Monica BILLIO

Position
Full Professor
Roles
Coordinator of the Master's Degree Programme in Economics, Finance and Sustainability
Department’s Delegate for Relations with Treviso Campus
Representative of the teaching staff in the Academic Senate
Telephone
041 234 9170 / 041 234 6676
E-mail
billio@unive.it
Scientific sector (SSD)
Econometria [ECON-05/A]
Website
www.unive.it/people/billio (personal record)
Office
Department of Economics
Website: https://www.unive.it/dep.economics
Where: San Giobbe
Office
European Center for Living Technology (ECLT)
Where: Ca' Bottacin
Office
Interdepartmental School of Economics, Languages and Entrepreneurship
Website: https://www.unive.it/sele
Where: Treviso - Palazzo San Paolo
Research Institute
Research Institute for Complexity

Publications

Year Type Publication
Year Type Publication
2024 Journal Article 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 - ARCA card: 10278/5082964
2024 Journal Article 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 - ARCA card: 10278/3752110
2024 Journal Article 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 - ARCA card: 10278/5062181
2024 Journal Article 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 - ARCA card: 10278/3752111
2024 Journal Article 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 - ARCA card: 10278/5049340
2024 Journal Article 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 - ARCA card: 10278/5082965
2023 Journal Article 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 - ARCA card: 10278/3752109
2023 Journal Article 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 - ARCA card: 10278/5045240
2023 Journal Article 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 - ARCA card: 10278/5061225
2023 Journal Article 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 - ARCA card: 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
- ARCA card: 10278/5041940
2022 Journal Article 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 - ARCA card: 10278/5000791
2022 Journal Article 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 - ARCA card: 10278/3763469
2022 Journal Article 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 - ARCA card: 10278/5021064
2022 Journal Article 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 - ARCA card: 10278/3738158
2022 Journal Article 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 - ARCA card: 10278/5021068
2022 Book Article 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)
- ARCA card: 10278/5010645
2022 Book Article 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 - ARCA card: 10278/5010644
2022 Book Article 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 - ARCA card: 10278/3761630
2022 Curatorship (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 - ARCA card: 10278/5021066
2021 Journal Article 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 - ARCA card: 10278/3752113
2021 Journal Article 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 - ARCA card: 10278/3754909
2021 Journal Article 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 - ARCA card: 10278/3742609
2021 Journal Article 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 - ARCA card: 10278/3728891
2021 Journal Article 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 - ARCA card: 10278/5021062
2021 Book Article 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
- ARCA card: 10278/3735307
2021 Book Article 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
- ARCA card: 10278/3735303
2020 Scientific monograph or treatise Monica Billio; Simone Varotto A New World Post COVID-19 , Venezia, Edizioni Ca' Foscari (ISBN 978-88-6969-442-4)
DOI - ARCA card: 10278/3735479
2020 Journal Article 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 - ARCA card: 10278/3721759
2020 Book Article 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
- ARCA card: 10278/3728892
2020 Book Article 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 - ARCA card: 10278/5021067
2019 Journal Article 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 - ARCA card: 10278/3711086
2019 Journal Article 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 - ARCA card: 10278/3715456
2019 Journal Article 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 - ARCA card: 10278/3697402
2019 Journal Article 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 - ARCA card: 10278/3721761
2019 Book Article 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 - ARCA card: 10278/3722916
2018 Journal Article 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 - ARCA card: 10278/3691288
2018 Book Article 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 - ARCA card: 10278/3700802
2018 Book Article 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 - ARCA card: 10278/3704088
2018 Book Article 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 - ARCA card: 10278/3700828
