BILLIO Monica

Qualifica Professoressa Ordinaria
Telefono 041 234 9170
E-mail billio@unive.it
economia.finanza@unive.it - Collegio didattico di Economia e Finanza
dir.economia@unive.it - Direzione del Dipartimento di Economia
econometrics@unive.it - Econometrics
recruiting.dec@unive.it - Recruiting dipartimento di economia
Fax 041 234 9176
Sito web www.unive.it/persone/billio (scheda personale)
 http://venus.unive.it/billio/
Struttura Dipartimento di Economia (Direttrice Dipartimento)
Sito web struttura: https://www.unive.it/dip.economia
Sede: San Giobbe
Struttura Centro Europeo Interuniversitario di Ricerca - European Center for Living Technology
Sito web struttura: https://www.unive.it/eclt
Sede: Ca' Bottacin
Research Institute Research Institute for Complexity
Incarichi Componente del Senato Accademico

Pubblicazioni per tipologia

Monografia o trattato scientifico
Articolo su rivista
  • Billio M., Casarin R., Rossini L. (2019), Bayesian nonparametric sparse VAR models in JOURNAL OF ECONOMETRICS, vol. 212, pp. 97-115 (ISSN 0304-4076)
    Link DOIURL correlato Link al documento: 10278/3711086
  • Bedin A., M. Billio, M. Costola, L. Pelizzon (2019), 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)
    Link al documento: 10278/3715456
  • Bianchi Daniele, Billio Monica, Casarin Roberto, Guidolin Massimo (2019), Modeling Systemic Risk with Markov Switching Graphical SUR Models in JOURNAL OF ECONOMETRICS, vol. 210, pp. 58-74 (ISSN 0304-4076)
    Link DOIURL correlato Link al documento: 10278/3697402
  • Billio M.; Donadelli M.; Livieri G.; Paradiso A. (2019), On the role of domestic and international financial cyclical factors in driving economic growth in APPLIED ECONOMICS, vol. 2019, pp. 1-26 (ISSN 0003-6846)
    Link DOIURL correlato Link al documento: 10278/3721759
  • Billio M., R. Casarin, M. Costola, L. Frattarolo (2019), Opinion Dynamics and Disagreements on Financial Networks in ADVANCES IN DECISION SCIENCES, vol. 23/4 (ISSN 2090-3367)
    URL correlato Link al documento: 10278/3721761
  • Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony (2018), Markov switching GARCH models for Bayesian hedging on energy futures markets in ENERGY ECONOMICS, vol. 70, pp. 545-562 (ISSN 0140-9883)
    Link DOIURL correlato Link al documento: 10278/3691288
  • Billio, M.; Donadelli, M.; Paradiso, A.; Riedel, M. (2017), Which Market Integration Measure? in JOURNAL OF BANKING & FINANCE, vol. 76, pp. 150-174 (ISSN 1872-6372)
    Link DOIURL correlato Link al documento: 10278/3685530
  • Billio, M.; Casarin, R.; Costola, M.; Pasqualini, A. (2016), 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)
    Link DOI Link al documento: 10278/3676332
  • Ahelegbey D.F.; M. Billio; R. Casarin (2016), Bayesian Graphical Models for Structural Vector Autoregressive Processes in JOURNAL OF APPLIED ECONOMETRICS, vol. 31, pp. 357-386 (ISSN 1099-1255)
    Link DOIURL correlato Link al documento: 10278/42333
  • Monica, Billio; Lorenzo, Frattarolo; Hayette, Gatfaoui; Philippe, De Peretti (2016), 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)
    Link DOI Link al documento: 10278/3685276
  • Casarin R.; Billio M.; Osuntuy A. (2016), Efficient Gibbs Sampling for Markov Switching GARCH Models in COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 100, pp. 37-57 (ISSN 0167-9473)
    Link DOI Link al documento: 10278/40099
  • Billio, M.; Frattarolo, L.; Pelizzon, L. (2016), Hedge Fund Tail Risk: An investigation in stressed markets in THE JOURNAL OF ALTERNATIVE INVESTMENTS, vol. 18, pp. 109-124 (ISSN 1520-3255)
    Link DOI Link al documento: 10278/3676334
  • Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (2016), 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)
