Anno | Tipologia | Pubblicazione |
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Anno | Tipologia | Pubblicazione |
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2024 | Articolo su rivista |
Billio, M.; Busetto, F.; Dufour, A.; Varotto, S. Bond supply expectations and the term structure of interest rates in JOURNAL OF INTERNATIONAL MONEY AND FINANCE, vol. 150 (ISSN 0261-5606) DOI - Scheda ARCA: 10278/5082964 |
2024 | Articolo su rivista |
Billio M.; Casarin R.; Costola M.; Iacopini M. COVID-19 spreading in financial networks: A semiparametric matrix regression model in ECONOMETRICS AND STATISTICS, vol. 29, pp. 113-131 (ISSN 2452-3062) DOI - URL correlato - Scheda ARCA: 10278/3752110 |
2024 | Articolo su rivista |
Billio, Monica; Casarin, Roberto; Costola, Michele; Veggente, Veronica Learning from experts: Energy efficiency in residential buildings in ENERGY ECONOMICS, vol. 136, pp. 1-15 (ISSN 0140-9883) DOI - Scheda ARCA: 10278/5062181 |
2024 | Articolo su rivista |
Ahelegbey D.F.; Billio M.; Casarin R. Modeling Turning Points in the Global Equity Market in ECONOMETRICS AND STATISTICS, vol. 30, pp. 60-75 (ISSN 2452-3062) DOI - URL correlato - Scheda ARCA: 10278/3752111 |
2024 | Articolo su rivista |
Billio, Monica; Costola, Michele; Hristova, Iva; Latino, Carmelo; Pelizzon, Loriana Sustainable Finance: A Journey Toward ESG and Climate Risk in INTERNATIONAL REVIEW OF ENVIRONMENTAL AND RESOURCE ECONOMICS, vol. 18-75 (ISSN 1932-1465) DOI - Scheda ARCA: 10278/5049340 |
2024 | Articolo su rivista |
Sina, A.; Billio, M.; Dufour, A.; Rocciolo, F.; Varotto, S. The systemic risk of leveraged and covenant-lite loan syndications in INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, vol. Forthcoming (ISSN 1057-5219) DOI - Scheda ARCA: 10278/5082965 |
2023 | Articolo su rivista |
Billio M, Casarin R, Iacopini M, Kaufmann S. Bayesian Dynamic Tensor Regression in JOURNAL OF BUSINESS & ECONOMIC STATISTICS, vol. 41, pp. 429-439 (ISSN 0735-0015) DOI - URL correlato - Scheda ARCA: 10278/3752109 |
2023 | Articolo su rivista |
Monica Billio, Alfonso Dufour, Samuele Segato, Simone Varotto Complexity and the default risk of mortgage-backed securities in JOURNAL OF BANKING & FINANCE, vol. 155 (ISSN 0378-4266) - URL correlato - Scheda ARCA: 10278/5045240 |
2023 | Articolo su rivista |
Billio M.; Caporin M.; Frattarolo L.; Pelizzon L. Networks in risk spillovers: A multivariate GARCH perspective in ECONOMETRICS AND STATISTICS, vol. 28, pp. 1-29 (ISSN 2452-3062) DOI - Scheda ARCA: 10278/5061225 |
2023 | Articolo su rivista |
Billio, M; Caporin, M; Panzica, R; Pelizzon, L The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification in INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, vol. 84, pp. 196-223 (ISSN 1059-0560) DOI - Scheda ARCA: 10278/5082962 |
2023 | Working paper |
Francesco Benvenuti;
Monica Billio;
Michele Costola;
Marco Li Calzi Asymmetric information in loan contracts: New evidence from Italian big data , Frankfurt, European DataWarehouse - Scheda ARCA: 10278/5041940 |
2022 | Articolo su rivista |
Billio, Monica; Casarin, Roberto; Iacopini, Matteo Bayesian Markov-Switching Tensor Regression for Time-Varying Networks in JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, vol. 119, pp. 109-121 (ISSN 0162-1459) DOI - Scheda ARCA: 10278/5000791 |
2022 | Articolo su rivista |
Corradin, Fausto; Billio, Monica; Casarin, Roberto Forecasting Economic Indicators with Robust Factor Models in NATIONAL ACCOUNTING REVIEW, vol. 4, pp. 167-190 (ISSN 2689-3010) DOI - Scheda ARCA: 10278/3763469 |
2022 | Articolo su rivista |
Billio M.; Frattarolo L.; Guegan D. High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization in SYMMETRY, vol. 14, pp. 97 (ISSN 2073-8994) DOI - Scheda ARCA: 10278/5021064 |
2022 | Articolo su rivista |
Agudze K. M., Billio M., Casarin R., Ravazzolo F. Markov Switching Panel with Endogenous Synchronization Effects in JOURNAL OF ECONOMETRICS, vol. 230, pp. 281-298 (ISSN 0304-4076) DOI - URL correlato - Scheda ARCA: 10278/3738158 |
2022 | Articolo su rivista |
Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification, in INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, vol. 84, pp. 196-223 (ISSN 1059-0560) DOI - Scheda ARCA: 10278/5021068 |
2022 | Articolo su libro |
Monica BILLIO,
Michele COSTOLA,
Loriana PELIZZON,
Francesco PORTIOLI,
Max RIEDEL,
Daniele VERGARI Creditworthiness and Buildings’ Energy Efficiency in the Mortgage Market , Climate Investing - New Strategies and Implementation Challenges, ISTE Ltd and John Wiley & Sons, Inc (ISBN 978-1-78630-806-1) - Scheda ARCA: 10278/5010645 |
2022 | Articolo su libro |
Monica Billio,
Roberto Casarin,
Michele Costola,
Matteo Iacopini Matrix-variate Smooth Transition Models for Temporal Networks , Innovations in Multivariate Statistical Modeling, Springer, vol. 1, pp. 137-167 (ISBN 978-3-031-13970-3) DOI - Scheda ARCA: 10278/5010644 |
2022 | Articolo su libro |
Billio M.; Casarin R.; Corradin F. Understanding Economic Instability during the Pandemic: A Factor Model Approach , Contributions to Economic Analysis, Emerald Group Holdings Ltd., vol. 296, pp. 1-55 (ISBN 978-1-80071-694-0) (ISSN 0573-8555) DOI - Scheda ARCA: 10278/3761630 |
2022 | Curatela |
(a cura di) Monica Billio; Marco Parussolo Eccellenze cafoscarine nella storia del Dipartimento di Economia , Ca' Foscari Edizioni, vol. 20 (ISBN 978-88-6969-671-8; 978-88-6969-642-8) (ISSN 2610-8917) DOI - Scheda ARCA: 10278/5021066 |
2021 | Articolo su rivista |
