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
Lorenzo FrattaroloJoint Research CenterVerified email at ec.europa.eu
Peter Martey AddoAgence Française développement - AFDVerified email at afd.fr
Alain MonfortProfesseurVerified email at ensae.fr
Daniel Felix AhelegbeyUniversity of PaviaVerified email at unipv.it
Domenico SartoreCa' Foscari University of VeniceVerified email at unive.it
Marco Lo DucaAdviser, European Central BankVerified email at ecb.europa.eu
Christian RobertUniversité Paris Dauphine, PSL & University of WarwickVerified email at ceremade.dauphine.fr
Matteo IacopiniQueen Mary University of LondonVerified email at qmul.ac.uk
Massimo GuidolinBocconi UniversityVerified email at unibocconi.it
Luca RossiniAssistant Professor in Statistics - University of MilanVerified email at unimi.it
Michael DonadelliUniversity of BresciaVerified email at unibs.it
Carmelo LatinoResearch Assistant, Research Center SAFEVerified email at hof.uni-frankfurt.de
Ludovic CalèsEuropean Commission, Joint Research CentreVerified email at ec.europa.eu
Simone VarottoProfessor of Finance, ICMA Centre, Henley Business SchoolVerified email at icmacentre.ac.uk

Monica BILLIO

Ca' Foscari University of Venice

Verified email at unive.it - Homepage

Financial Econometrics Systemic Risk Business Cycle Analysis Network Econometrics Sustainable finance


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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	2460	2012
Value-at-risk: a multivariate switching regime approach M Billio, L Pelizzon Journal of Empirical Finance 7 (5), 531-554, 2000	260	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	219	2006
Bayesian graphical models for structural vector autoregressive processes DF Ahelegbey, M Billio, R Casarin Journal of Applied Econometrics 31 (2), 357-386, 2016	186	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	181	2003
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	178	2010
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis M Billio, M Caporin Stat. Methods Appl. 14 (2), 145-161, 2005	151	2005
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	145	2010
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	143	2003
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	134	2013
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	131	2021
Dynamic risk exposures in hedge funds M Billio, M Getmansky, L Pelizzon Computational Statistics & Data Analysis 56 (11), 3517-3532, 2012	128	2012
Crises and hedge fund risk M Billio, M Getmansky Sherman, L Pelizzon UMASS-Amherst Working Paper, Yale ICF Working Paper, 10-08, 2010	114	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	107	2009
Bayesian estimation of switching ARMA models M Billio, A Monfort, CP Robert Journal of econometrics 93 (2), 229-255, 1999	94	1999
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
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	84	2008
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	81	2013
Which market integration measure? M Billio, M Donadelli, A Paradiso, M Riedel Journal of Banking & Finance 76, 150-174, 2017	73	2017
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	72	2016

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