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
qualita.economia@unive.it - Qualità - Dip. Economia
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: http://www.unive.it/dip.economia
Sede: San Giobbe
Research team Science of complex economic, human and natural systems
Incarichi Componente del Senato Accademico

Pubblicazioni per tipologia

Monografia o trattato scientifico
Articolo su rivista
  • Billio, M.; Casarin, R.; Rossini, L. (in corso di stampa), Bayesian nonparametric sparse VAR models in JOURNAL OF ECONOMETRICS, vol. Forth (ISSN 0304-4076)
    Link al documento: 10278/3711086 abstract
  • Bedin, A.; Billio, M.; Costola, M.; Pelizzon, L. (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
  • 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 abstract
  • Bianchi, Daniele; Billio, Monica; Casarin, Roberto; Guidolin, Massimo (2018), Modeling Systemic Risk with Markov Switching Graphical SUR Models in JOURNAL OF ECONOMETRICS, vol. Forthcoming (ISSN 0304-4076)
    Link al documento: 10278/3697402 abstract
  • 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 abstract
  • Billio, Monica; Casarin, Roberto; Costola, Michele; Pasqualini, Andrea (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, DANIEL FELIX; Billio, Monica; Casarin, Roberto (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 abstract
  • Billio, Monica; Frattarolo, Lorenzo; 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, Roberto; Billio, Monica; 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 abstract
  • Billio, Monica; Frattarolo, Lorenzo; Pelizzon, Loriana (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 abstract
  • Ahelegbey, D. F.; Billio, Monica; Casarin, Roberto (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, vol. 34, pp. 63-83 (ISSN 1062-9408)
    Link DOIURL correlato Link al documento: 10278/3663332 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
Articolo su libro
  • Billio, Monica; Casarin, Roberto; Iacopini, Matteo (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 abstract
  • Billio, Monica; Casarin, Roberto; Rossini, Luca (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
  • Billio, Monica; Casarin, Roberto; Iacopini, Matteo (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 abstract
  • Billio, Monica; Casarin, Roberto; Iacopini, Matteo (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 abstract
  • Billio, Monica; Casarin, Roberto; Kaufmann, Sylvia; Iacopini, Matteo (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 abstract
  • Billio, Monica; Casarin, Roberto; Costola, Michele; Frattarolo, Lorenzo (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 abstract
  • 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, Monica; Getmansky, M.; Pelizzon, Loriana (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 Calogero; 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 abstract
  • Billio, Monica; Cavicchioli, Maddalena (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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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 abstract
  • 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) Billio, Monica; Coronella, Stefano; Mio, Chiara; Sostero, Ugo (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 abstract
Working paper
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 abstract
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