2018 Book Article 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 - ARCA card: 10278/3700829
2018 Book Article 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 - ARCA card: 10278/3700801
2018 Book Article 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 - ARCA card: 10278/3704081
2018 Book Article Bertin Giovanni, Billio Monica Legalità ed economia in Bertin Giovanni, Billio Monica, Educazione alla legalità, Linea edizioni, pp. 13-42 (ISBN 9788899644475)
- ARCA card: 10278/3715142
2018 Book Article 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 - ARCA card: 10278/3715455
2018 Curatorship (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 - ARCA card: 10278/3706346
2017 Journal Article 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 - ARCA card: 10278/3685530
2017 Book Article 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 - ARCA card: 10278/3697403
2017 Book Article 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 - ARCA card: 10278/3676338
2017 Book Article 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 - ARCA card: 10278/3697404
2017 Article in Conference Proceedings 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)
- ARCA card: 10278/3691747
2017 Article in Conference Proceedings 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)
- ARCA card: 10278/3691748
2016 Scientific monograph or treatise Billio, Monica; Pelizzon, Loriana; Savona, Roberto Systemic Risk Tomography , Elsevier - ISTE, pp. 1-278 (ISBN 9781785480850)
DOI - ARCA card: 10278/3676310
2016 Journal Article 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 - ARCA card: 10278/3676332
2016 Journal Article 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 - ARCA card: 10278/42333
2016 Journal Article 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 - ARCA card: 10278/3685276
2016 Journal Article 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 - ARCA card: 10278/40099
2016 Journal Article 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 - ARCA card: 10278/3676334
2016 Journal Article 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 - ARCA card: 10278/3662235
2016 Journal Article 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 - ARCA card: 10278/3676331
2016 Book Article 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 - ARCA card: 10278/3678257
2016 Book Article 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 - ARCA card: 10278/3676337
2016 Article in Conference Proceedings 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)
- ARCA card: 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 - ARCA card: 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 - ARCA card: 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 - ARCA card: 10278/3708101
2015 Journal Article 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 - ARCA card: 10278/3663332
2015 Journal Article 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 - ARCA card: 10278/44065
2015 Article in Conference Proceedings 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)
- ARCA card: 10278/3662252
2015 Article in Conference Proceedings 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)
- ARCA card: 10278/3662251
2014 Journal Article 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)
- ARCA card: 10278/42425
2014 Journal Article 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 - ARCA card: 10278/42426
2014 Journal Article 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 - ARCA card: 10278/39742
2014 Journal Article 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 - ARCA card: 10278/42427
2014 Book Article 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)
- ARCA card: 10278/43217
2014 Book Article 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 - ARCA card: 10278/42558
2014 Book Article 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)
- ARCA card: 10278/43300
2014 Working paper Komla Mawulom AGUDZE; Monica BILLIO; Roberto CASARIN Bayesian Panel Markov-Switching model with interacting Markov chains
- ARCA card: 10278/43218
2013 Journal Article 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 - ARCA card: 10278/32457
2013 Journal Article 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 - ARCA card: 10278/37673
2013 Journal Article 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 - ARCA card: 10278/37656
2013 Journal Article 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 - ARCA card: 10278/37272
2013 Book Article 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 - ARCA card: 10278/32458
2013 Book Article 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 - ARCA card: 10278/36218
2013 Book Article 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)
- ARCA card: 10278/38625
2013 Book Article 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)
- ARCA card: 10278/37782