    Link DOI Link al documento: 10278/3662235
  • Ahelegbey, D.F.; Billio, M.; Casarin, R. (2016), Sparse Graphical Vector Autoregression: A Bayesian Approach in ANNALS OF ECONOMICS AND STATISTICS, vol. 123/124, pp. 3-33 (ISSN 2115-4430)
    Link DOI Link al documento: 10278/3676331
  • Billio, Monica; Caporin, Massimiliano; Costola, Michele (2015), 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)
    Link DOIURL correlato Link al documento: 10278/3663332
  • Billio M.; Di Sanzo S. (2015), Granger-causality in Markov switching models in JOURNAL OF APPLIED STATISTICS, vol. 42, pp. 956-996 (ISSN 0266-4763)
    Link DOI Link al documento: 10278/44065
  • M. Billio; L. Frattarolo; L. Pelizzon (2014), A time varying performance evaluation of hedge fund strategies through aggregation in RB BANKERS, MARKETS, INVESTORS, vol. 129, pp. 38-56 (ISSN 2101-9304)
    Link al documento: 10278/42425
  • M. Billio; M. Cavicchioli (2014), 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)
    Link DOI Link al documento: 10278/42426
  • Addo P.; M. Billio; D. Guégan (2014), 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)
    Link DOI Link al documento: 10278/39742
  • Addo P.; Billio M.; Guegan D (2014), 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)
    Link DOI Link al documento: 10278/42427
  • M. Billio; L. Ferrara; D. Guegan; G.L. Mazzi (2013), 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)
    Link DOI Link al documento: 10278/32457
  • Addo P.M.; M. Billio; D. Guegan (2013), 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)
    Link DOI Link al documento: 10278/37673
  • Merton R.C.; M. Billio; M. Getmansky; D. Gray; A.W. Lo; L. Pelizzon (2013), On a New Approach for Analyzing and Managing Macrofinancial Risks in THE FINANCIAL ANALYSTS JOURNAL, vol. 69, pp. 22-33 (ISSN 0015-198X)
    Link DOI Link al documento: 10278/37656
  • Billio M.; Casarin R.; Ravazzolo F.; Van Dijk H. (2013), Time-varying Combinations of Predictive Densities using Nonlinear Filtering in JOURNAL OF ECONOMETRICS, vol. 177, pp. 213-232 (ISSN 0304-4076)
    Link DOI Link al documento: 10278/37272
  • Billio M.; L. Calès; D. Guégan (2012), 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)
    Link al documento: 10278/39078
  • P.M. Addo; M. Billio; D. Guegan (2012), 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)
    Link al documento: 10278/39077
  • BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. (2012), 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)
    Link DOI Link al documento: 10278/39433
  • Monica Billio; Ludovic Calès; Dominique Guegan (2012), 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)
    Link al documento: 10278/39063
  • Billio M.; Getmansky M.; Pelizzon L. (2012), Dynamic Risk Exposure in Hedge Funds in COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 56, pp. 2937-2953 (ISSN 0167-9473)
    Link DOI Link al documento: 10278/33682
  • BILLIO M.; GETMANSKI M.; LO A.; PELIZZON L. (2012), 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)
    Link DOI Link al documento: 10278/23501
  • Billio M.; Pelizzon L. (2012), Efficienza, interconnessione e rischio sistemico in STATISTICA & SOCIETÀ, vol. 1/3, pp. 42-44 (ISSN 1722-8506)
    Link al documento: 10278/37487
  • P.M. Addo; M. Billio; D. Guegan (2011), 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)
    Link al documento: 10278/39064
  • BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. (2011), 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)
    Link al documento: 10278/30073
  • BILLIO M.; CASARIN R. (2011), 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)
    Link DOI Link al documento: 10278/28929
