Access Statistics for Monica Billio

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Cross-Sectional Performance Measure for Portfolio Management 0 0 0 0 2 2 2 2
A Cross-Sectional Performance Measure for Portfolio Management 0 0 0 22 0 0 3 55
A Cross-Sectional Performance Measure for Portfolio Management 0 1 2 39 1 2 7 123
A Cross-Sectional Score for the Relative Performance of an Allocation 0 0 0 0 0 1 3 3
A Cross-Sectional Score for the Relative Performance of an Allocation 0 0 0 0 1 2 3 3
A Cross-Sectional Score for the Relative Performance of an Allocation 0 0 0 0 1 3 12 29
A New Modelling Test: The Univariate MT-STAR Model 0 0 0 21 2 2 11 104
A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios 0 0 0 0 0 0 0 0
A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios 0 0 0 26 0 0 4 87
A Rank-based Approach to Cross-Sectional Analysis 0 0 0 0 0 2 21 59
A Rank-based Approach to Cross-Sectional Analysis 0 0 0 0 0 0 0 0
A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation 0 0 1 208 2 2 8 575
A performance measure of Zero-dollar Long/Short equally weighted portfolios 0 0 2 59 0 2 7 277
A test for a new modelling: The Univariate MT-STAR Model 0 0 0 44 2 2 8 179
A test for a new modelling: The Univariate MT-STAR Model 0 0 1 67 6 15 48 187
A test for a new modelling: The Univariate MT-STAR Model 0 0 0 0 0 1 2 5
A turning point chronology for the Euro-zone 0 1 4 135 2 3 10 337
Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach 0 0 0 0 0 0 1 4
Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach 0 0 0 103 2 3 7 314
Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach 0 0 0 33 0 1 5 84
An entropy-based early warning indicator for systemic risk 0 0 6 76 1 5 28 167
Backward/forward optimal combination of performance measures for equity screening 0 0 0 30 2 3 13 149
Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index 0 0 1 41 2 3 12 137
Bayesian Dynamic Tensor Regression 0 1 13 60 3 9 51 121
Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis 1 1 2 118 1 1 10 223
Bayesian Graphical Models for Structural Vector Autoregressive Processes 1 3 6 138 3 7 24 353
Bayesian Inference on Dynamic Models with Latent Factors 0 0 1 121 2 2 8 317
Bayesian Markov Switching Tensor Regression for Time-varying Networks 0 0 3 46 1 3 16 57
Bayesian nonparametric sparse VAR models 1 2 4 31 2 6 24 59
Bayesian nonparametric sparse seemingly unrelated regression model (SUR) 0 1 2 35 0 2 14 125
Buildings' energy efficiency and the probability of mortgage default: The Dutch case 0 0 45 45 1 5 19 19
Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case 1 14 15 15 2 19 21 21
Business Cycle Analysis with Multivariate Markov Switching Models 1 4 8 459 4 8 19 984
CDS Industrial Sector Indices, credit and liquidity risk 0 1 1 65 2 3 10 216
Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone 1 1 1 55 1 1 3 3
Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone 0 0 0 28 2 2 16 67
Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone 0 0 1 24 0 0 13 32
Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone 0 0 0 27 1 2 10 32
Combination Schemes for Turning Point Predictions 0 0 0 67 1 1 9 136
Combination schemes for turning point predictions 0 0 0 19 1 1 8 119
Combination schemes for turning point predictions 0 0 0 57 0 0 5 103
Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data 0 0 0 40 0 2 7 82
Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data 0 0 0 15 1 2 7 65
Combining predictive densities using Bayesian filtering with applications to US economic data 0 0 0 55 0 1 9 155
Combining predictive densities using Bayesian filtering with applications to US economics data 0 0 0 66 1 3 7 104
Credit scoring in SME asset-backed securities: An Italian case study 0 0 32 32 2 3 35 35
Crises and Hedge Fund Risk 0 0 1 67 2 2 6 217
Crisis and Hedge Fund Risk 0 0 3 456 1 2 12 1,113
Cross-Sectional Analysis through Rank-based Dynamic 0 1 1 39 0 2 4 170
Cross-Sectional Analysis through Rank-based Dynamic Portfolios 0 0 0 1 0 0 1 4
Cross-Sectional Analysis through Rank-based Dynamic Portfolios 0 0 0 16 0 0 1 63
Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI 0 0 0 81 2 2 6 406
Dynamic Risk Exposure in Hedge Funds 0 0 1 289 1 3 9 883
Dynamical Interaction Between Financial and Business Cycles 0 2 5 57 1 4 15 93
Dynamical Interaction between Financial and Business Cycles 0 0 0 0 1 1 9 23
Dynamical Interaction between Financial and Business Cycles 0 0 0 0 1 1 2 2
Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors 0 2 21 346 1 11 61 765
Econometric Measures of Systemic Risk in the Finance and Insurance Sectors 0 1 14 362 2 12 48 880