Billio M.; Casarin R.; Costola M.; Iacopini M. A Matrix-Variate t Model for Networks in FRONTIERS IN ARTIFICIAL INTELLIGENCE, vol. 4, pp. 1-7 (ISSN 2624-8212) DOI - URL correlato - Scheda ARCA: 10278/3752113 |
2021 | Articolo su rivista |
Billio M.; Maillet B.; Pelizzon L. A meta-measure of performance related to both investors and investments characteristics in ANNALS OF OPERATIONS RESEARCH, vol. ND (ISSN 0254-5330) DOI - Scheda ARCA: 10278/3754909 |
2021 | Articolo su rivista |
Billio M.; Costola M.; Pelizzon L.; Riedel M. Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case in JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, vol. online, pp. 1-32 (ISSN 0895-5638) DOI - Scheda ARCA: 10278/3742609 |
2021 | Articolo su rivista |
Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon Inside the ESG Ratings: (Dis)agreement and performance in CORPORATE SOCIAL-RESPONSIBILITY AND ENVIRONMENTAL MANAGEMENT, vol. online (ISSN 1535-3966) DOI - URL correlato - Scheda ARCA: 10278/3728891 |
2021 | Articolo su rivista |
Billio M.; Frattarolo L.; Guégan D. Multivariate radial symmetry of copula functions: Finite sample comparison in the i.i.d case in DEPENDENCE MODELING, vol. 9, pp. 43-61 (ISSN 2300-2298) DOI - Scheda ARCA: 10278/5021062 |
2021 | Articolo su libro |
Billio M., Casarin R., Costola M., Iacopini M. COVID-19 spreading in financial networks: A semiparametric matrix regression model in Billio M., Casarin R., Costola M., Iacopini M., Working Paper Series - Department of Economics of the Ca’ Foscari University of Venice (ISSN 1827-3580), Department of Economics, University of Venice "Ca' Foscari, vol. 2021/05, pp. 1-34 - Scheda ARCA: 10278/3735307 |
2021 | Articolo su libro |
Billio M., Casarin R., De Cian E., Mistry M., Osuntuyi, A. The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach in Billio M., Casarin R., De Cian E., Mistry M., Osuntuyi, A., Working Paper Series - Department of Economics of the Ca’ Foscari University of Venice (ISSN 1827-3580), Department of Economics, University of Venice "Ca' Foscari, vol. 2021/03, pp. 1-64 - Scheda ARCA: 10278/3735303 |
2020 | Monografia o trattato scientifico |
Monica Billio; Simone Varotto A New World Post COVID-19 , Venezia, Edizioni Ca' Foscari (ISBN 978-88-6969-442-4) DOI - Scheda ARCA: 10278/3735479 |
2020 | Articolo su rivista |
Billio M.; Donadelli M.; Livieri G.; Paradiso A. On the role of domestic and international financial cyclical factors in driving economic growth in APPLIED ECONOMICS, vol. 52, pp. 1272-1287 (ISSN 0003-6846) DOI - URL correlato - Scheda ARCA: 10278/3721759 |
2020 | Articolo su libro |
Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case , WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE, CÀ FOSCARI UNIVERSITY OF VENICE - Scheda ARCA: 10278/3728892 |
2020 | Articolo su libro |
Stefano Battiston; Monica Billio; Irene Monasterolo Pandemics, Climate and Public Finance , A New World Post Covid, Ca' Foscari Edizioni (ISBN 978-88-6969-442-4) DOI - Scheda ARCA: 10278/5021067 |
2019 | Articolo su rivista |
Billio M., Casarin R., Rossini L. Bayesian nonparametric sparse VAR models in JOURNAL OF ECONOMETRICS, vol. 212, pp. 97-115 (ISSN 0304-4076) DOI - URL correlato - Scheda ARCA: 10278/3711086 |
2019 | Articolo su rivista |
Bedin A., M. Billio, M. Costola, L. Pelizzon Credit Scoring in SME Asset-Backed Securities: An Italian Case Study in JOURNAL OF RISK AND FINANCIAL MANAGEMENT, vol. 12, pp. 89 (ISSN 1911-8074) DOI - Scheda ARCA: 10278/3715456 |
2019 | Articolo su rivista |
Bianchi Daniele, Billio Monica, Casarin Roberto, Guidolin Massimo Modeling Systemic Risk with Markov Switching Graphical SUR Models in JOURNAL OF ECONOMETRICS, vol. 210, pp. 58-74 (ISSN 0304-4076) DOI - URL correlato - Scheda ARCA: 10278/3697402 |
2019 | Articolo su rivista |
Billio M., R. Casarin, M. Costola, L. Frattarolo Opinion Dynamics and Disagreements on Financial Networks in ADVANCES IN DECISION SCIENCES, vol. 23/4, pp. 24-51 (ISSN 2090-3367) - URL correlato - Scheda ARCA: 10278/3721761 |
2019 | Articolo su libro |
Billio, M.;Casarin, R.;Costola, M.;Frattarolo, L Contagion Dynamics on Financial Networks , International Financial Markets, Routledge, vol. 1, pp. 63-98 (ISBN 1138060925) DOI - Scheda ARCA: 10278/3722916 |
2018 | Articolo su rivista |
Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony Markov switching GARCH models for Bayesian hedging on energy futures markets in ENERGY ECONOMICS, vol. 70, pp. 545-562 (ISSN 0140-9883) DOI - URL correlato - Scheda ARCA: 10278/3691288 |
2018 | Articolo su libro |
Monica Billio, Roberto Casarin, Matteo Iacopini Bayesian Markov switching tensor regression for time-varying networks in Monica Billio, Roberto Casarin, Matteo Iacopini, Bayesian Markov switching tensor regression for time-varying networks, Dipartimento di Economia, Università Ca' Foscari Venezia, pp. 1-61 (ISSN 1827-3580) DOI - URL correlato - Scheda ARCA: 10278/3700802 |
2018 | Articolo su libro |
Monica Billio, Roberto Casarin, Luca Rossini Bayesian Nonparametric Sparse Vector Autoregressive Models , Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer Verlag, pp. 155-160 (ISBN 978-3-319-89823-0) DOI - Scheda ARCA: 10278/3704088 |
2018 | Articolo su libro |
Monica Billio, Roberto Casarin, Matteo Iacopini Bayesian Tensor Binary Regression , Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, pp. 143-147 (ISBN 978-3-319-89823-0) DOI - Scheda ARCA: 10278/3700828 |
2018 | Articolo su libro |
