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 0 0 0 6
A Cross-Sectional Performance Measure for Portfolio Management 0 0 2 43 0 0 2 134
A Cross-Sectional Performance Measure for Portfolio Management 0 0 0 22 0 1 1 59
A Cross-Sectional Score for the Relative Performance of an Allocation 0 0 0 0 0 0 0 9
A Cross-Sectional Score for the Relative Performance of an Allocation 0 0 0 0 0 0 0 8
A Cross-Sectional Score for the Relative Performance of an Allocation 0 0 0 0 0 0 1 46
A New Modelling Test: The Univariate MT-STAR Model 0 0 0 21 0 0 3 113
A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios 0 0 0 26 2 2 4 99
A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios 0 0 0 0 0 0 0 4
A Rank-based Approach to Cross-Sectional Analysis 0 0 0 0 1 1 1 69
A Rank-based Approach to Cross-Sectional Analysis 0 0 0 0 1 1 1 11
A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation 0 1 1 211 0 2 3 585
A meta-measure of performance related to both investors and investments characteristics 0 0 0 0 0 0 2 6
A meta-measure of performance related to both investors and investments characteristics 0 0 0 0 0 0 2 34
A performance measure of Zero-dollar Long/Short equally weighted portfolios 0 0 0 60 0 0 1 288
A test for a new modelling: The Univariate MT-STAR Model 0 0 0 0 0 0 2 14
A test for a new modelling: The Univariate MT-STAR Model 0 0 1 68 0 1 2 211
A test for a new modelling: The Univariate MT-STAR Model 0 0 0 44 0 0 2 190
A turning point chronology for the Euro-zone 0 0 0 137 0 1 6 353
Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach 0 0 0 1 0 0 2 16
Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach 0 0 0 35 0 0 0 94
Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach 0 0 0 103 0 1 2 331
An entropy-based early warning indicator for systemic risk 0 0 2 86 1 1 5 225
Backward/forward optimal combination of performance measures for equity screening 0 0 0 30 0 1 1 153
Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index 0 0 0 45 0 0 0 149
Bayesian Dynamic Tensor Regression 0 0 0 89 0 1 2 212
Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis 0 0 1 126 0 0 3 242
Bayesian Graphical Models for Structural Vector Autoregressive Processes 0 0 1 159 0 0 3 428
Bayesian Inference on Dynamic Models with Latent Factors 0 0 0 123 0 0 0 322
Bayesian Markov Switching Tensor Regression for Time-varying Networks 0 0 2 60 0 1 5 98
Bayesian nonparametric sparse VAR models 0 0 0 37 0 0 2 100
Bayesian nonparametric sparse seemingly unrelated regression model (SUR) 0 2 3 46 0 2 7 167
Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case 0 0 1 38 0 0 2 113
Buildings' energy efficiency and the probability of mortgage default: The Dutch case 0 0 0 49 1 1 1 43
Business Cycle Analysis with Multivariate Markov Switching Models 0 0 1 476 1 4 10 1,049
CDS Industrial Sector Indices, credit and liquidity risk 0 0 0 66 1 1 1 224
COVID-19 spreading in financial networks: A semiparametric matrix regression model 0 0 0 78 1 1 1 150
COVID-19 spreading in financial networks: A semiparametric matrix regression model 0 0 0 18 1 1 1 45
Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone 0 0 0 55 0 0 0 10
Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone 0 0 0 28 0 0 0 39
Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone 0 0 0 27 0 0 0 41
Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone 0 0 0 28 0 0 0 77
Combination Schemes for Turning Point Predictions 0 0 0 67 0 0 0 146
Combination schemes for turning point predictions 0 0 0 19 0 2 2 130
Combination schemes for turning point predictions 0 0 1 58 1 1 3 117
Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data 0 0 0 41 0 0 0 87
Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data 0 0 0 16 1 1 1 69
Combining predictive densities using Bayesian filtering with applications to US economic data 0 0 0 55 0 0 0 167
Combining predictive densities using Bayesian filtering with applications to US economics data 0 0 0 67 0 0 0 113
Credit scoring in SME asset-backed securities: An Italian case study 0 0 0 35 0 1 5 56
Creditworthiness and buildings' energy efficiency in the Italian mortgage market 0 0 1 11 0 1 9 30