  • Billio M.; L. Calès; D. Guégan (2011), Portfolio Symmetry and Momentum in EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, vol. 214/3, pp. 759-767 (ISSN 0377-2217)
    Link DOI Link al documento: 10278/30114
  • M. Billio; L. Calès; D. Guegan (2010), 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)
    Link al documento: 10278/39275
  • M. Billio; L. Calès; D. Guegan (2010), 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)
    Link al documento: 10278/39049
  • BILLIO M.; R. CASARIN (2010), 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)
    Link DOI Link al documento: 10278/29700
  • BILLIO M.; M. CAPORIN (2010), 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)
    Link DOI Link al documento: 10278/21943
  • BILLIO M.; CAPORIN M (2009), 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)
    Link DOI Link al documento: 10278/28090
  • BILLIO M.; M. GETMANSKY; L. PELIZZON (2009), 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)
    Link al documento: 10278/21741
  • ANAS J; BILLIO M.; FERRARA L; MAZZI G.L (2008), A System for Dating and Detecting Turning Points in the Euro Area in MANCHESTER SCHOOL, vol. 76/5, pp. 549-577 (ISSN 1463-6786)
    Link al documento: 10278/29206
  • BILLIO M.; CAPORIN M; CAZZAVILLAN G (2008), 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)
    Link al documento: 10278/22678
  • CASARIN R.; BILLIO M. (2007), 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)
    Link DOI Link al documento: 10278/30240
  • BILLIO M.; CAPORIN M.; GOBBO M. (2006), Flexible Dynamic Conditional Correlation Multivariate GARCH models for Asset Allocation in APPLIED FINANCIAL ECONOMICS LETTERS, vol. 2, pp. 123-130 (ISSN 1744-6546)
    Link DOI Link al documento: 10278/29573
  • BILLIO M.; CAPORIN M. (2005), Multivariate Markov Switching Dynamic Conditional Correlation GARCH representations for contagion analysis in STATISTICAL METHODS & APPLICATIONS, vol. 14/2, pp. 145-161 (ISSN 1618-2510)
    Link al documento: 10278/29049
  • BILLIO M.; PELIZZON L. (2003), 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)
    Link al documento: 10278/11443
  • BILLIO M.; MONFORT A. (2003), Kernel-based Indirect Inference in JOURNAL OF FINANCIAL ECONOMETRICS, vol. 1/3, pp. 297-326 (ISSN 1479-8409)
    Link al documento: 10278/11484
  • BILLIO M.; PELIZZON L. (2003), 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)
    Link al documento: 10278/11444
  • BILLIO M; CORAZZA M.; GOBBO M (2002), 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)
    Link al documento: 10278/14839
  • BILLIO M.; SARTORE D.; TOFFANO C. (2000), Combining forecasts: some results on exchange and interest rates in EUROPEAN JOURNAL OF FINANCE, vol. 6/2, pp. 1-20 (ISSN 1351-847X)
    Link al documento: 10278/11442
  • BILLIO M.; PELIZZON L. (2000), Value-at-Risk: a multivariate switching regime approach in JOURNAL OF EMPIRICAL FINANCE, vol. 7, pp. 531-554 (ISSN 0927-5398)
    Link al documento: 10278/11440
  • BILLIO M.; MONFORT A.; ROBERT C.P. (1999), Bayesian estimation of switching ARMA models in JOURNAL OF ECONOMETRICS, vol. 93/2, pp. 229-255 (ISSN 0304-4076)
    Link al documento: 10278/11441
  • BILLIO M.; SARTORE D.; TIOZZO C.L. (1999), Modelli neurali artificiali geneticamente evoluti per trading system su strumenti derivati in AMMINISTRAZIONE & FINANZA, vol. 23 (ISSN 1971-5013)
    Link al documento: 10278/14523
  • BILLIO M.; MONFORT A. (1998), Switching state space models: likelihood, filtering and smoothing in JOURNAL OF STATISTICAL PLANNING AND INFERENCE, vol. 68/1, pp. 65-103 (ISSN 0378-3758)
    Link al documento: 10278/11439
  • BILLIO M.; CAPPELLINA L.; SARTORE D. (1997), 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