Monica Billio, Roberto Casarin, Matteo Iacopini Bayesian Tensor Regression Models , Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, pp. 159-163 (ISBN 978-3-319-89823-0) DOI - Scheda ARCA: 10278/3700829 |
2018 | Articolo su libro |
Monica Billio, Roberto Casarin, Sylvia Kaufmann, Matteo Iacopini Bayesian dynamic tensor regression in Monica Billio, Roberto Casarin, Sylvia Kaufmann, Matteo Iacopini, Bayesian dynamic tensor regression, Dipartimento di Economia, Università Ca' Foscari Venezia, pp. 1-62 (ISSN 1827-3580) DOI - URL correlato - Scheda ARCA: 10278/3700801 |
2018 | Articolo su libro |
Monica Billio, Roberto Casarin, Michele Costola, Lorenzo Frattarolo Disagreement in Signed Financial Networks , Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer Verlag, pp. 139-142 (ISBN 978-3-319-89824-7) DOI - Scheda ARCA: 10278/3704081 |
2018 | Articolo su libro |
Bertin Giovanni, Billio Monica Legalità ed economia in Bertin Giovanni, Billio Monica, Educazione alla legalità, Linea edizioni, pp. 13-42 (ISBN 9788899644475) - Scheda ARCA: 10278/3715142 |
2018 | Articolo su libro |
Billio M., Carati L., Ladiray D., G.L. Mazzi The Effects of Seasonal Adjustment on Turning-Point Detection , Handbook on Seasonal Adjustment, European Commission, vol. Chap 26 (ISBN 978-92-79-80170-9) DOI - URL correlato - Scheda ARCA: 10278/3715455 |
2018 | Curatela |
(a cura di) Monica Billio; Stefano Coronella; Chiara Mio; Ugo Sostero Le discipline economiche e aziendali nei 150 anni di storia di Ca’ Foscari , Venezia, Edizioni Ca' Foscari - Digital Publishing, pp. 1-312 (ISBN 978-88-6969-259-8; 978-88-6969-255-0) DOI - URL correlato - Scheda ARCA: 10278/3706346 |
2017 | Articolo su rivista |
Billio, M.; Donadelli, M.; Paradiso, A.; Riedel, M. Which Market Integration Measure? in JOURNAL OF BANKING & FINANCE, vol. 76, pp. 150-174 (ISSN 1872-6372) DOI - URL correlato - Scheda ARCA: 10278/3685530 |
2017 | Articolo su libro |
Anas J., Billio M., Carati L., Ferrara L., G.L. Mazzi Cyclical Composite Indicators Detecting Turning Points , Handbook on Cyclical Composite Indicators for Business Cycle Analysis, Luxembourg, European Union, vol. Chap 14 (ISBN 978-92-79-66129-7) DOI - Scheda ARCA: 10278/3697403 |
2017 | Articolo su libro |
Billio, M.; Getmansky, M.; Pelizzon, L. Financial Crises and the Evaporation of Diversification Benefits of Hedge Funds , Hedge Funds: Structure, Strategies, and Performance, New York, Oxford University Press, vol. Chap 24 (ISBN 9780190607371) DOI - Scheda ARCA: 10278/3676338 |
2017 | Articolo su libro |
Billio M., Cavicchioli M. Markov Switching GARCH Models: Filtering, Approximations and Duality , Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, Cham, pp. 59-72 DOI - Scheda ARCA: 10278/3697404 |
2017 | Articolo in Atti di convegno |
Billio, Monica; Casarin, Roberto; Iacopini, Matteo Bayesian Tensor Regression Models in Billio M., Casarin R., Iacopini M., Proceedings of the Conference of the Italian Statistical Society. Statistics and Data Science: new challenges, new generations, Firenze University Press, pp. 179-186, Convegno: Conference of the Italian Statistical Society, 2017 (ISBN 978-88-6453-521-0) - Scheda ARCA: 10278/3691747 |
2017 | Articolo in Atti di convegno |
Billio Monica; Casarin Roberto; Rossini Luca Bayesian nonparametric sparse Vector Autoregressive models in Billio M., Casarin R., Rossini, L., Proceedings of the Conference of the Italian Statistical Society. Statistics and Data Science: new challenges, new generations, Firenze University Press, pp. 187-192, Convegno: Conference of the Italian Statistical Society (ISBN 978-88-6453-521-0) - Scheda ARCA: 10278/3691748 |
2016 | Monografia o trattato scientifico |
Billio, Monica; Pelizzon, Loriana; Savona, Roberto Systemic Risk Tomography , Elsevier - ISTE, pp. 1-278 (ISBN 9781785480850) DOI - Scheda ARCA: 10278/3676310 |
2016 | Articolo su rivista |
Billio, M.; Casarin, R.; Costola, M.; Pasqualini, A. An entropy-based early warning indicator for systemic risk in JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS & MONEY, vol. 45, pp. 42-59 (ISSN 1042-4431) DOI - Scheda ARCA: 10278/3676332 |
2016 | Articolo su rivista |
Ahelegbey D.F.; M. Billio; R. Casarin Bayesian Graphical Models for STructural Vector Autoregressive Processes in JOURNAL OF APPLIED ECONOMETRICS, vol. 31, pp. 357-386 (ISSN 1099-1255) DOI - URL correlato - Scheda ARCA: 10278/42333 |
2016 | Articolo su rivista |
Monica, Billio; Lorenzo, Frattarolo; Hayette, Gatfaoui; Philippe, De Peretti Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone in DOCUMENTS DE TRAVAIL DU CENTRE D'ÉCONOMIE DE LA SORBONNE, vol. 2016.46 (ISSN 1955-611X) DOI - Scheda ARCA: 10278/3685276 |
2016 | Articolo su rivista |
Casarin R.; Billio M.; Osuntuy A. Efficient Gibbs sampling for Markov switching GARCH models in COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 100, pp. 37-57 (ISSN 0167-9473) DOI - Scheda ARCA: 10278/40099 |
2016 | Articolo su rivista |
Billio, M.; Frattarolo, L.; Pelizzon, L. Hedge fund tail risk: An investigation in stressed markets in THE JOURNAL OF ALTERNATIVE INVESTMENTS, vol. 18, pp. 109-124 (ISSN 1520-3255) DOI - Scheda ARCA: 10278/3676334 |
2016 | Articolo su rivista |
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov-Switching VAR Model in JOURNAL OF APPLIED ECONOMETRICS, vol. 31, pp. 1352-1370 (ISSN 0883-7252) DOI - Scheda ARCA: 10278/3662235 |
2016 | Articolo su rivista |
Ahelegbey, D.F.; Billio, M.; Casarin, R. Sparse Graphical Vector Autoregression: A Bayesian Approach in ANNALS OF ECONOMICS AND STATISTICS, vol. 123/124, pp. 3-33 (ISSN 2115-4430) DOI - Scheda ARCA: 10278/3676331 |
