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

Dati relazione

Periodo di riferimento 04/11/2015 - 03/11/2018
Afferenza Dipartimento di Economia
Ruolo Professori ordinari

Attività didattica

A.A.InsegnamentoCodice Voto (max 4)Voto medio area (max 4)
2015/2016INTRODUCTION TO ECONOMETRICSET20132.33.1
2016/2017INTRODUCTION TO ECONOMETRICSET20132.63.1
2016/2017RISK MEASUREMENTEM50273.13.1
2017/2018CFA INVESTMENT RESEARCH CHALLENGEPLE003
2017/2018INTRODUZIONE ALL'ECONOMETRIAET00382.53.1

Tesi

Anno solareTipologiaTesi RelatoreTesi Correlatore
2015Corso di dottorato1
2015Corso di laurea11
2015Corso di laurea magistrale131
2016Corso di dottorato1
2016Corso di laurea12
2016Corso di laurea magistrale7
2017Corso di dottorato3
2017Corso di laurea5
2017Corso di laurea magistrale153

Finanziamenti

  • EeMAP Energy efficient Mortgages Action Plan
  • Impacts of the Quantitative Easing on the Insurance Industry
  • Mobilità studenti doppi titoli Université Aix Marseille
  • SYstemic Risk TOmography: Signals, Measurements, Transmission Channels, and Policy Interventions

Ricerche sviluppate e in corso

  • Analisi dei rendimenti degli hedge funds
  • Business Cycle Analysis
  • Datazione del ciclo economico nell'area Euro; relazione tra ciclo economico e ciclo finanziario
  • Efficient Gibbs Sampling for Markov Switching GARCH Models
  • Green finance
  • Liquidità e rischio sistemico
  • Partilce Filter for Time Series Analysis
  • Rischio sistemico e network

Pubblicazioni realizzate nel triennio

  • 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) (Articolo su rivista)
  • 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) (Articolo su rivista)
  • 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) (Articolo su libro)
  • 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) (Articolo su libro)
  • 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) (Articolo su libro)
  • 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) (Articolo su libro)
  • (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, pp. 1-312 (ISBN 978-88-6969-259-8; 978-88-6969-255-0) (Curatela)
  • 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) (Articolo su rivista)
  • 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) (Articolo su libro)
  • 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) (Articolo su libro)
  • 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 (Articolo su libro)
  • Billio, Monica; Pelizzon, Loriana; Savona, Roberto (2016), Systemic Risk Tomography , Elsevier - ISTE (ISBN 9781785480850) (Monografia o trattato scientifico)
  • 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) (Articolo su rivista)
  • 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) (Articolo su rivista)
  • 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) (Articolo su rivista)
  • 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) (Articolo su rivista)
  • 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) (Articolo su rivista)
  • 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) (Articolo su rivista)
  • 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) (Articolo su libro)
  • Billio, Monica; Cavicchioli, Maddalena (2016), Validating Markov Switching VAR Through Spectral Representations in 2016, Causal Inference in Econometrics in STUDIES IN COMPUTATIONAL INTELLIGENCE, Springer International Publishing, vol. 622, pp. 3-15 (ISBN 978-3-319-27284-9) (ISSN 1860-949X) (Articolo su libro)
  • 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) (Articolo su rivista)
  • 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) (Articolo su rivista)

Partecipazione come referee di progetti di ricerca nazionali ed internazionali

External Reviewer for several National Research Councils: Canada, France, Australia.
Reviewer for Mathematical Reviews.
Reviewer for Wikipedia (Econometrics).
Panel member “Best Paper Award”, Vienna University of Economics and Business,
2016-2017.

Partecipazione a comitati editoriali di riviste/collane scientifiche

Member International Advisory Board Advances in Decision Sciences, 2019-:
Associate Editor Econometrics and Statistics, 2015-:.
Associate Editor Annals Computational Statistics and Data Analysis, 2011-2015.

Descrizione dell'attività di ricerca svolta nel triennio e gli obiettivi futuri

L'attività di ricerca nel triennio si è concentrata principalmente su tre filoni:
- analisi del rischio sistemico e la sua misurazione. Su tali temi ho coordinato il gruppo di ricerca derivante dal finanziamento di un progetto europeo nell'ambito del 7° programma quadro di cui sono stata Co-coordinatore scientifico (SYRTO);
- analisi dei profili di rischio di prodotti finanziari per l’efficientamento energetico degli edifici. Coordino il gruppo di ricerca dei progetti europei EeMAP e EeDaPP in fase di sviluppo e completamento;
- misurazione del rischio con metodologie che utilizzano network e grafi.

L'attività di ricerca proseguirà sui temi generali della misurazione del rischio e dal punto di vista metodologico si concentrerà sull'utilizzo di grandi basi dati e modelli adatti alla loro analisi.