Crises and Hedge Fund Risk 0 0 0 2 1 2 6 11
Crisis and Hedge Fund Risk 0 0 0 459 0 0 0 1,127
Cross-Sectional Analysis through Rank-based Dynamic 0 0 1 42 0 0 2 187
Cross-Sectional Analysis through Rank-based Dynamic Portfolios 0 0 0 18 0 0 1 85
Cross-Sectional Analysis through Rank-based Dynamic Portfolios 0 0 0 2 0 0 0 11
Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI 0 0 1 83 0 0 1 415
Dynamic Risk Exposure in Hedge Funds 0 0 0 290 0 0 0 900
Dynamical Interaction Between Financial and Business Cycles 0 0 1 77 0 0 6 142
Dynamical Interaction between Financial and Business Cycles 0 0 0 0 0 0 0 17
Dynamical Interaction between Financial and Business Cycles 0 0 0 0 0 0 1 36
Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors 1 1 3 378 1 5 18 924
Econometric Measures of Systemic Risk in the Finance and Insurance Sectors 1 1 5 386 1 3 12 1,064
Efficient Gibbs Sampling for Markov Switching GARCH Models 0 0 1 108 1 2 4 331
Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro 0 0 0 113 1 1 2 244
Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area 0 0 0 68 0 0 0 120
Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area 0 0 0 0 0 0 0 4
Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area 0 0 0 0 0 0 0 3
Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area 0 0 0 0 1 1 1 47
Functional Indirect Inference 0 0 0 16 0 0 0 54
Global realignment in financial market dynamics: Evidence from ETF networks 0 1 1 54 1 3 10 88
Granger-causality in Markov Switching Models 1 2 2 152 2 3 3 439
Growth-cycle phases in China�s provinces: A panel Markov-switching approach 0 0 2 97 1 2 6 215
Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix 0 1 4 69 0 2 5 145
High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization 0 0 0 13 1 1 1 5
High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization 0 0 0 0 1 1 1 7
Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods 0 0 0 114 0 0 0 374
Inside the ESG Ratings: (Dis)agreement and performance 1 1 5 228 1 2 20 836
Inside the ESG ratings: (Dis)agreement and performance 0 0 4 70 2 3 17 225
Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model 1 1 1 28 1 1 2 109
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 0 62 0 0 0 194
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 0 69 1 2 5 202
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 0 47 0 0 1 170
Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode 0 0 2 96 0 0 4 121
Learning from experts: Energy efficiency in residential buildings 0 0 2 24 9 10 15 23
Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion 0 0 0 140 0 0 0 406
Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets 0 0 0 90 0 0 3 220
Markov Switching Panel with Endogenous Synchronization Effects 0 1 3 93 0 3 14 207
Markov Switching Panel with Network Interaction Effects 0 0 0 72 0 2 2 185
Measuring Financial Integration: Lessons from the Correlation 0 0 1 60 0 0 5 183
Modeling Systemic Risk with Markov Switching Graphical SUR Models 0 0 4 144 0 0 14 228
Modeling Turning Points In Global Equity Market 0 0 0 39 1 2 4 43
Multivariate Reflection Symmetry of Copula Functions 0 0 0 0 2 2 2 11
Multivariate Reflection Symmetry of Copula Functions 0 0 0 6 0 0 1 54
Multivariate Reflection Symmetry of Copula Functions 0 0 0 1 1 1 1 19
Networks in risk spillovers: A multivariate GARCH perspective 0 0 0 41 0 0 0 117
Networks in risk spillovers: A multivariate GARCH perspective 0 0 1 45 1 1 3 66
Networks in risk spillovers: a multivariate GARCH perspective 0 0 0 109 0 0 1 298
Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data 0 0 1 171 1 1 2 366
Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis 0 0 0 25 0 0 0 14
Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis 0 0 0 47 1 1 1 83
Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis 0 0 1 100 0 1 5 258
Nonlinear Dynamics and Wavelets for Business Cycle Analysis 0 0 0 0 0 0 0 20
Nonlinear Dynamics and Wavelets for Business Cycle Analysis 0 0 0 0 0 0 1 11
Nonlinear Dynamics and Wavelets for Business Cycle Analysis 0 0 0 0 1 1 1 3