2016 | Articolo su libro |
Billio, Monica; Costola, Michele; Panzica, Roberto; Pelizzon, Loriana Systemic risk and financial interconnectedness: network measures and the impact of the indirect effect. in Billio M. ,Pelizzon L., Savona R., SYSTEMIC RISK TOMOGRAPHY SIGNALS, MEASUREMENTS AND TRANSMISSION CHANNELS, ISTE - Elsevier (ISBN 9781785480850) DOI - Scheda ARCA: 10278/3678257 |
2016 | Articolo su libro |
Billio, M; Cavicchioli, M Validating markov switching VAR through spectral representations in 2016, Causal Inference in Econometrics, Springer Verlag, vol. 622, pp. 3-15 (ISBN 978-3-319-27284-9) (ISSN 1860-949X) DOI - URL correlato - Scheda ARCA: 10278/3676337 |
2016 | Articolo in Atti di convegno |
Ahelegbey, Daniel Felix; Billio, Monica; Casarin, Roberto Sparse Graphical Multivariate Autoregression: A Bayesian approach in Ahelegbey D. F., Billio, M., Casarin, R., JSM Proceedings, Statistical Computing Section. Alexandria, VA: American Statistical Association, 2016, American Statistical Association, pp. 1-15, Convegno: Joint Statistical Meetings (ISBN 978-0-9839375-6-2) - Scheda ARCA: 10278/3691746 |
2016 | Working paper |
Billio, Monica; Casarin, Roberto; Rossini, Luca Bayesian nonparametric sparse seemingly unrelated regression model (SUR) , vol. 2016:20 (ISSN 1827-3580) DOI - URL correlato - Scheda ARCA: 10278/3662307 |
2016 | Working paper |
Monica, Billio; Loriana, Pelizzon; Lorenzo, Frattarolo; Massimiliano, Caporin Networks in risk spillovers: a multivariate GARCH perspective (ISSN 1827-3580) DOI - Scheda ARCA: 10278/3685279 |
2016 | Working paper |
Billio, Monica; Caporin, Massimiliano; Panzica, Roberto; Pelizzon, Loriana The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification DOI - Scheda ARCA: 10278/3708101 |
2015 | Articolo su rivista |
Billio, Monica; Caporin, Massimiliano; Costola, Michele Backward/forward optimal combination of performance measures for equity screening in THE NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, Elsevier Inc., vol. 34, pp. 63-83 (ISSN 1062-9408) DOI - URL correlato - Scheda ARCA: 10278/3663332 |
2015 | Articolo su rivista |
Billio M.; Di Sanzo S. Granger-causality in Markov switching models in JOURNAL OF APPLIED STATISTICS, vol. 42, pp. 956-966 (ISSN 0266-4763) DOI - Scheda ARCA: 10278/44065 |
2015 | Articolo in Atti di convegno |
Billio. Monica; Casarin, Roberto; Costola, Michele; Pasqualini, Andrea Entropy and systemic risk measures in Monica Billio, Roberto Casarin, Michele Costola, Andrea Pasqualini, Statistics and Demography: the Legacy of Corrado Gini, CLEUP, Convegno: SIS 2015 Statistical Conference (ISBN 9788867874521) - Scheda ARCA: 10278/3662252 |
2015 | Articolo in Atti di convegno |
Ahelegbey, Daniel Felix; Billio, Monica; Casarin, Roberto Sparse BGVAR models for Systemic Risk Analysis in Daniel Felix Ahelegbey and Monica Billio and Roberto Casarin, Statistics and Demography: the Legacy of Corrado Gini, CLEUP, Convegno: SIS 2015 Statistical Conference (ISBN 9788867874521) - Scheda ARCA: 10278/3662251 |
2014 | Articolo su rivista |
M. Billio; L. Frattarolo; L. Pelizzon A time varying performance evaluation of hedge fund strategies through aggregation in RB BANKERS, MARKETS, INVESTORS, vol. 129, pp. 38-56 (ISSN 2101-9304) - Scheda ARCA: 10278/42425 |
2014 | Articolo su rivista |
M. Billio; M. Cavicchioli Business Cycle and Markov Switching Models with Distributed Lags: a Comparison between US and Euro Area in RIVISTA ITALIANA DEGLI ECONOMISTI, vol. xix, pp. 253-276 (ISSN 1593-8662) DOI - Scheda ARCA: 10278/42426 |
2014 | Articolo su rivista |
Addo P.; M. Billio; D. Guégan The Univariate MT-STAR Model and a new linearity and unit root test procedure in COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 76, pp. 4-19 (ISSN 0167-9473) DOI - Scheda ARCA: 10278/39742 |
2014 | Articolo su rivista |
Addo P.; Billio M.; Guegan D Turning point chronology for the Euro-Zone: A Distance Plot Approach in OECD JOURNAL: JOURNAL OF BUSINESS CYCLE MEASUREMENT AND ANALYSIS, vol. 2014, pp. 1-14 (ISSN 1995-2880) DOI - Scheda ARCA: 10278/42427 |
2014 | Articolo su libro |
Komla Mawulom AGUDZE; Monica BILLIO; Roberto CASARIN; Eric GIRARDIN Growth-cycle phases in China’s provinces: A panel Markov-switching approach , Growth-cycle phases in China’s provinces: A panel Markov-switching approach, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 19/2014, pp. 1-45 (ISSN 1827-3580) - Scheda ARCA: 10278/43217 |
2014 | Articolo su libro |
P.M.Addo; M. Billio; D. Guégan Nonlinear Dynamics and Wavelets for Business Cycle Analysis , Wavelets Applications in Economics and Finance, Springer International Publishing Switzerland, vol. 20, pp. 73-100 (ISBN 9783319070612) (ISSN 1566-0419) DOI - Scheda ARCA: 10278/42558 |
2014 | Articolo su libro |
Roberto Casarin; Daniel Felix Alehegbey; Monica Billio Sparse Graphical Vector Autoregression: A Bayesian
Approach , Sparse Graphical Vector Autoregression: A Bayesian, Dipartimento di Economia, Università Ca' Foscari Venezia, pp. 1-25 (ISSN 1827-3580) - Scheda ARCA: 10278/43300 |
2014 | Working paper |
Komla Mawulom AGUDZE; Monica BILLIO; Roberto CASARIN Bayesian Panel Markov-Switching model with interacting Markov chains - Scheda ARCA: 10278/43218 |
2013 | Articolo su rivista |
M. Billio; L. Ferrara; D. Guegan; G.L. Mazzi Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area in JOURNAL OF FORECASTING, vol. 32, pp. 577-586 (ISSN 0277-6693) DOI - Scheda ARCA: 10278/32457 |