2013 Book Article 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)
- ARCA card: 10278/44062
2013 Book Article 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)
- ARCA card: 10278/44063
2013 Article in Conference Proceedings 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)
- ARCA card: 10278/42537
2012 Journal Article 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)
- ARCA card: 10278/39078
2012 Journal Article 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)
- ARCA card: 10278/39077
2012 Journal Article 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 - ARCA card: 10278/39433
2012 Journal Article 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)
- ARCA card: 10278/39063
2012 Journal Article 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 - ARCA card: 10278/33682
2012 Journal Article 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 - ARCA card: 10278/23501
2012 Journal Article Billio M.; Pelizzon L. Efficienza, interconnessione e rischio sistemico in STATISTICA & SOCIETÀ, vol. 1/3, pp. 42-44 (ISSN 1722-8506)
- ARCA card: 10278/37487
2012 Book Article 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)
- ARCA card: 10278/33458
2012 Book Article 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)
- ARCA card: 10278/38368
2012 Book Article 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 - ARCA card: 10278/25625
2012 Book Article 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)
- ARCA card: 10278/33612
2012 Book Article 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)
- ARCA card: 10278/38410
2012 Book Article 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)
- ARCA card: 10278/42557
2011 Journal Article 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)
- ARCA card: 10278/39064
2011 Journal Article 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)
- ARCA card: 10278/30073
2011 Journal Article 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 - ARCA card: 10278/28929
2011 Journal Article 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 - ARCA card: 10278/30114
2011 Book Article 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)
- ARCA card: 10278/32119
2011 Book Article 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)
- ARCA card: 10278/32611
2011 Book Article 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 - ARCA card: 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
- ARCA card: 10278/31123
2010 Journal Article 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)
- ARCA card: 10278/39275
2010 Journal Article 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)
- ARCA card: 10278/39049
2010 Journal Article 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 - ARCA card: 10278/29700
2010 Journal Article 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 - ARCA card: 10278/21943
2010 Book Article 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)
- ARCA card: 10278/32630
2009 Journal Article 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 - ARCA card: 10278/28090
2009 Journal Article 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)
- ARCA card: 10278/21741
2008 Journal Article 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)
- ARCA card: 10278/29206
2008 Journal Article 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)
- ARCA card: 10278/22678
2008 Book Article 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)
- ARCA card: 10278/24311
2007 Journal Article 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 - ARCA card: 10278/30240
2007 Book Article 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)
- ARCA card: 10278/29253
2007 Book Article 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)
- ARCA card: 10278/28401
2007 Book Article 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)
- ARCA card: 10278/32900
2007 Book Article 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)
- ARCA card: 10278/30244
2007 Book Article 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)
- ARCA card: 10278/3536
2007 Other BILLIO M.; CAPORIN M; CAZZAVILLAN G Dating Euro15 monthly business cycle jointly using GDP and IPI , vol. 19/07
- ARCA card: 10278/18653
2007 Other BILLIO M.; GETMANSKY M; PELIZZON L Dyamic Risk Exposure in Hedge Funds , vol. 17/07
- ARCA card: 10278/18654
2006 Journal Article 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 - ARCA card: 10278/29573
2006 Book Article 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)
- ARCA card: 10278/5230
2006 Book Article 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)
- ARCA card: 10278/18655
2006 Other BILLIO M.; CAPORIN M A generalised Dynamic Conditional Correlation model for portfolio risk evaluation
- ARCA card: 10278/18656
2006 Other BILLIO M.; CAPORIN M Market Linkages, Variance Spillover and Correlation Stability: Empirical Evidences of Financial Contagion
- ARCA card: 10278/5229
