BILLIO Monica

Position
Full Professor
Roles
Department's Delegate for Relations with the Treviso Campus
Telephone
041 234 9170 / 041 234 6676
E-mail
billio@unive.it
Fax
041 234 9176
Scientific sector (SSD)
ECONOMETRIA [SECS-P/05]
Website
www.unive.it/persone/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

Anno Tipologia Pubblicazione
Anno Tipologia Pubblicazione
2022 Articolo su rivista Billio M, Casarin R, Iacopini M, Kaufmann S. Bayesian Dynamic Tensor Regression in JOURNAL OF BUSINESS & ECONOMIC STATISTICS, vol. -, pp. 1-33 (ISSN 0735-0015)
DOI - URL correlato - Scheda ARCA: 10278/3752109
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
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. 674166 (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 Billio M.; Casarin R.; Costola M.; Iacopini M. COVID-19 spreading in financial networks: A semiparametric matrix regression model in ECONOMETRICS AND STATISTICS, vol. -, pp. 1-30 (ISSN 2452-3062)
DOI - URL correlato - Scheda ARCA: 10278/3752110
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 Agudze K. M., Billio M., Casarin R., Ravazzolo F. Markov Switching Panel with Endogenous Synchronization Effects in JOURNAL OF ECONOMETRICS, vol. -, pp. 1-33 (ISSN 0304-4076)
DOI - URL correlato - Scheda ARCA: 10278/3738158
2021 Articolo su rivista Ahelegbey D.F.; Billio M.; Casarin R. Modeling Turning Points in the Global Equity Market in ECONOMETRICS AND STATISTICS, vol. -, pp. 1-25 (ISSN 2452-3062)
DOI - URL correlato - Scheda ARCA: 10278/3752111
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 Monica Billio, Michela Costola, Francesco Mazzari, Loriana Pelizzon The European Repo Market, ECB Intervention and the COVID-19 Crisis , A new world post COVID-19: lessons from business, the finance industry and policy makers, Edizioni Ca' Foscari, vol. 1, pp. 57-67 (ISBN 978-88-6969-442-4)
DOI - URL correlato - Scheda ARCA: 10278/3728893
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 (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)
- 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 (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 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