2013 | Articolo su rivista |
Addo P.M.; M. Billio; D. Guegan Nonlinear dynamics and recurrence plots for detecting financial crisis in THE NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, vol. 26, pp. 416-435 (ISSN 1062-9408) DOI - Scheda ARCA: 10278/37673 |
2013 | Articolo su rivista |
Merton R.C.; M. Billio; M. Getmansky; D. Gray; A.W. Lo; L. Pelizzon On a New Approach for Analyzing and Managing Macrofinancial Risks in THE FINANCIAL ANALYSTS JOURNAL, vol. 69, pp. 22-33 (ISSN 0015-198X) DOI - Scheda ARCA: 10278/37656 |
2013 | Articolo su rivista |
Billio M.; Casarin R.; Ravazzolo F.; Van Dijk H. Time-varying Combinations of Predictive Densities using Nonlinear Filtering in JOURNAL OF ECONOMETRICS, vol. 177, pp. 213-232 (ISSN 0304-4076) DOI - Scheda ARCA: 10278/37272 |
2013 | Articolo su libro |
M. Billio; M. Caporin; L. Pelizzon; D. Sartore CDS Industrial Sector Indices, credit and liquidity risk , Credit Portfolio Securitisations and Derivatives, John Wiley & Sons, pp. 307-323 (ISBN 9781119963967) DOI - Scheda ARCA: 10278/32458 |
2013 | Articolo su libro |
M. Billio; K.Y. Mamo; L. Pelizzon Crises and Fund of Hedge Funds Tail Risk , RECONSIDERING FUNDS OF HEDGE FUNDS: THE FINANCIAL CRISIS AND BEST PRACTICES IN UCITS, TAIL RISK, PERFORMANCE, AND DUE DILIGENCE, Amsterdam Netherlands: Elsevier -link esterno , Fax: 011 31 20 4853598, pp. 425-449 (ISBN 9780124016996) DOI - Scheda ARCA: 10278/36218 |
2013 | Articolo su libro |
Billio M.; Casarin R.; Ravazzolo F.; van Dijk H. K. Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model , Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model, Norges Bank, vol. 2013/20, pp. 1-40 (ISBN 9788275536677) (ISSN 1502-8143) - Scheda ARCA: 10278/38625 |
2013 | Articolo su libro |
BILLIO M.; CASARIN R.; OSUNTUYI A. Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets , Advances in Latent Variables, Vita e Pensiero, pp. 1-6 (ISBN 9788834325568) - Scheda ARCA: 10278/37782 |
2013 | Articolo su libro |
Billio M.; Cavicchioli M. Markov Switching Models for Volatility: Filtering, Approximation and Duality , 2013-24, Venezia, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 24, pp. 1-25 (ISSN 1827-3580) - Scheda ARCA: 10278/44062 |
2013 | Articolo su libro |
Monica Billio; Gregory Mathieu Jannin; Bertrand Bruno Maillet; Loriana Pelizzon Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure , 2013-22, Venezia, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 13-22, pp. 1-34 (ISSN 1827-3580) - Scheda ARCA: 10278/44063 |
2013 | Articolo in Atti di convegno |
L. Frattarolo; M. Billio; M.Caporin; L. Pelizzon Proximity-structured multivariate volatility models for systemic risk , Advances in Latent Variables, Milano, Vita e Pensiero, Convegno: SIS 2013 (ISBN 9788834325568) - Scheda ARCA: 10278/42537 |
2012 | Articolo su rivista |
Billio M.; L. Calès; D. Guégan A Cross-Sectional Score for the Relative Performance of an Allocation in INTERNATIONAL REVIEW OF APPLIED FINANCIAL ISSUES AND ECONOMICS, vol. 3, pp. 700-710 (ISSN 9210-1737) - Scheda ARCA: 10278/39078 |
2012 | Articolo su rivista |
P.M. Addo; M. Billio; D. Guegan Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach in DOCUMENTS DE TRAVAIL DU CENTRE D'ÉCONOMIE DE LA SORBONNE, vol. 12023, pp. 1-18 (ISSN 1955-611X) - Scheda ARCA: 10278/39077 |
2012 | Articolo su rivista |
BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. Combination Schemes for Turning Point Predictions in THE QUARTERLY REVIEW OF ECONOMICS AND FINANCE: JOURNAL OF THE MIDWEST ECONOMICS ASSOCIATION, vol. 52, pp. 402-412 (ISSN 1062-9769) DOI - Scheda ARCA: 10278/39433 |
2012 | Articolo su rivista |
Monica Billio; Ludovic Calès; Dominique Guegan Cross-Sectional Analysis through Rank-based Dynamic Portfolios in DOCUMENTS DE TRAVAIL DU CENTRE D'ÉCONOMIE DE LA SORBONNE, vol. 12036, pp. 1-18 (ISSN 1955-611X) - Scheda ARCA: 10278/39063 |
2012 | Articolo su rivista |
Billio M.; Getmansky M.; Pelizzon L. Dynamic Risk Exposure in Hedge Funds in COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 56, pp. 2937-2953 (ISSN 0167-9473) DOI - Scheda ARCA: 10278/33682 |
2012 | Articolo su rivista |
BILLIO M.; GETMANSKI M.; LO A.; PELIZZON L. Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors in JOURNAL OF FINANCIAL ECONOMICS, vol. 104, pp. 535-559 (ISSN 0304-405X) DOI - Scheda ARCA: 10278/23501 |
2012 | Articolo su rivista |
Billio M.; Pelizzon L. Efficienza, interconnessione e rischio sistemico in STATISTICA & SOCIETÀ, vol. 1/3, pp. 42-44 (ISSN 1722-8506) - Scheda ARCA: 10278/37487 |
2012 | Articolo su libro |
M. Billio; M. Caporin; M. Costola Backard/forward optimal combination of performance measures for equity screening , 1312, Venezia, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 1312, pp. 1-25 (ISSN 1827-3580) - Scheda ARCA: 10278/33458 |
2012 | Articolo su libro |
Ahelegbey D.F.; Billio M.; Casarin R. Bayesian Graphical Models for Structural Vector Autoregressive Processes , Bayesian Graphical Models for Structural Vector Autoregressive Processes, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 36/WP/2012, pp. 1-35 (ISSN 1827-3580) - Scheda ARCA: 10278/38368 |
2012 | Articolo su libro |
M. Billio; R. Casarin; HK Van Dijk; F. Ravazzolo Combination schemes for turning point prediction , 1512, Venezia, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 1512, pp. 1-32 (ISSN 1827-3580) DOI - Scheda ARCA: 10278/25625 |
2012 | Articolo su libro |
