Monica Billio

14 papers Journal 13
YearRankTypeTitle / Venue / Authors
2024 J jnl
Correction to: A meta-measure of performance related to both investors and investments characteristics.
Ann. Oper. Res.
Monica Billio, Bertrand Maillet, Loriana Pelizzon
2022 J jnl
A meta-measure of performance related to both investors and investments characteristics.
Ann. Oper. Res.
Monica Billio, Bertrand Maillet, Loriana Pelizzon
2022 J jnl
High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization.
Symmetry
Monica Billio, Lorenzo Frattarolo, Dominique Guégan
2021 J jnl
A Matrix-Variate t Model for Networks.
Frontiers Artif. Intell.
Monica Billio, Roberto Casarin, Michele Costola, Matteo Iacopini
2016 J jnl
Efficient Gibbs sampling for Markov switching GARCH models.
Comput. Stat. Data Anal.
Monica Billio, Roberto Casarin, Anthony Osuntuyi
2016 — ch.
Validating Markov Switching VAR Through Spectral Representations.
Causal Inference in Econometrics
Monica Billio, Maddalena Cavicchioli
2014 J jnl
CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue.
Comput. Stat. Data Anal.
Erricos John Kontoghiorghes, Herman K. van Dijk, David A. Belsley, Tim Bollerslev, Francis X. Diebold, Jean-Marie Dufour, Robert F. Engle, Andrew Harvey, Siem Jan Koopman, Hashem Pesaran, Peter C. B. Phillips, Richard J. Smith, Mike West, Qiwei Yao, Alessandra Amendola, Monica Billio, Cathy W. S. Chen, Carl Chiarella, Ana Colubi, Manfred Deistler, Christian Francq, Marc Hallin, Eric Jacquier, Kenneth Judd, Gary Koop, Helmut Lütkepohl, James G. MacKinnon, Stefan Mittnik, Yasuhiro Omori, D. S. G. Pollock, Tommaso Proietti, Jeroen V. K. Rombouts, Olivier Scaillet, Willi Semmler, Mike K. P. So, Mark F. J. Steel, Robert Taylor, Elias Tzavalis, Jean-Michel Zakoian, H. Peter Boswijk, Alessandra Luati, John M. Maheu
2014 J jnl
The univariate MT-STAR model and a new linearity and unit root test procedure.
Comput. Stat. Data Anal.
Peter Martey Addo, Monica Billio, Dominique Guégan
2012 J jnl
Dynamic risk exposures in hedge funds.
Comput. Stat. Data Anal.
Monica Billio, Mila Getmansky, Loriana Pelizzon
2012 J jnl
The Annals of Computational and Financial Econometrics, first issue.
Comput. Stat. Data Anal.
David A. Belsley, Erricos John Kontoghiorghes, Herman K. van Dijk, Luc Bauwens, Siem Jan Koopman, Michael McAleer, Alessandra Amendola, Monica Billio, Christophe Croux, Cathy W. S. Chen, Russell Davidson, Pierre Duchesne, Paolo Foschi, Christian Francq, Ana-María Fuertes, Gary Koop, Lynda Khalaf, Marc S. Paolella, D. S. G. Pollock, Esther Ruiz, Richard Paap, Tommaso Proietti, Peter Winker, Philip L. H. Yu, Jean-Michel Zakoian, Achim Zeileis
2011 J jnl
Portfolio symmetry and momentum.
Eur. J. Oper. Res.
Monica Billio, Ludovic Calès, Dominique Guégan
2010 J jnl
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion.
Comput. Stat. Data Anal.
Monica Billio, Massimiliano Caporin
2009 J jnl
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation.
Math. Comput. Simul.
Monica Billio, Massimiliano Caporin
2005 J jnl
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis.
Stat. Methods Appl.
Monica Billio, Massimiliano Caporin