Efficient Gibbs Sampling for Markov Switching GARCH Models 0 0 0 98 1 1 6 307
Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro 0 0 3 111 3 5 15 232
Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area 0 0 0 0 0 0 2 2
Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area 0 0 1 67 0 0 8 114
Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area 0 0 0 0 1 1 1 1
Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area 0 0 0 0 0 1 11 40
Evaluation of regime switching models for real-time business cycle analysis of the euro area 0 0 0 0 1 1 10 20
Functional Indirect Inference 0 0 0 16 0 0 6 53
Granger-causality in Markov Switching Models 1 1 5 144 1 2 15 401
Growth-cycle phases in China�s provinces: A panel Markov-switching approach 1 5 8 87 3 9 34 179
Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix 2 2 2 57 3 5 14 120
Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods 0 0 0 114 1 3 6 264
Inside the ESG Ratings: (Dis)agreement and performance 9 40 40 40 20 76 76 76
Inside the ESG ratings: (Dis)agreement and performance 1 1 1 1 3 3 3 3
Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model 0 0 0 22 1 2 4 93
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 1 65 0 2 11 177
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 1 5 55 0 4 14 161
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 1 44 2 3 6 155
Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode 0 1 2 88 0 3 5 95
Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion 0 0 0 137 2 2 13 396
Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets 1 1 3 87 2 3 12 195
Markov Switching Panel with Network Interaction Effects 0 2 22 53 1 11 71 120
Measuring Financial Integration: Lessons from the Correlation 0 0 7 52 2 2 18 150
Modeling Systemic Risk with Markov Switching Graphical SUR Models 3 5 33 104 4 9 64 147
Multivariate Reflection Symmetry of Copula Functions 0 0 0 0 1 2 3 3
Multivariate Reflection Symmetry of Copula Functions 0 0 1 4 1 2 5 40
Multivariate Reflection Symmetry of Copula Functions 0 0 0 1 0 0 4 14
Networks in risk spillovers: A multivariate GARCH perspective 7 30 30 30 6 21 21 21
Networks in risk spillovers: A multivariate GARCH perspective 0 1 7 38 4 9 31 61
Networks in risk spillovers: a multivariate GARCH perspective 0 1 8 101 2 8 33 241
Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data 0 0 1 168 0 1 2 359
Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis 0 0 2 96 2 2 11 241
Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis 0 0 0 25 1 1 2 8
Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis 0 0 0 47 0 0 2 73
Nonlinear Dynamics and Wavelets for Business Cycle Analysis 0 0 0 0 0 1 3 3
Nonlinear Dynamics and Wavelets for Business Cycle Analysis 0 0 0 0 0 0 0 0
Nonlinear Dynamics and Wavelets for Business Cycle Analysis 0 0 0 0 0 0 1 11
Nonlinear dynamics and recurrence plots for detecting financial crisis 0 0 0 0 1 1 1 1
Nonlinear dynamics and recurrence plots for detecting financial crisis 0 0 0 0 1 1 1 1
Nonlinear dynamics and recurrence plots for detecting financial crisis 0 0 0 0 0 0 1 27
Phase-Locking and Switching Volatility in Hedge Funds 1 1 2 152 4 7 16 628
Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure 0 1 4 87 1 4 29 259
Portfolio Symmetry and Momentum 0 0 0 25 0 0 2 103
Portfolio Symmetry and Momentum 0 0 0 2 0 0 1 7
Portfolio Symmetry and Momentum 0 0 0 34 1 1 3 169
Portfolio Symmetry and Momentum 0 0 0 0 0 0 0 0
Portfolio Symmetry and Momentum 0 0 0 0 0 1 2 3
Portfolio Symmetry and Momentum 0 0 0 14 0 1 7 129
Portfolio Symmetry and Momentum 0 0 0 13 0 0 6 54
Sparse Graphical Vector Autoregression: A Bayesian Approach 0 1 3 75 1 3 32 173
Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints 0 0 0 38 1 1 5 152
Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis 0 0 2 43 2 4 14 131
The Simulated Likelihood Ratio (SLR) Method 0 0 0 28 1 2 6 109
The impact of network connectivity on factor exposures, asset pricing and portfolio diversification 0 0 12 72 10 19 58 177
The importance of compound risk in the nexus of COVID-19, climate change and finance 2 23 23 23 6 29 29 29
The univariate MT-STAR model and a new linearity and unit root test procedure 0 0 0 0 2 2 2 2
The univariate MT-STAR model and a new linearity and unit root test procedure 0 0 0 0 0 0 1 1
The univariate MT-STAR model and a new linearity and unit root test procedure 0 0 0 0 0 2 7 23
Time-varying Combinations of Predictive Densities using Nonlinear Filtering 1 1 1 74 2 2 5 116
Turning point chronology for the Euro-Zone: A Distance Plot Approach 0 0 0 12 0 0 8 46
