متابعة
Monica BILLIO
عنوان
عدد مرات الاقتباسات
عدد مرات الاقتباسات
السنة
Econometric measures of connectedness and systemic risk in the finance and insurance sectors‏
M Billio, M Getmansky, AW Lo, L Pelizzon‏
Journal of financial economics 104 (3), 535-559, 2012‏
30432012
Inside the ESG ratings:(Dis) agreement and performance‏
M Billio, M Costola, I Hristova, C Latino, L Pelizzon‏
Corporate Social Responsibility and Environmental Management 28 (5), 1426-1445, 2021‏
6462021
Value-at-risk: a multivariate switching regime approach‏
M Billio, L Pelizzon‏
Journal of Empirical Finance 7 (5), 531-554, 2000‏
2812000
Flexible dynamic conditional correlation multivariate garch models for asset allocation‏
M Billio, M Caporin, M Gobbo‏
Applied Financial Economics Letters 2 (02), 123-130, 2006‏
2452006
Bayesian graphical models for structural vector autoregressive processes‏
DF Ahelegbey, M Billio, R Casarin‏
Journal of Applied Econometrics 31 (2), 357-386, 2016‏
2362016
Contagion and interdependence in stock markets: Have they been misdiagnosed?‏
M Billio, L Pelizzon‏
Journal of economics and business 55 (5-6), 405-426, 2003‏
1872003
Measuring systemic risk in the finance and insurance sectors‏
M Billio, M Getmansky, AW Lo, L Pelizzon‏
Manuscript, MIT 8, 16, 2010‏
1682010
Time-varying combinations of predictive densities using nonlinear filtering‏
M Billio, R Casarin, F Ravazzolo, HK Van Dijk‏
Journal of Econometrics 177 (2), 213-232, 2013‏
1662013
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion‏
M Billio, M Caporin‏
Computational statistics & data analysis 54 (11), 2443-2458, 2010‏
1662010
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis‏
M Billio, M Caporin‏
Statistical methods and applications 14 (2), 145-161, 2005‏
1632005
Volatility and shocks spillover before and after EMU in European stock markets‏
M Billio, L Pelizzon‏
Journal of Multinational Financial Management 13 (4-5), 323-340, 2003‏
1542003
Dynamic risk exposures in hedge funds‏
M Billio, M Getmansky, L Pelizzon‏
Computational Statistics & Data Analysis 56 (11), 3517-3532, 2012‏
1462012
Crises and hedge fund risk‏
M Billio, M Getmansky Sherman, L Pelizzon‏
UMASS-Amherst Working Paper, Yale ICF Working Paper, 10-08, 2010‏
1172010
A generalized dynamic conditional correlation model for portfolio risk evaluation‏
M Billio, M Caporin‏
Mathematics and Computers in Simulation 79 (8), 2566-2578, 2009‏
1172009
Which market integration measure?‏
M Billio, M Donadelli, A Paradiso, M Riedel‏
Journal of Banking & Finance 76, 150-174, 2017‏
1072017
An entropy-based early warning indicator for systemic risk‏
M Billio, R Casarin, M Costola, A Pasqualini‏
Journal of International Financial Markets, Institutions and Money 45, 42-59, 2016‏
962016
Bayesian estimation of switching ARMA models‏
M Billio, A Monfort, CP Robert‏
Journal of econometrics 93 (2), 229-255, 1999‏
961999
Nonlinear dynamics and recurrence plots for detecting financial crisis‏
PM Addo, M Billio, D Guegan‏
The North American Journal of Economics and Finance 26, 416-435, 2013‏
932013
Bayesian nonparametric sparse VAR models‏
M Billio, R Casarin, L Rossini‏
Journal of Econometrics 212 (1), 97-115, 2019‏
902019
Interconnections between eurozone and US booms and busts using a Bayesian panel Markov‐switching VAR model‏
M Billio, R Casarin, F Ravazzolo, HK Van Dijk‏
Journal of Applied Econometrics 31 (7), 1352-1370, 2016‏
902016
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مقالات 1–20