2005 Journal Article 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)
- ARCA card: 10278/29049
2005 Book Article 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 - ARCA card: 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
- ARCA card: 10278/15490
2005 Other BILLIO M.; LO DUCA M; PELIZZON L Contagion Detection with Switching Regime Models: a Short and Long Run Analysis
- ARCA card: 10278/5227
2005 Other BILLIO M.; CASARIN R Stochastic Optimisation for Allocation Problem with Shortfall Risk Constraints
- ARCA card: 10278/5228
2004 Other BILLIO M.; CAPORIN M A generalised Dynamic Conditional Correlation model for portfolio risk evaluation
- ARCA card: 10278/5226
2004 Other ANAS J.; BILLIO M.; FERRARA L.; LO DUCA M. A turning point chronology for the Euro-zone classical and growth cycle
- ARCA card: 10278/5172
2004 Other ANAS J.; BILLIO M.; FERRARA L.; LO DUCA M. Business cycle analysis with multivariate Markov switching models
- ARCA card: 10278/5171
2004 Other BILLIO M.; CAPORIN M; CAZZAVILLAN G Dating Euro15 monthly business cycle jointly using GDP and IPI
- ARCA card: 10278/5225
2003 Journal Article 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)
- ARCA card: 10278/11443
2003 Journal Article BILLIO M.; MONFORT A. Kernel-based Indirect Inference in JOURNAL OF FINANCIAL ECONOMETRICS, vol. 1/3, pp. 297-326 (ISSN 1479-8409)
- ARCA card: 10278/11484
2003 Journal Article 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)
- ARCA card: 10278/11444
2003 Book Article 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 - ARCA card: 10278/12790
2003 Article in Conference Proceedings 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)
- ARCA card: 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)
- ARCA card: 10278/31574
2003 Other BILLIO M.; LO DUCA M; PELIZZON L Contagion and interdependence measures: some words of caution
- ARCA card: 10278/5180
2003 Other BILLIO M.; LO DUCA M; PELLIZZON L The DCC test: powerless evidence of no contagion
- ARCA card: 10278/5174
2003 Other ANAS J.; BILLIO M. Turning point chronology for the Euro-zone
- ARCA card: 10278/5170
2002 Journal Article 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)
- ARCA card: 10278/14839
2002 Article in Conference Proceedings 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)
- ARCA card: 10278/5680
2002 Other BILLIO M.; CASARIN R; TONIOLO G Extreme returns in a shortfall risk framework
- ARCA card: 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
- ARCA card: 10278/5177
2001 Other BILLIO M.; SARTORE D; G. BISON; A. GIACOMELLI; L. PELIZZON Dynamic derivative use and accounting information
- ARCA card: 10278/5178
2001 Other BILLIO M.; PELLIZZON L.; SARTORE D. The European Single Currency and the Volatility of European Stock Markets , vol. 0102
- ARCA card: 10278/5671
2001 Other BILLIO M.; A. MONFORT; C.P. ROBERT The simulated Newton Raphson method
- ARCA card: 10278/5176
2000 Journal Article 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)
- ARCA card: 10278/11442
2000 Journal Article 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)
- ARCA card: 10278/11440
2000 Book Article 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)
- ARCA card: 10278/12767
1999 Journal Article 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)
- ARCA card: 10278/11441
1999 Journal Article 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)
- ARCA card: 10278/14523
1999 Book Article BILLIO M.; TOMMASI S. L'analisi tecnica ed i modelli a logica sfocata in SARTORE D., Gli strumenti derivati, MILANO, IPSOA
- ARCA card: 10278/7711
1999 Book Article BILLIO M.; PATRON M. L'utilizzo di trading rules in modelli a cambiamenti di regime in SARTORE D., Gli strumenti derivati, MILANO, Ipsoa
- ARCA card: 10278/7712
1999 Book Article BILLIO M.; SARTORE D. La combinazione di previsioni in Sartore D., Gli strumenti derivati, IPSOA, pp. 109-113 (ISBN 882171165X)
- ARCA card: 10278/27653
1998 Journal Article 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)
- ARCA card: 10278/11439
1998 Article in Conference Proceedings 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
- ARCA card: 10278/5681
1998 Article in Conference Proceedings BILLIO M; PELIZZON L. A Switching Volatility Approach to Estimate Value-at-Risk , Proceedings, Chicago Risk Management Conference, Convegno: Chicago Risk Management Conference, MAGGIO
- ARCA card: 10278/8602
1998 Working paper BILLIO M.; MONFORT A.; ROBERT C.P. The simulated likelihood ratio (SLR) method , Parigi, CREST Insee, vol. 9828
- ARCA card: 10278/5169
1997 Journal Article 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
- ARCA card: 10278/14524
1997 Book Article 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)
- ARCA card: 10278/9140
1994 Other BILLIO M. General equilibrium models of the term structure of interest rates: the N-production processes case
- ARCA card: 10278/5179

List of selected publications