Altri prodotti scientifici

Tesi di dottorato seguite (anche in altri atenei):

Filippo Busetto, “Negative interest rates”, Reading University, joint supervision with Simone Varotto e Alfonso Dufour, expected December 2019.

Hasinavonizaka Fanirisoa Zazaravaka RAHANTAMIALISOA, “Integration of VIX information in GARCH option pricing models”, Université Paris 1 Panthéon-Sorbonne, joint supervision with Christophe Chorro, November 2018.

Matteo Iacopini, “Network models and Copula”, University Ca’ Foscari of Venice, joint supervision with Roberto Casarin and Dominique Guégan, July 2018.

Mario Bellia, “Essays on empirical market microstructure and high frequency data”, Goethe University, joint supervision with Loriana Pelizzon, March 2018.

Roberto Panzica, “Financial networks and Asset pricing”, Goethe University, joint supervision with Loriana Pelizzon, March 2018.

Matteo Sottocornola, “Insurance Activities and Systemic Risk”, Goethe University, joint supervision with Loriana Pelizzon, March 2018.

Anna Petronevich, “Dynamic Non Linear Factor Models”, Université Paris 1 Panthéon-Sorbonne, joint supervision with Catherine Doz, October 2017.

Patrick Zoi, “Estimation and Derivative Pricing with Stochastic Volatility”, University Ca’ Foscari of Venice, joint supervision with Loriana Pelizzon, February 2017.

Luca Rossini, “Bayesian nonparametric sparse seemingly unrelated regression model”, University Ca’ Foscari of Venice, joint supervision with Roberto Casarin, January 2017.

Komla Mawolom AGUDZE, “Panel Markov Switching VAR”, University Ca’ Foscari of Venice, joint supervision with Roberto Casarin, June 2016.

Menzioni e premi ricevuti

Most influential article published in leading journals of the Elsevier’s Finance portfolio in recent years (2010-2015): Billio M., M. Getmansky, A.W. Lo and L. Pelizzon (2012), Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, Journal of Financial Economics, 104, 535-559.

Premio Ricerca Avanzata 2015.

Relazioni invitate presso convegni o workshops

Relazioni invitate

2018: 3rd Workshop on Statistical Physics for Financial and Economic Networks, Paris; DySES 2018 on Systemic Risk, Paris.

2016: Social Impact through Network Science, Venice.

2015: 7th Conference on the Econometrics of Hedge Funds, Paris; Université Louvain La Neuve; Université Aix Marseille; VU University Amsterdam; NBER Summer Institute: Market Institutions and Financial Market Risk.

Altre attività scientifiche

Member Scientific Programme Committee, 12th International Conference on Computational and Financial Econometrics (CFE'18), December 2018, Pisa Italy (http://cfenetwork.org/CFE2018)

Member Scientific Programme Committee, DySES 2018 on Systemic Risk, October 2018, Paris (http://www.dyses2018.org/)

Member Scientific Program Committee and Local organiser, CREDIT 2018 Small Business, Financial Regulation and Big Data Analytics, September 2018, Venice (http://www.greta.it/credit/credit2018/credit2018.htm)

Member Programme Committee, 27th Annual Meeting of European Financial Management Association (EFMA), June 2018, Università Cattolica del Sacro Cuore, Milan (http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2018-Milan/2018%20meetings.php)

Member Scientific Committee, Quantitative Finance and Financial Econometrics QFFE2018, May 2018, Aix Marseille School of Economics (https://qffe2018.sciencesconf.org/)

Member Scientific Programme Committee, Mathematical and Statistical Methods for Actuarial Science and Finance (MAF2018), April 2018, Madrid

Member Scientific Programme Committee, 11th International Conference on Computational and Financial Econometrics (CFE'17), December 2017, London (http://www.cfenetwork.org/CFE2017/)

Member Scientific Program Committee and Local organiser, CREDIT 2017 Interest Rates, Growth and Regulation, September 2017, Venice (http://www.greta.it/credit/credit2017/credit2017.htm)

Member of the Scientific Committee, International Finance and Banking Society Asia Conference (IFABS) 2017, August-September 2017, Ningbo, China (https://www.conftool.com/ifabs2017-ningbo/)

Member Programme Committee, 32nd Annual Congress of the European Economic Association (EEA), August 2017, Lisbon (http://www.eea-esem-congresses.org/index.php?sezn=7&page=108)

Member Programme Committee, 26th Annual Meeting of European Financial Management Association (EFMA), June-July 2017, Deree-The American College of Greece (http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2017-Athens/2017%20meetings.php)

Member Scientific Programme Committee, 1st International Conference in Econometrics and Statistics (EcoSta), June 2017, Hong-Kong (http://cmstatistics.org/EcoSta2017/)

Programme Chair, Seventh Italian Congress of Econometrics and Empirical Economics (ICEEE), January 2017, Messina, Italy (http://virgo.unive.it/side/?page_id=1745)