    Link al documento: 10278/14524
Articolo su libro
  • Billio, M.;Casarin, R.;Costola, M.;Frattarolo, L (2019), Contagion Dynamics on Financial Networks , International Financial Markets, Routledge, vol. 1, pp. 63-98 (ISBN 1138060925)
    Link al documento: 10278/3722916
  • Monica Billio, Roberto Casarin, Matteo Iacopini (2018), 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)
    Link DOIURL correlato Link al documento: 10278/3700802
  • Monica Billio, Roberto Casarin, Luca Rossini (2018), 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)
    Link DOI Link al documento: 10278/3704088
  • Monica Billio, Roberto Casarin, Matteo Iacopini (2018), Bayesian Tensor Binary Regression , Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, pp. 143-147 (ISBN 978-3-319-89823-0)
    Link DOI Link al documento: 10278/3700828
  • Monica Billio, Roberto Casarin, Matteo Iacopini (2018), Bayesian Tensor Regression Models , Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, pp. 159-163 (ISBN 978-3-319-89823-0)
    Link DOI Link al documento: 10278/3700829
  • Monica Billio, Roberto Casarin, Sylvia Kaufmann, Matteo Iacopini (2018), 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)
    Link DOIURL correlato Link al documento: 10278/3700801
  • Monica Billio, Roberto Casarin, Michele Costola, Lorenzo Frattarolo (2018), 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)
    Link DOI Link al documento: 10278/3704081
  • Bertin Giovanni, Billio Monica (2018), Legalità ed economia in Bertin Giovanni, Billio Monica, Educazione alla legalità, Linea edizioni, pp. 13-42 (ISBN 9788899644475)
    Link al documento: 10278/3715142
  • Billio M., Carati L., Ladiray D., G.L. Mazzi (2018), The Effects of Seasonal Adjustment on Turning-Point Detection , Handbook on Seasonal Adjustment, European Commission, vol. Chap 26 (ISBN 978-92-79-80170-9)
    Link DOIURL correlato Link al documento: 10278/3715455
  • Anas J., Billio M., Carati L., Ferrara L., G.L. Mazzi (2017), 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)
    Link DOI Link al documento: 10278/3697403
  • Billio, M.; Getmansky, M.; Pelizzon, L. (2017), 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)
    Link DOI Link al documento: 10278/3676338
  • Billio M., Cavicchioli M. (2017), Markov Switching GARCH Models: Filtering, Approximations and Duality , Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, Cham, pp. 59-72
    Link DOI Link al documento: 10278/3697404
  • Billio, Monica; Costola, Michele; Panzica, Roberto; Pelizzon, Loriana (2016), 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)
    Link DOI Link al documento: 10278/3678257
  • Billio, M; Cavicchioli, M (2016), Validating Markov Switching VAR Through Spectral Representations in 2016, Causal Inference in Econometrics, Springer International Publishing, vol. 622, pp. 3-15 (ISBN 978-3-319-27284-9) (ISSN 1860-949X)
    Link DOIURL correlato Link al documento: 10278/3676337
  • Komla Mawulom AGUDZE; Monica BILLIO; Roberto CASARIN; Eric GIRARDIN (2014), 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)
    Link al documento: 10278/43217
  • P.M.Addo; M. Billio; D. Guégan (2014), 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)
    Link DOI Link al documento: 10278/42558
  • Roberto Casarin; Daniel Felix Alehegbey; Monica Billio (2014), 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)
    Link al documento: 10278/43300
  • M. Billio; M. Caporin; L. Pelizzon; D. Sartore (2013), CDS Industrial Sector Indices, credit and liquidity risk , Credit Portfolio Securitisations and Derivatives, John Wiley & Sons, pp. 307-323 (ISBN 9781119963967)
    Link DOI Link al documento: 10278/32458
  • M. Billio; K.Y. Mamo; L. Pelizzon (2013), 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)