Nonlinear dynamics and recurrence plots for detecting financial crisis 0 0 0 0 0 0 0 35
Nonlinear dynamics and recurrence plots for detecting financial crisis 0 0 0 0 0 0 1 4
Nonlinear dynamics and recurrence plots for detecting financial crisis 0 0 0 0 0 0 0 3
Phase-Locking and Switching Volatility in Hedge Funds 0 0 0 156 0 1 5 670
Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure 0 0 0 90 0 2 3 278
Portfolio Symmetry and Momentum 0 0 0 13 0 0 0 58
Portfolio Symmetry and Momentum 0 0 0 34 1 1 1 176
Portfolio Symmetry and Momentum 0 0 0 2 0 0 0 14
Portfolio Symmetry and Momentum 0 0 0 0 0 0 0 3
Portfolio Symmetry and Momentum 0 0 0 25 0 0 0 111
Portfolio Symmetry and Momentum 0 0 0 0 0 0 0 3
Portfolio Symmetry and Momentum 0 0 0 14 0 0 2 134
Responsible Investing under Climate Change Uncertainty 4 13 28 28 5 15 28 28
Sparse Graphical Vector Autoregression: A Bayesian Approach 0 0 0 78 0 0 0 192
Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints 0 0 0 38 0 0 0 159
Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis 0 0 0 46 1 1 1 161
Sustainable finance: A journey toward ESG and climate risk 0 2 16 98 0 6 36 165
The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach 0 1 4 61 1 6 14 119
The Simulated Likelihood Ratio (SLR) Method 0 0 0 33 0 0 1 130
The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach 0 0 2 41 1 2 6 61
The impact of network connectivity on factor exposures, asset pricing and portfolio diversification 0 0 0 90 0 0 6 340
The importance of compound risk in the nexus of COVID-19, climate change and finance 3 3 5 110 6 7 13 233
The univariate MT-STAR model and a new linearity and unit root test procedure 0 0 0 0 0 0 0 28
The univariate MT-STAR model and a new linearity and unit root test procedure 0 0 0 0 0 0 1 7
The univariate MT-STAR model and a new linearity and unit root test procedure 0 0 0 0 0 0 0 6
Time-varying Combinations of Predictive Densities using Nonlinear Filtering 0 0 0 79 0 0 2 145
Turning point chronology for the Euro-Zone: A Distance Plot Approach 0 0 0 21 0 0 1 59
Turning point chronology for the Euro-Zone: A Distance Plot Approach 0 0 0 13 0 0 0 52
Turning point chronology for the Euro-Zone: A Distance Plot Approach 0 0 0 19 0 0 0 11
Turning point chronology for the Euro-Zone: A Distance Plot Approach 0 0 0 39 0 0 0 90
Turning point chronology for the euro area: A distance plot approach 0 0 0 0 0 1 1 11
Turning point chronology for the euro area: A distance plot approach 0 0 0 0 0 0 0 7
Turning point chronology for the euro area: A distance plot approach 0 0 0 0 0 0 0 3
Understanding Exchange Rates Dynamics 0 0 0 11 0 1 1 59
Understanding Exchange Rates Dynamics 0 0 0 55 1 1 1 143
Understanding Exchange Rates Dynamics 0 0 0 40 0 0 0 9
Unpacking the ESG ratings: Does one size fit all? 0 0 4 4 2 2 16 16
Which market integration measure? 0 1 1 21 0 1 3 82
�Markov Switching Models for Volatility: Filtering, Approximation and Duality� 0 0 0 104 0 0 0 215
Total Working Papers 12 32 123 8,515 64 136 448 23,169

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 0 87 0 1 3 242
A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation 0 0 1 79 0 0 4 191
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation 0 0 0 10 0 0 1 76
A meta-measure of performance related to both investors and investments characteristics 0 0 1 3 0 0 4 11
An entropy-based early warning indicator for systemic risk 0 0 0 28 0 2 6 131
Backward/forward optimal combination of performance measures for equity screening 0 0 0 5 0 0 0 50
Bayesian Dynamic Tensor Regression 0 0 0 3 0 0 5 14
Bayesian Graphical Models for STructural Vector Autoregressive Processes 0 0 0 23 0 0 0 108
Bayesian Markov-Switching Tensor Regression for Time-Varying Networks 0 0 1 1 0 1 6 6
Bayesian estimation of switching ARMA models 0 0 1 239 0 0 3 543
Bayesian nonparametric sparse VAR models 0 0 6 22 0 0 15 90
Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis 0 1 1 85 2 3 4 202
Bond supply expectations and the term structure of interest rates 0 1 1 1 1 5 5 5
Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case 0 0 1 4 0 0 6 18
