Cited by
Cited by
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
Value-at-risk: a multivariate switching regime approach
M Billio, L Pelizzon
Journal of Empirical Finance 7 (5), 531-554, 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
Bayesian graphical models for structural vector autoregressive processes
DF Ahelegbey, M Billio, R Casarin
Journal of Applied Econometrics 31 (2), 357-386, 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
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
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
M Billio, M Caporin
Stat. Methods Appl. 14 (2), 145-161, 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
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
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
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
Dynamic risk exposures in hedge funds
M Billio, M Getmansky, L Pelizzon
Computational Statistics & Data Analysis 56 (11), 3517-3532, 2012
Crises and hedge fund risk
M Billio, M Getmansky Sherman, L Pelizzon
UMASS-Amherst Working Paper, Yale ICF Working Paper, 10-08, 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
Bayesian estimation of switching ARMA models
M Billio, A Monfort, CP Robert
Journal of econometrics 93 (2), 229-255, 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
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
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
Which market integration measure?
M Billio, M Donadelli, A Paradiso, M Riedel
Journal of Banking & Finance 76, 150-174, 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
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