    Link DOI Link al documento: 10278/36218
  • Billio M.; Casarin R.; Ravazzolo F.; van Dijk H. K. (2013), 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)
    Link al documento: 10278/38625
  • BILLIO M.; CASARIN R.; OSUNTUYI A. (2013), Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets , Advances in Latent Variables, Vita e Pensiero, pp. 1-6 (ISBN 9788834325568)
    Link al documento: 10278/37782
  • Billio M.; Cavicchioli M. (2013), 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)
    Link al documento: 10278/44062
  • Monica Billio; Gregory Mathieu Jannin; Bertrand Bruno Maillet; Loriana Pelizzon (2013), 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)
    Link al documento: 10278/44063
  • M. Billio; M. Caporin; M. Costola (2012), 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)
    Link al documento: 10278/33458
  • Ahelegbey D.F.; Billio M.; Casarin R. (2012), 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)
    Link al documento: 10278/38368
  • M. Billio; R. Casarin; HK Van Dijk; F. Ravazzolo (2012), Combination schemes for turning point prediction , 1512, Venezia, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 1512, pp. 1-32 (ISSN 1827-3580)
    Link al documento: 10278/25625
  • M. Billio; R. Casarin; H.K. van Dijk; F. Ravazzolo (2012), 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)
    Link al documento: 10278/33612
  • Billio M.; Casarin R.; Osuntuyi A. (2012), 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)
    Link al documento: 10278/38410
  • Peter Martey Addo; Monica Billio; Dominique Guégan (2012), Understanding Exchange Rates Dynamics , Proceedings of the 20th International Conference on Computational Statistics, International Statistical Institute ( ISI ), pp. 1-14 (ISBN 9781627483216)
    Link al documento: 10278/42557
  • BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. (2011), 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)
    Link al documento: 10278/32119
  • BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. (2011), Combination schemes for turning point prediction , Discussion Paper - Tinbergen Institute, Tinbergen Institute, vol. 11-123/4, pp. 1-25 (ISSN 0929-0834)
    Link al documento: 10278/32611
  • Billio M.; Caporin M. (2011), 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)
    Link DOI Link al documento: 10278/30346
  • BILLIO M.; CASARIN R.; RAVAZZOLO F.; VAN DIJK H.K. (2010), 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)
    Link al documento: 10278/32630
  • BILLIO M.; GETMANSKY M; PELIZZON L (2008), 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)
    Link al documento: 10278/24311
  • ANAS J; BILLIO M.; FERRARA L; LO DUCA M (2007), 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)
    Link al documento: 10278/29253
  • BILLIO M; CASARIN R; SARTORE D. (2007), 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)
    Link al documento: 10278/28401
  • BILLIO M.; CASARIN R.; SARTORE D. (2007), 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)
    Link al documento: 10278/32900
  • ANAS J; BILLIO M.; FERRARA L; LO DUCA M (2007), 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)
    Link al documento: 10278/30244
  • M. BILLIO; CAPORIN M (2007), 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)
    Link al documento: 10278/3536
  • BILLIO M.; DI SANZO S (2006), Granger-causality in Markov Switching Models , 2006, Venezia, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 2006, pp. 1-19 (ISSN 1827-3580)
    Link al documento: 10278/5230
  • BILLIO M.; GETMANSKY M; PELIZZON L (2006), 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)
    Link al documento: 10278/18655
