Monica Billio
Monica Billio
Professor of Econometrics, Ca' Foscari University of Venice
Verified email at unive.it - Homepage
Title
Cited by
Cited by
Year
Econometric measures of connectedness and systemic risk in the finance and insurance sectors
M Billio, M Getmansky, AW Lo, L Pelizzon
Journal of financial economics 104 (3), 535-559, 2012
1857*2012
Value-at-risk: a multivariate switching regime approach
M Billio, L Pelizzon
Journal of Empirical Finance 7 (5), 531-554, 2000
2522000
Flexible dynamic conditional correlation multivariate garch models for asset allocation
M Billio, M Caporin, M Gobbo
Applied Financial Economics Letters 2 (02), 123-130, 2006
2052006
Contagion and interdependence in stock markets: Have they been misdiagnosed?
M Billio, L Pelizzon
Journal of Economics and Business 55 (5-6), 405-426, 2003
1632003
Measuring systemic risk in the finance and insurance sectors
M Billio, M Getmansky, AW Lo, L Pelizzon
Cambridge, MA; Alfred P. Sloan School of Management, Massachusetts Institute …, 2010
1582010
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
M Billio, M Caporin
Statistical methods and applications 14 (2), 145-161, 2005
1412005
Volatility and shocks spillover before and after EMU in European stock markets
M Billio, L Pelizzon
Journal of Multinational Financial Management 13 (4-5), 323-340, 2003
1372003
Bayesian graphical models for structural vector autoregressive processes
DF Ahelegbey, M Billio, R Casarin
Journal of Applied Econometrics 31 (2), 357-386, 2016
1262016
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion
M Billio, M Caporin
Computational statistics & data analysis 54 (11), 2443-2458, 2010
1252010
Crises and hedge fund risk
M Billio, M Getmansky Sherman, L Pelizzon
University Ca'Foscari of Venice, Dept. of Economics Research Paper Series, 07-14, 2010
1072010
Dynamic risk exposures in hedge funds
M Billio, M Getmansky, L Pelizzon
Computational Statistics & Data Analysis 56 (11), 3517-3532, 2012
1052012
A generalized dynamic conditional correlation model for portfolio risk evaluation
M Billio, M Caporin
Mathematics and Computers in Simulation 79 (8), 2566-2578, 2009
1012009
Time-varying combinations of predictive densities using nonlinear filtering
M Billio, R Casarin, F Ravazzolo, HK Van Dijk
Journal of Econometrics 177 (2), 213-232, 2013
982013
Bayesian estimation of switching ARMA models
M Billio, A Monfort, CP Robert
Journal of econometrics 93 (2), 229-255, 1999
881999
A system for dating and detecting turning points in the euro area
J Anas, M Billio, L Ferrara, GL Mazzi
The Manchester School 76 (5), 549-577, 2008
762008
Interconnections between eurozone and US booms and busts using a Bayesian panel Markov‐switching VAR model
M Billio, R Casarin, F Ravazzolo, HK Van Dijk
Journal of Applied Econometrics 31 (7), 1352-1370, 2016
71*2016
Nonlinear dynamics and recurrence plots for detecting financial crisis
PM Addo, M Billio, D Guegan
The North American Journal of Economics and Finance 26, 416-435, 2013
642013
A turning point chronology for the Euro-zone
J Anas, M Billio, L Ferrara, M LoDuca
Growth and Cycle in the Euro zone, GL Mazzi and G. Savio (eds.), 261-274, 2007
592007
On a new approach for analyzing and managing macrofinancial risks (corrected)
RC Merton, M Billio, M Getmansky, D Gray, AW Lo, L Pelizzon
Financial Analysts Journal 69 (2), 22-33, 2013
572013
Sovereign, bank and insurance credit spreads: Connectedness and system networks
M Billio, M Getmansky, D Gray, A Lo, RC Merton, L Pelizzon
Sloan School of Management Working Paper, Massachusetts Institute of Technology, 2013
512013
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Articles 1–20