Monica BILLIO

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Loriana PelizzonSAFE Goethe University Frankfurt and Ca' Foscari University of VeniceVerified email at unive.it
Roberto CASARINCa' Foscari University of VeniceVerified email at unive.it
Mila GetmanskyUMass AmherstVerified email at isenberg.umass.edu
Massimiliano CaporinUniversity of Padova - Department of Statistical SciencesVerified email at unipd.it
Francesco RavazzoloBI Norwegian Business School and Free University of Bozen-BolzanoVerified email at unibz.it
Herman Koene van DijkErasmus University, Tinbergen InstituteVerified email at ese.eur.nl
Peter Martey AddoAgence Française développement - AFDVerified email at afd.fr
Carmelo LatinoResearch Assistant, Research Center SAFEVerified email at safe-frankfurt.de
Lorenzo FrattaroloUniversità degli studi di VeronaVerified email at univr.it
Alain MonfortProfesseurVerified email at ensae.fr
Domenico SartoreCa' Foscari University of VeniceVerified email at unive.it
Matteo IacopiniLUISS UniversityVerified email at luiss.it
Marco Lo DucaAdviser, European Central BankVerified email at ecb.europa.eu
Simone VarottoProfessor of Finance, ICMA Centre, Henley Business SchoolVerified email at icmacentre.ac.uk
Christian RobertUniversité Paris Dauphine, PSL & University of WarwickVerified email at ceremade.dauphine.fr
Massimo GuidolinBocconi UniversityVerified email at unibocconi.it
Michael DonadelliUniversity of BresciaVerified email at unibs.it
Luca RossiniAssociate Professor in Statistics - University of MilanVerified email at unimi.it
Ludovic CalèsEuropean Commission, Joint Research CentreVerified email at ec.europa.eu
Maddalena CavicchioliUniversity of Modena and Reggio EmiliaVerified email at unimore.it

Monica BILLIO

Ca' Foscari University of Venice

Verified email at unive.it - Homepage

Financial Econometrics Systemic Risk Network Econometrics Sustainable Finance ESG


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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	2953	2012
Inside the ESG ratings:(Dis) agreement and performance M Billio, M Costola, I Hristova, C Latino, L Pelizzon Corporate Social Responsibility and Environmental Management 28 (5), 1426-1445, 2021	548	2021
Value-at-risk: a multivariate switching regime approach M Billio, L Pelizzon Journal of Empirical Finance 7 (5), 531-554, 2000	281	2000
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	244	2006
Bayesian graphical models for structural vector autoregressive processes DF Ahelegbey, M Billio, R Casarin Journal of Applied Econometrics 31 (2), 357-386, 2016	234	2016
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	187	2003
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	167	2010
Measuring systemic risk in the finance and insurance sectors M Billio, M Getmansky, AW Lo, L Pelizzon Manuscript, MIT 8, 16, 2010	166	2010
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis M Billio, M Caporin Statistical methods and applications 14 (2), 145-161, 2005	163	2005
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	159	2013
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	153	2003
Dynamic risk exposures in hedge funds M Billio, M Getmansky, L Pelizzon Computational Statistics & Data Analysis 56 (11), 3517-3532, 2012	145	2012
Crises and hedge fund risk M Billio, M Getmansky Sherman, L Pelizzon UMASS-Amherst Working Paper, Yale ICF Working Paper, 10-08, 2010	118	2010
A generalized dynamic conditional correlation model for portfolio risk evaluation M Billio, M Caporin Mathematics and Computers in Simulation 79 (8), 2566-2578, 2009	116	2009
Which market integration measure? M Billio, M Donadelli, A Paradiso, M Riedel Journal of Banking & Finance 76, 150-174, 2017	105	2017
Bayesian estimation of switching ARMA models M Billio, A Monfort, CP Robert Journal of econometrics 93 (2), 229-255, 1999	95	1999
An entropy-based early warning indicator for systemic risk M Billio, R Casarin, M Costola, A Pasqualini Journal of International Financial Markets, Institutions and Money 45, 42-59, 2016	93	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	91	2013
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	87	2016
Bayesian nonparametric sparse VAR models M Billio, R Casarin, L Rossini Journal of Econometrics 212 (1), 97-115, 2019	86	2019

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