.
"Time-consistent stopping under decreasing impatience,"
Finance and Stochastics, Springer, vol. 22(1), pages 69-95, January.
- Yu-Jui Huang & Adrien Nguyen-Huu, 2018. "Time-consistent stopping under decreasing impatience," Post-Print hal-01950058, HAL.
- Yu-Jui Huang & Adrien Nguyen-Huu, 2017. "Time-consistent stopping under decreasing impatience [Arrêt temporellement cohérent sous impatience décroissante]," Working Papers hal-01116414, HAL.
2017
- Billio, M. & Donadelli, M. & Paradiso, A. & Riedel, M., 2017.
"Which market integration measure?,"
Journal of Banking & Finance, Elsevier, vol. 76(C), pages 150-174.
- Billio, Monica & Donadelli, Michael & Paradiso, Antonio & Riedel, Max, 2016. "Which market integration measure?," SAFE Working Paper Series 159, Leibniz Institute for Financial Research SAFE.
- 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.
- 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.
2016
- 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.
- 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".
- 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.
- 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".
- 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.
- 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".
- 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.
- 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".
- 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.
- 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.
2015
- 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.
- 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".
- 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.
- Monica Billio & Silvestro Di Sanzo, 2006. "Granger-causality in Markov Switching Models," Working Papers 2006_20, Department of Economics, University of Venice "Ca' Foscari".
- Matheus R. Grasselli & Adrien Nguyen Huu, 2015.
"Inflation and Speculation in a Dynamic Macroeconomic Model,"
JRFM, MDPI, vol. 8(3), pages 1-26, July.
- Matheus Grasselli & Adrien Nguyen Huu, 2014. "Inflation and speculation in a dynamic macroeconomic model," Papers 1412.7500, arXiv.org.
- Matheus R. Grasselli & Adrien Nguyen Huu, 2015. "Inflation and speculation in a dynamic macroeconomic model [Inflation et spéculation dans un modèle macroéconomique dynamique]," Post-Print hal-01097661, HAL.
2014
- Monica Billio & Loriana Pelizzon, 2014. "Interconnectedness and systemic risk: hedge funds, banks, insurance companies," BANCARIA, Bancaria Editrice, vol. 6, pages 81-91, June.
- 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.
- 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.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "The univariate MT-STAR model and a new linearity and unit root test procedure," PSE-Ecole d'économie de Paris (Postprint) hal-01310518, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "The univariate MT-STAR model and a new linearity and unit root test procedure," Post-Print hal-01310518, HAL.
- 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.
- 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.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "Turning point chronology for the euro area: A distance plot approach," PSE-Ecole d'économie de Paris (Postprint) hal-01310533, HAL.
- 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.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "Turning point chronology for the euro area: A distance plot approach," Post-Print hal-01310533, HAL.
- 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.
2013
- 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.
- 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) halshs-00803450, HAL.
- 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.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear dynamics and recurrence plots for detecting financial crisis," Post-Print hal-00964975, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear dynamics and recurrence plots for detecting financial crisis," PSE-Ecole d'économie de Paris (Postprint) hal-00964975, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis," Documents de travail du Centre d'Economie de la Sorbonne 13024, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis," Post-Print halshs-00803450, HAL.
- 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.
- 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.
- 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.
- 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," Post-Print hal-00965005, HAL.
- 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.
2012
- Billio, Monica & Getmansky, Mila & Pelizzon, Loriana, 2012.
"Dynamic risk exposures in hedge funds,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3517-3532.
- 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".
- 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.
- 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.
- 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".
- 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.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combination Schemes for Turning Point Predictions," Tinbergen Institute Discussion Papers 11-123/4, Tinbergen Institute.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Papers 2012_15, Department of Economics, University of Venice "Ca' Foscari".
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper 2012/04, Norges Bank.
2011
- 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.
- Billio, Monica & Calès, Ludovic & Guégan, Dominique, 2011.
"Portfolio symmetry and momentum,"
European Journal of Operational Research, Elsevier, vol. 214(3), pages 759-767, November.
- Monica Billio & Ludovic Calès & Dominique Guegan, 2009. "Portfolio Symmetry and Momentum," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00363383, HAL.
- Monica Billio & Ludovic Calès & Dominique Guegan, 2011. "Portfolio Symmetry and Momentum," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00645814, HAL.
- Monica Billio & Ludovic Cal�s & Dominique Gu�gan, 2009. "Portfolio Symmetry and Momentum," Working Papers 2009_05, Department of Economics, University of Venice "Ca' Foscari".
- Monica Billio & Ludovic Calès & Dominique Guegan, 2011. "Portfolio Symmetry and Momentum," PSE-Ecole d'économie de Paris (Postprint) halshs-00645814, HAL.
- Monica Billio & Ludovic Calès & Dominique Guegan, 2011. "Portfolio Symmetry and Momentum," Post-Print halshs-00645814, HAL.
- Monica Billio & Ludovic Calès & Dominique Guegan, 2009. "Portfolio Symmetry and Momentum," Documents de travail du Centre d'Economie de la Sorbonne 09003, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2009.
- Monica Billio & Ludovic Calès & Dominique Guegan, 2009. "Portfolio Symmetry and Momentum," Post-Print halshs-00363383, HAL.
2010
- 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.
- 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".
- 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.
2009
- 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.
- 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".
- 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.
- René Aïd & Luciano Campi & Adrien Nguyen Huu & Nizar Touzi, 2009. "A structural risk-neutral model of electricity prices," Post-Print hal-00390690, HAL.
2008
- 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.
- 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.
- 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".
2007
- 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.
- Roberto Casarin & Monica Billio, 2006. "Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints," Working Papers ubs0618, University of Brescia, Department of Economics.
2005
- 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.
2003
- 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.
- 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.
- Monica Billio & Alain Monfort, 2003. "Kernel-Based Indirect Inference," Journal of Financial Econometrics, Oxford University Press, vol. 1(3), pages 297-326.
2000
- 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.
- 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.
1999
- 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.
Chapters
2022
- 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.
2014
- 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.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "Nonlinear Dynamics and Wavelets for Business Cycle Analysis," PSE-Ecole d'économie de Paris (Postprint) hal-01310513, HAL.
- 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.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Post-Print hal-01310513, HAL.
2010
- 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.
- 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.
- 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".