Member Scientific Programme Committee, 10th International Conference on Computational and Financial Econometrics (CFE'16), December 2016, Seville, Spain (http://www.cfenetwork.org/CFE2016/)

Co-Programme Chair, European Seminar on Bayesian Econometrics (ESOBE 2016), October 2016, Venice (http://virgo.unive.it/esobe2016/)

Local organiser, CREDIT 2016 New Credit Solutions for the Real Economy and their Implications for Investors, Financial Stability and Policy Design, October 2016, Venice (http://www.greta.it/credit/credit2016/credit2016.htm)

Member Scientific Committee, 69th Econometric Society European Meeting (ESEM), August 2016, Geneva (http://www.eea-esem-congresses.org/)

Member Programme Committee, 25th Annual Meeting of European Financial Management Association (EFMA), June-July 2016, University of Basel, Switzerland (http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2016-Switzerland/2016meetings.php)

Member Scientific Programme Committee, Mathematical and Statistical Methods for Actuarial Science and Finance (MAF2016), March-April 2016, Université Paris Dauphine, Paris (http://maf2016-paris.dauphine.fr/fr.html)

Local organiser, CREDIT 2015 Societal Fault Lines and Credit Risk: The Impact of Current Economic, Institutional and Political Developments on Credit and Risk, September 2015, Venice (http://www.greta.it/credit/credit2015/credit2015.htm)

Refereeing activity for:
Annales d’Economie et de Statistiques, Computational Statistics and Data Analysis, Econometrica, Econometrics and Statistics, Econometrics Journal, Econometric Theory, Empirical Economics, European Journal of Operational Research, Journal of Applied Econometrics, Journal of Econometrics, Journal of Empirical Finance, Journal of Financial Econometrics, Journal of Macroeconomics, Journal of Money, Credit and Banking, Journal of Financial Intermediation, Journal of Multinational Financial Management, Quantitative Finance, Studies in Non-linear Dynamics and Econometrics, The European Journal of Finance, Management Science, The European Physical Journal, Journal of International Money and Finance, Journal of Forecasting, Emerging Markets Finance and Trade, Physica A, Communications in Statistics - Simulation and Computation, Journal of Risk, Journal of the Royal Statistical Society, Journal of Political Economy, Statistics and Risk Modeling, IEEE Systems Journal, Journal of the Operational Research Society, Oxford Research Encyclopedia of Economics and Finance.

Altre attività didattiche

Quantitative methods for finance, Master IMEF (2015, 2016, 2017)

Incarichi accademici e attività organizzative

2014 - Direttore Dipartimento di Economia
2014 - Membro Senato Accademico
2006 - International Master in Economics and Finance: Member of the Teaching Committee.
2003 - PhD in Economics: Member of the Teaching Committee.

Partecipazione alle attività di valutazione della ricerca

Referee VQR (2010-2014- GEV 13) e FIRB.

Commissario ASN per Secs P05 - Econometria, 2016-2018.

Commissario in diverse procedure valutative nel settore Secs P05 - Econometria.

Attività e incarichi esterni

Membro CdA Contarina S.p.A., 2016-2019
Membro CdA Banco delle Tre Venezie S.p.A., 2015-2021
GRETA Associati: Consulenze per Eurostat
Membro Comitato Scientifico StatisticAll, 2015 - :
Esperta Economia e Finanza, Progetto 100 Esperte (https://100esperte.it/)
Member Consortium for Systemic Risk Analytics (http://www.systemic-risk.org/) 2011 – :
Member Euro Area Business Cycle Network (http://www.eabcn.org/) 2009 – :
Member CREDIT network, labelled by the European Investment Bank, 2008 - :
Panel member “Guido Cazzavillan” fellowships, 2015-:.
Panel member AXA Postdoctoral fellowships, 2015- 2016
Panel member Bank of Italy “Mortara” fellowships, 2014-2018
Panel member “Best Paper Award”, Vienna University of Economics and Business, 2016-2018.
Member International Advisory Board Advances in Decision Sciences, 2019-:
Fellow International Engineering and Technology Institute (http://www.ieti.net/index.aspx), 2018-:
Member of the Steering Committee, SIdE Italian Econometric Society (2013-2016).
Member Scientific Committee, Computational and Financial Econometrics Network, 2013-:.
Member of the Board of Directors, EFMA European Financial Management Association (2014-2021).
Member of the Scientific Committee, AIFIRM Italian Association Financial Industry Risk Managers (2013-:).
Member of the following societies: Econometric Society (from 1995), Italian Econometric Society (SIdE, from 2009).

Altre informazioni

Scopus: 41 papers with 989 total citations and h-index 14 (without self-citations).

Google Scholar: 160 publications with 3736 total citations and h-index 26 (i10-index 46).

RePEc: Overall, top 6% of 53.000 economists (top 3% among women in economics, top 4% in Europe, top 3% in Italy). In the last 10 years, top 2% (top 1% among women in economics and top 18 in Italy)