M. Billio; R. Casarin; H.K. van Dijk; F. Ravazzolo Combining predictive densities using Bayesian filtering with applications to US economics data , 1612, Venezia, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 1612, pp. 1-39 (ISSN 1827-3580) - Scheda ARCA: 10278/33612 |
2012 | Articolo su libro |
Billio M.; Casarin R.; Osuntuyi A. Efficient Gibbs Sampling for Markov Switching GARCH Models , Efficient Gibbs Sampling for Markov Switching GARCH Models, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 35/WP/2012, pp. 1-30 (ISSN 1827-3580) - Scheda ARCA: 10278/38410 |
2012 | Articolo su libro |
Peter Martey Addo; Monica Billio; Dominique Guégan Understanding Exchange Rates Dynamics , Proceedings of the 20th International Conference on Computational Statistics, International Statistical Institute ( ISI ), pp. 1-14 (ISBN 9781627483216) - Scheda ARCA: 10278/42557 |
2011 | Articolo su rivista |
P.M. Addo; M. Billio; D. Guegan A test for a new modelling: The Univariate MT-STAR Model in DOCUMENTS DE TRAVAIL DU CENTRE D'ÉCONOMIE DE LA SORBONNE, vol. 11083, pp. 1-19 (ISSN 1955-611X) - Scheda ARCA: 10278/39064 |
2011 | Articolo su rivista |
BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index in MEDIUM ECONOMETRISCHE TOEPASSINGEN, vol. 18(3), pp. 1-8 (ISSN 1389-9244) - Scheda ARCA: 10278/30073 |
2011 | Articolo su rivista |
BILLIO M.; CASARIN R. Beta Autoregressive Transition Markov-switching Models for Business Cycle Analysis in STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, vol. 15(4), pp. 1-32 (ISSN 1081-1826) DOI - Scheda ARCA: 10278/28929 |
2011 | Articolo su rivista |
Billio M.; L. Calès; D. Guégan Portfolio Symmetry and Momentum in EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, vol. 214/3, pp. 759-767 (ISSN 0377-2217) DOI - Scheda ARCA: 10278/30114 |
2011 | Articolo su libro |
BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index , Discussion Paper - Tinbergen Institute, Tinbergen Institute, vol. 11-082/4, pp. 1-25 (ISSN 0929-0834) - Scheda ARCA: 10278/32119 |
2011 | Articolo su libro |
BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. Combination schemes for turning point prediction , Discussion Paper - Tinbergen Institute, Tinbergen Institute, vol. 11-123/4, pp. 1-25 (ISSN 0929-0834) - Scheda ARCA: 10278/32611 |
2011 | Articolo su libro |
Billio M.; Caporin M. Contagion Dating through Market Interdependence Analysis and Correlation Stability in Robert W. Kolb, Financial Contagion: The Viral Threat to the Wealth of Nations, Wiley, pp. 29-36 (ISBN 9780470922385) DOI - Scheda ARCA: 10278/30346 |
2011 | Working paper |
BILLIO M.; GETMANSKY M.; LO A.; PELIZZON L. Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors , vol. 21 - Scheda ARCA: 10278/31123 |
2010 | Articolo su rivista |
M. Billio; L. Calès; D. Guegan A Cross-Sectional Performance Measure for Portfolio Management in DOCUMENTS DE TRAVAIL DU CENTRE D'ÉCONOMIE DE LA SORBONNE, vol. 10070, pp. 1-15 (ISSN 1955-611X) - Scheda ARCA: 10278/39275 |
2010 | Articolo su rivista |
M. Billio; L. Calès; D. Guegan A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios in DOCUMENTS DE TRAVAIL DU CENTRE D'ÉCONOMIE DE LA SORBONNE, vol. 10030, pp. 1-16 (ISSN 1955-611X) - Scheda ARCA: 10278/39049 |
2010 | Articolo su rivista |
BILLIO M.; R. CASARIN Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods: an on-line and real time application to the Euro area in JOURNAL OF FORECASTING, vol. 1-2, pp. 145-167 (ISSN 0277-6693) DOI - Scheda ARCA: 10278/29700 |
2010 | Articolo su rivista |
BILLIO M.; M. CAPORIN Market Linkages, Variance Spillover and Correlation Stability: Empirical Evidences of Financial Contagion in COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 54/11, pp. 2443-2458 (ISSN 0167-9473) DOI - Scheda ARCA: 10278/21943 |
2010 | Articolo su libro |
BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. Combining predictive densities using Bayesian filtering with applications to US economics data , Norges Bank Working Papers, Norges Bank, vol. 2010/29, pp. 1-25 (ISBN 9788275536677) - Scheda ARCA: 10278/32630 |
2009 | Articolo su rivista |
BILLIO M.; CAPORIN M A generalised Dynamic Conditional Correlation model for portfolio risk evaluation in MATHEMATICS AND COMPUTERS IN SIMULATION, vol. 79-8, pp. 2566-2578 (ISSN 0378-4754) DOI - Scheda ARCA: 10278/28090 |
2009 | Articolo su rivista |
BILLIO M.; M. GETMANSKY; L. PELIZZON Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data in THE JOURNAL OF ALTERNATIVE INVESTMENTS, vol. 12/1, pp. 21-38 (ISSN 1520-3255) - Scheda ARCA: 10278/21741 |
2008 | Articolo su rivista |
ANAS J; BILLIO M.; FERRARA L; MAZZI G.L A System for Dating and Detecting Turning Points in the Euro Area in MANCHESTER SCHOOL, vol. 76/5, pp. 549-577 (ISSN 1463-6786) - Scheda ARCA: 10278/29206 |
2008 | Articolo su rivista |
BILLIO M.; CAPORIN M; CAZZAVILLAN G Dating Euro15 monthly business cycle jointly using GDP and IPI in JOURNAL OF BUSINESS CYCLE ANALYSIS AND MEASUREMENT, vol. 3/3, pp. 333-366 (ISSN 1729-3618) - Scheda ARCA: 10278/22678 |
2008 | Articolo su libro |
BILLIO M.; GETMANSKY M; PELIZZON L Calculating VaR for Hedge Funds in GREG N. GREGORIOU, The VAR Implementation Handbook. Financial Risk and Measurement, and Modeling, McGraw Hill, pp. 3-24 (ISBN 9780071615136) - Scheda ARCA: 10278/24311 |
2007 | Articolo su rivista |
CASARIN R.; BILLIO M. Stochastic Optimisation for Allocation Problem with Shortfall Risk Constraints in APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, vol. 23/3, pp. 247-271 (ISSN 1524-1904) DOI - Scheda ARCA: 10278/30240 |
2007 | Articolo su libro |