Business Cycle and Markov Switching Models with Distributed Lags: A Comparison between US and Euro Area 0 0 0 5 0 0 0 26
COVID-19 spreading in financial networks: A semiparametric matrix regression model 0 0 0 0 1 1 2 5
Combination schemes for turning point predictions 0 0 1 26 2 2 4 106
Combining forecasts: some results on exchange and interest rates 0 1 1 138 0 1 3 426
Complexity and the default risk of mortgage-backed securities 0 0 1 2 1 1 7 12
Contagion and interdependence in stock markets: Have they been misdiagnosed? 0 1 3 235 0 1 7 534
Correction to: A meta-measure of performance related to both investors and investments characteristics 0 0 0 0 0 0 1 1
Corrigendum to “Complexity and the default risk of mortgage-backed securities” [Journal of Banking and Finance 155 (2023) 106993] 0 0 0 0 1 1 4 4
Credit Scoring in SME Asset-Backed Securities: An Italian Case Study 0 0 0 15 0 1 2 96
Dating EU15 monthly business cycle jointly using GDP and IPI 0 0 0 37 0 0 0 184
Dynamic risk exposures in hedge funds 0 1 1 39 1 2 2 128
Econometric measures of connectedness and systemic risk in the finance and insurance sectors 1 8 43 647 8 28 122 1,998
Efficient Gibbs sampling for Markov switching GARCH models 0 0 0 10 0 0 1 42
Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area 0 0 0 26 0 0 0 88
Granger-causality in Markov switching models 1 1 1 25 1 3 5 97
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area 0 0 0 48 0 1 3 171
Inside the ESG ratings: (Dis)agreement and performance 0 0 6 38 1 3 31 126
Interconnectedness and systemic risk: hedge funds, banks, insurance companies 0 0 1 81 0 0 3 173
Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model 0 0 2 16 0 0 3 57
Kernel-Based Indirect Inference 0 0 0 0 1 1 1 379
Learning from experts: Energy efficiency in residential buildings 0 0 1 1 1 3 6 6
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion 0 0 0 75 0 0 4 264
Markov switching GARCH models for Bayesian hedging on energy futures markets 0 0 1 21 1 1 3 83
Markov switching panel with endogenous synchronization effects 0 1 3 10 1 2 11 28
Modeling Turning Points in the Global Equity Market 0 0 1 1 0 1 6 6
Modeling systemic risk with Markov Switching Graphical SUR models 0 1 2 46 1 4 6 164
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis 1 1 1 6 1 1 1 45
Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case 0 0 0 0 0 0 2 4
Networks in risk spillovers: A multivariate GARCH perspective 1 1 2 3 1 1 3 7
Nonlinear dynamics and recurrence plots for detecting financial crisis 0 1 1 17 0 1 1 79
On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected) 0 0 0 0 1 1 2 2
On the role of domestic and international financial cyclical factors in driving economic growth 0 0 0 5 0 0 3 13
Opinion Dynamics and Disagreements on Financial Networks 0 0 1 30 0 0 5 110
Portfolio symmetry and momentum 0 0 0 15 0 0 4 87
Sparse Graphical Vector Autoregression: A Bayesian Approach 0 0 1 14 0 0 1 79
Stochastic optimization for allocation problems with shortfall risk constraints 0 0 0 1 0 1 1 6
The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification 0 0 1 2 0 1 4 10
The univariate MT-STAR model and a new linearity and unit root test procedure 0 0 0 9 1 1 2 68
Time-varying combinations of predictive densities using nonlinear filtering 0 0 3 52 1 1 15 207
Turning point chronology for the euro area: A distance plot approach 0 0 0 14 0 1 1 70
Value-at-Risk: a multivariate switching regime approach 0 0 1 387 0 0 7 929
Volatility and shocks spillover before and after EMU in European stock markets 0 0 0 156 0 0 8 438
Which market integration measure? 0 0 0 50 1 1 3 190
Total Journal Articles 4 19 92 2,893 30 79 362 9,235
1 registered items for which data could not be found

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors 0 0 0 0 2 4 14 189
Nonlinear Dynamics and Wavelets for Business Cycle Analysis 0 0 0 0 0 0 1 11
Understanding Economic Instability during the Pandemic: A Factor Model Approach 0 0 1 2 0 0 2 5
Total Chapters 0 0 1 2 2 4 17 205
1 registered items for which data could not be found
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Statistics updated 2025-03-03