  • BILLIO M.; SARTORE D. (2003), 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)
    Link DOI Link al documento: 10278/12790
  • BILLIO M.; CASARIN R.; MEHU C.; SARTORE D. (2000), 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)
    Link al documento: 10278/12767
  • BILLIO M.; TOMMASI S. (1999), L'analisi tecnica ed i modelli a logica sfocata in SARTORE D., Gli strumenti derivati, MILANO, IPSOA
    Link al documento: 10278/7711
  • BILLIO M.; PATRON M. (1999), L'utilizzo di trading rules in modelli a cambiamenti di regime in SARTORE D., Gli strumenti derivati, MILANO, Ipsoa
    Link al documento: 10278/7712
  • BILLIO M.; SARTORE D. (1999), La combinazione di previsioni in Sartore D., Gli strumenti derivati, IPSOA, pp. 109-113 (ISBN 882171165X)
    Link al documento: 10278/27653
  • BILLIO M; PELIZZON L. (1997), Pricing Options with Switching Volatility in HIPP C., Money, Finance, Banking and Insurance, BADEN-BADEN, Nomos Verlang, pp. 24-42 (ISBN 9783884876497)
    Link al documento: 10278/9140
Articolo in Atti di convegno
  • Billio, Monica; Casarin, Roberto; Iacopini, Matteo (2017), 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)
    Link al documento: 10278/3691747
  • Billio Monica; Casarin Roberto; Rossini Luca (2017), 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)
    Link al documento: 10278/3691748
  • Ahelegbey, Daniel Felix; Billio, Monica; Casarin, Roberto (2016), 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)
    Link al documento: 10278/3691746
  • Billio. Monica; Casarin, Roberto; Costola, Michele; Pasqualini, Andrea (2015), 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)
    Link al documento: 10278/3662252
  • Ahelegbey, Daniel Felix; Billio, Monica; Casarin, Roberto (2015), 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)
    Link al documento: 10278/3662251
  • L. Frattarolo; M. Billio; M.Caporin; L. Pelizzon (2013), Proximity-structured multivariate volatility models for systemic risk , Advances in Latent Variables, Milano, Vita e Pensiero, Convegno: SIS 2013 (ISBN 9788834325568)
    Link al documento: 10278/42537
  • BILLIO M.;CASARIN R. (2003), 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)
    Link al documento: 10278/4387
  • BILLIO M. (2002), 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)
    Link al documento: 10278/5680
  • BILLIO M.; MONFORT A; ROBERT C.P (1998), A MCMC approach to maximum likelihood estimation , PRAGA, Union of Czech Mathematicians and Physicists, vol. 1, pp. 49-54, Convegno: Prague Stochastics '98
    Link al documento: 10278/5681
  • BILLIO M; PELIZZON L. (1998), A Switching Volatility Approach to Estimate Value-at-Risk , Proceedings, Chicago Risk Management Conference, Convegno: Chicago Risk Management Conference, MAGGIO
    Link al documento: 10278/8602
Curatela
  • (a cura di) Monica Billio; Stefano Coronella; Chiara Mio; Ugo Sostero (2018), 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)
    Link DOIURL correlato Link al documento: 10278/3706346
Working paper
  • Billio, Monica; Casarin, Roberto; Rossini, Luca (2016), Bayesian nonparametric sparse seemingly unrelated regression model (SUR) , vol. 2016:20 (ISSN 1827-3580)
    Link DOIURL correlato Link al documento: 10278/3662307
  • Monica, Billio; Loriana, Pelizzon; Lorenzo, Frattarolo; Massimiliano, Caporin (2016), Networks in risk spillovers: a multivariate GARCH perspective (ISSN 1827-3580)
    Link DOI Link al documento: 10278/3685279
  • Billio, Monica; Caporin, Massimiliano; Panzica, Roberto; Pelizzon, Loriana (2016), The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification
    Link DOI Link al documento: 10278/3708101