ANAS J; BILLIO M.; FERRARA L; LO DUCA M A turning point chronology for the Euro-zone classical and growth cycle in G.L. MAZZI AND G. SAVIO, Growth and Cycle in the Eurozone, BASINGSTOKE, HANTS, Palgrave Macmillan, pp. 261-274 (ISBN 9780230007901) - Scheda ARCA: 10278/29253 |
2007 | Articolo su libro |
BILLIO M; CASARIN R; SARTORE D. Bayesian Inference on Dynamic Models with Latent Factors in MAZZI G L; SAVIO G, Growth and Cycle in the Euro-zone, BASINGSTOKE, HANTS, Palgrave Macmillan, vol. 1, pp. 25-44 (ISBN 9780230007901) - Scheda ARCA: 10278/28401 |
2007 | Articolo su libro |
BILLIO M.; CASARIN R.; SARTORE D. Bayesian inference in dynamic models with latent factors , WORKING PAPER DEPARTMENT OF ECONOMICS, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 34/WP/2007, pp. 1-30 (ISSN 1827-3580) - Scheda ARCA: 10278/32900 |
2007 | Articolo su libro |
ANAS J; BILLIO M.; FERRARA L; LO DUCA M Business cycle analysis with multivariate Markov switching models in G.L. MAZZI AND G. SAVIO, Growth and Cycle in the Eurozone, BASINGSTOKE, HANTS, Palgrave Macmillan, pp. 249-260 (ISBN 9780230007901) - Scheda ARCA: 10278/30244 |
2007 | Articolo su libro |
M. BILLIO; CAPORIN M Market Linkages, Variance Spillover and Correlation Stability: Empirical Evidences of Financial Contagion , 18/07, Venezia, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 1807, pp. 1-30 (ISSN 1827-3580) - Scheda ARCA: 10278/3536 |
2007 | Altro |
BILLIO M.; CAPORIN M; CAZZAVILLAN G Dating Euro15 monthly business cycle jointly using GDP and IPI , vol. 19/07 - Scheda ARCA: 10278/18653 |
2007 | Altro |
BILLIO M.; GETMANSKY M; PELIZZON L Dyamic Risk Exposure in Hedge Funds , vol. 17/07 - Scheda ARCA: 10278/18654 |
2006 | Articolo su rivista |
BILLIO M.; CAPORIN M.; GOBBO M. Flexible Dynamic Conditional Correlation Multivariate GARCH models for Asset Allocation in APPLIED FINANCIAL ECONOMICS LETTERS, vol. 2, pp. 123-130 (ISSN 1744-6546) DOI - Scheda ARCA: 10278/29573 |
2006 | Articolo su libro |
BILLIO M.; DI SANZO S Granger-causality in Markov Switching Models , 2006, Venezia, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 2006, pp. 1-19 (ISSN 1827-3580) - Scheda ARCA: 10278/5230 |
2006 | Articolo su libro |
BILLIO M.; GETMANSKY M; PELIZZON L Phase-Locking and Switching Volatility in Hedge Funds , 5406, Venezia, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 5406, pp. 1-45 (ISSN 1827-3580) - Scheda ARCA: 10278/18655 |
2006 | Altro |
BILLIO M.; CAPORIN M A generalised Dynamic Conditional Correlation model for portfolio risk evaluation - Scheda ARCA: 10278/18656 |
2006 | Altro |
BILLIO M.; CAPORIN M Market Linkages, Variance Spillover and Correlation Stability: Empirical Evidences of Financial Contagion - Scheda ARCA: 10278/5229 |
2005 | Articolo su rivista |
BILLIO M.; CAPORIN M. Multivariate Markov Switching Dynamic Conditional Correlation GARCH representations for contagion analysis in STATISTICAL METHODS & APPLICATIONS, vol. 14/2, pp. 145-161 (ISSN 1618-2510) - Scheda ARCA: 10278/29049 |
2005 | Articolo su libro |
Billio M.; Sartore D. Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk , Applied Quantitative Methods for Trading and Investment, John Wiley and Sons Ltd, pp. 239-291 (ISBN 9780470013267; 9780470848852) DOI - Scheda ARCA: 10278/5082963 |
2005 | Rapporto di ricerca |
BASSO A.; BILLIO M; POLLES M; RIZZI D; ROMANAZZI M; STOCCHETTI A Relazione sulla situazione e le prospettive della facoltà di Economia , Facoltà di Economia, Università Ca' Foscari Venezia, pp. 1-75 - Scheda ARCA: 10278/15490 |
2005 | Altro |
BILLIO M.; LO DUCA M; PELIZZON L Contagion Detection with Switching Regime Models: a Short and Long Run Analysis - Scheda ARCA: 10278/5227 |
2005 | Altro |
BILLIO M.; CASARIN R Stochastic Optimisation for Allocation Problem with Shortfall Risk Constraints - Scheda ARCA: 10278/5228 |
2004 | Altro |
BILLIO M.; CAPORIN M A generalised Dynamic Conditional Correlation model for portfolio risk evaluation - Scheda ARCA: 10278/5226 |
2004 | Altro |
ANAS J.; BILLIO M.; FERRARA L.; LO DUCA M. A turning point chronology for the Euro-zone classical and growth cycle - Scheda ARCA: 10278/5172 |
2004 | Altro |
ANAS J.; BILLIO M.; FERRARA L.; LO DUCA M. Business cycle analysis with multivariate Markov switching models - Scheda ARCA: 10278/5171 |
2004 | Altro |
BILLIO M.; CAPORIN M; CAZZAVILLAN G Dating Euro15 monthly business cycle jointly using GDP and IPI - Scheda ARCA: 10278/5225 |
2003 | Articolo su rivista |
BILLIO M.; PELIZZON L. Contagion and Interdependence in Stock Markets: Have they been misdiagnosed? in JOURNAL OF ECONOMICS AND BUSINESS, vol. 55, 5/6, pp. 405-426 (ISSN 0148-6195) - Scheda ARCA: 10278/11443 |
2003 | Articolo su rivista |
BILLIO M.; MONFORT A. Kernel-based Indirect Inference in JOURNAL OF FINANCIAL ECONOMETRICS, vol. 1/3, pp. 297-326 (ISSN 1479-8409) - Scheda ARCA: 10278/11484 |
2003 | Articolo su rivista |
BILLIO M.; PELIZZON L. Volatility and shocks spillover before and after EMU in Europe stock markets in JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT, vol. 13, 4/5, pp. 323-340 (ISSN 1042-444X) - Scheda ARCA: 10278/11444 |
2003 | Articolo su libro |
BILLIO M.; SARTORE D. Stochastic Volatility Model: A Survey with Applications to Option Pricing and Value at Risk in DUNIS C.; LAWS J.; NAIM P., Quantitative Methods for Trading and Investment, John Wiley, pp. 239-291 (ISBN 9780470848852) DOI - Scheda ARCA: 10278/12790 |
2003 | Articolo in Atti di convegno |