Turning point chronology for the Euro-Zone: A Distance Plot Approach 0 0 0 19 2 2 7 47
Turning point chronology for the Euro-Zone: A Distance Plot Approach 0 0 0 19 1 1 2 5
Turning point chronology for the Euro-Zone: A Distance Plot Approach 0 0 0 39 0 0 3 86
Turning point chronology for the euro area: A distance plot approach 0 0 0 0 0 3 4 4
Turning point chronology for the euro area: A distance plot approach 0 0 0 0 0 0 1 7
Turning point chronology for the euro area: A distance plot approach 0 0 0 0 1 1 1 1
Understanding Exchange Rates Dynamics 0 0 0 40 1 1 1 6
Understanding Exchange Rates Dynamics 0 0 2 54 0 1 9 134
Understanding Exchange Rates Dynamics 0 0 0 10 1 2 10 54
Which market integration measure? 0 0 3 18 2 2 14 64
�Markov Switching Models for Volatility: Filtering, Approximation and Duality� 0 1 9 98 5 9 48 180
Total Working Papers 35 155 441 7,177 183 474 1,613 18,431


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A SYSTEM FOR DATING AND DETECTING TURNING POINTS IN THE EURO AREA 0 0 4 82 0 2 15 226
A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation 0 0 9 65 1 1 23 144
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation 0 0 1 8 1 1 12 62
An entropy-based early warning indicator for systemic risk 0 0 2 15 2 7 22 67
Backward/forward optimal combination of performance measures for equity screening 0 0 0 4 3 3 7 44
Bayesian Graphical Models for STructural Vector Autoregressive Processes 0 2 5 19 0 6 18 76
Bayesian estimation of switching ARMA models 0 0 1 231 0 1 4 528
Bayesian nonparametric sparse VAR models 0 1 7 7 0 2 22 22
Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis 0 0 2 75 1 1 5 182
Business Cycle and Markov Switching Models with Distributed Lags: A Comparison between US and Euro Area 0 0 0 5 0 0 1 24
Combination schemes for turning point predictions 0 0 0 21 0 2 7 89
Combining forecasts: some results on exchange and interest rates 0 0 0 134 0 0 7 415
Contagion and interdependence in stock markets: Have they been misdiagnosed? 2 2 8 215 2 2 21 495
Credit Scoring in SME Asset-Backed Securities: An Italian Case Study 1 1 9 10 3 8 42 52
Dating EU15 monthly business cycle jointly using GDP and IPI 0 0 1 36 2 3 13 166
Dynamic risk exposures in hedge funds 0 2 5 33 2 6 17 102
Econometric measures of connectedness and systemic risk in the finance and insurance sectors 5 9 77 379 17 61 243 1,123
Efficient Gibbs sampling for Markov switching GARCH models 0 0 0 6 0 1 3 29
Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area 0 1 1 26 0 1 12 86
Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation 0 0 2 558 3 4 18 1,510
Granger-causality in Markov switching models 0 1 3 16 1 3 9 64
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area 0 0 1 40 0 1 6 141
Interconnectedness and systemic risk: hedge funds, banks, insurance companies 0 2 7 72 1 5 17 151
Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model 0 0 2 8 0 4 12 35
Kernel-Based Indirect Inference 0 0 0 0 0 0 5 368
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion 2 2 3 70 3 5 17 233
Markov switching GARCH models for Bayesian hedging on energy futures markets 0 0 5 11 0 0 19 47
Modeling systemic risk with Markov Switching Graphical SUR models 1 6 20 29 4 17 65 100
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis 0 0 1 2 1 5 12 23
Nonlinear dynamics and recurrence plots for detecting financial crisis 1 1 2 16 1 2 8 71
On the role of domestic and international financial cyclical factors in driving economic growth 0 0 1 1 0 1 2 2
Opinion Dynamics and Disagreements on Financial Networks 0 0 0 0 0 0 0 0
Opinion Dynamics and Disagreements on Financial Networks 2 4 10 10 6 12 34 34
Portfolio symmetry and momentum 0 0 0 13 0 0 3 76
Sparse Graphical Vector Autoregression: A Bayesian Approach 0 1 2 9 1 4 13 48
Stochastic optimization for allocation problems with shortfall risk constraints 0 0 0 0 0 0 1 1
The univariate MT-STAR model and a new linearity and unit root test procedure 0 0 0 9 0 1 7 59
Time-varying combinations of predictive densities using nonlinear filtering 0 0 1 37 1 2 11 165
Turning point chronology for the euro area: A distance plot approach 0 0 0 14 1 1 4 61
Value-at-Risk: a multivariate switching regime approach 0 0 1 382 1 3 10 909
Volatility and shocks spillover before and after EMU in European stock markets 0 0 4 151 0 0 10 414
Which market integration measure? 0 0 10 33 3 4 40 118
Total Journal Articles 14 35 207 2,852 61 182 817 8,562


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Econometric Measures of Systemic Risk in the Finance and Insurance Sectors 0 0 0 0 1 3 18 98
Total Chapters 0 0 0 0 1 3 18 98


Statistics updated 2020-09-04