  • Komla Mawulom AGUDZE; Monica BILLIO; Roberto CASARIN (2014), Bayesian Panel Markov-Switching model with interacting Markov chains
    Link al documento: 10278/43218
  • BILLIO M.; GETMANSKY M.; LO A.; PELIZZON L. (2011), Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors , vol. 21
    Link al documento: 10278/31123
  • BILLIO M.; CASARIN R.; SARTORE D. (2003), Bayesian inference in dynamic models with latent factors , Office for Official Publications of the European Communities (ISBN 9289468343)
    Link al documento: 10278/31574
  • BILLIO M.; MONFORT A.; ROBERT C.P. (1998), The simulated likelihood ratio (SLR) method , Parigi, CREST Insee, vol. 9828
    Link al documento: 10278/5169
Rapporto di ricerca
  • BASSO A.; BILLIO M; POLLES M; RIZZI D; ROMANAZZI M; STOCCHETTI A (2005), Relazione sulla situazione e le prospettive della facoltà di Economia , Facoltà di Economia, Università Ca' Foscari Venezia, pp. 1-75
    Link al documento: 10278/15490
Altro
  • BILLIO M.; CAPORIN M; CAZZAVILLAN G (2007), Dating Euro15 monthly business cycle jointly using GDP and IPI , vol. 19/07
    Link al documento: 10278/18653
  • BILLIO M.; GETMANSKY M; PELIZZON L (2007), Dyamic Risk Exposure in Hedge Funds , vol. 17/07
    Link al documento: 10278/18654
  • BILLIO M.; CAPORIN M (2006), A generalised Dynamic Conditional Correlation model for portfolio risk evaluation
    Link al documento: 10278/18656
  • BILLIO M.; CAPORIN M (2006), Market Linkages, Variance Spillover and Correlation Stability: Empirical Evidences of Financial Contagion
    Link al documento: 10278/5229
  • BILLIO M.; LO DUCA M; PELIZZON L (2005), Contagion Detection with Switching Regime Models: a Short and Long Run Analysis
    Link al documento: 10278/5227
  • BILLIO M.; CASARIN R (2005), Stochastic Optimisation for Allocation Problem with Shortfall Risk Constraints
    Link al documento: 10278/5228
  • BILLIO M.; CAPORIN M (2004), A generalised Dynamic Conditional Correlation model for portfolio risk evaluation
    Link al documento: 10278/5226
  • ANAS J.; BILLIO M.; FERRARA L.; LO DUCA M. (2004), A turning point chronology for the Euro-zone classical and growth cycle
    Link al documento: 10278/5172
  • ANAS J.; BILLIO M.; FERRARA L.; LO DUCA M. (2004), Business cycle analysis with multivariate Markov switching models
    Link al documento: 10278/5171
  • BILLIO M.; CAPORIN M; CAZZAVILLAN G (2004), Dating Euro15 monthly business cycle jointly using GDP and IPI
    Link al documento: 10278/5225
  • BILLIO M.; LO DUCA M; PELIZZON L (2003), Contagion and interdependence measures: some words of caution
    Link al documento: 10278/5180
  • BILLIO M.; LO DUCA M; PELLIZZON L (2003), The DCC test: powerless evidence of no contagion
    Link al documento: 10278/5174
  • ANAS J.; BILLIO M. (2003), Turning point chronology for the Euro-zone
    Link al documento: 10278/5170
  • BILLIO M.; CASARIN R; TONIOLO G (2002), Extreme returns in a shortfall risk framework
    Link al documento: 10278/5175
  • BILLIO M.; SARTORE D; G. BISON; A. GIACOMELLI; L. PELIZZON (2001), Dynamic derivative use and accounting information
    Link al documento: 10278/5178
  • BILLIO M.; M. CORAZZA; M. GOBBO (2001), Modelli neuronali e modelli switching regime per la valutazione di opzioni finanziarie
    Link al documento: 10278/5177
  • BILLIO M.; PELLIZZON L.; SARTORE D. (2001), The European Single Currency and the Volatility of European Stock Markets , vol. 0102
    Link al documento: 10278/5671
  • BILLIO M.; A. MONFORT; C.P. ROBERT (2001), The simulated Newton Raphson method
    Link al documento: 10278/5176
  • BILLIO M. (1994), General equilibrium models of the term structure of interest rates: the N-production processes case
    Link al documento: 10278/5179