BILLIO M.;CASARIN R. Extreme Returns in a Shortfall Risk Framework , Atti della giornata di studio Metodi Numerici per la Finanza, Venice, Applied Mathematics Department, University of Veni, vol. UNICO, Convegno: giornata di studio Metodi Numerici per la Finanza, 2003-30 Maggio (ISBN 9788888037066) - Scheda ARCA: 10278/4387 |
2003 | Working paper |
BILLIO M.; CASARIN R.; SARTORE D. Bayesian inference in dynamic models with latent factors , Office for Official Publications of the European Communities (ISBN 9289468343) - Scheda ARCA: 10278/31574 |
2003 | Altro |
BILLIO M.; LO DUCA M; PELIZZON L Contagion and interdependence measures: some words of caution - Scheda ARCA: 10278/5180 |
2003 | Altro |
BILLIO M.; LO DUCA M; PELLIZZON L The DCC test: powerless evidence of no contagion - Scheda ARCA: 10278/5174 |
2003 | Altro |
ANAS J.; BILLIO M. Turning point chronology for the Euro-zone - Scheda ARCA: 10278/5170 |
2002 | Articolo su rivista |
BILLIO M; CORAZZA M.; GOBBO M Option pricing via Regime Switching models and MultiLayer Perceptrons: a comparative approach in RENDICONTI PER GLI STUDI ECONOMICI QUANTITATIVI, vol. 2002, pp. 39-59 (ISSN 1591-9773) - Scheda ARCA: 10278/14839 |
2002 | Articolo in Atti di convegno |
BILLIO M. Simulation Based Methods for Financial Time Series , 2. Atti della XLI Riunione Scientifica della Società Italiana di Statistica, PADOVA, Cleup, Convegno: XLI Riunione Scientifica della Società Italiana di Statistica, 5-7 Giugno 2002 (ISBN 8871780183) - Scheda ARCA: 10278/5680 |
2002 | Altro |
BILLIO M.; CASARIN R; TONIOLO G Extreme returns in a shortfall risk framework - Scheda ARCA: 10278/5175 |
2001 | Working paper |
BILLIO M.; M. CORAZZA; M. GOBBO Modelli neuronali e modelli switching regime per la valutazione di opzioni finanziarie , Venezia, Dipartimento di Matematica Applicata, Università Ca’ Foscari Venezia, vol. 102/2001 - Scheda ARCA: 10278/5177 |
2001 | Altro |
BILLIO M.; SARTORE D; G. BISON; A. GIACOMELLI; L. PELIZZON Dynamic derivative use and accounting information - Scheda ARCA: 10278/5178 |
2001 | Altro |
BILLIO M.; PELLIZZON L.; SARTORE D. The European Single Currency and the Volatility of European Stock Markets , vol. 0102 - Scheda ARCA: 10278/5671 |
2001 | Altro |
BILLIO M.; A. MONFORT; C.P. ROBERT The simulated Newton Raphson method - Scheda ARCA: 10278/5176 |
2000 | Articolo su rivista |
BILLIO M.; SARTORE D.; TOFFANO C. Combining forecasts: some results on exchange and interest rates in EUROPEAN JOURNAL OF FINANCE, vol. 6/2, pp. 1-20 (ISSN 1351-847X) - Scheda ARCA: 10278/11442 |
2000 | Articolo su rivista |
BILLIO M.; PELIZZON L. Value-at-Risk: a multivariate switching regime approach in JOURNAL OF EMPIRICAL FINANCE, vol. 7, pp. 531-554 (ISSN 0927-5398) - Scheda ARCA: 10278/11440 |
2000 | Articolo su libro |
BILLIO M.; CASARIN R.; MEHU C.; SARTORE D. Investment Styles in the European Equity Market in C. DUNIS (EDITOR), Advances in Quantitative Asset Management, DORDRECHT, Kluwer Academic P., pp. 61-88 (ISBN 9780792377788) - Scheda ARCA: 10278/12767 |
1999 | Articolo su rivista |
BILLIO M.; MONFORT A.; ROBERT C.P. Bayesian estimation of switching ARMA models in JOURNAL OF ECONOMETRICS, vol. 93/2, pp. 229-255 (ISSN 0304-4076) - Scheda ARCA: 10278/11441 |
1999 | Articolo su rivista |
BILLIO M.; SARTORE D.; TIOZZO C.L. Modelli neurali artificiali geneticamente evoluti per trading system su strumenti derivati in AMMINISTRAZIONE & FINANZA, vol. 23 (ISSN 1971-5013) - Scheda ARCA: 10278/14523 |
1999 | Articolo su libro |
BILLIO M.; TOMMASI S. L'analisi tecnica ed i modelli a logica sfocata in SARTORE D., Gli strumenti derivati, MILANO, IPSOA - Scheda ARCA: 10278/7711 |
1999 | Articolo su libro |
BILLIO M.; PATRON M. L'utilizzo di trading rules in modelli a cambiamenti di regime in SARTORE D., Gli strumenti derivati, MILANO, Ipsoa - Scheda ARCA: 10278/7712 |
1999 | Articolo su libro |
BILLIO M.; SARTORE D. La combinazione di previsioni in Sartore D., Gli strumenti derivati, IPSOA, pp. 109-113 (ISBN 882171165X) - Scheda ARCA: 10278/27653 |
1998 | Articolo su rivista |
BILLIO M.; MONFORT A. Switching state space models: likelihood, filtering and smoothing in JOURNAL OF STATISTICAL PLANNING AND INFERENCE, vol. 68/1, pp. 65-103 (ISSN 0378-3758) - Scheda ARCA: 10278/11439 |
1998 | Articolo in Atti di convegno |
BILLIO M.; MONFORT A; ROBERT C.P A MCMC approach to maximum likelihood estimation , PRAGA, Union of Czech Mathematicians and Physicists, vol. 1, pp. 49-54, Convegno: Prague Stochastics '98 - Scheda ARCA: 10278/5681 |
1998 | Articolo in Atti di convegno |
BILLIO M; PELIZZON L. A Switching Volatility Approach to Estimate Value-at-Risk , Proceedings, Chicago Risk Management Conference, Convegno: Chicago Risk Management Conference, MAGGIO - Scheda ARCA: 10278/8602 |
1998 | Working paper |
BILLIO M.; MONFORT A.; ROBERT C.P. The simulated likelihood ratio (SLR) method , Parigi, CREST Insee, vol. 9828 - Scheda ARCA: 10278/5169 |
1997 | Articolo su rivista |
BILLIO M.; CAPPELLINA L.; SARTORE D. Cicli e cambiamenti di regime negli indici azionari italiani in QUADERNI DI STATISTICA E MATEMATICA APPLICATA ALLE SCIENZE ECONOMICO-SOCIALI, vol. 17/1-2-3 - Scheda ARCA: 10278/14524 |
1997 | Articolo su libro |
BILLIO M; PELIZZON L. Pricing Options with Switching Volatility in HIPP C., Money, Finance, Banking and Insurance, BADEN-BADEN, Nomos Verlang, pp. 24-42 (ISBN 9783884876497) - Scheda ARCA: 10278/9140 |
1994 | Altro |
BILLIO M. General equilibrium models of the term structure of interest rates: the N-production processes case - Scheda ARCA: 10278/5179 |